0001193125-15-003672.txt : 20150107 0001193125-15-003672.hdr.sgml : 20150107 20150107132645 ACCESSION NUMBER: 0001193125-15-003672 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20141031 FILED AS OF DATE: 20150107 DATE AS OF CHANGE: 20150107 EFFECTIVENESS DATE: 20150107 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: 15512919 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 d755395dncsr.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, 2014 ================================================================================ ITEM 1.REPORTS TO STOCKHOLDERS. [LOGO] ANNUAL REPORT year ended: October 31, 2014 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 2014 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 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................................... 37 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio.......................... 40 U.S. Large Cap Equity Portfolio................................ 43 U.S. Large Cap Value Portfolio................................. 46 U.S. Targeted Value Portfolio.................................. 47 U.S. Small Cap Value Portfolio................................. 50 U.S. Core Equity 1 Portfolio................................... 53 U.S. Core Equity 2 Portfolio................................... 56 U.S. Vector Equity Portfolio................................... 59 U.S. Small Cap Portfolio....................................... 62 U.S. Micro Cap Portfolio....................................... 65 DFA Real Estate Securities Portfolio........................... 68 Large Cap International Portfolio.............................. 70 International Core Equity Portfolio............................ 74 International Small Company Portfolio.......................... 79 Japanese Small Company Portfolio............................... 80 Asia Pacific Small Company Portfolio........................... 80 United Kingdom Small Company Portfolio......................... 81 Continental Small Company Portfolio............................ 81 DFA International Real Estate Securities Portfolio............. 82 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 World Core Equity Portfolio.................................... 98 Selectively Hedged Global Equity Portfolio..................... 99 Emerging Markets Portfolio..................................... 100 Emerging Markets Small Cap Portfolio........................... 100 Emerging Markets Value Portfolio............................... 100 Emerging Markets Core Equity Portfolio......................... 101 Statements of Assets and Liabilities............................... 105 Statements of Operations........................................... 112 Statements of Changes in Net Assets................................ 119 Financial Highlights............................................... 129 Notes to Financial Statements...................................... 148 Report of Independent Registered Public Accounting Firm............ 176
i TABLE OF CONTENTS CONTINUED
Page ---- DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Performance Charts................................................. 177 Management's Discussion and Analysis............................... 178 Consolidated Disclosure of Fund Expenses........................... 179 Consolidated Disclosure of Portfolio Holdings...................... 180 Consolidated Schedule of Investments............................... 181 Consolidated Statement of Assets and Liabilities................... 186 Consolidated Statement of Operations............................... 187 Consolidated Statements of Changes in Net Assets................... 188 Consolidated Financial Highlights.................................. 189 Consolidated Notes to Financial Statements......................... 190 Report of Independent Registered Public Accounting Firm............ 202 Dimensional Investment Group Inc. Performance Charts................................................. 203 Management's Discussion and Analysis............................... 205 Disclosure of Fund Expenses........................................ 208 Disclosure of Portfolio Holdings................................... 210 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio.............................. 211 U.S. Large Company Portfolio................................... 212 Statements of Assets and Liabilities............................... 215 Statements of Operations........................................... 216 Statements of Changes in Net Assets................................ 217 Financial Highlights............................................... 218 Notes to Financial Statements...................................... 220 Report of Independent Registered Public Accounting Firm............ 230 The DFA Investment Trust Company Performance Charts................................................. 231 Management's Discussion and Analysis............................... 236 Disclosure of Fund Expenses........................................ 241 Disclosure of Portfolio Holdings................................... 243 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series................................ 245 The DFA International Value Series............................. 248 The Japanese Small Company Series.............................. 252 The Asia Pacific Small Company Series.......................... 255 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............ 316 Fund Management....................................................... 317 Voting Proxies on Fund Portfolio Securities........................... 328 Notice to Shareholders................................................ 329
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 CAD Canadian Dollars 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. (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.
1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX October 31, 2004-October 31, 2014 [CHART] Enhanced U.S. Large Company Portfolio S&P 500/R/Index --------------------------------- ------------------ 10/31/2004 $10,000 $10,000 11/30/2004 10,366 10,405 12/31/2004 10,717 10,759 1/31/2005 10,437 10,496 2/28/2005 10,638 10,717 3/31/2005 10,425 10,527 4/30/2005 10,246 10,328 5/31/2005 10,571 10,656 6/30/2005 10,582 10,672 7/31/2005 10,931 11,069 8/31/2005 10,852 10,968 9/30/2005 10,919 11,056 10/31/2005 10,693 10,872 11/30/2005 11,100 11,283 12/31/2005 11,101 11,287 1/31/2006 11,399 11,586 2/28/2006 11,399 11,618 3/31/2006 11,542 11,762 4/30/2006 11,680 11,920 5/31/2006 11,335 11,577 6/30/2006 11,346 11,593 7/31/2006 11,415 11,664 8/31/2006 11,680 11,942 9/30/2006 11,979 12,250 10/31/2006 12,359 12,649 11/30/2006 12,600 12,889 12/31/2006 12,769 13,070 1/31/2007 12,950 13,268 2/28/2007 12,696 13,008 3/31/2007 12,841 13,154 4/30/2007 13,397 13,737 5/31/2007 13,856 14,216 6/30/2007 13,614 13,980 7/31/2007 13,204 13,546 8/31/2007 13,385 13,749 9/30/2007 13,883 14,264 10/31/2007 14,106 14,490 11/30/2007 13,512 13,885 12/31/2007 13,416 13,788 1/31/2008 12,575 12,961 2/29/2008 12,168 12,540 3/31/2008 12,114 12,486 4/30/2008 12,683 13,094 5/31/2008 12,860 13,264 6/30/2008 11,767 12,146 7/31/2008 11,671 12,044 8/31/2008 11,850 12,218 9/30/2008 10,759 11,129 10/31/2008 8,924 9,260 11/30/2008 8,317 8,596 12/31/2008 8,415 8,687 1/31/2009 7,710 7,955 2/28/2009 6,867 7,108 3/31/2009 7,492 7,730 4/30/2009 8,230 8,470 5/31/2009 8,723 8,944 6/30/2009 8,753 8,962 7/31/2009 9,446 9,640 8/31/2009 9,815 9,988 9/30/2009 10,201 10,360 10/31/2009 10,015 10,168 11/30/2009 10,649 10,778 12/31/2009 10,832 10,986 1/31/2010 10,460 10,591 2/28/2010 10,801 10,919 3/31/2010 11,437 11,578 4/30/2010 11,623 11,760 5/31/2010 10,708 10,821 6/30/2010 10,157 10,255 7/31/2010 10,874 10,973 8/31/2010 10,391 10,478 9/30/2010 11,321 11,413 10/31/2010 11,758 11,847 11/30/2010 11,742 11,849 12/31/2010 12,528 12,641 1/31/2011 12,841 12,940 2/28/2011 13,263 13,384 3/31/2011 13,263 13,389 4/30/2011 13,685 13,786 5/31/2011 13,560 13,629 6/30/2011 13,326 13,402 7/31/2011 13,076 13,130 8/31/2011 12,356 12,417 9/30/2011 11,480 11,544 10/31/2011 12,747 12,805 11/30/2011 12,669 12,777 12/31/2011 12,810 12,908 1/31/2012 13,411 13,486 2/29/2012 13,996 14,069 3/31/2012 14,471 14,532 4/30/2012 14,392 14,441 5/31/2012 13,522 13,573 6/30/2012 14,089 14,132 7/31/2012 14,327 14,329 8/31/2012 14,660 14,652 9/30/2012 15,037 15,030 10/31/2012 14,766 14,753 11/30/2012 14,862 14,838 12/31/2012 14,983 14,973 1/31/2013 15,751 15,749 2/28/2013 15,975 15,963 3/31/2013 16,566 16,561 4/30/2013 16,886 16,881 5/31/2013 17,270 17,275 6/30/2013 17,005 17,043 7/31/2013 17,903 17,911 8/31/2013 17,374 17,392 9/30/2013 17,919 17,937 10/31/2013 18,752 18,762 11/30/2013 19,329 19,334 12/31/2013 19,794 19,823 1/31/2014 19,137 19,138 2/28/2014 20,003 20,013 3/31/2014 20,157 20,181 4/30/2014 20,318 20,331 5/31/2014 20,816 20,808 6/30/2014 21,216 21,238 7/31/2014 20,911 20,945 Past performance is not predictive of 8/31/2014 21,764 21,783 future performance. 9/30/2014 21,442 21,477 The returns shown do not reflect the 10/31/2014 21,973 22,002 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------------ The S&P data are provided by 17.18% 17.02% 8.19% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY PORTFOLIO VS. RUSSELL 1000(R) INDEX June 25, 2013-October 31, 2014 [CHART] U.S. Large Cap Equity Portfolio Russell 1000/R/ Index ----------------- --------------------- 6/25/2013 $10,000 $10,000 6/30/2013 10,020 10,130 7/31/2013 10,550 10,672 8/31/2013 10,270 10,378 9/30/2013 10,630 10,740 10/31/2013 11,101 11,213 11/30/2013 11,452 11,527 12/31/2013 11,757 11,838 1/31/2014 11,333 11,460 2/28/2014 11,878 12,004 3/31/2014 11,985 12,080 4/30/2014 12,046 12,137 5/31/2014 12,319 12,416 6/30/2014 12,623 12,699 Past performance is not predictive of 7/31/2014 12,410 12,493 future performance. 8/31/2014 12,928 13,010 The returns shown do not reflect the 9/30/2014 12,654 12,781 deduction of taxes that a shareholder 10/31/2014 12,899 13,094 would pay on fund distributions or the Average Annual One Since redemption of fund shares. Total Return Year Inception Russell data copyright (C) Russell --------------------------------------------------- Investment Group 1995-2014, all rights 16.19% 20.74% reserved.
-------------------------------------------------------------------------------- 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000(R) VALUE INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index ------------------------------- --------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,655 10,506 12/31/2004 11,079 10,858 1/31/2005 10,803 10,665 2/28/2005 11,129 11,018 3/31/2005 11,100 10,867 4/30/2005 10,718 10,672 5/31/2005 11,177 10,929 6/30/2005 11,405 11,049 7/31/2005 11,971 11,368 8/31/2005 11,871 11,319 9/30/2005 12,054 11,478 10/31/2005 11,731 11,186 11/30/2005 12,199 11,552 12/31/2005 12,214 11,621 1/31/2006 12,792 12,072 2/28/2006 12,747 12,146 3/31/2006 12,972 12,311 4/30/2006 13,337 12,624 5/31/2006 13,090 12,305 6/30/2006 13,203 12,383 7/31/2006 13,011 12,684 8/31/2006 13,220 12,897 9/30/2006 13,586 13,154 10/31/2006 14,124 13,584 11/30/2006 14,390 13,894 12/31/2006 14,679 14,206 1/31/2007 15,104 14,388 2/28/2007 14,877 14,164 3/31/2007 14,974 14,383 4/30/2007 15,609 14,914 5/31/2007 16,250 15,452 6/30/2007 15,986 15,091 7/31/2007 14,993 14,393 8/31/2007 14,707 14,554 9/30/2007 15,087 15,054 10/31/2007 15,169 15,056 11/30/2007 14,319 14,320 12/31/2007 14,273 14,182 1/31/2008 13,726 13,614 2/29/2008 13,301 13,043 3/31/2008 13,177 12,945 4/30/2008 14,004 13,577 5/31/2008 14,337 13,555 6/30/2008 12,766 12,257 7/31/2008 12,623 12,213 8/31/2008 12,871 12,421 9/30/2008 11,713 11,508 10/31/2008 9,074 9,516 11/30/2008 8,184 8,834 12/31/2008 8,450 8,956 1/31/2009 7,448 7,926 2/28/2009 6,402 6,867 3/31/2009 7,031 7,455 4/30/2009 8,169 8,254 5/31/2009 8,796 8,764 6/30/2009 8,689 8,699 7/31/2009 9,508 9,411 8/31/2009 10,155 9,904 9/30/2009 10,597 10,286 10/31/2009 10,141 9,971 11/30/2009 10,712 10,533 12/31/2009 11,001 10,720 1/31/2010 10,743 10,418 2/28/2010 11,207 10,747 3/31/2010 12,081 11,447 4/30/2010 12,463 11,743 5/31/2010 11,396 10,778 6/30/2010 10,534 10,171 7/31/2010 11,358 10,860 8/31/2010 10,664 10,395 9/30/2010 11,709 11,201 10/31/2010 12,140 11,538 11/30/2010 12,049 11,476 12/31/2010 13,220 12,382 1/31/2011 13,647 12,662 2/28/2011 14,383 13,129 3/31/2011 14,449 13,181 4/30/2011 14,811 13,532 5/31/2011 14,600 13,389 6/30/2011 14,335 13,115 7/31/2011 13,680 12,680 8/31/2011 12,523 11,888 9/30/2011 11,258 10,990 10/31/2011 12,812 12,248 11/30/2011 12,706 12,185 12/31/2011 12,805 12,430 1/31/2012 13,441 12,901 2/29/2012 14,217 13,415 3/31/2012 14,478 13,813 4/30/2012 14,175 13,672 5/31/2012 13,169 12,870 6/30/2012 13,875 13,509 7/31/2012 14,010 13,649 8/31/2012 14,563 13,945 9/30/2012 15,095 14,388 10/31/2012 15,136 14,317 11/30/2012 15,169 14,311 12/31/2012 15,629 14,607 1/31/2013 16,714 15,556 2/28/2013 16,926 15,779 3/31/2013 17,739 16,405 4/30/2013 17,917 16,653 5/31/2013 18,657 17,080 6/30/2013 18,442 16,929 7/31/2013 19,548 17,844 8/31/2013 18,964 17,167 9/30/2013 19,524 17,597 10/31/2013 20,511 18,367 11/30/2013 21,367 18,880 12/31/2013 21,931 19,358 1/31/2014 21,064 18,670 2/28/2014 21,772 19,478 3/31/2014 22,282 19,943 4/30/2014 22,428 20,132 5/31/2014 22,915 20,427 6/30/2014 23,540 20,961 Past performance is not predictive of 7/31/2014 23,365 20,603 future performance. 8/31/2014 24,106 21,361 The returns shown do not reflect the 9/30/2014 23,505 20,920 deduction of taxes that a shareholder 10/31/2014 23,688 21,390 would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2014, all rights 15.49% 18.49% 9.01% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS. RUSSELL 2000(R) VALUE INDEX January 31, 2008-October 31, 2014 [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 8/31/2013 15,941 14,443 9/30/2013 16,826 15,277 10/31/2013 17,555 15,773 11/30/2013 18,331 16,389 12/31/2013 18,804 16,698 1/31/2014 17,913 16,052 2/28/2014 18,845 16,786 3/31/2014 19,217 16,994 4/30/2014 18,862 16,557 5/31/2014 19,044 16,662 6/30/2014 19,852 17,399 Past performance is not predictive of 7/31/2014 18,859 16,347 future performance. 8/31/2014 19,819 17,058 The returns shown do not reflect the 9/30/2014 18,629 15,907 deduction of taxes that a shareholder 10/31/2014 19,217 17,018 would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2014, all rights 9.47% 18.55% 10.16% 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, 2014 [CHART] U.S. Targeted Value Portfolio - Class R2 Russell 2000/R/ Value Index ------------------------ --------------------------- 6/30/2008 $10,000 10,000 7/31/2008 10,260 10,513 8/31/2008 10,720 11,012 9/30/2008 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 1/31/2009 6,272 6,757 2/28/2009 5,443 5,818 3/31/2009 6,038 6,335 4/30/2009 7,216 7,340 5/31/2009 7,459 7,499 6/30/2009 7,436 7,475 7/31/2009 8,321 8,340 8/31/2009 8,768 8,735 9/30/2009 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 1/31/2010 9,343 9,227 2/28/2010 9,865 9,654 3/31/2010 10,685 10,458 4/30/2010 11,453 11,189 5/31/2010 10,419 10,244 6/30/2010 9,434 9,350 7/31/2010 10,161 10,017 8/31/2010 9,341 9,264 9/30/2010 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 1/31/2011 12,396 11,841 2/28/2011 13,085 12,442 3/31/2011 13,336 12,615 4/30/2011 13,544 12,820 5/31/2011 13,211 12,590 6/30/2011 12,926 12,281 7/31/2011 12,466 11,875 8/31/2011 11,214 10,826 9/30/2011 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 1/31/2012 12,209 11,927 2/29/2012 12,644 12,104 3/31/2012 12,877 12,480 4/30/2012 12,667 12,299 5/31/2012 11,721 11,548 6/30/2012 12,189 12,104 7/31/2012 12,129 11,981 8/31/2012 12,686 12,350 9/30/2012 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 1/31/2013 14,611 13,989 2/28/2013 14,861 14,149 3/31/2013 15,577 14,738 4/30/2013 15,424 14,723 5/31/2013 16,181 15,163 6/30/2013 16,064 15,102 7/31/2013 17,185 16,072 8/31/2013 16,548 15,362 9/30/2013 17,472 16,248 10/31/2013 18,223 16,777 11/30/2013 19,022 17,431 12/31/2013 19,515 17,760 1/31/2014 18,587 17,073 2/28/2014 19,549 17,854 3/31/2014 19,932 18,075 4/30/2014 19,563 17,610 5/31/2014 19,752 17,722 6/30/2014 20,586 18,506 7/31/2014 19,553 17,387 Past performance is not predictive of 8/31/2014 20,551 18,143 future performance. 9/30/2014 19,315 16,919 The returns shown do not reflect the 10/31/2014 19,918 18,101 deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell --------------------------------------------------------------- Investment Group 1995-2014, all rights 9.30% 18.33% 11.49% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. RUSSELL 2000(R) VALUE INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Targeted Value Portfolio - Institutional Class Russell 2000/R/ Value Index --------------------------------- --------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,920 10,887 12/31/2004 11,259 11,147 1/31/2005 10,901 10,716 2/28/2005 11,203 10,929 3/31/2005 11,098 10,704 4/30/2005 10,346 10,152 5/31/2005 11,035 10,771 6/30/2005 11,468 11,247 7/31/2005 12,171 11,887 8/31/2005 11,981 11,614 9/30/2005 12,023 11,595 10/31/2005 11,705 11,304 11/30/2005 12,249 11,762 12/31/2005 12,301 11,672 1/31/2006 13,288 12,637 2/28/2006 13,149 12,636 3/31/2006 13,693 13,248 4/30/2006 13,872 13,284 5/31/2006 13,390 12,734 6/30/2006 13,465 12,890 7/31/2006 13,052 12,711 8/31/2006 13,348 13,091 9/30/2006 13,484 13,219 10/31/2006 14,150 13,892 11/30/2006 14,635 14,288 12/31/2006 14,724 14,412 1/31/2007 15,032 14,628 2/28/2007 14,955 14,449 3/31/2007 15,069 14,623 4/30/2007 15,377 14,775 5/31/2007 16,043 15,316 6/30/2007 15,831 14,959 7/31/2007 14,684 13,686 8/31/2007 14,641 13,960 9/30/2007 14,685 14,023 10/31/2007 14,720 14,176 11/30/2007 13,670 13,114 12/31/2007 13,518 13,003 1/31/2008 12,872 12,470 2/29/2008 12,544 11,974 3/31/2008 12,651 12,155 4/30/2008 13,068 12,539 5/31/2008 13,672 12,968 6/30/2008 12,289 11,724 7/31/2008 12,609 12,325 8/31/2008 13,178 12,910 9/30/2008 12,344 12,305 10/31/2008 9,668 9,847 11/30/2008 8,411 8,707 12/31/2008 8,952 9,242 1/31/2009 7,721 7,922 2/28/2009 6,707 6,822 3/31/2009 7,438 7,427 4/30/2009 8,888 8,606 5/31/2009 9,195 8,792 6/30/2009 9,163 8,764 7/31/2009 10,255 9,778 8/31/2009 10,806 10,240 9/30/2009 11,407 10,754 10/31/2009 10,584 10,040 11/30/2009 10,936 10,359 12/31/2009 11,805 11,144 1/31/2010 11,533 10,817 2/28/2010 12,177 11,319 3/31/2010 13,190 12,260 4/30/2010 14,144 13,118 5/31/2010 12,873 12,010 6/30/2010 11,650 10,961 7/31/2010 12,558 11,744 8/31/2010 11,541 10,861 9/30/2010 12,960 12,027 10/31/2010 13,443 12,493 11/30/2010 13,980 12,810 12/31/2010 15,230 13,875 1/31/2011 15,330 13,882 2/28/2011 16,200 14,587 3/31/2011 16,512 14,790 4/30/2011 16,768 15,030 5/31/2011 16,356 14,761 6/30/2011 16,005 14,398 7/31/2011 15,445 13,922 8/31/2011 13,895 12,692 9/30/2011 12,170 11,306 10/31/2011 14,082 12,935 11/30/2011 14,128 12,909 12/31/2011 14,272 13,111 1/31/2012 15,137 13,983 2/29/2012 15,686 14,191 3/31/2012 15,981 14,631 4/30/2012 15,720 14,419 5/31/2012 14,547 13,538 6/30/2012 15,139 14,191 7/31/2012 15,065 14,046 8/31/2012 15,756 14,479 9/30/2012 16,257 14,995 10/31/2012 16,164 14,807 11/30/2012 16,435 14,852 12/31/2012 17,010 15,478 1/31/2013 18,170 16,401 2/28/2013 18,480 16,588 3/31/2013 19,380 17,278 4/30/2013 19,190 17,262 5/31/2013 20,140 17,777 6/30/2013 19,996 17,705 7/31/2013 21,400 18,843 8/31/2013 20,608 18,010 9/30/2013 21,760 19,049 10/31/2013 22,694 19,669 11/30/2013 23,708 20,436 12/31/2013 24,329 20,821 1/31/2014 23,175 20,016 2/28/2014 24,371 20,932 3/31/2014 24,857 21,191 4/30/2014 24,408 20,646 5/31/2014 24,643 20,777 6/30/2014 25,685 21,696 7/31/2014 24,409 20,384 Past performance is not predictive of 8/31/2014 25,652 21,270 future performance. 9/30/2014 24,117 19,835 The returns shown do not reflect the 10/31/2014 24,869 21,221 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 Russell data copyright (C) Russell --------------------------------------------------------------- Investment Group 1995-2014, all 9.58% 18.63% 9.54% 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, 2004-October 31, 2014 [CHART] U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index -------------------------------- ----------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,000 10,887 12/31/2004 11,399 11,147 1/31/2005 10,991 10,716 2/28/2005 11,288 10,929 3/31/2005 11,068 10,704 4/30/2005 10,262 10,152 5/31/2005 10,945 10,771 6/30/2005 11,402 11,247 7/31/2005 12,213 11,887 8/31/2005 12,009 11,614 9/30/2005 12,105 11,595 10/31/2005 11,751 11,304 11/30/2005 12,245 11,762 12/31/2005 12,286 11,672 1/31/2006 13,370 12,637 2/28/2006 13,324 12,636 3/31/2006 14,136 13,248 4/30/2006 14,275 13,284 5/31/2006 13,649 12,734 6/30/2006 13,656 12,890 7/31/2006 13,144 12,711 8/31/2006 13,400 13,091 9/30/2006 13,560 13,219 10/31/2006 14,296 13,892 11/30/2006 14,730 14,288 12/31/2006 14,934 14,412 1/31/2007 15,263 14,628 2/28/2007 15,227 14,449 3/31/2007 15,393 14,623 4/30/2007 15,671 14,775 5/31/2007 16,242 15,316 6/30/2007 15,991 14,959 7/31/2007 14,769 13,686 8/31/2007 14,657 13,960 9/30/2007 14,617 14,023 10/31/2007 14,780 14,176 11/30/2007 13,491 13,114 12/31/2007 13,329 13,003 1/31/2008 12,804 12,470 2/29/2008 12,440 11,974 3/31/2008 12,545 12,155 4/30/2008 12,753 12,539 5/31/2008 13,281 12,968 6/30/2008 11,939 11,724 7/31/2008 12,186 12,325 8/31/2008 12,692 12,910 9/30/2008 11,817 12,305 10/31/2008 9,201 9,847 11/30/2008 8,006 8,707 12/31/2008 8,426 9,242 1/31/2009 7,223 7,922 2/28/2009 6,305 6,822 3/31/2009 6,961 7,427 4/30/2009 8,329 8,606 5/31/2009 8,597 8,792 6/30/2009 8,627 8,764 7/31/2009 9,787 9,778 8/31/2009 10,290 10,240 9/30/2009 10,942 10,754 10/31/2009 10,118 10,040 11/30/2009 10,433 10,359 12/31/2009 11,259 11,144 1/31/2010 10,903 10,817 2/28/2010 11,574 11,319 3/31/2010 12,600 12,260 4/30/2010 13,621 13,118 5/31/2010 12,273 12,010 6/30/2010 11,028 10,961 7/31/2010 11,986 11,744 8/31/2010 10,982 10,861 9/30/2010 12,402 12,027 10/31/2010 12,919 12,493 11/30/2010 13,500 12,810 12/31/2010 14,738 13,875 1/31/2011 14,784 13,882 2/28/2011 15,712 14,587 3/31/2011 16,035 14,790 4/30/2011 16,237 15,030 5/31/2011 15,730 14,761 6/30/2011 15,445 14,398 7/31/2011 15,001 13,922 8/31/2011 13,414 12,692 9/30/2011 11,727 11,306 10/31/2011 13,582 12,935 11/30/2011 13,490 12,909 12/31/2011 13,626 13,111 1/31/2012 14,638 13,983 2/29/2012 15,103 14,191 3/31/2012 15,450 14,631 4/30/2012 15,203 14,419 5/31/2012 14,120 13,538 6/30/2012 14,739 14,191 7/31/2012 14,704 14,046 8/31/2012 15,323 14,479 9/30/2012 15,831 14,995 10/31/2012 15,701 14,807 11/30/2012 15,991 14,852 12/31/2012 16,586 15,478 1/31/2013 17,675 16,401 2/28/2013 17,985 16,588 3/31/2013 18,867 17,278 4/30/2013 18,658 17,262 5/31/2013 19,664 17,777 6/30/2013 19,527 17,705 7/31/2013 20,959 18,843 8/31/2013 20,084 18,010 9/30/2013 21,137 19,049 10/31/2013 21,880 19,669 11/30/2013 22,990 20,436 12/31/2013 23,616 20,821 1/31/2014 22,402 20,016 2/28/2014 23,623 20,932 3/31/2014 23,903 21,191 4/30/2014 23,443 20,646 5/31/2014 23,636 20,777 6/30/2014 24,685 21,696 7/31/2014 23,262 20,384 8/31/2014 24,618 21,270 9/30/2014 22,900 19,835 10/31/2014 23,957 21,221 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 Russell data copyright (C) Russell --------------------------------------------------------------- Investment Group 1995-2014, all 9.49% 18.81% 9.13% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. CORE EQUITY 1 PORTFOLIO VS. RUSSELL 3000(R) INDEX September 15, 2005-October 31, 2014 [CHART] U.S. Core Equity 1 Portfolio Russell 3000/R/ Index ------------------------------- --------------------- 9/15/2005 $10,000 $10,000 9/30/2005 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 1/31/2006 10,636 10,571 2/28/2006 10,656 10,590 3/31/2006 10,893 10,773 4/30/2006 11,024 10,890 5/31/2006 10,641 10,541 6/30/2006 10,644 10,560 7/31/2006 10,532 10,550 8/31/2006 10,785 10,808 9/30/2006 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 1/31/2007 12,053 12,062 2/28/2007 11,920 11,864 3/31/2007 12,039 11,988 4/30/2007 12,489 12,467 5/31/2007 12,970 12,921 6/30/2007 12,760 12,679 7/31/2007 12,226 12,247 8/31/2007 12,349 12,423 9/30/2007 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 1/31/2008 11,465 11,691 2/29/2008 11,123 11,328 3/31/2008 11,043 11,261 4/30/2008 11,594 11,824 5/31/2008 11,895 12,067 6/30/2008 10,877 11,071 7/31/2008 10,877 10,983 8/31/2008 11,117 11,153 9/30/2008 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 1/31/2009 7,020 7,148 2/28/2009 6,269 6,399 3/31/2009 6,845 6,959 4/30/2009 7,674 7,692 5/31/2009 8,036 8,102 6/30/2009 8,072 8,130 7/31/2009 8,755 8,763 8/31/2009 9,076 9,076 9/30/2009 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 1/31/2010 9,697 9,653 2/28/2010 10,074 9,980 3/31/2010 10,744 10,609 4/30/2010 11,078 10,838 5/31/2010 10,204 9,982 6/30/2010 9,546 9,408 7/31/2010 10,229 10,061 8/31/2010 9,677 9,587 9/30/2010 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 1/31/2011 12,276 11,965 2/28/2011 12,768 12,400 3/31/2011 12,903 12,456 4/30/2011 13,254 12,827 5/31/2011 13,068 12,681 6/30/2011 12,826 12,453 7/31/2011 12,463 12,168 8/31/2011 11,594 11,438 9/30/2011 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 1/31/2012 12,603 12,426 2/29/2012 13,148 12,952 3/31/2012 13,496 13,351 4/30/2012 13,363 13,264 5/31/2012 12,483 12,444 6/30/2012 12,945 12,931 7/31/2012 13,034 13,059 8/31/2012 13,415 13,385 9/30/2012 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 1/31/2013 14,830 14,527 2/28/2013 15,012 14,719 3/31/2013 15,627 15,296 4/30/2013 15,797 15,546 5/31/2013 16,319 15,913 6/30/2013 16,154 15,707 7/31/2013 17,089 16,567 8/31/2013 16,610 16,105 9/30/2013 17,294 16,704 10/31/2013 18,003 17,413 11/30/2013 18,586 17,918 12/31/2013 19,099 18,391 1/31/2014 18,440 17,810 2/28/2014 19,329 18,655 3/31/2014 19,485 18,754 4/30/2014 19,438 18,777 5/31/2014 19,821 19,187 6/30/2014 20,394 19,668 Past performance is not predictive of 7/31/2014 19,871 19,280 future performance. 8/31/2014 20,719 20,089 The returns shown do not reflect the 9/30/2014 20,151 19,670 deduction of taxes that a shareholder 10/31/2014 20,653 20,211 would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2014, all rights 14.72% 17.63% 8.27% 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, 2014 [CHART] U.S. Core Equity 2 Portfolio Russell 3000/R/ Index ------------------------------- ------------------------- 9/15/2005 $10,000 $10,000 9/30/2005 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 1/31/2006 10,739 10,571 2/28/2006 10,759 10,590 3/31/2006 11,016 10,773 4/30/2006 11,177 10,890 5/31/2006 10,774 10,541 6/30/2006 10,766 10,560 7/31/2006 10,645 10,550 8/31/2006 10,887 10,808 9/30/2006 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 1/31/2007 12,212 12,062 2/28/2007 12,090 11,864 3/31/2007 12,218 11,988 4/30/2007 12,637 12,467 5/31/2007 13,148 12,921 6/30/2007 12,936 12,679 7/31/2007 12,331 12,247 8/31/2007 12,444 12,423 9/30/2007 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 1/31/2008 11,428 11,691 2/29/2008 11,066 11,328 3/31/2008 10,955 11,261 4/30/2008 11,505 11,824 5/31/2008 11,826 12,067 6/30/2008 10,757 11,071 7/31/2008 10,788 10,983 8/31/2008 11,028 11,153 9/30/2008 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 1/31/2009 6,815 7,148 2/28/2009 6,022 6,399 3/31/2009 6,615 6,959 4/30/2009 7,539 7,692 5/31/2009 7,900 8,102 6/30/2009 7,889 8,130 7/31/2009 8,603 8,763 8/31/2009 8,955 9,076 9/30/2009 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 1/31/2010 9,524 9,653 2/28/2010 9,922 9,980 3/31/2010 10,631 10,609 4/30/2010 11,018 10,838 5/31/2010 10,146 9,982 6/30/2010 9,432 9,408 7/31/2010 10,124 10,061 8/31/2010 9,519 9,587 9/30/2010 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 1/31/2011 12,197 11,965 2/28/2011 12,743 12,400 3/31/2011 12,897 12,456 4/30/2011 13,192 12,827 5/31/2011 12,984 12,681 6/30/2011 12,729 12,453 7/31/2011 12,302 12,168 8/31/2011 11,370 11,438 9/30/2011 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 1/31/2012 12,371 12,426 2/29/2012 12,902 12,952 3/31/2012 13,213 13,351 4/30/2012 13,080 13,264 5/31/2012 12,182 12,444 6/30/2012 12,663 12,931 7/31/2012 12,730 13,059 8/31/2012 13,131 13,385 9/30/2012 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 1/31/2013 14,711 14,527 2/28/2013 14,892 14,719 3/31/2013 15,517 15,296 4/30/2013 15,631 15,546 5/31/2013 16,223 15,913 6/30/2013 16,069 15,707 7/31/2013 17,040 16,567 8/31/2013 16,514 16,105 9/30/2013 17,220 16,704 10/31/2013 17,920 17,413 11/30/2013 18,528 17,918 12/31/2013 19,060 18,391 1/31/2014 18,350 17,810 2/28/2014 19,211 18,655 3/31/2014 19,435 18,754 4/30/2014 19,341 18,777 5/31/2014 19,680 19,187 6/30/2014 20,303 19,668 7/31/2014 19,740 19,280 Past performance is not predictive of 8/31/2014 20,560 20,089 future performance. 9/30/2014 19,907 19,670 The returns shown do not reflect the 10/31/2014 20,389 20,211 deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell ------------------------------------------------------------ Investment Group 1995-2014, all rights 13.78% 17.79% 8.12% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. VECTOR EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX December 30, 2005-October 31, 2014 LOGO 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 Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell ---------------------------------------- Investment Group 1995-2014, all rights 11.91% 18.08% 7.99% reserved.
-------------------------------------------------------------------------------- 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Small Cap Portfolio Russell 2000/R/ Index ----------------------------- ----------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,875 10,867 12/31/2004 11,252 11,189 1/31/2005 10,810 10,722 2/28/2005 11,000 10,903 3/31/2005 10,682 10,591 4/30/2005 10,015 9,985 5/31/2005 10,705 10,638 6/30/2005 11,109 11,048 7/31/2005 11,869 11,748 8/31/2005 11,702 11,531 9/30/2005 11,777 11,567 10/31/2005 11,413 11,208 11/30/2005 11,967 11,752 12/31/2005 11,937 11,698 1/31/2006 13,022 12,747 2/28/2006 12,997 12,712 3/31/2006 13,593 13,329 4/30/2006 13,624 13,326 5/31/2006 12,882 12,578 6/30/2006 12,806 12,659 7/31/2006 12,315 12,247 8/31/2006 12,659 12,610 9/30/2006 12,763 12,715 10/31/2006 13,483 13,447 11/30/2006 13,822 13,800 12/31/2006 13,920 13,847 1/31/2007 14,128 14,078 2/28/2007 14,057 13,967 3/31/2007 14,204 14,116 4/30/2007 14,465 14,370 5/31/2007 15,012 14,959 6/30/2007 14,847 14,740 7/31/2007 13,953 13,732 8/31/2007 14,149 14,043 9/30/2007 14,328 14,284 10/31/2007 14,609 14,694 11/30/2007 13,522 13,639 12/31/2007 13,494 13,630 1/31/2008 12,561 12,701 2/29/2008 12,157 12,230 3/31/2008 12,200 12,281 4/30/2008 12,584 12,796 5/31/2008 13,185 13,383 6/30/2008 12,005 12,353 7/31/2008 12,383 12,810 8/31/2008 12,831 13,273 9/30/2008 11,805 12,215 10/31/2008 9,375 9,674 11/30/2008 8,230 8,530 12/31/2008 8,635 9,025 1/31/2009 7,679 8,021 2/28/2009 6,752 7,046 3/31/2009 7,448 7,675 4/30/2009 8,831 8,862 5/31/2009 9,143 9,129 6/30/2009 9,380 9,263 7/31/2009 10,354 10,155 8/31/2009 10,724 10,446 9/30/2009 11,392 11,049 10/31/2009 10,601 10,299 11/30/2009 10,872 10,622 12/31/2009 11,773 11,477 1/31/2010 11,416 11,054 2/28/2010 11,973 11,552 3/31/2010 12,954 12,493 4/30/2010 13,833 13,200 5/31/2010 12,754 12,198 6/30/2010 11,734 11,253 7/31/2010 12,579 12,026 8/31/2010 11,620 11,136 9/30/2010 13,137 12,524 10/31/2010 13,675 13,036 11/30/2010 14,249 13,488 12/31/2010 15,388 14,559 1/31/2011 15,402 14,522 2/28/2011 16,267 15,318 3/31/2011 16,732 15,715 4/30/2011 17,129 16,130 5/31/2011 16,783 15,828 6/30/2011 16,515 15,463 7/31/2011 15,937 14,904 8/31/2011 14,507 13,607 9/30/2011 12,896 12,082 10/31/2011 14,872 13,910 11/30/2011 14,821 13,860 12/31/2011 14,903 13,951 1/31/2012 15,905 14,937 2/29/2012 16,363 15,294 3/31/2012 16,790 15,686 4/30/2012 16,558 15,444 5/31/2012 15,482 14,422 6/30/2012 16,136 15,141 7/31/2012 16,005 14,932 8/31/2012 16,567 15,430 9/30/2012 17,107 15,937 10/31/2012 16,895 15,591 11/30/2012 17,093 15,674 12/31/2012 17,644 16,232 1/31/2013 18,749 17,248 2/28/2013 18,936 17,438 3/31/2013 19,851 18,244 4/30/2013 19,687 18,177 5/31/2013 20,699 18,903 6/30/2013 20,676 18,806 7/31/2013 22,166 20,123 8/31/2013 21,417 19,483 9/30/2013 22,746 20,726 10/31/2013 23,489 21,248 11/30/2013 24,592 22,099 12/31/2013 25,091 22,534 1/31/2014 24,063 21,910 2/28/2014 25,164 22,942 3/31/2014 25,299 22,786 4/30/2014 24,554 21,902 5/31/2014 24,692 22,078 6/30/2014 25,865 23,252 Past performance is not predictive of 7/31/2014 24,314 21,845 future performance. 8/31/2014 25,467 22,928 The returns shown do not reflect the 9/30/2014 24,094 21,541 deduction of taxes that a shareholder 10/31/2014 25,525 22,961 would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------------- Investment Group 1995-2014, all rights 8.67% 19.21% 9.82% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Micro Cap Portfolio Russell 2000/R/ Index ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,897 10,867 12/31/2004 11,396 11,189 1/31/2005 10,929 10,722 2/28/2005 11,019 10,903 3/31/2005 10,664 10,591 4/30/2005 10,000 9,985 5/31/2005 10,603 10,638 6/30/2005 11,083 11,048 7/31/2005 11,928 11,748 8/31/2005 11,762 11,531 9/30/2005 11,834 11,567 10/31/2005 11,501 11,208 11/30/2005 12,023 11,752 12/31/2005 12,044 11,698 1/31/2006 13,145 12,747 2/28/2006 13,178 12,712 3/31/2006 13,777 13,329 4/30/2006 13,720 13,326 5/31/2006 12,913 12,578 6/30/2006 12,798 12,659 7/31/2006 12,357 12,247 8/31/2006 12,700 12,610 9/30/2006 12,770 12,715 10/31/2006 13,466 13,447 11/30/2006 13,768 13,800 12/31/2006 13,991 13,847 1/31/2007 14,151 14,078 2/28/2007 14,080 13,967 3/31/2007 14,223 14,116 4/30/2007 14,437 14,370 5/31/2007 14,892 14,959 6/30/2007 14,843 14,740 7/31/2007 13,877 13,732 8/31/2007 14,038 14,043 9/30/2007 14,245 14,284 10/31/2007 14,487 14,694 11/30/2007 13,268 13,639 12/31/2007 13,260 13,630 1/31/2008 12,246 12,701 2/29/2008 11,862 12,230 3/31/2008 11,899 12,281 4/30/2008 12,145 12,796 5/31/2008 12,628 13,383 6/30/2008 11,486 12,353 7/31/2008 11,999 12,810 8/31/2008 12,405 13,273 9/30/2008 11,491 12,215 10/31/2008 9,112 9,674 11/30/2008 7,942 8,530 12/31/2008 8,391 9,025 1/31/2009 7,391 8,021 2/28/2009 6,422 7,046 3/31/2009 7,037 7,675 4/30/2009 8,261 8,862 5/31/2009 8,544 9,129 6/30/2009 8,780 9,263 7/31/2009 9,641 10,155 8/31/2009 9,905 10,446 9/30/2009 10,475 11,049 10/31/2009 9,714 10,299 11/30/2009 9,886 10,622 12/31/2009 10,745 11,477 1/31/2010 10,430 11,054 2/28/2010 10,888 11,552 3/31/2010 11,768 12,493 4/30/2010 12,623 13,200 5/31/2010 11,687 12,198 6/30/2010 10,841 11,253 7/31/2010 11,615 12,026 8/31/2010 10,688 11,136 9/30/2010 11,988 12,524 10/31/2010 12,508 13,036 11/30/2010 13,039 13,488 12/31/2010 14,107 14,559 1/31/2011 13,954 14,522 2/28/2011 14,773 15,318 3/31/2011 15,253 15,715 4/30/2011 15,509 16,130 5/31/2011 15,212 15,828 6/30/2011 14,884 15,463 7/31/2011 14,484 14,904 8/31/2011 13,190 13,607 9/30/2011 11,795 12,082 10/31/2011 13,615 13,910 11/30/2011 13,533 13,860 12/31/2011 13,649 13,951 1/31/2012 14,598 14,937 2/29/2012 14,877 15,294 3/31/2012 15,321 15,686 4/30/2012 15,104 15,444 5/31/2012 14,051 14,422 6/30/2012 14,771 15,141 7/31/2012 14,636 14,932 8/31/2012 15,092 15,430 9/30/2012 15,725 15,937 10/31/2012 15,403 15,591 11/30/2012 15,548 15,674 12/31/2012 16,139 16,232 1/31/2013 17,056 17,248 2/28/2013 17,244 17,438 3/31/2013 18,084 18,244 4/30/2013 17,940 18,177 5/31/2013 18,869 18,903 6/30/2013 18,955 18,806 7/31/2013 20,360 20,123 8/31/2013 19,652 19,483 9/30/2013 21,038 20,726 10/31/2013 21,770 21,248 11/30/2013 22,978 22,099 12/31/2013 23,411 22,534 1/31/2014 22,375 21,910 2/28/2014 23,318 22,942 3/31/2014 23,545 22,786 4/30/2014 22,742 21,902 5/31/2014 22,765 22,078 6/30/2014 23,753 23,252 Past performance is not predictive of 7/31/2014 22,365 21,845 future performance. 8/31/2014 23,380 22,928 The returns shown do not reflect the 9/30/2014 22,048 21,541 deduction of taxes that a shareholder 10/31/2014 23,485 22,961 would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------------- Investment Group 1995-2014, all rights 7.88% 19.31% 8.91% 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 October 31, 2004-October 31, 2014 [CHART] DFA Real Estate Dow Jones U.S. Select Securities Portfolio S&P 500/R/ Index REIT Index ----------------------- ---------------- ---------------------- 10/31/2004 $10,000 $10,000 $10,000 11/30/2004 10,435 10,405 10,445 12/31/2004 10,958 10,759 10,987 1/31/2005 10,041 10,496 10,018 2/28/2005 10,356 10,717 10,341 3/31/2005 10,198 10,527 10,185 4/30/2005 10,777 10,328 10,796 5/31/2005 11,130 10,656 11,154 6/30/2005 11,699 10,672 11,735 7/31/2005 12,550 11,069 12,630 8/31/2005 12,081 10,968 12,145 9/30/2005 12,138 11,056 12,198 10/31/2005 11,863 10,872 11,939 11/30/2005 12,398 11,283 12,493 12/31/2005 12,399 11,287 12,506 1/31/2006 13,352 11,586 13,486 2/28/2006 13,605 11,618 13,775 3/31/2006 14,309 11,762 14,480 4/30/2006 13,768 11,920 13,932 5/31/2006 13,357 11,577 13,546 6/30/2006 14,095 11,593 14,317 7/31/2006 14,579 11,664 14,825 8/31/2006 15,092 11,942 15,323 9/30/2006 15,394 12,250 15,622 10/31/2006 16,359 12,649 16,606 11/30/2006 17,137 12,889 17,398 12/31/2006 16,772 13,070 17,004 1/31/2007 18,224 13,268 18,519 2/28/2007 17,800 13,008 18,104 3/31/2007 17,358 13,154 17,640 4/30/2007 17,342 13,737 17,633 5/31/2007 17,342 14,216 17,645 6/30/2007 15,715 13,980 15,988 7/31/2007 14,478 13,546 14,734 8/31/2007 15,354 13,749 15,605 9/30/2007 15,954 14,264 16,215 10/31/2007 16,135 14,490 16,401 11/30/2007 14,489 13,885 14,807 12/31/2007 13,640 13,788 14,019 1/31/2008 13,646 12,961 13,952 2/29/2008 13,128 12,540 13,426 3/31/2008 13,953 12,486 14,319 4/30/2008 14,776 13,094 15,202 5/31/2008 14,805 13,264 15,236 6/30/2008 13,180 12,146 13,548 7/31/2008 13,562 12,044 13,939 8/31/2008 13,897 12,218 14,255 9/30/2008 13,868 11,129 14,195 10/31/2008 9,496 9,260 9,598 11/30/2008 7,298 8,596 7,242 12/31/2008 8,544 8,687 8,524 1/31/2009 7,027 7,955 6,983 2/28/2009 5,554 7,108 5,457 3/31/2009 5,750 7,730 5,633 4/30/2009 7,550 8,470 7,480 5/31/2009 7,747 8,944 7,672 6/30/2009 7,507 8,962 7,404 7/31/2009 8,294 9,640 8,175 8/31/2009 9,416 9,988 9,372 9/30/2009 10,047 10,360 10,028 10/31/2009 9,589 10,168 9,574 11/30/2009 10,247 10,778 10,233 12/31/2009 10,951 10,986 10,949 1/31/2010 10,379 10,591 10,323 2/28/2010 10,951 10,919 10,909 3/31/2010 12,064 11,578 12,024 4/30/2010 12,913 11,760 12,874 5/31/2010 12,224 10,821 12,180 6/30/2010 11,590 10,255 11,527 7/31/2010 12,734 10,973 12,667 8/31/2010 12,573 10,478 12,497 9/30/2010 13,118 11,413 13,051 10/31/2010 13,732 11,847 13,655 11/30/2010 13,461 11,849 13,389 12/31/2010 14,090 12,641 14,023 1/31/2011 14,587 12,940 14,521 2/28/2011 15,247 13,384 15,184 3/31/2011 15,018 13,389 14,962 4/30/2011 15,887 13,786 15,849 5/31/2011 16,103 13,629 16,095 6/30/2011 15,573 13,402 15,556 7/31/2011 15,829 13,130 15,839 8/31/2011 14,977 12,417 14,971 9/30/2011 13,332 11,544 13,294 10/31/2011 15,255 12,805 15,248 11/30/2011 14,677 12,777 14,648 12/31/2011 15,351 12,908 15,337 1/31/2012 16,322 13,486 16,323 2/29/2012 16,149 14,069 16,141 3/31/2012 16,980 14,532 16,986 4/30/2012 17,466 14,441 17,497 5/31/2012 16,668 13,573 16,699 6/30/2012 17,608 14,132 17,623 7/31/2012 17,955 14,329 17,958 8/31/2012 17,929 14,652 17,910 9/30/2012 17,594 15,030 17,557 10/31/2012 17,459 14,753 17,396 11/30/2012 17,398 14,838 17,310 12/31/2012 18,036 14,973 17,963 1/31/2013 18,672 15,749 18,572 2/28/2013 18,878 15,963 18,727 3/31/2013 19,398 16,561 19,226 4/30/2013 20,708 16,881 20,549 5/31/2013 19,473 17,275 19,318 6/30/2013 19,109 17,043 18,978 7/31/2013 19,276 17,911 19,124 8/31/2013 17,919 17,392 17,813 9/30/2013 18,477 17,937 18,381 10/31/2013 19,253 18,762 19,130 11/30/2013 18,227 19,334 18,080 12/31/2013 18,286 19,823 18,181 1/31/2014 19,062 19,138 18,919 2/28/2014 20,028 20,013 19,888 3/31/2014 20,158 20,181 20,062 4/30/2014 20,888 20,331 20,800 Past performance is not predictive of 5/31/2014 21,383 20,808 21,313 future performance. 6/30/2014 21,606 21,238 21,497 The returns shown do not reflect the 7/31/2014 21,620 20,945 21,541 deduction of taxes that a shareholder 8/31/2014 22,234 21,783 22,141 would pay on fund distributions or the 9/30/2014 20,898 21,477 20,852 redemption of fund shares. 10/31/2014 23,066 22,002 23,088 The S&P data are provided by Average Annual One Five Ten Standard & Poor's Index Services Group. Total Return Year Years Years Dow Jones data provided by Dow Jones ---------------------------------------------------------------- Indexes. The S&P data are provided by 19.80% 19.19% 8.72% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Large Cap International MSCI World ex USA Portfolio Index (net dividends) ------------------------------- -------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,633 10,665 12/31/2004 11,114 11,116 1/31/2005 10,915 10,897 2/28/2005 11,337 11,382 3/31/2005 11,070 11,123 4/30/2005 10,846 10,840 5/31/2005 10,778 10,859 6/30/2005 10,933 11,037 7/31/2005 11,266 11,393 8/31/2005 11,680 11,708 9/30/2005 12,068 12,242 10/31/2005 11,803 11,847 11/30/2005 11,986 12,160 12/31/2005 12,611 12,724 1/31/2006 13,348 13,529 2/28/2006 13,259 13,483 3/31/2006 13,748 13,911 4/30/2006 14,415 14,576 5/31/2006 13,894 14,022 6/30/2006 13,839 14,004 7/31/2006 13,987 14,136 8/31/2006 14,355 14,537 9/30/2006 14,349 14,526 10/31/2006 14,900 15,100 11/30/2006 15,341 15,549 12/31/2006 15,746 15,995 1/31/2007 15,948 16,093 2/28/2007 15,994 16,222 3/31/2007 16,436 16,637 4/30/2007 17,016 17,394 5/31/2007 17,545 17,781 6/30/2007 17,512 17,798 7/31/2007 17,182 17,552 8/31/2007 17,063 17,298 9/30/2007 17,999 18,281 10/31/2007 18,802 19,076 11/30/2007 18,131 18,330 12/31/2007 17,708 17,985 1/31/2008 16,367 16,364 2/29/2008 16,353 16,660 3/31/2008 16,296 16,422 4/30/2008 17,158 17,335 5/31/2008 17,518 17,598 6/30/2008 16,123 16,230 7/31/2008 15,536 15,652 8/31/2008 14,873 15,047 9/30/2008 13,064 12,874 10/31/2008 10,310 10,196 11/30/2008 9,690 9,643 12/31/2008 10,369 10,152 1/31/2009 9,205 9,204 2/28/2009 8,279 8,273 3/31/2009 8,915 8,818 4/30/2009 9,929 9,955 5/31/2009 11,317 11,214 6/30/2009 11,160 11,098 7/31/2009 12,231 12,140 8/31/2009 12,710 12,722 9/30/2009 13,252 13,247 10/31/2009 12,908 13,034 11/30/2009 13,388 13,356 12/31/2009 13,546 13,569 1/31/2010 12,846 12,933 2/28/2010 12,932 12,920 3/31/2010 13,747 13,752 4/30/2010 13,479 13,547 5/31/2010 12,010 12,052 6/30/2010 11,815 11,878 7/31/2010 13,034 12,976 8/31/2010 12,586 12,588 9/30/2010 13,825 13,795 10/31/2010 14,326 14,287 11/30/2010 13,699 13,682 12/31/2010 14,800 14,783 1/31/2011 15,134 15,102 2/28/2011 15,729 15,662 3/31/2011 15,368 15,348 4/30/2011 16,248 16,184 5/31/2011 15,786 15,704 6/30/2011 15,562 15,480 7/31/2011 15,245 15,225 8/31/2011 13,966 13,938 9/30/2011 12,428 12,538 10/31/2011 13,631 13,758 11/30/2011 13,288 13,122 12/31/2011 12,983 12,979 1/31/2012 13,766 13,679 2/29/2012 14,435 14,431 3/31/2012 14,409 14,325 4/30/2012 14,132 14,081 5/31/2012 12,568 12,476 6/30/2012 13,400 13,294 7/31/2012 13,440 13,459 8/31/2012 13,894 13,843 9/30/2012 14,308 14,263 10/31/2012 14,434 14,363 11/30/2012 14,725 14,665 12/31/2012 15,287 15,109 1/31/2013 15,907 15,852 2/28/2013 15,692 15,694 3/31/2013 15,906 15,818 4/30/2013 16,590 16,539 5/31/2013 16,153 16,168 6/30/2013 15,678 15,563 7/31/2013 16,543 16,391 8/31/2013 16,301 16,180 9/30/2013 17,452 17,323 10/31/2013 18,020 17,904 11/30/2013 18,118 18,014 12/31/2013 18,450 18,285 1/31/2014 17,625 17,547 2/28/2014 18,663 18,505 3/31/2014 18,611 18,422 4/30/2014 18,915 18,712 5/31/2014 19,179 19,002 6/30/2014 19,444 19,272 7/31/2014 18,993 18,928 Past performance is not predictive of 8/31/2014 19,077 18,943 future performance. 9/30/2014 18,264 18,165 The returns shown do not reflect the 10/31/2014 18,105 17,877 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.47% 7.00% 6.12% 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, 2014 [CHART] International Core Equity MSCI World ex USA 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 11/30/2013 15,858 14,966 12/31/2013 16,190 15,191 1/31/2014 15,646 14,578 2/28/2014 16,569 15,374 3/31/2014 16,534 15,305 4/30/2014 16,725 15,546 5/31/2014 16,903 15,787 6/30/2014 17,167 16,011 7/31/2014 16,704 15,725 Past performance is not predictive of 8/31/2014 16,768 15,738 future performance. 9/30/2014 15,928 15,092 The returns shown do not reflect the 10/31/2014 15,696 14,852 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ------------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.55% 7.37% 5.06% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] International Small Company MSCI World ex USA Small Portfolio Cap Index (net dividends) ------------------------------- ------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,721 10,800 12/31/2004 11,227 11,303 1/31/2005 11,493 11,477 2/28/2005 12,002 11,965 3/31/2005 11,790 11,770 4/30/2005 11,509 11,439 5/31/2005 11,313 11,466 6/30/2005 11,598 11,770 7/31/2005 12,017 12,281 8/31/2005 12,547 12,658 9/30/2005 12,846 13,171 10/31/2005 12,592 12,691 11/30/2005 12,838 13,114 12/31/2005 13,692 14,134 1/31/2006 14,638 15,141 2/28/2006 14,546 14,951 3/31/2006 15,216 15,654 4/30/2006 15,936 16,383 5/31/2006 15,132 15,477 6/30/2006 14,842 15,101 7/31/2006 14,681 14,732 8/31/2006 15,070 15,162 9/30/2006 15,181 15,122 10/31/2006 15,784 15,722 11/30/2006 16,498 16,398 12/31/2006 17,098 16,884 1/31/2007 17,576 17,228 2/28/2007 17,824 17,530 3/31/2007 18,491 18,112 4/30/2007 19,103 18,810 5/31/2007 19,493 19,088 6/30/2007 19,461 19,046 7/31/2007 19,470 18,929 8/31/2007 18,719 17,931 9/30/2007 19,130 18,336 10/31/2007 20,163 19,574 11/30/2007 18,690 17,964 12/31/2007 18,066 17,438 1/31/2008 16,692 15,748 2/29/2008 17,114 16,496 3/31/2008 17,137 16,313 4/30/2008 17,503 16,710 5/31/2008 17,965 17,048 6/30/2008 16,635 15,732 7/31/2008 15,835 14,938 8/31/2008 15,210 14,386 9/30/2008 12,904 11,855 10/31/2008 9,882 8,929 11/30/2008 9,371 8,496 12/31/2008 10,140 9,063 1/31/2009 9,339 8,536 2/28/2009 8,488 7,757 3/31/2009 9,050 8,255 4/30/2009 10,249 9,527 5/31/2009 11,776 10,937 6/30/2009 11,899 11,069 7/31/2009 12,792 11,958 8/31/2009 13,604 12,880 9/30/2009 14,327 13,604 10/31/2009 14,066 13,394 11/30/2009 14,257 13,498 12/31/2009 14,395 13,669 1/31/2010 14,173 13,489 2/28/2010 14,152 13,412 3/31/2010 15,163 14,409 4/30/2010 15,396 14,693 5/31/2010 13,574 12,928 6/30/2010 13,542 12,807 7/31/2010 14,780 13,905 8/31/2010 14,340 13,544 9/30/2010 15,917 15,080 10/31/2010 16,542 15,702 11/30/2010 16,081 15,290 12/31/2010 17,837 17,019 1/31/2011 18,055 17,108 2/28/2011 18,606 17,595 3/31/2011 18,577 17,578 4/30/2011 19,460 18,450 5/31/2011 18,919 17,939 6/30/2011 18,535 17,551 7/31/2011 18,357 17,455 8/31/2011 16,918 16,076 9/30/2011 14,919 14,231 10/31/2011 16,059 15,386 11/30/2011 15,552 14,613 12/31/2011 15,100 14,329 1/31/2012 16,387 15,512 2/29/2012 17,216 16,391 3/31/2012 17,283 16,282 4/30/2012 17,076 16,197 5/31/2012 15,089 14,294 6/30/2012 15,678 14,787 7/31/2012 15,634 14,901 8/31/2012 16,176 15,329 9/30/2012 16,851 16,056 10/31/2012 16,962 16,134 11/30/2012 17,107 16,217 12/31/2012 17,947 16,833 1/31/2013 18,736 17,643 2/28/2013 18,724 17,706 3/31/2013 19,065 18,051 4/30/2013 19,572 18,575 5/31/2013 19,143 18,139 6/30/2013 18,636 17,422 7/31/2013 19,869 18,511 8/31/2013 19,801 18,478 9/30/2013 21,431 20,029 10/31/2013 22,163 20,621 11/30/2013 22,265 20,648 12/31/2013 22,872 21,134 1/31/2014 22,468 20,769 2/28/2014 23,872 21,946 3/31/2014 23,837 21,864 4/30/2014 23,849 21,796 5/31/2014 24,003 22,069 6/30/2014 24,447 22,570 7/31/2014 23,669 21,985 Past performance is not predictive of 8/31/2014 23,825 22,039 future performance. 9/30/2014 22,377 20,704 The returns shown do not reflect the 10/31/2014 21,920 20,180 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.09% 9.28% 8.16% 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, 2004-October 31, 2014 [CHART] Japanese Small Company MSCI Japan Small Cap Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,310 10,435 12/31/2004 10,802 10,940 1/31/2005 11,234 11,312 2/28/2005 11,644 11,529 3/31/2005 11,712 11,502 4/30/2005 11,391 11,408 5/31/2005 11,190 11,198 6/30/2005 11,400 11,350 7/31/2005 11,639 11,671 8/31/2005 12,273 12,072 9/30/2005 12,774 12,826 10/31/2005 13,162 13,082 11/30/2005 13,416 13,642 12/31/2005 14,938 15,486 1/31/2006 15,569 15,980 2/28/2006 14,630 14,939 3/31/2006 15,276 15,610 4/30/2006 15,569 15,687 5/31/2006 14,465 14,429 6/30/2006 13,910 13,977 7/31/2006 13,246 13,053 8/31/2006 13,457 13,400 9/30/2006 13,218 13,107 10/31/2006 13,113 13,023 11/30/2006 13,022 12,913 12/31/2006 13,135 12,988 1/31/2007 13,401 13,241 2/28/2007 13,941 13,763 3/31/2007 13,827 13,636 4/30/2007 13,637 13,403 5/31/2007 13,356 13,083 6/30/2007 13,571 13,169 7/31/2007 13,640 13,166 8/31/2007 13,066 12,364 9/30/2007 13,047 12,289 10/31/2007 13,131 12,733 11/30/2007 12,825 12,198 12/31/2007 12,015 11,468 1/31/2008 11,683 10,905 2/29/2008 11,583 11,024 3/31/2008 11,810 11,028 4/30/2008 11,895 11,165 5/31/2008 12,327 11,509 6/30/2008 11,742 10,802 7/31/2008 11,415 10,449 8/31/2008 10,783 9,987 9/30/2008 10,075 9,012 10/31/2008 9,341 8,061 11/30/2008 9,583 8,390 12/31/2008 10,559 9,043 1/31/2009 9,834 8,569 2/28/2009 8,549 7,443 3/31/2009 8,946 7,705 4/30/2009 9,300 8,099 5/31/2009 10,444 9,091 6/30/2009 11,135 9,669 7/31/2009 11,366 9,911 8/31/2009 11,963 10,467 9/30/2009 11,834 10,425 10/31/2009 11,404 10,044 11/30/2009 10,942 9,685 12/31/2009 10,897 9,504 1/31/2010 11,041 9,709 2/28/2010 11,250 9,893 3/31/2010 11,821 10,343 4/30/2010 12,167 10,623 5/31/2010 11,147 9,886 6/30/2010 11,319 9,930 7/31/2010 11,514 10,051 8/31/2010 11,198 9,838 9/30/2010 11,693 10,240 10/31/2010 11,442 10,156 11/30/2010 11,725 10,354 12/31/2010 12,804 11,398 1/31/2011 13,089 11,534 2/28/2011 13,692 11,998 3/31/2011 12,837 11,258 4/30/2011 12,771 11,268 5/31/2011 12,559 11,100 6/30/2011 13,184 11,514 7/31/2011 13,661 11,992 8/31/2011 13,291 11,502 9/30/2011 13,219 11,512 10/31/2011 12,536 11,088 11/30/2011 12,742 10,787 12/31/2011 12,675 10,955 1/31/2012 13,471 11,405 2/29/2012 13,487 11,529 3/31/2012 13,869 11,837 4/30/2012 13,579 11,666 5/31/2012 12,442 10,697 6/30/2012 13,101 11,153 7/31/2012 12,657 10,979 8/31/2012 12,657 10,916 9/30/2012 12,838 11,218 10/31/2012 12,562 10,975 11/30/2012 12,738 11,051 12/31/2012 13,202 11,395 1/31/2013 13,616 11,821 2/28/2013 13,946 12,222 3/31/2013 15,011 13,209 4/30/2013 15,805 14,078 5/31/2013 14,512 12,963 6/30/2013 14,639 12,927 7/31/2013 14,986 13,138 8/31/2013 14,648 12,960 9/30/2013 16,296 14,436 10/31/2013 16,338 14,377 11/30/2013 16,211 14,282 12/31/2013 16,326 14,396 1/31/2014 16,152 14,355 2/28/2014 16,082 14,036 3/31/2014 16,161 14,072 4/30/2014 15,917 13,811 5/31/2014 16,326 14,263 6/30/2014 17,475 15,273 7/31/2014 17,362 15,355 8/31/2014 17,527 15,246 9/30/2014 16,979 14,736 10/31/2014 16,665 14,342 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 2.00% 7.88% 5.24% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ASIA PACIFIC SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Asia Pacific Small Company MSCI Pacific ex Japan Small Cap Portfolio Index (net dividends) ------------------------------- -------------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,723 10,770 12/31/2004 10,964 11,225 1/31/2005 11,213 11,323 2/28/2005 11,529 11,683 3/31/2005 11,137 11,351 4/30/2005 10,761 11,167 5/31/2005 10,512 11,310 6/30/2005 10,985 11,928 7/31/2005 11,349 12,425 8/31/2005 11,645 12,415 9/30/2005 12,071 13,041 10/31/2005 11,384 12,275 11/30/2005 11,667 12,741 12/31/2005 11,841 12,991 1/31/2006 12,638 13,734 2/28/2006 12,817 13,872 3/31/2006 13,465 14,460 4/30/2006 14,231 15,392 5/31/2006 13,426 14,606 6/30/2006 13,333 14,428 7/31/2006 13,585 14,576 8/31/2006 13,916 15,052 9/30/2006 14,056 15,301 10/31/2006 15,205 16,368 11/30/2006 16,044 17,362 12/31/2006 16,496 18,010 1/31/2007 16,924 18,468 2/28/2007 17,368 18,820 3/31/2007 18,272 19,791 4/30/2007 19,548 21,163 5/31/2007 21,212 21,994 6/30/2007 22,077 22,566 7/31/2007 22,419 22,560 8/31/2007 20,734 21,108 9/30/2007 23,161 22,981 10/31/2007 25,182 24,552 11/30/2007 23,513 22,580 12/31/2007 23,103 22,269 1/31/2008 20,775 19,285 2/29/2008 21,405 20,431 3/31/2008 20,365 19,142 4/30/2008 21,781 20,423 5/31/2008 22,730 20,643 6/30/2008 20,484 18,333 7/31/2008 19,273 17,490 8/31/2008 17,918 16,070 9/30/2008 14,839 12,933 10/31/2008 9,898 8,365 11/30/2008 8,949 7,452 12/31/2008 9,925 8,318 1/31/2009 8,697 7,402 2/28/2009 8,218 6,942 3/31/2009 9,492 7,937 4/30/2009 10,906 9,358 5/31/2009 13,724 11,602 6/30/2009 13,823 11,928 7/31/2009 15,814 13,651 8/31/2009 16,536 14,352 9/30/2009 17,819 15,554 10/31/2009 18,208 15,927 11/30/2009 19,057 16,385 12/31/2009 19,555 17,040 1/31/2010 18,491 15,950 2/28/2010 18,813 16,150 3/31/2010 20,360 17,481 4/30/2010 20,629 17,970 5/31/2010 17,770 15,257 6/30/2010 17,547 15,170 7/31/2010 19,489 16,713 8/31/2010 19,462 16,676 9/30/2010 22,414 19,180 10/31/2010 23,371 20,031 11/30/2010 23,052 19,764 12/31/2010 25,307 21,758 1/31/2011 24,760 21,126 2/28/2011 24,911 21,241 3/31/2011 25,434 21,893 4/30/2011 26,502 22,779 5/31/2011 25,717 22,257 6/30/2011 24,843 21,466 7/31/2011 25,244 21,783 8/31/2011 23,477 20,268 9/30/2011 19,095 16,583 10/31/2011 22,065 19,299 11/30/2011 21,471 17,983 12/31/2011 20,214 17,407 1/31/2012 22,298 19,214 2/29/2012 23,983 20,708 3/31/2012 23,624 20,060 4/30/2012 23,524 20,168 5/31/2012 20,586 17,550 6/30/2012 21,013 17,796 7/31/2012 21,317 18,381 8/31/2012 22,025 18,675 9/30/2012 23,109 19,668 10/31/2012 23,628 20,074 11/30/2012 23,954 20,272 12/31/2012 25,070 20,781 1/31/2013 26,321 21,882 2/28/2013 26,426 22,142 3/31/2013 26,542 22,197 4/30/2013 26,090 22,021 5/31/2013 24,144 20,400 6/30/2013 22,441 18,656 7/31/2013 23,534 19,402 8/31/2013 23,713 19,570 9/30/2013 25,375 21,075 10/31/2013 26,100 21,445 11/30/2013 25,175 20,539 12/31/2013 25,483 20,636 1/31/2014 24,276 19,680 2/28/2014 25,670 20,739 3/31/2014 26,042 21,122 4/30/2014 26,097 21,260 5/31/2014 26,119 21,434 6/30/2014 26,306 21,550 7/31/2014 26,854 22,019 8/31/2014 27,271 22,189 9/30/2014 24,748 20,150 10/31/2014 25,099 20,388 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------------------- MSCI data copyright MSCI 2014, all -3.84% 6.63% 9.64% 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, 2004-October 31, 2014 [CHART] United Kingdom Small Company MSCI UK Small Cap Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,801 10,809 12/31/2004 11,245 11,432 1/31/2005 11,560 11,689 2/28/2005 11,952 11,965 3/31/2005 11,679 11,816 4/30/2005 11,281 11,282 5/31/2005 11,057 11,182 6/30/2005 11,257 11,354 7/31/2005 11,476 11,691 8/31/2005 12,121 12,257 9/30/2005 11,977 12,278 10/31/2005 11,637 11,904 11/30/2005 12,134 12,499 12/31/2005 12,665 13,039 1/31/2006 13,651 14,100 2/28/2006 13,835 14,321 3/31/2006 14,061 14,611 4/30/2006 14,764 15,384 5/31/2006 14,460 15,043 6/30/2006 14,442 14,915 7/31/2006 14,542 14,799 8/31/2006 15,149 15,332 9/30/2006 15,586 15,781 10/31/2006 16,462 16,685 11/30/2006 17,491 17,766 12/31/2006 18,440 18,600 1/31/2007 18,558 18,557 2/28/2007 18,553 18,615 3/31/2007 19,414 19,385 4/30/2007 20,078 20,347 5/31/2007 20,342 20,477 6/30/2007 19,591 19,881 7/31/2007 19,478 19,770 8/31/2007 19,359 19,045 9/30/2007 18,685 17,966 10/31/2007 20,172 19,940 11/30/2007 17,830 17,633 12/31/2007 16,885 16,747 1/31/2008 15,745 15,400 2/29/2008 15,967 15,922 3/31/2008 15,901 15,721 4/30/2008 16,165 16,014 5/31/2008 16,207 16,090 6/30/2008 14,912 14,990 7/31/2008 14,383 14,392 8/31/2008 14,140 14,015 9/30/2008 11,953 11,438 10/31/2008 8,743 8,264 11/30/2008 8,118 7,498 12/31/2008 7,932 7,308 1/31/2009 7,741 7,267 2/28/2009 7,419 7,027 3/31/2009 7,737 7,434 4/30/2009 9,355 9,142 5/31/2009 10,310 10,107 6/30/2009 10,354 10,179 7/31/2009 11,251 11,115 8/31/2009 12,122 12,187 9/30/2009 12,473 12,468 10/31/2009 12,486 12,486 11/30/2009 12,442 12,356 12/31/2009 12,698 12,661 1/31/2010 12,571 12,603 2/28/2010 12,139 12,038 3/31/2010 13,151 13,099 4/30/2010 13,628 13,622 5/31/2010 12,081 11,985 6/30/2010 12,310 12,036 7/31/2010 13,967 13,484 8/31/2010 13,447 13,118 9/30/2010 14,878 14,563 10/31/2010 15,653 15,184 11/30/2010 14,878 14,552 12/31/2010 16,390 16,074 1/31/2011 16,625 16,230 2/28/2011 17,120 16,658 3/31/2011 16,794 16,370 4/30/2011 18,277 17,871 5/31/2011 18,159 17,645 6/30/2011 17,579 17,050 7/31/2011 17,454 17,003 8/31/2011 15,707 15,269 9/30/2011 14,118 13,659 10/31/2011 15,609 15,151 11/30/2011 15,130 14,563 12/31/2011 14,654 14,077 1/31/2012 15,942 15,505 2/29/2012 17,244 16,945 3/31/2012 17,608 17,001 4/30/2012 17,907 17,290 5/31/2012 15,884 15,148 6/30/2012 16,656 15,869 7/31/2012 16,931 16,158 8/31/2012 17,853 17,014 9/30/2012 18,765 17,922 10/31/2012 19,172 18,293 11/30/2012 19,289 18,299 12/31/2012 20,343 19,141 1/31/2013 20,699 19,644 2/28/2013 20,880 19,755 3/31/2013 21,498 20,287 4/30/2013 22,035 20,794 5/31/2013 22,231 21,075 6/30/2013 21,740 20,315 7/31/2013 23,570 22,008 8/31/2013 23,733 22,309 9/30/2013 25,329 23,983 10/31/2013 26,230 24,827 11/30/2013 26,819 25,412 12/31/2013 28,290 26,640 1/31/2014 27,613 26,073 2/28/2014 30,080 28,602 3/31/2014 29,149 27,570 4/30/2014 28,661 26,911 5/31/2014 28,625 26,963 6/30/2014 28,591 26,899 7/31/2014 27,692 26,139 Past performance is not predictive of 8/31/2014 28,102 26,414 future performance. 9/30/2014 26,496 24,864 The returns shown do not reflect the 10/31/2014 26,423 24,705 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.73% 16.17% 10.20% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Continental Small Company MSCI Europe ex UK Portfolio Small Cap Index (net dividends) ------------------------------- ------------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,066 11,110 12/31/2004 11,634 11,665 1/31/2005 11,799 11,796 2/28/2005 12,548 12,623 3/31/2005 12,202 12,300 4/30/2005 11,873 11,938 5/31/2005 11,898 12,108 6/30/2005 12,220 12,496 7/31/2005 12,973 13,353 8/31/2005 13,404 13,732 9/30/2005 13,743 14,201 10/31/2005 13,062 13,221 11/30/2005 13,104 13,390 12/31/2005 13,775 14,166 1/31/2006 15,096 15,746 2/28/2006 15,521 16,191 3/31/2006 16,518 17,237 4/30/2006 17,655 18,458 5/31/2006 16,795 17,510 6/30/2006 16,484 17,111 7/31/2006 16,438 16,923 8/31/2006 16,867 17,322 9/30/2006 17,086 17,503 10/31/2006 17,938 18,439 11/30/2006 19,175 19,729 12/31/2006 20,087 20,660 1/31/2007 21,013 21,321 2/28/2007 21,032 21,413 3/31/2007 22,258 22,551 4/30/2007 23,425 23,916 5/31/2007 23,869 24,333 6/30/2007 23,601 24,101 7/31/2007 23,465 23,924 8/31/2007 22,619 22,841 9/30/2007 23,116 23,296 10/31/2007 24,230 24,690 11/30/2007 22,432 22,923 12/31/2007 21,984 22,459 1/31/2008 19,887 19,754 2/29/2008 20,736 20,950 3/31/2008 21,390 21,376 4/30/2008 21,635 21,741 5/31/2008 22,045 22,079 6/30/2008 20,179 20,039 7/31/2008 19,107 18,901 8/31/2008 18,577 18,385 9/30/2008 15,338 14,578 10/31/2008 11,242 10,477 11/30/2008 10,362 9,608 12/31/2008 11,442 10,496 1/31/2009 10,141 9,553 2/28/2009 9,260 8,712 3/31/2009 9,926 9,386 4/30/2009 11,542 11,340 5/31/2009 13,220 13,032 6/30/2009 13,050 12,865 7/31/2009 14,085 14,020 8/31/2009 15,258 15,459 9/30/2009 16,561 16,941 10/31/2009 16,089 16,479 11/30/2009 16,571 16,817 12/31/2009 16,514 16,893 1/31/2010 16,234 16,668 2/28/2010 15,890 16,193 3/31/2010 17,062 17,507 4/30/2010 16,901 17,396 5/31/2010 14,493 14,705 6/30/2010 14,391 14,485 7/31/2010 16,114 16,221 8/31/2010 15,372 15,450 9/30/2010 17,496 17,834 10/31/2010 18,479 18,978 11/30/2010 17,038 17,540 12/31/2010 19,251 19,996 1/31/2011 19,788 20,448 2/28/2011 20,118 20,795 3/31/2011 20,798 21,497 4/30/2011 22,192 22,998 5/31/2011 21,435 22,121 6/30/2011 20,738 21,407 7/31/2011 19,557 20,107 8/31/2011 17,553 18,007 9/30/2011 14,893 15,302 10/31/2011 16,429 16,978 11/30/2011 15,330 15,652 12/31/2011 14,731 15,120 1/31/2012 16,126 16,619 2/29/2012 17,149 17,895 3/31/2012 17,183 17,750 4/30/2012 16,778 17,454 5/31/2012 14,482 15,060 6/30/2012 15,104 15,802 7/31/2012 14,955 15,746 8/31/2012 15,622 16,433 9/30/2012 16,444 17,317 10/31/2012 16,732 17,616 11/30/2012 16,940 17,885 12/31/2012 17,962 18,850 1/31/2013 19,318 20,385 2/28/2013 19,121 20,323 3/31/2013 18,692 19,800 4/30/2013 19,445 20,569 5/31/2013 19,805 21,036 6/30/2013 19,143 20,100 7/31/2013 20,805 21,928 8/31/2013 20,828 21,887 9/30/2013 22,638 23,759 10/31/2013 23,925 25,189 11/30/2013 24,350 25,637 12/31/2013 25,027 26,302 1/31/2014 24,873 26,085 2/28/2014 27,051 28,365 3/31/2014 27,181 28,388 4/30/2014 27,429 28,507 5/31/2014 27,536 28,828 6/30/2014 27,291 28,546 7/31/2014 25,682 26,863 Past performance is not predictive of 8/31/2014 25,370 26,647 future performance. 9/30/2014 24,006 25,178 The returns shown do not reflect the 10/31/2014 23,284 24,356 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------------------- MSCI data copyright MSCI 2014, all -2.68% 7.67% 8.82% 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, 2014 [CHART] DFA International Real Estate Securities S&P Global ex U.S. Portfolio 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 8/31/2013 8,162 8,091 9/30/2013 8,861 8,784 10/31/2013 9,128 9,045 11/30/2013 8,845 8,764 12/31/2013 8,807 8,696 1/31/2014 8,649 8,539 2/28/2014 9,158 9,013 3/31/2014 9,140 8,980 4/30/2014 9,526 9,339 5/31/2014 9,807 9,618 6/30/2014 10,018 9,863 7/31/2014 10,000 9,879 Past performance is not predictive of 8/31/2014 10,175 10,042 future performance. 9/30/2014 9,509 9,368 The returns shown do not reflect the 10/31/2014 9,877 9,661 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------------------------------- The S&P data are provided by 8.21% 11.37% -0.16% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL REIT INDEX (NET DIVIDENDS) June 4, 2008-October 31, 2014 [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 8/31/2013 11,316 10,573 9/30/2013 11,908 11,121 10/31/2013 12,346 11,548 11/30/2013 11,805 11,041 12/31/2013 11,804 11,010 1/31/2014 12,005 11,195 2/28/2014 12,659 11,773 3/31/2014 12,699 11,783 4/30/2014 13,180 12,205 5/31/2014 13,527 12,519 6/30/2014 13,714 12,717 7/31/2014 13,714 12,724 Past performance is not predictive of 8/31/2014 14,048 13,028 future performance. 9/30/2014 13,166 12,200 The returns shown do not reflect the 10/31/2014 14,195 13,084 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ---------------------------------------------------------------- The S&P data are provided by 14.98% 15.61% 5.62% Standard & 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, 2004-October 31, 2014 [CHART] DFA International Small Cap Value MSCI World ex USA Portfolio Small Cap Index (net dividends) --------------------------------- ------------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,875 10,800 12/31/2004 11,437 11,303 1/31/2005 11,756 11,477 2/28/2005 12,313 11,965 3/31/2005 12,197 11,770 4/30/2005 11,959 11,439 5/31/2005 11,781 11,466 6/30/2005 12,057 11,770 7/31/2005 12,516 12,281 8/31/2005 13,004 12,658 9/30/2005 13,308 13,171 10/31/2005 12,999 12,691 11/30/2005 13,240 13,114 12/31/2005 14,093 14,134 1/31/2006 15,126 15,141 2/28/2006 15,158 14,951 3/31/2006 15,881 15,654 4/30/2006 16,540 16,383 5/31/2006 15,746 15,477 6/30/2006 15,452 15,101 7/31/2006 15,396 14,732 8/31/2006 15,789 15,162 9/30/2006 15,939 15,122 10/31/2006 16,637 15,722 11/30/2006 17,441 16,398 12/31/2006 18,095 16,884 1/31/2007 18,577 17,228 2/28/2007 18,913 17,530 3/31/2007 19,735 18,112 4/30/2007 20,320 18,810 5/31/2007 20,708 19,088 6/30/2007 20,621 19,046 7/31/2007 20,569 18,929 8/31/2007 19,725 17,931 9/30/2007 20,135 18,336 10/31/2007 20,929 19,574 11/30/2007 19,228 17,964 12/31/2007 18,628 17,438 1/31/2008 17,399 15,748 2/29/2008 17,780 16,496 3/31/2008 17,945 16,313 4/30/2008 18,251 16,710 5/31/2008 18,651 17,048 6/30/2008 17,022 15,732 7/31/2008 16,266 14,938 8/31/2008 15,742 14,386 9/30/2008 13,476 11,855 10/31/2008 10,543 8,929 11/30/2008 9,959 8,496 12/31/2008 10,864 9,063 1/31/2009 9,948 8,536 2/28/2009 8,855 7,757 3/31/2009 9,432 8,255 4/30/2009 10,962 9,527 5/31/2009 12,471 10,937 6/30/2009 12,430 11,069 7/31/2009 13,587 11,958 8/31/2009 14,764 12,880 9/30/2009 15,460 13,604 10/31/2009 14,910 13,394 11/30/2009 14,980 13,498 12/31/2009 15,156 13,669 1/31/2010 14,865 13,489 2/28/2010 14,724 13,412 3/31/2010 15,920 14,409 4/30/2010 16,121 14,693 5/31/2010 13,951 12,928 6/30/2010 13,671 12,807 7/31/2010 15,000 13,905 8/31/2010 14,300 13,544 9/30/2010 15,905 15,080 10/31/2010 16,403 15,702 11/30/2010 15,936 15,290 12/31/2010 17,900 17,019 1/31/2011 18,274 17,108 2/28/2011 18,805 17,595 3/31/2011 18,899 17,578 4/30/2011 19,711 18,450 5/31/2011 19,034 17,939 6/30/2011 18,619 17,551 7/31/2011 18,261 17,455 8/31/2011 16,524 16,076 9/30/2011 14,575 14,231 10/31/2011 15,684 15,386 11/30/2011 15,177 14,613 12/31/2011 14,774 14,329 1/31/2012 16,253 15,512 2/29/2012 17,221 16,391 3/31/2012 17,243 16,282 4/30/2012 16,764 16,197 5/31/2012 14,632 14,294 6/30/2012 15,354 14,787 7/31/2012 15,310 14,901 8/31/2012 15,872 15,329 9/30/2012 16,614 16,056 10/31/2012 16,769 16,134 11/30/2012 17,001 16,217 12/31/2012 18,062 16,833 1/31/2013 18,989 17,643 2/28/2013 19,102 17,706 3/31/2013 19,490 18,051 4/30/2013 20,044 18,575 5/31/2013 19,649 18,139 6/30/2013 19,051 17,422 7/31/2013 20,471 18,511 8/31/2013 20,219 18,478 9/30/2013 22,178 20,029 10/31/2013 23,106 20,621 11/30/2013 23,140 20,648 12/31/2013 23,911 21,134 1/31/2014 23,582 20,769 2/28/2014 25,204 21,946 3/31/2014 25,368 21,864 4/30/2014 25,262 21,796 5/31/2014 25,462 22,069 6/30/2014 25,862 22,570 7/31/2014 24,954 21,985 Past performance is not predictive of 8/31/2014 25,119 22,039 future performance. 9/30/2014 23,657 20,704 The returns shown do not reflect the 10/31/2014 23,136 20,180 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.13% 9.18% 8.75% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL VECTOR EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) August 14, 2008-October 31, 2014 [CHART] International Vector MSCI World ex USA Equity Portfolio Index (net dividends) -------------------- --------------------- 8/14/2008 $10,000 $10,000 8/31/2008 10,050 10,052 9/30/2008 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 1/31/2009 6,065 6,149 2/28/2009 5,392 5,527 3/31/2009 5,903 5,891 4/30/2009 6,919 6,650 5/31/2009 7,985 7,491 6/30/2009 7,932 7,414 7/31/2009 8,715 8,110 8/31/2009 9,274 8,499 9/30/2009 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 1/31/2010 9,377 8,640 2/28/2010 9,357 8,631 3/31/2010 10,099 9,187 4/30/2010 10,120 9,050 5/31/2010 8,870 8,051 6/30/2010 8,736 7,935 7/31/2010 9,659 8,668 8/31/2010 9,254 8,409 9/30/2010 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 1/31/2011 11,660 10,089 2/28/2011 12,050 10,463 3/31/2011 11,881 10,253 4/30/2011 12,482 10,812 5/31/2011 12,071 10,491 6/30/2011 11,823 10,342 7/31/2011 11,545 10,171 8/31/2011 10,519 9,311 9/30/2011 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 1/31/2012 10,238 9,138 2/29/2012 10,780 9,641 3/31/2012 10,780 9,570 4/30/2012 10,514 9,407 5/31/2012 9,219 8,335 6/30/2012 9,745 8,881 7/31/2012 9,700 8,991 8/31/2012 10,038 9,248 9/30/2012 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 1/31/2013 11,755 10,590 2/28/2013 11,652 10,484 3/31/2013 11,784 10,567 4/30/2013 12,218 11,049 5/31/2013 11,944 10,801 6/30/2013 11,564 10,397 7/31/2013 12,305 10,950 8/31/2013 12,213 10,809 9/30/2013 13,183 11,573 10/31/2013 13,648 11,961 11/30/2013 13,682 12,034 12/31/2013 13,989 12,215 1/31/2014 13,612 11,722 2/28/2014 14,448 12,362 3/31/2014 14,414 12,306 4/30/2014 14,555 12,501 5/31/2014 14,685 12,694 6/30/2014 14,923 12,874 7/31/2014 14,493 12,645 8/31/2014 14,553 12,655 9/30/2014 13,757 12,135 Past performance is not predictive of 10/31/2014 13,505 11,942 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.05% 7.51% 4.95% 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, 2014 [CHART] World Ex U.S. MSCI All Country World Value Portfolio ex USA Index (net dividends) ------------------ ----------------------------- 8/23/2010 $10,000 $10,000 8/31/2010 9,890 9,920 9/30/2010 10,980 10,906 10/31/2010 11,350 11,278 11/30/2010 10,850 10,843 12/31/2010 11,859 11,692 1/31/2011 12,122 11,807 2/28/2011 12,385 12,118 3/31/2011 12,311 12,090 4/30/2011 12,899 12,681 5/31/2011 12,433 12,315 6/30/2011 12,238 12,136 7/31/2011 11,920 11,971 8/31/2011 10,670 10,945 9/30/2011 9,314 9,727 10/31/2011 10,261 10,752 11/30/2011 9,880 10,203 12/31/2011 9,590 10,089 1/31/2012 10,422 10,774 2/29/2012 10,984 11,379 3/31/2012 10,811 11,222 4/30/2012 10,436 11,045 5/31/2012 9,177 9,791 6/30/2012 9,755 10,369 7/31/2012 9,703 10,515 8/31/2012 10,041 10,735 9/30/2012 10,475 11,136 10/31/2012 10,538 11,179 11/30/2012 10,687 11,392 12/31/2012 11,281 11,787 1/31/2013 11,720 12,266 2/28/2013 11,442 12,137 3/31/2013 11,460 12,161 4/30/2013 11,899 12,608 5/31/2013 11,696 12,316 6/30/2013 11,154 11,782 7/31/2013 11,796 12,298 8/31/2013 11,666 12,128 9/30/2013 12,556 12,971 10/31/2013 13,026 13,447 11/30/2013 12,993 13,470 12/31/2013 13,201 13,589 1/31/2014 12,652 12,972 2/28/2014 13,289 13,623 3/31/2014 13,361 13,658 4/30/2014 13,527 13,839 5/31/2014 13,760 14,108 6/30/2014 13,969 14,345 7/31/2014 13,778 14,202 8/31/2014 13,857 14,281 9/30/2014 13,101 13,590 Past performance is not predictive of 10/31/2014 12,921 13,455 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. ------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.81% 6.31% 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, 2014 [CHART] World Ex U.S. Targeted MSCI All Country World ex USA Value Portfolio Small Cap Index (net dividends) ----------------------- ---------------------------------- 11/1/2012 $10,000 $10,000 11/30/2012 10,120 10,013 12/31/2012 10,735 10,417 1/31/2013 11,157 10,868 2/28/2013 11,147 10,925 3/31/2013 11,278 11,098 4/30/2013 11,549 11,398 5/31/2013 11,298 11,175 6/30/2013 10,766 10,607 7/31/2013 11,376 11,134 8/31/2013 11,193 11,038 9/30/2013 12,191 11,920 10/31/2013 12,690 12,289 11/30/2013 12,629 12,257 12/31/2013 12,872 12,472 1/31/2014 12,497 12,231 2/28/2014 13,185 12,888 3/31/2014 13,404 12,904 4/30/2014 13,404 12,883 5/31/2014 13,633 13,090 6/30/2014 13,888 13,374 7/31/2014 13,616 13,121 8/31/2014 13,773 13,215 Past performance is not predictive of 9/30/2014 12,908 12,464 future performance. 10/31/2014 12,698 12,170 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.06% 12.70% 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, 2014 [CHART] World Ex U.S. Core MSCI All Country World Equity Portfolio ex USA Index (net dividends) ------------------ ---------------------------- 4/9/2013 $10,000 $10,000 4/30/2013 10,160 10,415 5/31/2013 9,890 10,174 6/30/2013 9,485 9,733 7/31/2013 9,971 10,159 8/31/2013 9,830 10,019 9/30/2013 10,575 10,715 10/31/2013 10,962 11,108 11/30/2013 10,952 11,127 12/31/2013 11,104 11,225 1/31/2014 10,653 10,715 2/28/2014 11,227 11,254 3/31/2014 11,309 11,282 4/30/2014 11,422 11,431 5/31/2014 11,597 11,654 6/30/2014 11,810 11,850 7/31/2014 11,592 11,732 8/31/2014 11,706 11,797 Past performance is not predictive of 9/30/2014 11,072 11,226 future performance. 10/31/2014 10,957 11,115 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. --------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.04% 6.03% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- WORLD CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) March 7, 2012-October 31, 2014 [CHART] MSCI All Country World World Core Equity Portfolio Index (net dividends) ------------------------------- ------------------------- 3/7/2012 $10,000 $10,000 3/31/2012 10,170 10,286 4/30/2012 10,050 10,169 5/31/2012 9,400 9,257 6/30/2012 9,822 9,714 7/31/2012 9,913 9,847 8/31/2012 10,175 10,061 9/30/2012 10,465 10,378 10/31/2012 10,354 10,309 11/30/2012 10,425 10,441 12/31/2012 10,644 10,677 1/31/2013 11,175 11,169 2/28/2013 11,266 11,167 3/31/2013 11,598 11,372 4/30/2013 11,843 11,697 5/31/2013 11,986 11,664 6/30/2013 11,754 11,324 7/31/2013 12,382 11,866 8/31/2013 12,053 11,618 9/30/2013 12,609 12,219 10/31/2013 13,125 12,710 11/30/2013 13,477 12,890 12/31/2013 13,786 13,112 1/31/2014 13,260 12,587 2/28/2014 13,902 13,196 3/31/2014 14,000 13,254 4/30/2014 14,074 13,380 5/31/2014 14,359 13,665 6/30/2014 14,684 13,922 7/31/2014 14,355 13,753 8/31/2014 14,726 14,057 9/30/2014 14,116 13,601 Past performance is not predictive of 10/31/2014 14,222 13,697 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all 8.36% 14.20% rights reserved.
-------------------------------------------------------------------------------- 15 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) November 14, 2011-October 31, 2014 [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 8/31/2013 12,845 12,451 9/30/2013 13,569 13,094 10/31/2013 14,096 13,621 11/30/2013 14,324 13,813 12/31/2013 14,611 14,052 1/31/2014 14,001 13,490 2/28/2014 14,675 14,141 3/31/2014 14,847 14,204 4/30/2014 14,879 14,339 5/31/2014 15,136 14,644 6/30/2014 15,500 14,920 7/31/2014 15,200 14,739 8/31/2014 15,628 15,065 Past performance is not predictive of 9/30/2014 15,061 14,576 future performance. 10/31/2014 15,200 14,679 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 7.83% 15.19% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] MSCI Emerging Markets Emerging Markets Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,870 10,926 12/31/2004 11,566 11,450 1/31/2005 11,658 11,480 2/28/2005 12,527 12,481 3/31/2005 11,665 11,656 4/30/2005 11,384 11,343 5/31/2005 11,721 11,738 6/30/2005 12,069 12,137 7/31/2005 12,843 12,985 8/31/2005 12,921 13,097 9/30/2005 13,945 14,316 10/31/2005 13,245 13,380 11/30/2005 14,202 14,487 12/31/2005 15,020 15,343 1/31/2006 16,449 17,057 2/28/2006 16,399 17,037 3/31/2006 16,622 17,187 4/30/2006 17,612 18,411 5/31/2006 15,574 16,482 6/30/2006 15,550 16,442 7/31/2006 15,834 16,677 8/31/2006 16,329 17,102 9/30/2006 16,549 17,244 10/31/2006 17,533 18,063 11/30/2006 18,649 19,406 12/31/2006 19,400 20,280 1/31/2007 19,682 20,061 2/28/2007 19,371 19,942 3/31/2007 20,253 20,737 4/30/2007 21,538 21,697 5/31/2007 22,978 22,771 6/30/2007 23,352 23,839 7/31/2007 23,905 25,096 8/31/2007 23,486 24,563 9/30/2007 25,556 27,276 10/31/2007 28,346 30,317 11/30/2007 26,496 28,168 12/31/2007 26,388 28,267 1/31/2008 24,082 24,740 2/29/2008 24,845 26,566 3/31/2008 24,070 25,160 4/30/2008 25,781 27,202 5/31/2008 25,930 27,706 6/30/2008 23,262 24,943 7/31/2008 22,952 24,002 8/31/2008 21,585 22,085 9/30/2008 18,573 18,220 10/31/2008 13,679 13,234 11/30/2008 12,436 12,237 12/31/2008 13,405 13,192 1/31/2009 12,380 12,340 2/28/2009 11,569 11,644 3/31/2009 13,241 13,317 4/30/2009 15,197 15,533 5/31/2009 17,786 18,187 6/30/2009 17,629 17,942 7/31/2009 19,639 19,960 8/31/2009 19,706 19,888 9/30/2009 21,432 21,694 10/31/2009 20,983 21,720 11/30/2009 22,231 22,654 12/31/2009 23,026 23,548 1/31/2010 21,765 22,235 2/28/2010 22,027 22,313 3/31/2010 23,864 24,114 4/30/2010 24,000 24,407 5/31/2010 21,761 22,260 6/30/2010 21,794 22,096 7/31/2010 23,708 23,936 8/31/2010 23,153 23,471 9/30/2010 25,778 26,080 10/31/2010 26,551 26,837 11/30/2010 25,949 26,129 12/31/2010 28,049 27,993 1/31/2011 27,317 27,234 2/28/2011 27,116 26,980 3/31/2011 28,617 28,566 4/30/2011 29,614 29,452 5/31/2011 28,790 28,680 6/30/2011 28,440 28,238 7/31/2011 28,210 28,113 8/31/2011 25,919 25,601 9/30/2011 21,995 21,868 10/31/2011 24,740 24,765 11/30/2011 23,869 23,114 12/31/2011 23,165 22,836 1/31/2012 25,650 25,426 2/29/2012 27,034 26,949 3/31/2012 26,322 26,049 4/30/2012 25,845 25,738 5/31/2012 23,058 22,852 6/30/2012 24,185 23,734 7/31/2012 24,381 24,197 8/31/2012 24,528 24,116 9/30/2012 25,898 25,571 10/31/2012 25,750 25,416 11/30/2012 26,086 25,739 12/31/2012 27,602 26,997 1/31/2013 27,743 27,369 2/28/2013 27,412 27,026 3/31/2013 27,015 26,560 4/30/2013 27,306 26,760 5/31/2013 26,413 26,074 6/30/2013 24,751 24,414 7/31/2013 25,105 24,669 8/31/2013 24,508 24,245 9/30/2013 26,255 25,822 10/31/2013 27,445 27,076 11/30/2013 27,028 26,681 12/31/2013 26,741 26,295 1/31/2014 24,877 24,587 2/28/2014 25,773 25,402 3/31/2014 26,669 26,182 4/30/2014 26,824 26,269 5/31/2014 27,730 27,186 6/30/2014 28,493 27,908 7/31/2014 28,824 28,448 8/31/2014 29,714 29,089 9/30/2014 27,519 26,933 Past performance is not predictive of 10/31/2014 27,811 27,250 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------- MSCI data copyright MSCI 2014, all 1.33% 5.80% 10.77% rights reserved.
-------------------------------------------------------------------------------- 16 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Emerging Markets Small Cap MSCI Emerging Markets Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,947 10,926 12/31/2004 11,527 11,450 1/31/2005 11,847 11,480 2/28/2005 12,598 12,481 3/31/2005 11,719 11,656 4/30/2005 11,288 11,343 5/31/2005 11,509 11,738 6/30/2005 11,800 12,137 7/31/2005 12,447 12,985 8/31/2005 12,528 13,097 9/30/2005 13,349 14,316 10/31/2005 12,698 13,380 11/30/2005 13,604 14,487 12/31/2005 14,495 15,343 1/31/2006 15,895 17,057 2/28/2006 16,062 17,037 3/31/2006 16,355 17,187 4/30/2006 17,683 18,411 5/31/2006 15,822 16,482 6/30/2006 15,124 16,442 7/31/2006 15,471 16,677 8/31/2006 16,009 17,102 9/30/2006 16,452 17,244 10/31/2006 17,692 18,063 11/30/2006 19,038 19,406 12/31/2006 19,903 20,280 1/31/2007 20,277 20,061 2/28/2007 20,459 19,942 3/31/2007 21,365 20,737 4/30/2007 22,997 21,697 5/31/2007 24,822 22,771 6/30/2007 25,564 23,839 7/31/2007 26,806 25,096 8/31/2007 25,689 24,563 9/30/2007 27,454 27,276 10/31/2007 29,513 30,317 11/30/2007 27,146 28,168 12/31/2007 27,470 28,267 1/31/2008 24,157 24,740 2/29/2008 24,856 26,566 3/31/2008 23,679 25,160 4/30/2008 25,127 27,202 5/31/2008 24,968 27,706 6/30/2008 22,091 24,943 7/31/2008 21,744 24,002 8/31/2008 20,431 22,085 9/30/2008 16,740 18,220 10/31/2008 11,660 13,234 11/30/2008 10,947 12,237 12/31/2008 12,489 13,192 1/31/2009 11,528 12,340 2/28/2009 10,821 11,644 3/31/2009 12,309 13,317 4/30/2009 14,802 15,533 5/31/2009 18,192 18,187 6/30/2009 18,102 17,942 7/31/2009 20,398 19,960 8/31/2009 20,641 19,888 9/30/2009 22,362 21,694 10/31/2009 22,337 21,720 11/30/2009 23,642 22,654 12/31/2009 24,945 23,548 1/31/2010 23,841 22,235 2/28/2010 24,252 22,313 3/31/2010 26,323 24,114 4/30/2010 26,747 24,407 5/31/2010 24,048 22,260 6/30/2010 24,684 22,096 7/31/2010 26,949 23,936 8/31/2010 27,079 23,471 9/30/2010 30,358 26,080 10/31/2010 31,568 26,837 11/30/2010 30,710 26,129 12/31/2010 32,475 27,993 1/31/2011 31,098 27,234 2/28/2011 30,181 26,980 3/31/2011 31,854 28,566 4/30/2011 33,528 29,452 5/31/2011 32,759 28,680 6/30/2011 32,493 28,238 7/31/2011 32,860 28,113 8/31/2011 29,735 25,601 9/30/2011 24,447 21,868 10/31/2011 27,140 24,765 11/30/2011 25,814 23,114 12/31/2011 25,129 22,836 1/31/2012 27,962 25,426 2/29/2012 30,245 26,949 3/31/2012 29,455 26,049 4/30/2012 28,751 25,738 5/31/2012 26,115 22,852 6/30/2012 27,115 23,734 7/31/2012 26,775 24,197 8/31/2012 27,470 24,116 9/30/2012 29,076 25,571 10/31/2012 28,962 25,416 11/30/2012 29,460 25,739 12/31/2012 31,271 26,997 1/31/2013 31,847 27,369 2/28/2013 32,172 27,026 3/31/2013 32,021 26,560 4/30/2013 32,672 26,760 5/31/2013 32,198 26,074 6/30/2013 29,413 24,414 7/31/2013 29,547 24,669 8/31/2013 28,313 24,245 9/30/2013 30,380 25,822 10/31/2013 31,546 27,076 11/30/2013 31,097 26,681 12/31/2013 30,839 26,295 1/31/2014 29,520 24,587 2/28/2014 30,824 25,402 3/31/2014 31,882 26,182 4/30/2014 32,143 26,269 5/31/2014 33,231 27,186 6/30/2014 34,086 27,908 7/31/2014 34,163 28,448 Past performance is not predictive of 8/31/2014 35,209 29,089 future performance. 9/30/2014 33,456 26,933 The returns shown do not reflect the 10/31/2014 33,162 27,250 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------------------- MSCI data copyright MSCI 2014, all 5.12% 8.22% 12.74% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) January 29, 2008-October 31,2014 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------- MSCI data copyright MSCI 2014, all -1.75% 3.17% 0.46% rights reserved.
-------------------------------------------------------------------------------- 17 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Emerging Markets Value Portfolio - MSCI Emerging Markets Institutional Class Index (net dividends) ----------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,082 10,926 12/31/2004 11,794 11,450 1/31/2005 11,987 11,480 2/28/2005 13,080 12,481 3/31/2005 12,124 11,656 4/30/2005 11,692 11,343 5/31/2005 11,861 11,738 6/30/2005 12,251 12,137 7/31/2005 13,142 12,985 8/31/2005 13,351 13,097 9/30/2005 14,422 14,316 10/31/2005 13,520 13,380 11/30/2005 14,517 14,487 12/31/2005 15,428 15,343 1/31/2006 16,902 17,057 2/28/2006 16,967 17,037 3/31/2006 17,540 17,187 4/30/2006 19,070 18,411 5/31/2006 17,002 16,482 6/30/2006 16,848 16,442 7/31/2006 17,246 16,677 8/31/2006 17,559 17,102 9/30/2006 17,915 17,244 10/31/2006 19,158 18,063 11/30/2006 20,559 19,406 12/31/2006 21,280 20,280 1/31/2007 21,607 20,061 2/28/2007 21,727 19,942 3/31/2007 22,858 20,737 4/30/2007 24,679 21,697 5/31/2007 26,554 22,771 6/30/2007 27,308 23,839 7/31/2007 28,602 25,096 8/31/2007 27,679 24,563 9/30/2007 30,173 27,276 10/31/2007 33,484 30,317 11/30/2007 31,040 28,168 12/31/2007 30,991 28,267 1/31/2008 27,905 24,740 2/29/2008 29,020 26,566 3/31/2008 28,043 25,160 4/30/2008 30,206 27,202 5/31/2008 30,464 27,706 6/30/2008 26,920 24,943 7/31/2008 26,392 24,002 8/31/2008 24,131 22,085 9/30/2008 19,968 18,220 10/31/2008 13,767 13,234 11/30/2008 12,722 12,237 12/31/2008 14,274 13,192 1/31/2009 12,986 12,340 2/28/2009 11,883 11,644 3/31/2009 13,938 13,317 4/30/2009 16,679 15,533 5/31/2009 20,431 18,187 6/30/2009 20,179 17,942 7/31/2009 22,885 19,960 8/31/2009 23,055 19,888 9/30/2009 25,182 21,694 10/31/2009 24,586 21,720 11/30/2009 26,152 22,654 12/31/2009 27,447 23,548 1/31/2010 25,884 22,235 2/28/2010 26,085 22,313 3/31/2010 28,381 24,114 4/30/2010 28,564 24,407 5/31/2010 25,570 22,260 6/30/2010 25,730 22,096 7/31/2010 28,110 23,936 8/31/2010 27,601 23,471 9/30/2010 30,914 26,080 10/31/2010 31,972 26,837 11/30/2010 30,932 26,129 12/31/2010 33,501 27,993 1/31/2011 32,454 27,234 2/28/2011 31,908 26,980 3/31/2011 33,742 28,566 4/30/2011 34,946 29,452 5/31/2011 33,612 28,680 6/30/2011 32,924 28,238 7/31/2011 32,645 28,113 8/31/2011 29,331 25,601 9/30/2011 24,065 21,868 10/31/2011 27,227 24,765 11/30/2011 25,848 23,114 12/31/2011 24,919 22,836 1/31/2012 28,375 25,426 2/29/2012 30,103 26,949 3/31/2012 28,807 26,049 4/30/2012 27,866 25,738 5/31/2012 24,785 22,852 6/30/2012 25,905 23,734 7/31/2012 25,741 24,197 8/31/2012 26,098 24,116 9/30/2012 27,777 25,571 10/31/2012 27,417 25,416 11/30/2012 27,718 25,739 12/31/2012 29,744 26,997 1/31/2013 30,223 27,369 2/28/2013 29,714 27,026 3/31/2013 29,460 26,560 4/30/2013 29,719 26,760 5/31/2013 28,871 26,074 6/30/2013 26,440 24,414 7/31/2013 26,953 24,669 8/31/2013 26,380 24,245 9/30/2013 28,329 25,822 10/31/2013 29,613 27,076 11/30/2013 28,895 26,681 12/31/2013 28,613 26,295 1/31/2014 26,613 24,587 2/28/2014 27,203 25,402 3/31/2014 28,416 26,182 4/30/2014 28,602 26,269 5/31/2014 29,763 27,186 6/30/2014 30,539 27,908 7/31/2014 31,110 28,448 Past performance is not predictive of 8/31/2014 31,806 29,089 future performance. 9/30/2014 29,197 26,933 The returns shown do not reflect the 10/31/2014 29,166 27,250 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.51% 3.48% 11.30% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS CORE EQUITY PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) April 5, 2005-October 31, 2014 [CHART] Emerging Markets Core Equity MSCI Emerging Markets 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 8/31/2013 21,178 20,694 9/30/2013 22,690 22,040 10/31/2013 23,668 23,111 11/30/2013 23,279 22,773 12/31/2013 23,072 22,444 1/31/2014 21,614 20,986 2/28/2014 22,397 21,681 3/31/2014 23,215 22,347 4/30/2014 23,381 22,422 5/31/2014 24,151 23,204 6/30/2014 24,779 23,821 7/31/2014 25,005 24,281 8/31/2014 25,779 24,828 9/30/2014 23,984 22,988 Past performance is not predictive of 10/31/2014 24,116 23,259 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ------------------------------------------------------------ MSCI data copyright MSCI 2014, all 1.89% 5.94% 9.63% rights reserved.
-------------------------------------------------------------------------------- 18 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index /SM/........ 20.69%
Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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, 2014, 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. For the 12 months ended October 31, 2014, the total returns were 17.18% for the Portfolio and 17.27% 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 net return of the fixed income component was slightly less than 19 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 is designed to capture the returns of U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 920 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, 2014, total returns were 16.19% for the Portfolio and 16.78% for the Russell 1000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio emphasizes mid-cap stocks, value stocks, primarily measured by book-to-market ratio and stocks with high profitability. Stocks with smaller relative capitalization and value stocks generally underperformed during the period and contributed to underperformance in the Portfolio relative to the Index. The Portfolio's exclusion of real estate investment trusts (REITs) detracted from relative performance as REITs outperformed during the period. U.S. Large Cap Value Portfolio The U.S. Large Cap Value Portfolio is designed 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, 2014, the Master Fund held approximately 260 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, 2014, total returns were 15.49% for the Portfolio and 16.46% for the Russell 1000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Master Fund excludes real estate investment trusts (REITs) and highly regulated utilities from eligibility while the Index holds stocks in these sectors. REITs and utilities generally outperformed other sectors during the period, which detracted from the Portfolio's relative performance as compared to the Index. Lower book to market stocks outperformed higher book to market stocks within the index. The Master Fund had less weight than the index in lower book to market stocks, which detracted from relative performance. 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, 2014, the Portfolio held approximately 1,540 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, 2014, total returns were 9.47% for the Portfolio's Class R1 shares, 9.30% for the Portfolio's Class R2 shares, 9.58% for the Portfolio's Institutional Class shares, and 7.89% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. Mid-cap value stocks significantly outperformed small cap value stocks during the period. The Portfolio had a greater weight than the Index in mid-cap value stocks and less weight in small cap value stocks, and these differences were the primary driver of the Portfolio's relative outperformance. U.S. Small Cap Value Portfolio The U.S. Small Cap Value Portfolio is designed to capture the returns of U.S. small company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 1,270 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. 20 For the 12 months ended October 31, 2014, total returns were 9.49% for the Portfolio and 7.89% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation to larger small cap stocks than the Index, and the outperformance of these stocks was a contributor to the Portfolio's relative outperformance. U.S. Core Equity 1 Portfolio The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of securities within the U.S. market with increased exposure to smaller company stocks and value stocks relative to the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,850 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, 2014, total returns were 14.72% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts (REITs) also detracted from the Portfolio's relative performance as REITs outperformed most other sectors during the period. U.S. Core Equity 2 Portfolio The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of securities within the U.S. market with increased exposure to smaller company stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,860 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, 2014, total returns were 13.78% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The portfolio generally excludes real estate investment trusts (REITs), and the resulting lower relative weighting in these companies detracted as REITs outperformed other U.S. stocks during the period. U.S. Vector Equity Portfolio The U.S. Vector Equity Portfolio invests in a broadly diversified group of U.S. stocks with increased exposure to smaller company stocks and value stocks relative to the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,720 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, 2014, total returns were 11.91% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The portfolio generally excludes real estate investment trusts (REITs), and the resulting lower relative weighting in these companies detracted as REITs outperformed other U.S. stocks during the period. U.S. Small Cap Portfolio The U.S. Small Cap Portfolio is designed to capture the returns of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held 21 approximately 2,110 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, 2014, total returns were 8.67% for the Portfolio and 8.06% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio excluded certain stocks with low profitability that were held by the Index. The resulting higher weight in stocks with higher profitability contributed to the Portfolio's relative outperformance. U.S. Micro Cap Portfolio The U.S. Micro Cap Portfolio is designed 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, 2014, the Portfolio held approximately 1,750 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, 2014, total returns were 7.88% for the Portfolio and 8.06% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio focuses on micro cap stocks while the Index has exposure to a broader range of small cap stocks including those with the larger relative capitalization. Micro cap stocks generally underperformed companies with larger capitalization within the small cap universe during the period, which detracted from the Portfolio's relative performance. The Portfolio's exclusion of real estate investment trusts (REITs) also detracted from the Portfolio's relative performance as REITs outperformed most other sectors during the period. DFA Real Estate Securities Portfolio The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of U.S. real estate securities. As of October 31, 2014, the Portfolio held approximately 130 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, 2014, total returns were 19.80% for the Portfolio, 20.69% for the Dow Jones U.S. Select REIT Index /SM/, and 17.27% for the S&P 500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. real estate securities market rather than the behavior of a limited number of securities. The Portfolio held net lease REITs not eligible in the Dow Jones U.S. Select REIT Index /SM/. These securities -- particularly in specialized REITs, retail REITs and diversified REITs -- generally underperformed the overall Index and were a primary driver of the Portfolio's relative underperformance. International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-U.S. developed markets was generally negative for the period. As a group, only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-U.S. securities in developed markets. 22
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars ------------------------------------------ ------------ ---------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Global Real Estate Market Review 12 Months Ended October 31, 2014 Publicly traded global real estate investment trusts (REITs) produced positive overall returns during the period. In most of the world, REITs outperformed equities and fixed income. The U.S. REIT market, the world's largest, had the highest returns, followed closely by Hong Kong and the U.K. Only a few of the smallest REIT markets failed to deliver positive returns. As measured by the S&P Global REIT Index, residential REITs and hotel and resort REITs had the biggest gains. Diversified REITs had the weakest performance but still delivered positive returns. 23
12 Months Ended October 31, 2014 Return in U.S. Dollars - ---------------------- S&P Global ex U.S. REIT Index (net dividends). 6.81% S&P Global REIT Index (net dividends)......... 13.30%
---------- Source: Standard and Poor's. Copyright S&P, 2014. 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, 2014, 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, 2014, total returns were 0.47% for the Portfolio and -0.15% 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 trends in the international equity markets rather than by the behavior of a limited number of stocks. For the period, the Portfolio's relative outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Core Equity Portfolio The International Core Equity Portfolio invests in a broadly diversified group of international stocks, with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 4,800 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, 2014, total returns were -0.55% for the Portfolio and -0.15% 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 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 underperformed international large cap and mid-cap stocks during the period, and the Portfolio's exposure to small cap stocks detracted from the Portfolio's performance relative to the Index. The Portfolio's greater exposure than the Index to value stocks also detracted from the Portfolio's relative performance as value stocks generally underperformed during the period. In particular, the Portfolio's emphasis on value stocks resulted in a lower allocation to healthcare stocks, which was the best performing sector and detracted from the Portfolio's relative performance. International Small Company Portfolio The International Small Company Portfolio is designed 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, 2014, the Master Funds collectively held approximately 4,150 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. 24 For the 12 months ended October 31, 2014, total returns were -1.09% for the Portfolio and -2.14% 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 trends in international equity markets rather than the behavior of a limited number of stocks. The Master Funds excluded a number of growth-oriented small cap stocks with low profitability that were held by the Index. These stocks generally underperformed, contributing to the Portfolio's relative outperformance. This was partially offset by the Master Funds' exclusion of real estate investment trusts (REITs) which outperformed and detracted from the Portfolio's relative performance. Differences in the valuation timing and methodology between the Master Funds and the Index also generally contributed to the Portfolio's relative performance. The Master Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Japanese Small Company Portfolio The Japanese Small Company Portfolio is designed 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, 2014, 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, 2014, total returns were 2.00% for the Portfolio and -0.24% for the MSCI Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in the Japanese equity market, rather than the behavior of a limited number of stocks. The Master Fund's greater exposure than the Index to micro cap stocks contributed to relative outperformance as micro caps generally outperformed during the period. This was partially offset by the Master Fund's exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Portfolio's relative performance. Differences in the valuation timing and methodology between the Master Fund and the Index also benefited 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. Asia Pacific Small Company Portfolio The Asia Pacific Small Company Portfolio is designed 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, 2014, the Master Fund held approximately 880 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, 2014, total returns were -3.84% for the Portfolio and -4.93% 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 trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. The Master Fund's exclusion of growth-oriented small cap stocks with low profitability contributed to relative performance as these stocks generally underperformed. This was partially offset by the Master Fund's exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Master Fund's relative performance. In addition, differences in the valuation timing and methodology between the Master Fund and the Index benefited 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. 25 United Kingdom Small Company Portfolio The United Kingdom Small Company Portfolio is designed 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, 2014, the Master Fund held approximately 320 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, 2014, total returns were 0.73% for the Portfolio and -0.49% 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 trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Master Fund excludes a number of growth-oriented small cap stocks with low profitability that were held by the Index. These stocks generally underperformed, contributing to the Portfolio's relative outperformance. Continental Small Company Portfolio The Continental Small Company Portfolio is designed 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, 2014, the Master Fund held approximately 1,180 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, 2014, total returns were -2.68% for the Portfolio and -3.31% 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 trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the period, the Portfolio's relative outperformance was primarily attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 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, 2014, the Portfolio held approximately 240 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, 2014, total returns were 8.21% for the Portfolio and 6.81% 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 broad trends in international real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's relative outperformance. The Portfolio excludes certain securities from eligibility that the Index holds, such as initial public offerings and companies with a limited operating history. These securities generally underperformed and the exclusion of these securities by the Portfolio had a beneficial impact on the relative performance in the Portfolio. 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, 2014, 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 370 securities in 26 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. For the 12 months ended October 31, 2014, total returns were 14.98% for the Portfolio and 13.30% for the S&P Global REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was principally determined by broad trends in global real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index were a primary driver of the Portfolio's relative outperformance. The Portfolio excludes certain securities from eligibility that the Index holds, such as initial public offerings and companies with a limited operating history. These securities generally underperformed and the exclusion of these securities by the Portfolio had a beneficial impact on the relative performance in the Portfolio. DFA International Small Cap Value Portfolio The DFA International Small Cap Value Portfolio is designed to capture the returns of international small 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, 2014, the Portfolio held approximately 2,160 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, 2014, total returns were 0.13% for the Portfolio and -2.14% 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 trends in international equity markets rather than the behavior of a limited number of stocks. The Portfolio held a number of companies within the United Kingdom that were not in the Index due to differences in construction methodology. These companies outperformed, contributing to the Portfolio's relative outperformance. Within the small cap universe, the Portfolio's greater exposure to stocks with smaller capitalization within small cap universe also contributed to the Portfolio's relative outperformance as these stocks generally outperformed during the period. Differences in the valuation timing and methodology between the Portfolio and the Index also generally contributed to the Portfolio's relative outperformance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Vector Equity Portfolio The International Vector Equity Portfolio is designed to capture the returns of a broadly diversified basket of international stocks with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, 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, 2014, total returns were -1.05% for the Portfolio and -0.15% 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 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, other than growth-oriented mega cap securities, while the Index primarily holds large cap and mid-cap stocks. International small cap stocks generally underperformed international large cap and mid-cap stocks during the period, and the Portfolio's exposure to small cap stocks contributed to underperformance relative to the Index. The Portfolio's greater exposure than the Index to value stocks, particularly those in Canada, also detracted from relative performance as value stocks generally underperformed during the period. World ex U.S. Value Portfolio The World ex U.S. Value Portfolio is designed to capture the returns of value stocks across all market capitalizations in 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 27 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, 2014, the Underlying Funds collectively held approximately 4,800 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, 2014, total returns were -0.81% for the Portfolio and 0.06% 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 trends in the international and emerging equity markets rather than the behavior of a limited number of stocks. Underlying Funds, had greater exposure than the Index to value stocks. Value stocks, as measured by book-to-market ratios, generally underperformed during the period, which detracted from the Portfolio's relative performance. 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 underperformed large and mid-caps during the period, and the Portfolio's greater exposure to small caps detracted from the Portfolio's relative performance. The Underlying Funds' exclusion of real estate investment trusts (REITs) also detracted from the Portfolio's relative performance as REITs outperformed during the period. World ex U.S. Targeted Value Portfolio The World ex U.S. Targeted Value Portfolio is designed to capture the returns of small and mid-cap value stocks in international developed and emerging markets. The Portfolio may pursue its objective by holding direct securities, by purchasing shares of 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"), or by a combination of securities and Underlying Funds. For the 12 months ended October 31, 2014, the Portfolio only held Underlying Funds. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 8,300 securities. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2014, total returns were 0.06% for the Portfolio and -0.97% 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 trends in the international equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds' greater exposure than the Index to mid-cap stocks and value stocks, particularly in the United Kingdom, contributed to the Portfolio's relative outperformance. Due to differences in methodology, the two emerging markets Underlying Funds had a greater exposure than the Index to India, the highest-performing eligible market during the period, which contributed to relative performance. World ex U.S. Core Equity Portfolio The World ex U.S. Core Equity Portfolio is designed 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 as measured by book-to-market ratio. The Portfolio may pursue its objective by holding direct securities, by purchasing shares of funds managed by Dimensional: The International Core Equity Portfolio and the Emerging Markets Core Equity Portfolio (the "Underlying Funds"), or a combination of securities and Underlying Funds. For the 12 months ended October 31, 2014, the Portfolio only held Underlying Funds. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 8,800 securities in 43 eligible developed and emerging markets. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2014, total returns were -0.04% for the Portfolio and 0.06% 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 trends in the international equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds invest across all size categories while the Index primarily holds large and mid-cap stocks. Small cap stocks generally underperformed during the period, and the Underlying Funds' exposure to small cap stocks, particularly in Canada, contributed to the Portfolio's relative underperformance. The Underlying Funds' greater exposure than the Index to value stocks, as measured by book-to-market ratios also detracted from the Portfolio's relative performance as value stocks underperformed during the period. 28 World Core Equity Portfolio The World Core Equity Portfolio seeks long-term capital appreciation generally by investing in a combination of mutual funds managed by Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"). As of October 31, 2014, the Portfolio's investments include the U.S. Core Equity 1 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (collectively, the "Underlying Funds"). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 11,700 equity securities in 44 countries. For the 12 months ended October 31, 2014, total returns were 8.36% for the Portfolio and 7.77% 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 trends in global equity markets rather than the behavior of a limited group of stocks. The Underlying Funds had greater exposure than the Index to U.S. stocks, which was the primary contributor to relative outperformance as the U.S. was among the best-performing world markets during the period. The Underlying Funds had less exposure than the Index to emerging markets, which benefited relative performance as emerging markets generally 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 October 31, 2014, the mutual funds invested in by the Portfolio include the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 11,700 equity securities in 44 countries. For the 12 months ended October 31, 2014, total returns were 7.83% for the Portfolio and 7.77% 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 trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. The Portfolio's currency hedging in Japanese yen, euro, Swiss franc, and Danish krone benefited the Portfolio's performance relative to the Index. This was somewhat offset by the Portfolio's greater exposure than the Index to small cap stocks and emerging markets, which underperformed during the period and detracted from the Portfolio's relative performance. Emerging Markets Portfolio The Emerging Markets Portfolio is designed to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Master Fund held approximately 1,100 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, 2014, total returns were 1.33% for the Portfolio and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by broad trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio's relative performance benefited from the Master Fund's lower weight than the Index in Russia, among the lowest performing emerging markets during the period, and higher weight in India and Taiwan, among the best performing emerging markets during the period. The Master Fund excludes certain countries from eligibility that the Index holds, such as the UAE and Qatar. Both of these countries underperformed, and their exclusion contributed to the Portfolio's relative outperformance. Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Portfolio is designed 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 managed by Dimensional that invests in such securities. The Master Fund's investment strategy is process driven, 29 emphasizing broad diversification. As of October 31, 2014, the Master Fund held approximately 3,200 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, 2014, total returns were 5.12% for the Portfolio and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was principally determined by broad 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 outperformed emerging markets large caps over the period, and the Master Fund's greater exposure to small cap stocks, particularly those in India, contributed to relative outperformance. During the year ended October 31, 2014, the Master Fund did not invest in certain countries that the Index holds, such as the UAE, Qatar, and Russia. Russia underperformed significantly and, as it was excluded from the Master Fund, contributed to the Portfolio's relative performance. Emerging Markets Value Portfolio The Emerging Markets Value Portfolio is designed 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, a Master Fund managed by Dimensional 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, 2014, 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, 2014, total returns were -1.75% for the Portfolio's Class R2 shares, -1.51% for the Portfolio's Institutional Class shares, and 0.64% 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 trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund invests primarily in value stocks, as measured by book-to-market ratios, while the Index is neutral with regard to value stocks. Emerging markets value stocks generally underperformed during the period, which was the primary driver of the Portfolio's relative underperformance. Emerging Markets Core Equity Portfolio The Emerging Markets Core Equity Portfolio is designed 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, 2014, the Portfolio held approximately 4,000 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 Portfolio's assets. For the 12 months ended October 31, 2014, total returns were 1.89% for the Portfolio and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Portfolio's diversified approach, performance was generally determined by broad 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, particularly those in India, contributed to the Portfolio's relative outperformance. The Portfolio's smaller allocation than the Index to Russia, among the lowest performing emerging markets during the period, also contributed to the Portfolio's relative outperformance. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,081.40 0.23% $1.21 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.05 0.23% $1.17
31 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Equity Portfolio ------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,070.80 0.19% $0.99 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.25 0.19% $0.97 U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,056.10 0.27% $1.40 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 $1,018.80 0.47% $2.39 Class R2 Shares................. $1,000.00 $1,018.20 0.62% $3.15 Institutional Class Shares...... $1,000.00 $1,018.90 0.37% $1.88 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.84 0.47% $2.40 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 $1,021.90 0.52% $2.65 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 $1,062.50 0.19% $0.99 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 $1,054.20 0.22% $1.14 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 $1,042.80 0.32% $1.65 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63
32 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,039.60 0.37% $1.90 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.34 0.37% $1.89 U.S. Micro Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,032.70 0.52% $2.66 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 $1,104.30 0.18% $0.95 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 $ 957.20 0.28% $1.38 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 $ 938.50 0.38% $1.86 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 $ 919.10 0.53% $2.56 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 $1,047.00 0.54% $2.79 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 $ 961.70 0.55% $2.72 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80
33 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 921.90 0.58% $2.81 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.28 0.58% $2.96 Continental Small Company Portfolio** ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 848.90 0.55% $2.56 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.43 0.55% $2.80 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,036.80 0.38% $1.95 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.29 0.38% $1.94 DFA Global Real Estate Securities Portfolio*** ---------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,077.00 0.32% $1.68 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 $ 915.80 0.68% $3.28 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.78 0.68% $3.47 International Vector Equity Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 927.80 0.49% $2.38 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.74 0.49% $2.50 World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 955.20 0.54% $2.66 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.48 0.54% $2.75 World ex U.S. Targeted Value Portfolio*** ----------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 947.30 0.68% $3.34 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.78 0.68% $3.47
34 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- World ex U.S. Core Equity Portfolio*** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $ 959.30 0.47% $2.32 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.84 0.47% $2.40 World Core Equity Portfolio*** ------------------------------ Actual Fund Return Institutional Class Shares................... $1,000.00 $1,010.60 0.35% $1.77 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.44 0.35% $1.79 Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,021.60 0.40% $2.04 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 $1,036.80 0.56% $2.87 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.38 0.56% $2.85 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,031.70 0.72% $3.69 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.58 0.72% $3.67 Emerging Markets Value Portfolio** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $1,018.90 0.80% $4.07 Institutional Class Shares................... $1,000.00 $1,019.70 0.55% $2.80 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,021.17 0.80% $4.08 Institutional Class Shares................... $1,000.00 $1,022.43 0.55% $2.80
35 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,031.50 0.61% $3.12 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). 36 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 29, 2014. 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 Company's holdings which reflect the investments by category or country. FEEDER FUNDS
Affiliated Investment Companies ------------------------------- U.S. Large Cap Value Portfolio......... 100.0% Japanese Small Company Portfolio....... 100.0% Asia Pacific Small Company Portfolio... 100.0% United Kingdom Small Company Portfolio. 100.0% Continental Small Company Portfolio.... 100.0% Emerging Markets Portfolio............. 100.0% Emerging Markets Small Cap Portfolio... 100.0% Emerging Markets Value Portfolio....... 100.0%
37 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% World Core Equity Portfolio................. 100.0% Selectively Hedged Global Equity Portfolio.. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO Enhanced U.S Large Company Portfolio Corporate.................................... 20.8% Government................................... 40.8% Foreign Corporate............................ 15.7% Foreign Government........................... 16.0% Supranational................................ 6.7% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Large Cap Equity Portfolio Consumer Discretionary....................... 13.6% Consumer Staples............................. 8.5% Energy....................................... 10.5% Financials................................... 13.4% Health Care.................................. 12.9% Industrials.................................. 12.8% Information Technology....................... 18.3% Materials.................................... 4.5% Other........................................ -- Telecommunication Services................... 3.0% Utilities.................................... 2.5% ----- 100.0%
U.S. Targeted Value Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 2.8% Energy....................................... 8.7% Financials................................... 25.4% Health Care.................................. 6.6% Industrials.................................. 18.0% Information Technology....................... 14.2% Materials.................................... 7.9% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.4% Utilities.................................... 0.7% ----- 100.0%
U.S. Small Cap Value Portfolio Consumer Discretionary....................... 14.8% Consumer Staples............................. 3.1% Energy....................................... 9.8% Financials................................... 26.2% Health Care.................................. 5.9% Industrials.................................. 18.4% Information Technology....................... 14.8% Materials.................................... 6.4% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.4% Utilities.................................... 0.1% ----- 100.0%
U.S. Core Equity 1 Portfolio Consumer Discretionary....................... 14.9% Consumer Staples............................. 7.6% Energy....................................... 9.4% Financials................................... 14.8% Health Care.................................. 11.6% Industrials.................................. 13.4% Information Technology....................... 17.8% Materials.................................... 5.0% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.6% Utilities.................................... 2.9% ----- 100.0%
U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 6.1% Energy....................................... 11.1% Financials................................... 17.0% Health Care.................................. 10.9% Industrials.................................. 14.4% Information Technology....................... 16.1% Materials.................................... 5.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.8% Utilities.................................... 2.0% ----- 100.0%
U.S. Vector Equity Portfolio Consumer Discretionary....................... 14.0% Consumer Staples............................. 4.4% Energy....................................... 11.1% Financials................................... 23.5% Health Care.................................. 8.2% Industrials.................................. 14.8% Information Technology....................... 13.9% Materials.................................... 6.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.7% Utilities.................................... 1.3% ----- 100.0%
38 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED U.S. Small Cap Portfolio Consumer Discretionary....................... 17.1% Consumer Staples............................. 3.9% Energy....................................... 4.9% Financials................................... 17.5% Health Care.................................. 9.9% Industrials.................................. 17.7% Information Technology....................... 18.8% Materials.................................... 5.7% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.7% Utilities.................................... 3.7% ----- 100.0%
U.S. Micro Cap Portfolio Consumer Discretionary....................... 18.6% Consumer Staples............................. 4.0% Energy....................................... 4.4% Financials................................... 17.6% Health Care.................................. 10.1% Industrials.................................. 18.8% Information Technology....................... 17.9% Materials.................................... 5.5% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.3% Utilities.................................... 1.8% ----- 100.0%
DFA Real Estate Securities Portfolio Real Estate Investment Trusts................ 100.0% ----- 100.0%
Large Cap International Portfolio Consumer Discretionary....................... 12.0% Consumer Staples............................. 10.2% Energy....................................... 8.4% Financials................................... 24.2% Health Care.................................. 9.9% Industrials.................................. 12.9% Information Technology....................... 4.4% Materials.................................... 9.3% Other........................................ -- Telecommunication Services................... 4.8% Utilities.................................... 3.9% ----- 100.0%
International Core Equity Portfolio Consumer Discretionary....................... 14.9% Consumer Staples............................. 7.8% Energy....................................... 8.9% Financials................................... 21.6% Health Care.................................. 6.3% Industrials.................................. 16.6% Information Technology....................... 5.7% Materials.................................... 11.2% Other........................................ -- Telecommunication Services................... 3.7% Utilities.................................... 3.3% ----- 100.0%
DFA International Real Estate Securities Portfolio Consumer Staples............................. -- Financials................................... 0.3% Real Estate Investment Trusts................ 99.7% ----- 100.0%
DFA International Small Cap Value Portfolio Consumer Discretionary....................... 21.4% Consumer Staples............................. 3.8% Energy....................................... 4.2% Financials................................... 21.2% Health Care.................................. 1.7% Industrials.................................. 25.7% Information Technology....................... 5.6% Materials.................................... 15.7% Other........................................ -- Telecommunication Services................... 0.2% Utilities.................................... 0.5% ----- 100.0%
International Vector Equity Portfolio Consumer Discretionary....................... 15.0% Consumer Staples............................. 6.4% Energy....................................... 8.1% Financials................................... 23.4% Health Care.................................. 5.2% Industrials.................................. 18.0% Information Technology....................... 6.4% Materials.................................... 12.3% Other........................................ -- Telecommunication Services................... 2.7% Utilities.................................... 2.5% ----- 100.0%
Emerging Markets Core Equity Portfolio Consumer Discretionary....................... 11.4% Consumer Staples............................. 7.7% Energy....................................... 7.3% Financials................................... 24.5% Health Care.................................. 2.9% Industrials.................................. 10.7% Information Technology....................... 16.1% Materials.................................... 10.5% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 5.1% Utilities.................................... 3.8% ----- 100.0%
39 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Face Amount^ Value+ ------- ------ (000) BONDS -- (54.2%) AUSTRALIA -- (1.3%) Commonwealth Bank of Australia 3.875%, 12/14/15............................. GBP 1,015 $ 1,675,810 Rio Tinto Finance USA, Ltd. 2.250%, 09/20/16............................. 1,000 1,022,383 ------------ TOTAL AUSTRALIA.................................. 2,698,193 ------------ CANADA -- (10.8%) Export Development Canada 1.250%, 10/26/16............................. 3,135 3,170,914 Ontario, Province of Canada 1.000%, 07/22/16............................. 4,000 4,018,316 1.600%, 09/21/16............................. 2,000 2,032,196 Royal Bank of Canada 3.360%, 01/11/16............................. CAD 5,000 4,528,504 1.450%, 09/09/16............................. 1,000 1,009,830 Toronto-Dominion Bank (The) 2.375%, 10/19/16............................. 5,900 6,084,806 TransAlta Corp. 4.750%, 01/15/15............................. 925 932,264 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 1,500 1,524,264 ------------ TOTAL CANADA..................................... 23,301,094 ------------ FINLAND -- (1.4%) Municipality Finance P.L.C. 2.375%, 05/16/16............................. 3,000 3,085,152 ------------ FRANCE -- (2.1%) Reseau Ferre de France 2.375%, 12/23/15............................. GBP 2,784 4,535,156 ------------ GERMANY -- (2.3%) KFW 1.750%, 01/22/16............................. GBP 3,000 4,859,666 ------------ JAPAN -- (0.3%) Nomura Holdings, Inc. # 2.000%, 09/13/16............................. 540 546,794 ------------ NETHERLANDS -- (5.4%) Bank Nederlandse Gemeenten NV 1.125%, 09/12/16............................. 5,000 5,042,350 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 2.125%, 10/13/15............................. 5,469 5,556,952 Deutsche Telekom International Finance BV 5.750%, 03/23/16............................. 880 937,510 ------------ TOTAL NETHERLANDS................................ 11,536,812 ------------
Face Amount^ Value+ ------- ------ (000) NORWAY -- (2.3%) Kommunalbanken A.S. 0.875%, 10/03/16............................. $ 5,000 $ 5,020,770 ------------ SPAIN -- (0.3%) Telefonica Emisiones SAU 6.421%, 06/20/16............................. 584 633,693 ------------ SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.6%) Council Of Europe Development Bank 1.250%, 09/22/16............................. 5,000 5,058,340 European Bank for Reconstruction & Development 1.375%, 10/20/16............................. 4,000 4,060,444 European Investment Bank 1.250%, 10/14/16............................. 5,000 5,060,200 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 14,178,984 ------------ SWEDEN -- (2.7%) Nordea Bank AB 3.875%, 12/15/15............................. GBP 2,000 3,302,671 Svenska Handelsbanken AB 3.125%, 07/12/16............................. 2,391 2,483,446 ------------ TOTAL SWEDEN..................................... 5,786,117 ------------ UNITED KINGDOM -- (2.3%) Barclays Bank P.L.C. 5.000%, 09/22/16............................. 1,000 1,073,523 Ensco P.L.C. 3.250%, 03/15/16............................. 1,155 1,187,634 Network Rail Infrastructure Finance P.L.C. 1.250%, 08/31/16............................. 2,000 2,023,264 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 700 709,989 ------------ TOTAL UNITED KINGDOM............................. 4,994,410 ------------ UNITED STATES -- (16.4%) Amgen, Inc. 4.850%, 11/18/14............................. 1,600 1,602,565 Anadarko Petroleum Corp. 5.950%, 09/15/16............................. 1,000 1,086,737 AT&T, Inc. # 2.950%, 05/15/16............................. 1,489 1,535,874 Bank of America Corp. 3.625%, 03/17/16............................. 1,000 1,035,379
40 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Baxter International, Inc. 5.900%, 09/01/16............................. $ 1,000 $ 1,088,986 Boston Scientific Corp. 6.400%, 06/15/16............................. 1,000 1,083,028 Citigroup, Inc. 1.300%, 04/01/16............................. 1,000 1,004,578 CNA Financial Corp. 5.850%, 12/15/14............................. 1,000 1,005,676 Comerica, Inc. 3.000%, 09/16/15............................. 1,000 1,020,384 Constellation Energy Group, Inc. 4.550%, 06/15/15............................. 1,000 1,022,547 Daimler Finance North America LLC 1.450%, 08/01/16............................. 1,000 1,006,505 EOG Resources, Inc. 2.500%, 02/01/16............................. 1,000 1,021,145 Express Scripts Holding Co. 2.100%, 02/12/15............................. 1,000 1,004,031 Ford Motor Credit Co. LLC 3.984%, 06/15/16............................. 1,000 1,044,426 Freeport-McMoRan, Inc. 1.400%, 02/13/15............................. 500 500,796 Goldman Sachs Group, Inc. (The) # 5.125%, 01/15/15............................. 894 901,501 Hewlett-Packard Co. 3.000%, 09/15/16............................. 1,000 1,032,813 HSBC USA, Inc. 2.375%, 02/13/15............................. 1,000 1,005,554 International Paper Co. 5.300%, 04/01/15............................. 517 526,569 Johnson Controls, Inc. 5.500%, 01/15/16............................. 1,000 1,056,351 JPMorgan Chase & Co. 1.125%, 02/26/16............................. 1,500 1,503,768 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 800 829,645 MetLife, Inc. # 6.750%, 06/01/16............................. 1,000 1,091,509 Mondelez International, Inc. 4.125%, 02/09/16............................. 689 716,961 Morgan Stanley 4.200%, 11/20/14............................. 1,500 1,502,515 National City Corp. 4.900%, 01/15/15............................. 1,500 1,512,616 NextEra Energy Capital Holdings, Inc. 1.200%, 06/01/15............................. 1,000 1,004,222 Prudential Financial, Inc. 3.000%, 05/12/16............................. 710 732,328 Quest Diagnostics, Inc. 3.200%, 04/01/16............................. 500 514,806 Stryker Corp. 2.000%, 09/30/16............................. 1,000 1,021,826 Waste Management, Inc. 2.600%, 09/01/16............................. 605 623,142
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Wells Fargo & Co. 3.676%, 06/15/16............................. $ 1,500 $ 1,567,908 Williams Partners L.P. 3.800%, 02/15/15............................. 1,000 1,008,246 Xerox Corp. 4.250%, 02/15/15............................. 1,000 1,010,372 ------------ TOTAL UNITED STATES................................ 35,225,309 ------------ TOTAL BONDS........................................ 116,402,150 ------------ AGENCY OBLIGATIONS -- (2.4%) Federal Home Loan Bank 0.625%, 10/14/16............................. 2,000 2,001,630 Federal National Mortgage Association 5.250%, 09/15/16............................. 3,000 3,260,085 ------------ TOTAL AGENCY OBLIGATIONS........................... 5,261,715 ------------ U.S. TREASURY OBLIGATIONS -- (38.0%) U.S. Treasury Notes 0.625%, 08/15/16............................. 27,700 27,795,232 ^^ 1.000%, 08/31/16............................. 13,500 13,633,947 1.000%, 09/30/16............................. 17,000 17,163,353 0.625%, 10/15/16............................. 23,000 23,057,500 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................... 81,650,032 ------------ Shares ------ - EXCHANGE-TRADED FUNDS -- (4.1%) UNITED STATES -- (4.1%) SPDR S&P 500 ETF Trust....................... 44,100 8,893,206 ------------ SECURITIES LENDING COLLATERAL -- (1.3%) (S)@ DFA Short Term Investment Fund............... 238,351 2,757,720 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $210,691,819).............................. $214,964,823 ============
41 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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.............................. -- $ 2,698,193 -- $ 2,698,193 Canada................................. -- 23,301,094 -- 23,301,094 Finland................................ -- 3,085,152 -- 3,085,152 France................................. -- 4,535,156 -- 4,535,156 Germany................................ -- 4,859,666 -- 4,859,666 Japan.................................. -- 546,794 -- 546,794 Netherlands............................ -- 11,536,812 -- 11,536,812 Norway................................. -- 5,020,770 -- 5,020,770 Spain.................................. -- 633,693 -- 633,693 Supranational Organization Obligations. -- 14,178,984 -- 14,178,984 Sweden................................. -- 5,786,117 -- 5,786,117 United Kingdom......................... -- 4,994,410 -- 4,994,410 United States.......................... -- 35,225,309 -- 35,225,309 Agency Obligations....................... -- 5,261,715 -- 5,261,715 U.S. Treasury Obligations................ -- 81,650,032 -- 81,650,032 Exchange-Traded Funds.................... $ 8,893,206 -- -- 8,893,206 Securities Lending Collateral............ -- 2,757,720 -- 2,757,720 Futures Contracts**...................... 7,062,050 -- -- 7,062,050 Forward Currency Contracts**............. -- 205,165 -- 205,165 ----------- ------------ -- ------------ TOTAL.................................... $15,955,256 $206,276,782 -- $222,232,038 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 42 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (96.1%) Consumer Discretionary -- (13.1%) * Amazon.com, Inc................... 4,446 $ 1,358,075 0.5% Comcast Corp. Class A............. 36,774 2,035,441 0.7% Home Depot, Inc. (The)............ 17,150 1,672,468 0.6% McDonald's Corp................... 11,845 1,110,232 0.4% Walt Disney Co. (The)............. 18,805 1,718,401 0.6% Other Securities.................. 27,867,546 10.2% ------------- ------ Total Consumer Discretionary.......... 35,762,163 13.0% ------------- ------ Consumer Staples -- (8.2%) Altria Group, Inc................. 24,603 1,189,309 0.4% Coca-Cola Co. (The)............... 42,618 1,784,842 0.6% CVS Health Corp................... 13,994 1,200,825 0.4% PepsiCo, Inc...................... 19,005 1,827,711 0.7% Philip Morris International, Inc.. 14,261 1,269,372 0.5% Procter & Gamble Co. (The)........ 27,067 2,362,137 0.9% Wal-Mart Stores, Inc.............. 22,938 1,749,481 0.6% Other Securities.................. 10,931,996 4.0% ------------- ------ Total Consumer Staples................ 22,315,673 8.1% ------------- ------ Energy -- (10.1%) Chevron Corp...................... 23,416 2,808,749 1.0% ConocoPhillips.................... 18,400 1,327,560 0.5% Exxon Mobil Corp.................. 62,574 6,051,532 2.2% Occidental Petroleum Corp......... 11,668 1,037,635 0.4% Schlumberger, Ltd................. 14,816 1,461,747 0.5% Other Securities.................. 14,788,147 5.4% ------------- ------ Total Energy.......................... 27,475,370 10.0% ------------- ------ Financials -- (12.8%) American Express Co............... 11,888 1,069,326 0.4% Bank of America Corp.............. 86,309 1,481,062 0.5% * Berkshire Hathaway, Inc. Class B.. 17,818 2,497,371 0.9% Citigroup, Inc.................... 29,395 1,573,514 0.6% JPMorgan Chase & Co............... 33,159 2,005,456 0.7% Wells Fargo & Co.................. 61,070 3,242,206 1.2% Other Securities.................. 23,217,243 8.5% ------------- ------ Total Financials...................... 35,086,178 12.8% ------------- ------ Health Care -- (12.4%) AbbVie, Inc....................... 20,088 1,274,785 0.5% Amgen, Inc........................ 7,761 1,258,679 0.5% * Celgene Corp...................... 9,989 1,069,722 0.4% * Gilead Sciences, Inc.............. 19,245 2,155,440 0.8% Johnson & Johnson................. 33,864 3,649,862 1.3% Merck & Co., Inc.................. 33,588 1,946,089 0.7% Pfizer, Inc....................... 76,538 2,292,313 0.8% UnitedHealth Group, Inc........... 14,297 1,358,358 0.5% Other Securities.................. 18,776,664 6.8% ------------- ------ Total Health Care..................... 33,781,912 12.3% ------------- ------ Industrials -- (12.3%) 3M Co............................. 7,847 1,206,633 0.4% Boeing Co. (The).................. 8,269 1,032,881 0.4% General Electric Co............... 89,353 2,306,201 0.8%
43 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Union Pacific Corp................................. 14,231 $ 1,657,200 0.6% United Technologies Corp........................... 9,890 1,058,230 0.4% Other Securities................................... 26,347,846 9.6% ------------- ------ Total Industrials........................................ 33,608,991 12.2% ------------- ------ Information Technology -- (17.6%) Apple, Inc......................................... 70,637 7,628,796 2.8% Cisco Systems, Inc................................. 59,304 1,451,169 0.5% * Facebook, Inc. Class A............................. 19,266 1,444,757 0.5% * Google, Inc. Class A............................... 2,280 1,294,744 0.5% Hewlett-Packard Co................................. 34,381 1,233,590 0.5% Intel Corp......................................... 84,793 2,883,810 1.1% International Business Machines Corp............... 11,603 1,907,533 0.7% MasterCard, Inc. Class A........................... 12,582 1,053,742 0.4% Microsoft Corp..................................... 90,359 4,242,355 1.6% Oracle Corp........................................ 48,032 1,875,650 0.7% QUALCOMM, Inc...................................... 16,646 1,306,877 0.5% Visa, Inc. Class A................................. 4,507 1,088,125 0.4% Other Securities................................... 20,674,968 7.3% ------------- ------ Total Information Technology............................. 48,086,116 17.5% ------------- ------ Materials -- (4.3%) Other Securities................................... 11,708,514 4.2% ------------- ------ Telecommunication Services -- (2.9%) AT&T, Inc.......................................... 98,170 3,420,243 1.2% Verizon Communications, Inc........................ 62,067 3,118,867 1.1% Other Securities................................... 1,379,894 0.6% ------------- ------ Total Telecommunication Services......................... 7,919,004 2.9% ------------- ------ Utilities -- (2.4%) Other Securities................................... 6,503,570 2.4% ------------- ------ TOTAL COMMON STOCKS...................................... 262,247,491 95.4% ------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 165 0.0% ------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077%. 1,461,806 1,461,806 0.5% ------------- ------ SECURITIES LENDING COLLATERAL -- (3.4%) (S)@ DFA Short Term Investment Fund..................... 803,831 9,300,329 3.4% ------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $237,614,016).................................. $ 273,009,791 99.3% ============= ======
44 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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...... $ 35,762,163 -- -- $ 35,762,163 Consumer Staples............ 22,315,673 -- -- 22,315,673 Energy...................... 27,475,370 -- -- 27,475,370 Financials.................. 35,086,178 -- -- 35,086,178 Health Care................. 33,781,912 -- -- 33,781,912 Industrials................. 33,608,991 -- -- 33,608,991 Information Technology...... 48,086,116 -- -- 48,086,116 Materials................... 11,708,514 -- -- 11,708,514 Telecommunication Services.. 7,919,004 -- -- 7,919,004 Utilities................... 6,503,570 -- -- 6,503,570 Rights/Warrants............... -- $ 165 -- 165 Temporary Cash Investments.... 1,461,806 -- -- 1,461,806 Securities Lending Collateral. -- 9,300,329 -- 9,300,329 ------------ ---------- -- ------------ TOTAL......................... $263,709,297 $9,300,494 -- $273,009,791 ============ ========== == ============
See accompanying Notes to Financial Statements. 45 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company..................... $15,138,175,654 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $9,823,414,415)............................. $15,138,175,654 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 46 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.3%) Consumer Discretionary -- (12.0%) # Dillard's, Inc. Class A................ 211,147 $ 22,330,907 0.4% # GameStop Corp. Class A................. 635,798 27,186,722 0.5% Graham Holdings Co. Class B............ 31,543 24,717,095 0.4% Lear Corp.............................. 248,685 23,003,362 0.4% * Live Nation Entertainment, Inc......... 924,308 24,032,008 0.4% PulteGroup, Inc........................ 1,118,270 21,459,601 0.4% # Wendy's Co. (The)...................... 2,361,897 18,942,414 0.3% Other Securities....................... 634,414,099 11.4% -------------- ------ Total Consumer Discretionary............... 796,086,208 14.2% -------------- ------ Consumer Staples -- (2.4%) Other Securities....................... 156,066,914 2.8% -------------- ------ Energy -- (7.3%) Nabors Industries, Ltd................. 1,097,257 19,586,037 0.4% Tesoro Corp............................ 315,473 22,527,927 0.4% Other Securities....................... 444,064,376 7.9% -------------- ------ Total Energy............................... 486,178,340 8.7% -------------- ------ Financials -- (21.4%) Allied World Assurance Co. Holdings AG. 518,010 19,684,380 0.4% American Financial Group, Inc.......... 465,774 27,867,258 0.5% Assurant, Inc.......................... 471,974 32,198,066 0.6% Axis Capital Holdings, Ltd............. 606,646 29,203,938 0.5% CNO Financial Group, Inc............... 1,174,038 21,285,309 0.4% * E*TRADE Financial Corp................. 1,292,524 28,823,285 0.5% * Genworth Financial, Inc. Class A....... 1,716,485 24,013,625 0.4% Legg Mason, Inc........................ 731,595 38,042,940 0.7% # NASDAQ OMX Group, Inc. (The)........... 858,799 37,151,645 0.7% # New York Community Bancorp, Inc........ 1,321,540 21,078,563 0.4% PartnerRe, Ltd......................... 321,083 37,146,092 0.7% # People's United Financial, Inc......... 1,543,963 22,572,739 0.4% Protective Life Corp................... 427,997 29,822,831 0.5% Reinsurance Group of America, Inc...... 325,844 27,452,357 0.5% Zions Bancorporation................... 948,371 27,474,308 0.5% Other Securities....................... 990,191,759 17.6% -------------- ------ Total Financials........................... 1,414,009,095 25.3% -------------- ------ Health Care -- (5.6%) * Community Health Systems, Inc.......... 490,559 26,966,028 0.5% Omnicare, Inc.......................... 597,354 39,777,803 0.7% Other Securities....................... 302,719,333 5.4% -------------- ------ Total Health Care.......................... 369,463,164 6.6% -------------- ------ Industrials -- (15.1%) # ADT Corp. (The)........................ 528,226 18,931,620 0.3% Alaska Air Group, Inc.................. 430,272 22,903,379 0.4% AMERCO................................. 84,246 22,840,776 0.4% * Avis Budget Group, Inc................. 665,365 37,094,099 0.7% Owens Corning.......................... 624,093 20,008,422 0.4% * Quanta Services, Inc................... 631,307 21,514,943 0.4% Ryder System, Inc...................... 309,611 27,391,285 0.5% # Trinity Industries, Inc................ 970,590 34,659,769 0.6% Other Securities....................... 796,454,228 14.2% -------------- ------ Total Industrials.......................... 1,001,798,521 17.9% -------------- ------
47 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Information Technology -- (12.0%) * AOL, Inc........................................... 435,272 $ 18,947,390 0.4% * Arrow Electronics, Inc............................. 510,838 29,046,249 0.5% Avnet, Inc......................................... 659,675 28,530,944 0.5% Brocade Communications Systems, Inc................ 1,765,119 18,939,727 0.4% #* First Solar, Inc................................... 629,345 37,068,421 0.7% * Ingram Micro, Inc. Class A......................... 789,039 21,177,807 0.4% Marvell Technology Group, Ltd...................... 1,483,327 19,935,915 0.4% #* TriQuint Semiconductor, Inc........................ 976,471 21,121,068 0.4% Other Securities................................... 596,069,380 10.5% -------------- ------ Total Information Technology............................. 790,836,901 14.2% -------------- ------ Materials -- (6.7%) MeadWestvaco Corp.................................. 537,108 23,724,060 0.4% Reliance Steel & Aluminum Co....................... 417,707 28,186,868 0.5% Rock-Tenn Co. Class A.............................. 434,562 22,227,846 0.4% Steel Dynamics, Inc................................ 945,483 21,755,564 0.4% # United States Steel Corp........................... 669,436 26,804,218 0.5% Other Securities................................... 319,063,796 5.7% -------------- ------ Total Materials.......................................... 441,762,352 7.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 2,114,063 0.0% -------------- ------ Telecommunication Services -- (1.2%) # Frontier Communications Corp....................... 3,065,958 20,051,365 0.4% Windstream Holdings, Inc........................... 1,773,692 18,588,292 0.3% Other Securities................................... 40,119,949 0.7% -------------- ------ Total Telecommunication Services......................... 78,759,606 1.4% -------------- ------ Utilities -- (0.6%) UGI Corp........................................... 674,196 25,410,447 0.5% Other Securities................................... 11,648,079 0.2% -------------- ------ Total Utilities.......................................... 37,058,526 0.7% -------------- ------ TOTAL COMMON STOCKS...................................... 5,574,133,690 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 684,400 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.077%. 14,280,341 14,280,341 0.3% -------------- ------ SECURITIES LENDING COLLATERAL -- (15.5%) (S)@ DFA Short Term Investment Fund..................... 88,553,047 1,024,558,755 18.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,163,316,060)................................ $6,613,657,186 118.3% ============== ======
48 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 796,086,208 -- -- $ 796,086,208 Consumer Staples.............. 156,066,914 -- -- 156,066,914 Energy........................ 486,178,340 -- -- 486,178,340 Financials.................... 1,413,977,485 $ 31,610 -- 1,414,009,095 Health Care................... 369,362,357 100,807 -- 369,463,164 Industrials................... 1,001,796,859 1,662 -- 1,001,798,521 Information Technology........ 790,836,901 -- -- 790,836,901 Materials..................... 441,762,352 -- -- 441,762,352 Other......................... -- -- -- -- Real Estate Investment Trusts. 2,114,063 -- -- 2,114,063 Telecommunication Services.... 78,759,606 -- -- 78,759,606 Utilities..................... 37,058,526 -- -- 37,058,526 Rights/Warrants................. -- 684,400 -- 684,400 Temporary Cash Investments...... 14,280,341 -- -- 14,280,341 Securities Lending Collateral... -- 1,024,558,755 -- 1,024,558,755 -------------- -------------- -- -------------- TOTAL........................... $5,588,279,952 $1,025,377,234 -- $6,613,657,186 ============== ============== == ==============
See accompanying Notes to Financial Statements. 49 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.7%) Consumer Discretionary -- (12.6%) DeVry Education Group, Inc.................. 1,167,715 $ 56,529,083 0.5% # Group 1 Automotive, Inc..................... 725,621 61,989,802 0.5% #* Iconix Brand Group, Inc..................... 1,920,147 76,825,081 0.7% * Live Nation Entertainment, Inc.............. 2,423,838 63,019,788 0.6% Penske Automotive Group, Inc................ 1,250,616 56,577,868 0.5% # Rent-A-Center, Inc.......................... 1,897,433 58,763,500 0.5% #* Skechers U.S.A., Inc. Class A............... 1,138,657 62,341,471 0.6% Other Securities............................ 1,263,610,471 10.9% ---------------- ------ Total Consumer Discretionary.................... 1,699,657,064 14.8% ---------------- ------ Consumer Staples -- (2.6%) # Fresh Del Monte Produce, Inc................ 1,715,825 55,095,141 0.5% * Seaboard Corp............................... 18,588 57,118,507 0.5% Other Securities............................ 247,049,561 2.1% ---------------- ------ Total Consumer Staples.......................... 359,263,209 3.1% ---------------- ------ Energy -- (8.3%) # Bristow Group, Inc.......................... 1,356,710 100,260,869 0.9% Delek US Holdings, Inc...................... 1,710,914 57,982,875 0.5% # Exterran Holdings, Inc...................... 2,454,125 96,520,736 0.8% * Helix Energy Solutions Group, Inc........... 3,813,585 101,593,904 0.9% Other Securities............................ 764,433,406 6.6% ---------------- ------ Total Energy.................................... 1,120,791,790 9.7% ---------------- ------ Financials -- (22.2%) # American Equity Investment Life Holding Co.. 2,251,258 58,104,969 0.5% # Argo Group International Holdings, Ltd...... 1,019,162 56,869,240 0.5% Aspen Insurance Holdings, Ltd............... 1,361,886 59,419,086 0.5% CNO Financial Group, Inc.................... 8,472,447 153,605,464 1.3% Endurance Specialty Holdings, Ltd........... 1,449,804 84,016,142 0.7% # First American Financial Corp............... 2,056,410 62,350,351 0.5% # Hanover Insurance Group, Inc. (The)......... 1,202,555 80,499,032 0.7% # Kemper Corp................................. 1,693,849 62,418,336 0.5% * MBIA, Inc................................... 6,839,686 66,755,335 0.6% # Montpelier Re Holdings, Ltd................. 1,977,273 65,526,827 0.6% Platinum Underwriters Holdings, Ltd......... 978,955 61,311,952 0.5% StanCorp Financial Group, Inc............... 765,879 53,274,543 0.5% Susquehanna Bancshares, Inc................. 6,432,807 63,105,837 0.6% Umpqua Holdings Corp........................ 4,077,772 71,768,787 0.6% # Washington Federal, Inc..................... 2,520,952 55,032,382 0.5% # Webster Financial Corp...................... 2,558,326 80,177,937 0.7% # Wintrust Financial Corp..................... 1,440,940 66,744,341 0.6% Other Securities............................ 1,797,834,756 15.6% ---------------- ------ Total Financials................................ 2,998,815,317 26.0% ---------------- ------ Health Care -- (5.0%) * LifePoint Hospitals, Inc.................... 1,892,213 132,454,910 1.2% Other Securities............................ 543,509,310 4.7% ---------------- ------ Total Health Care............................... 675,964,220 5.9% ---------------- ------
50 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (15.6%) AMERCO............................................. 343,691 $ 93,181,504 0.8% * Avis Budget Group, Inc............................. 1,480,212 82,521,819 0.7% # Covanta Holding Corp............................... 2,570,277 56,726,013 0.5% #* Esterline Technologies Corp........................ 1,145,345 134,131,353 1.2% # GATX Corp.......................................... 1,763,892 111,830,753 1.0% #* JetBlue Airways Corp............................... 10,893,799 125,714,440 1.1% Other Securities................................... 1,509,828,968 13.1% ---------------- ------ Total Industrials........................................ 2,113,934,850 18.4% ---------------- ------ Information Technology -- (12.6%) * Benchmark Electronics, Inc......................... 2,299,623 54,547,058 0.5% * CACI International, Inc. Class A................... 845,691 69,591,912 0.6% # Convergys Corp..................................... 3,909,664 78,857,923 0.7% #* Fairchild Semiconductor International, Inc......... 4,155,476 63,786,557 0.6% * International Rectifier Corp....................... 1,786,838 71,062,547 0.6% * Sanmina Corp....................................... 2,283,569 57,249,075 0.5% # SYNNEX Corp........................................ 1,287,443 89,065,307 0.8% * Tech Data Corp..................................... 1,092,101 65,220,272 0.6% * TriQuint Semiconductor, Inc........................ 3,614,088 78,172,723 0.7% # Vishay Intertechnology, Inc........................ 4,997,422 67,515,171 0.6% Other Securities................................... 1,006,245,740 8.6% ---------------- ------ Total Information Technology............................. 1,701,314,285 14.8% ---------------- ------ Materials -- (5.4%) * Century Aluminum Co................................ 2,669,590 78,165,595 0.7% * Graphic Packaging Holding Co....................... 5,789,957 70,232,178 0.6% #* Louisiana-Pacific Corp............................. 5,449,807 79,567,182 0.7% Other Securities................................... 499,052,510 4.3% ---------------- ------ Total Materials.......................................... 727,017,465 6.3% ---------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 6,698,817 0.1% ---------------- ------ Telecommunication Services -- (0.3%)..................... Other Securities................................... 45,160,722 0.4% ---------------- ------ Utilities -- (0.1%) Other Securities................................... 14,950,957 0.1% ---------------- ------ TOTAL COMMON STOCKS...................................... 11,463,568,696 99.6% ---------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 2,469,350 0.0% ---------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077%. 60,521,987 60,521,987 0.5% ---------------- ------ SECURITIES LENDING COLLATERAL -- (14.9%) (S)@ DFA Short Term Investment Fund..................... 173,376,578 2,005,967,006 17.4% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,254,873,984)............................... $ 13,532,527,039 117.5% ================ ======
51 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 1,699,657,064 -- -- $ 1,699,657,064 Consumer Staples.............. 359,263,209 -- -- 359,263,209 Energy........................ 1,120,791,790 -- -- 1,120,791,790 Financials.................... 2,998,605,317 $ 210,000 -- 2,998,815,317 Health Care................... 675,878,642 85,578 -- 675,964,220 Industrials................... 2,113,925,345 9,505 -- 2,113,934,850 Information Technology........ 1,701,314,285 -- -- 1,701,314,285 Materials..................... 727,017,465 -- -- 727,017,465 Other......................... -- -- -- -- Real Estate Investment Trusts. 6,698,817 -- -- 6,698,817 Telecommunication Services.... 45,160,722 -- -- 45,160,722 Utilities..................... 14,950,957 -- -- 14,950,957 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 2,469,350 -- 2,469,350 Temporary Cash Investments...... 60,521,987 -- -- 60,521,987 Securities Lending Collateral... -- 2,005,967,006 -- 2,005,967,006 --------------- -------------- -- --------------- TOTAL........................... $11,523,785,600 $2,008,741,439 -- $13,532,527,039 =============== ============== == ===============
See accompanying Notes to Financial Statements. 52 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (89.6%) Consumer Discretionary -- (13.3%) * Amazon.com, Inc................... 149,526 $ 45,674,212 0.4% Comcast Corp. Class A............. 974,084 53,915,549 0.5% Home Depot, Inc. (The)............ 626,547 61,100,863 0.6% McDonald's Corp................... 454,169 42,569,260 0.4% Walt Disney Co. (The)............. 510,608 46,659,359 0.4% Other Securities.................. 1,347,531,566 12.5% ---------------- ------ Total Consumer Discretionary.......... 1,597,450,809 14.8% ---------------- ------ Consumer Staples -- (6.8%) Altria Group, Inc................. 906,345 43,812,717 0.4% Coca-Cola Co. (The)............... 1,535,652 64,313,106 0.6% CVS Health Corp................... 420,555 36,087,825 0.3% PepsiCo, Inc...................... 703,432 67,649,055 0.6% Philip Morris International, Inc.. 477,515 42,503,610 0.4% Procter & Gamble Co. (The)........ 655,390 57,195,885 0.5% Wal-Mart Stores, Inc.............. 707,960 53,996,109 0.5% Other Securities.................. 453,293,802 4.3% ---------------- ------ Total Consumer Staples................ 818,852,109 7.6% ---------------- ------ Energy -- (8.4%) Chevron Corp...................... 731,435 87,735,628 0.8% ConocoPhillips.................... 562,318 40,571,244 0.4% EOG Resources, Inc................ 365,806 34,769,860 0.3% Exxon Mobil Corp.................. 1,900,383 183,786,040 1.7% Occidental Petroleum Corp......... 424,457 37,746,961 0.4% Schlumberger, Ltd................. 396,427 39,111,488 0.4% Other Securities.................. 586,689,198 5.4% ---------------- ------ Total Energy.......................... 1,010,410,419 9.4% ---------------- ------ Financials -- (13.3%) American Express Co............... 440,616 39,633,409 0.4% Bank of America Corp.............. 3,795,646 65,133,285 0.6% * Berkshire Hathaway, Inc. Class B.. 582,608 81,658,337 0.8% Citigroup, Inc.................... 1,092,668 58,490,518 0.6% JPMorgan Chase & Co............... 1,455,716 88,041,704 0.8% Wells Fargo & Co.................. 1,814,636 96,339,025 0.9% Other Securities.................. 1,163,708,954 10.7% ---------------- ------ Total Financials...................... 1,593,005,232 14.8% ---------------- ------ Health Care -- (10.4%) AbbVie, Inc....................... 728,519 46,231,816 0.4% Amgen, Inc........................ 236,350 38,331,243 0.4% * Celgene Corp...................... 360,073 38,560,218 0.4% * Gilead Sciences, Inc.............. 697,050 78,069,600 0.7% Johnson & Johnson................. 877,748 94,603,679 0.9% Merck & Co., Inc.................. 855,685 49,578,389 0.5% Pfizer, Inc....................... 2,180,998 65,320,890 0.6% UnitedHealth Group, Inc........... 363,224 34,509,912 0.3% Other Securities.................. 806,029,516 7.4% ---------------- ------ Total Health Care..................... 1,251,235,263 11.6% ---------------- ------ Industrials -- (12.0%) 3M Co............................. 282,916 43,503,993 0.4% Boeing Co. (The).................. 316,118 39,486,299 0.4%
53 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 2,771,119 $ 71,522,581 0.7% Union Pacific Corp................................. 440,988 51,353,053 0.5% Other Securities................................... 1,231,261,767 11.3% ---------------- ------ Total Industrials........................................ 1,437,127,693 13.3% ---------------- ------ Information Technology -- (15.9%) Apple, Inc......................................... 2,331,646 251,817,768 2.4% Cisco Systems, Inc................................. 1,778,262 43,514,071 0.4% * Facebook, Inc. Class A............................. 614,053 46,047,834 0.4% * Google, Inc. Class A............................... 68,974 39,168,265 0.4% * Google, Inc. Class C............................... 68,974 38,561,984 0.4% Hewlett-Packard Co................................. 1,245,191 44,677,453 0.4% Intel Corp......................................... 2,321,362 78,949,522 0.7% International Business Machines Corp............... 434,334 71,404,510 0.7% MasterCard, Inc. Class A........................... 457,872 38,346,780 0.4% Microsoft Corp..................................... 2,983,192 140,060,864 1.3% Oracle Corp........................................ 1,380,511 53,908,955 0.5% Visa, Inc. Class A................................. 152,055 36,710,639 0.4% Other Securities................................... 1,028,619,370 9.3% ---------------- ------ Total Information Technology............................. 1,911,788,015 17.7% ---------------- ------ Materials -- (4.5%) Other Securities................................... 532,177,083 4.9% ---------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 264,041 0.0% ---------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 3,470,117 120,898,876 1.1% Verizon Communications, Inc........................ 1,937,013 97,334,903 0.9% Other Securities................................... 66,541,900 0.7% ---------------- ------ Total Telecommunication Services......................... 284,775,679 2.7% ---------------- ------ Utilities -- (2.6%) Other Securities................................... 309,329,353 2.9% ---------------- ------ TOTAL COMMON STOCKS...................................... 10,746,415,696 99.7% ---------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 145,379 0.0% ---------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 68,557,782 68,557,782 0.6% ---------------- ------ SECURITIES LENDING COLLATERAL -- (9.8%) (S)@ DFA Short Term Investment Fund..................... 102,239,059 1,182,905,915 11.0% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,664,802,325).............................. $ 11,998,024,772 111.3% ================ ======
54 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 1,597,450,809 -- -- $ 1,597,450,809 Consumer Staples.............. 818,852,109 -- -- 818,852,109 Energy........................ 1,010,410,419 -- -- 1,010,410,419 Financials.................... 1,592,998,317 $ 6,915 -- 1,593,005,232 Health Care................... 1,251,174,357 60,906 -- 1,251,235,263 Industrials................... 1,437,127,437 256 -- 1,437,127,693 Information Technology........ 1,911,788,015 -- -- 1,911,788,015 Materials..................... 532,177,083 -- -- 532,177,083 Other......................... -- -- -- -- Real Estate Investment Trusts. 264,041 -- -- 264,041 Telecommunication Services.... 284,775,679 -- -- 284,775,679 Utilities..................... 309,329,353 -- -- 309,329,353 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 145,379 -- 145,379 Temporary Cash Investments...... 68,557,782 -- -- 68,557,782 Securities Lending Collateral... -- 1,182,905,915 -- 1,182,905,915 --------------- -------------- -- --------------- TOTAL........................... $10,814,905,401 $1,183,119,371 -- $11,998,024,772 =============== ============== == ===============
See accompanying Notes to Financial Statements. 55 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (88.6%) Consumer Discretionary -- (12.7%) Comcast Corp. Class A................ 1,577,147 $ 87,295,086 0.7% Ford Motor Co........................ 2,440,086 34,380,812 0.3% Time Warner, Inc..................... 517,992 41,164,824 0.3% Walt Disney Co. (The)................ 830,524 75,893,283 0.6% Other Securities..................... 1,601,655,653 12.3% ---------------- ------ Total Consumer Discretionary............. 1,840,389,658 14.2% ---------------- ------ Consumer Staples -- (5.4%) Coca-Cola Co. (The).................. 863,072 36,145,455 0.3% CVS Health Corp...................... 680,040 58,354,232 0.5% Mondelez International, Inc. Class A. 938,871 33,104,591 0.3% PepsiCo, Inc......................... 395,385 38,024,175 0.3% Procter & Gamble Co. (The)........... 646,219 56,395,532 0.4% Wal-Mart Stores, Inc................. 773,229 58,974,176 0.5% Other Securities..................... 503,989,119 3.8% ---------------- ------ Total Consumer Staples................... 784,987,280 6.1% ---------------- ------ Energy -- (9.8%) Anadarko Petroleum Corp.............. 422,817 38,806,144 0.3% Chevron Corp......................... 1,126,532 135,127,513 1.1% ConocoPhillips....................... 925,168 66,750,871 0.5% EOG Resources, Inc................... 548,973 52,179,884 0.4% Exxon Mobil Corp..................... 3,041,760 294,168,610 2.3% Occidental Petroleum Corp............ 592,054 52,651,362 0.4% Schlumberger, Ltd.................... 403,889 39,847,689 0.3% Other Securities..................... 751,831,712 5.8% ---------------- ------ Total Energy............................. 1,431,363,785 11.1% ---------------- ------ Financials -- (15.1%) American International Group, Inc.... 789,495 42,293,247 0.3% Bank of America Corp................. 4,303,562 73,849,124 0.6% * Berkshire Hathaway, Inc. Class B..... 311,601 43,673,996 0.3% Citigroup, Inc....................... 1,297,954 69,479,478 0.5% Goldman Sachs Group, Inc. (The)...... 185,924 35,323,701 0.3% JPMorgan Chase & Co.................. 1,554,077 93,990,577 0.7% U.S. Bancorp......................... 1,031,884 43,958,258 0.4% Wells Fargo & Co..................... 2,946,809 156,446,090 1.2% Other Securities..................... 1,627,776,216 12.6% ---------------- ------ Total Financials......................... 2,186,790,687 16.9% ---------------- ------ Health Care -- (9.7%) * Actavis P.L.C........................ 166,039 40,304,307 0.3% Amgen, Inc........................... 233,507 37,870,165 0.3% * Express Scripts Holding Co........... 462,397 35,521,338 0.3% * Gilead Sciences, Inc................. 289,862 32,464,544 0.3% Johnson & Johnson.................... 765,223 82,475,735 0.6% Merck & Co., Inc..................... 1,331,605 77,153,194 0.6% Pfizer, Inc.......................... 3,831,803 114,762,500 0.9% UnitedHealth Group, Inc.............. 576,403 54,764,049 0.4% Other Securities..................... 927,852,529 7.2% ---------------- ------ Total Health Care........................ 1,403,168,361 10.9% ---------------- ------ Industrials -- (12.7%) FedEx Corp........................... 214,708 35,942,119 0.3%
56 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 4,061,967 $ 104,839,368 0.8% Union Pacific Corp................................. 582,662 67,850,990 0.5% Other Securities................................... 1,641,438,599 12.7% ---------------- ------ Total Industrials........................................ 1,850,071,076 14.3% ---------------- ------ Information Technology -- (14.2%) Apple, Inc......................................... 2,232,888 241,151,904 1.9% Cisco Systems, Inc................................. 3,101,253 75,887,661 0.6% EMC Corp........................................... 1,136,231 32,643,917 0.3% Hewlett-Packard Co................................. 1,806,885 64,831,034 0.5% Intel Corp......................................... 3,577,014 121,654,246 1.0% International Business Machines Corp............... 186,013 30,580,537 0.2% * Micron Technology, Inc............................. 1,086,356 35,947,520 0.3% Microsoft Corp..................................... 1,737,915 81,595,109 0.6% Oracle Corp........................................ 1,022,019 39,909,842 0.3% QUALCOMM, Inc...................................... 393,081 30,860,789 0.3% Visa, Inc. Class A................................. 136,797 33,026,900 0.3% Other Securities................................... 1,276,645,797 9.7% ---------------- ------ Total Information Technology............................. 2,064,735,256 16.0% ---------------- ------ Materials -- (4.7%) Dow Chemical Co. (The)............................. 754,020 37,248,588 0.3% Other Securities................................... 640,874,719 5.0% ---------------- ------ Total Materials.......................................... 678,123,307 5.3% ---------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 593,324 0.0% ---------------- ------ Telecommunication Services -- (2.5%) AT&T, Inc.......................................... 5,301,166 184,692,623 1.4% Verizon Communications, Inc........................ 1,840,744 92,497,386 0.7% Other Securities................................... 86,537,531 0.7% ---------------- ------ Total Telecommunication Services......................... 363,727,540 2.8% ---------------- ------ Utilities -- (1.8%) Other Securities................................... 259,558,443 2.0% ---------------- ------ TOTAL COMMON STOCKS...................................... 12,863,508,717 99.6% ---------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 252,082 0.0% ---------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 94,206,014 94,206,014 0.7% ---------------- ------ SECURITIES LENDING COLLATERAL -- (10.8%) (S)@ DFA Short Term Investment Fund..................... 135,602,661 1,568,922,783 12.1% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,169,853,055)............................. $ 14,526,889,596 112.4% ================ ======
57 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 1,840,389,658 -- -- $ 1,840,389,658 Consumer Staples.............. 784,987,280 -- -- 784,987,280 Energy........................ 1,431,363,785 -- -- 1,431,363,785 Financials.................... 2,186,774,436 $ 16,251 -- 2,186,790,687 Health Care................... 1,403,030,086 138,275 -- 1,403,168,361 Industrials................... 1,850,070,433 643 -- 1,850,071,076 Information Technology........ 2,064,735,256 -- -- 2,064,735,256 Materials..................... 678,123,307 -- -- 678,123,307 Other......................... -- -- -- -- Real Estate Investment Trusts. 593,324 -- -- 593,324 Telecommunication Services.... 363,727,540 -- -- 363,727,540 Utilities..................... 259,558,443 -- -- 259,558,443 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 252,082 -- 252,082 Temporary Cash Investments...... 94,206,014 -- -- 94,206,014 Securities Lending Collateral... -- 1,568,922,783 -- 1,568,922,783 --------------- -------------- -- --------------- TOTAL........................... $12,957,559,562 $1,569,330,034 -- $14,526,889,596 =============== ============== == ===============
See accompanying Notes to Financial Statements. 58 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (86.5%) Consumer Discretionary -- (12.1%) Comcast Corp. Class A......................... 376,209 $ 20,823,168 0.6% Royal Caribbean Cruises, Ltd.................. 124,720 8,477,218 0.3% Time Warner, Inc.............................. 97,900 7,780,113 0.2% Walt Disney Co. (The)......................... 118,253 10,805,959 0.3% Other Securities.............................. 441,023,946 12.6% --------------- ------ Total Consumer Discretionary...................... 488,910,404 14.0% --------------- ------ Consumer Staples -- (3.8%) CVS Health Corp............................... 113,204 9,714,035 0.3% Mondelez International, Inc. Class A.......... 196,387 6,924,606 0.2% Procter & Gamble Co. (The).................... 105,525 9,209,167 0.3% Wal-Mart Stores, Inc.......................... 102,008 7,780,150 0.2% Other Securities.............................. 119,884,682 3.4% --------------- ------ Total Consumer Staples............................ 153,512,640 4.4% --------------- ------ Energy -- (9.6%) Anadarko Petroleum Corp....................... 78,236 7,180,500 0.2% Chesapeake Energy Corp........................ 444,198 9,852,312 0.3% Chevron Corp.................................. 304,598 36,536,530 1.1% ConocoPhillips................................ 228,045 16,453,447 0.5% Exxon Mobil Corp.............................. 436,562 42,219,911 1.2% Marathon Oil Corp............................. 194,277 6,877,406 0.2% Occidental Petroleum Corp..................... 145,981 12,982,090 0.4% Tesoro Corp................................... 131,157 9,365,921 0.3% Other Securities.............................. 246,404,013 6.9% --------------- ------ Total Energy...................................... 387,872,130 11.1% --------------- ------ Financials -- (20.3%) American Financial Group, Inc................. 113,571 6,794,953 0.2% American International Group, Inc............. 128,798 6,899,709 0.2% Bank of America Corp.......................... 1,204,998 20,677,766 0.6% Citigroup, Inc................................ 374,753 20,060,528 0.6% Fifth Third Bancorp........................... 469,063 9,376,569 0.3% Goldman Sachs Group, Inc. (The)............... 52,050 9,888,979 0.3% Hartford Financial Services Group, Inc. (The). 257,997 10,211,521 0.3% JPMorgan Chase & Co........................... 438,800 26,538,624 0.8% # M&T Bank Corp................................. 59,225 7,236,110 0.2% Principal Financial Group, Inc................ 157,281 8,236,806 0.2% Wells Fargo & Co.............................. 479,911 25,478,475 0.7% Other Securities.............................. 666,128,875 18.9% --------------- ------ Total Financials.................................. 817,528,915 23.3% --------------- ------ Health Care -- (7.1%) * Community Health Systems, Inc................. 139,365 7,660,894 0.2% Johnson & Johnson............................. 90,092 9,710,116 0.3% Merck & Co., Inc.............................. 149,737 8,675,762 0.3% Pfizer, Inc................................... 459,005 13,747,200 0.4% UnitedHealth Group, Inc....................... 73,101 6,945,326 0.2% Other Securities.............................. 237,840,156 6.7% --------------- ------ Total Health Care................................. 284,579,454 8.1% --------------- ------ Industrials -- (12.8%) * Avis Budget Group, Inc........................ 124,765 6,955,649 0.2% CSX Corp...................................... 254,141 9,055,044 0.3%
59 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 600,239 $ 15,492,169 0.5% Ryder System, Inc.................................. 84,178 7,447,228 0.2% Southwest Airlines Co.............................. 457,205 15,764,428 0.5% Union Pacific Corp................................. 76,102 8,862,078 0.3% Other Securities................................... 450,368,535 12.7% -------------- ------ Total Industrials........................................ 513,945,131 14.7% -------------- ------ Information Technology -- (12.0%) Apple, Inc......................................... 308,343 33,301,044 1.0% Cisco Systems, Inc................................. 296,995 7,267,468 0.2% Hewlett-Packard Co................................. 265,841 9,538,375 0.3% Intel Corp......................................... 534,019 18,161,986 0.5% * Micron Technology, Inc............................. 569,578 18,847,336 0.6% Visa, Inc. Class A................................. 29,003 7,002,194 0.2% Xerox Corp......................................... 731,469 9,713,908 0.3% Other Securities................................... 379,126,950 10.7% -------------- ------ Total Information Technology............................. 482,959,261 13.8% -------------- ------ Materials -- (5.3%) Alcoa, Inc......................................... 555,703 9,313,582 0.3% Other Securities................................... 203,498,776 5.8% -------------- ------ Total Materials.......................................... 212,812,358 6.1% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 331,286 0.0% -------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 1,356,088 47,246,106 1.4% # Frontier Communications Corp....................... 1,416,600 9,264,564 0.3% Verizon Communications, Inc........................ 259,639 13,046,860 0.4% Other Securities................................... 25,696,436 0.6% -------------- ------ Total Telecommunication Services......................... 95,253,966 2.7% -------------- ------ Utilities -- (1.1%) UGI Corp........................................... 220,072 8,294,514 0.3% Other Securities................................... 37,638,733 1.0% -------------- ------ Total Utilities.......................................... 45,933,247 1.3% -------------- ------ TOTAL COMMON STOCKS...................................... 3,483,638,792 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 106,905 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 24,721,165 24,721,165 0.7% -------------- ------ SECURITIES LENDING COLLATERAL -- (12.9%) (S)@ DFA Short Term Investment Fund..................... 44,982,839 520,451,452 14.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,903,882,897).............................. $4,028,918,314 115.1% ============== ======
60 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 488,910,404 -- -- $ 488,910,404 Consumer Staples.............. 153,512,640 -- -- 153,512,640 Energy........................ 387,872,130 -- -- 387,872,130 Financials.................... 817,520,648 $ 8,267 -- 817,528,915 Health Care................... 284,498,197 81,257 -- 284,579,454 Industrials................... 513,944,646 485 -- 513,945,131 Information Technology........ 482,959,261 -- -- 482,959,261 Materials..................... 212,812,358 -- -- 212,812,358 Other......................... -- -- -- -- Real Estate Investment Trusts. 331,286 -- -- 331,286 Telecommunication Services.... 95,253,966 -- -- 95,253,966 Utilities..................... 45,933,247 -- -- 45,933,247 Rights/Warrants................. -- 106,905 -- 106,905 Temporary Cash Investments...... 24,721,165 -- -- 24,721,165 Securities Lending Collateral... -- 520,451,452 -- 520,451,452 -------------- ------------ -- -------------- TOTAL........................... $3,508,269,948 $520,648,366 -- $4,028,918,314 ============== ============ == ==============
See accompanying Notes to Financial Statements. 61 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (80.3%) Consumer Discretionary -- (13.7%) * Bally Technologies, Inc........................ 257,968 $ 20,740,627 0.2% Brinker International, Inc..................... 379,132 20,336,640 0.2% #* Buffalo Wild Wings, Inc........................ 162,131 24,202,916 0.3% CST Brands, Inc................................ 532,474 20,367,130 0.2% #* Deckers Outdoor Corp........................... 257,054 22,481,943 0.3% DeVry Education Group, Inc..................... 412,952 19,991,006 0.2% Jack in the Box, Inc........................... 308,443 21,911,791 0.2% #* Office Depot, Inc.............................. 3,809,109 19,883,549 0.2% Vail Resorts, Inc.............................. 245,102 21,167,009 0.2% Other Securities............................... 1,382,129,791 15.0% -------------- ------ Total Consumer Discretionary....................... 1,573,212,402 17.0% -------------- ------ Consumer Staples -- (3.1%) # Casey's General Stores, Inc.................... 251,413 20,583,182 0.2% #* TreeHouse Foods, Inc........................... 239,572 20,404,347 0.2% Other Securities............................... 317,916,909 3.5% -------------- ------ Total Consumer Staples............................. 358,904,438 3.9% -------------- ------ Energy -- (4.0%) SemGroup Corp. Class A......................... 263,275 20,206,356 0.2% Western Refining, Inc.......................... 468,468 21,357,456 0.2% Other Securities............................... 410,824,870 4.5% -------------- ------ Total Energy....................................... 452,388,682 4.9% -------------- ------ Financials -- (14.0%) Hanover Insurance Group, Inc. (The)............ 296,712 19,861,901 0.2% PacWest Bancorp................................ 526,842 22,475,080 0.3% PRA Group, Inc................................. 343,533 21,728,462 0.2% Primerica, Inc................................. 389,301 19,912,746 0.2% # Webster Financial Corp......................... 636,653 19,952,705 0.2% Other Securities............................... 1,502,713,168 16.3% -------------- ------ Total Financials................................... 1,606,644,062 17.4% -------------- ------ Health Care -- (7.9%) #* Acadia Healthcare Co., Inc..................... 315,944 19,604,325 0.2% #* Akorn, Inc..................................... 616,939 27,484,632 0.3% * Charles River Laboratories International, Inc.. 354,585 22,395,589 0.2% * Health Net, Inc................................ 485,957 23,087,817 0.3% #* Myriad Genetics, Inc........................... 502,527 19,844,791 0.2% #* PAREXEL International Corp..................... 364,006 19,769,166 0.2% STERIS Corp.................................... 354,414 21,902,785 0.2% * Team Health Holdings, Inc...................... 313,378 19,598,660 0.2% * VCA, Inc....................................... 609,114 27,757,325 0.3% Other Securities............................... 709,508,725 7.7% -------------- ------ Total Health Care.................................. 910,953,815 9.8% -------------- ------ Industrials -- (14.2%) AMERCO......................................... 73,355 19,888,008 0.2% * Avis Budget Group, Inc......................... 435,404 24,273,773 0.3% # Deluxe Corp.................................... 349,991 21,279,453 0.2% * Esterline Technologies Corp.................... 177,418 20,777,422 0.2% #* JetBlue Airways Corp........................... 2,047,846 23,632,143 0.3% # Landstar System, Inc........................... 301,440 22,309,574 0.2%
62 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * Spirit Airlines, Inc............................... 478,914 $ 35,013,403 0.4% Other Securities................................... 1,465,256,854 15.9% --------------- ------ Total Industrials........................................ 1,632,430,630 17.7% --------------- ------ Information Technology -- (15.1%) Belden, Inc........................................ 276,789 19,704,609 0.2% #* Euronet Worldwide, Inc............................. 365,226 19,601,679 0.2% # Lexmark International, Inc. Class A................ 459,716 19,841,343 0.2% * Manhattan Associates, Inc.......................... 530,401 21,274,384 0.2% MAXIMUS, Inc....................................... 410,048 19,870,926 0.2% #* RF Micro Devices, Inc.............................. 2,363,583 30,750,215 0.3% #* SunEdison, Inc..................................... 1,101,380 21,487,924 0.2% * TriQuint Semiconductor, Inc........................ 972,167 21,027,972 0.2% #* Tyler Technologies, Inc............................ 193,221 21,625,294 0.2% * Verint Systems, Inc................................ 375,753 21,602,040 0.2% * Zebra Technologies Corp. Class A................... 299,973 22,123,009 0.2% Other Securities................................... 1,495,177,591 16.4% --------------- ------ Total Information Technology............................. 1,734,086,986 18.7% --------------- ------ Materials -- (4.6%) * KapStone Paper and Packaging Corp.................. 691,634 21,274,662 0.2% PolyOne Corp....................................... 529,913 19,612,080 0.2% Sensient Technologies Corp......................... 344,921 20,412,425 0.2% Other Securities................................... 463,837,105 5.1% --------------- ------ Total Materials.......................................... 525,136,272 5.7% --------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 6,833,308 0.1% --------------- ------ Telecommunication Services -- (0.6%) Other Securities................................... 66,162,824 0.7% --------------- ------ Utilities -- (3.0%) # IDACORP, Inc....................................... 340,628 21,537,908 0.2% # Portland General Electric Co....................... 536,212 19,523,479 0.2% Other Securities................................... 300,094,187 3.3% --------------- ------ Total Utilities.......................................... 341,155,574 3.7% --------------- ------ TOTAL COMMON STOCKS...................................... 9,207,908,993 99.6% --------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 649,334 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077%. 60,668,500 60,668,500 0.7% --------------- ------ SECURITIES LENDING COLLATERAL -- (19.2%) (S)@ DFA Short Term Investment Fund..................... 189,974,372 2,198,003,488 23.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,932,593,064)................................ $11,467,230,315 124.0% =============== ======
63 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $1,573,212,400 $ 2 -- $ 1,573,212,402 Consumer Staples.............. 358,904,438 -- -- 358,904,438 Energy........................ 452,346,657 42,025 -- 452,388,682 Financials.................... 1,606,582,081 61,981 -- 1,606,644,062 Health Care................... 910,730,859 222,956 -- 910,953,815 Industrials................... 1,632,425,904 4,726 -- 1,632,430,630 Information Technology........ 1,734,086,986 -- -- 1,734,086,986 Materials..................... 525,136,272 -- -- 525,136,272 Other......................... -- -- -- -- Real Estate Investment Trusts. 6,833,308 -- -- 6,833,308 Telecommunication Services.... 66,162,824 -- -- 66,162,824 Utilities..................... 341,155,574 -- -- 341,155,574 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 649,334 -- 649,334 Temporary Cash Investments...... 60,668,500 -- -- 60,668,500 Securities Lending Collateral... -- 2,198,003,488 -- 2,198,003,488 -------------- -------------- -- --------------- TOTAL........................... $9,268,245,803 $2,198,984,512 -- $11,467,230,315 ============== ============== == ===============
See accompanying Notes to Financial Statements. 64 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (83.1%) Consumer Discretionary -- (15.5%) * American Axle & Manufacturing Holdings, Inc.. 680,737 $ 13,158,646 0.3% * Asbury Automotive Group, Inc................. 267,366 18,726,315 0.4% * Barnes & Noble, Inc.......................... 568,814 12,411,521 0.3% * Fiesta Restaurant Group, Inc................. 292,642 16,139,206 0.3% Finish Line, Inc. (The) Class A.............. 589,373 15,600,703 0.3% #* G-III Apparel Group, Ltd..................... 193,446 15,349,940 0.3% #* Gentherm, Inc................................ 334,287 13,939,768 0.3% * Grand Canyon Education, Inc.................. 367,324 17,594,820 0.4% #* Krispy Kreme Doughnuts, Inc.................. 695,719 13,163,003 0.3% La-Z-Boy, Inc................................ 590,026 13,487,994 0.3% # Nexstar Broadcasting Group, Inc. Class A..... 281,414 12,697,400 0.3% # Papa John's International, Inc............... 394,891 18,465,103 0.4% #* Pinnacle Entertainment, Inc.................. 540,950 13,864,549 0.3% * Skechers U.S.A., Inc. Class A................ 270,836 14,828,271 0.3% #* Sonic Corp................................... 668,078 16,842,246 0.3% Other Securities............................. 706,781,303 13.8% ------------ ------ Total Consumer Discretionary..................... 933,050,788 18.6% ------------ ------ Consumer Staples -- (3.3%) Andersons, Inc. (The)........................ 269,438 17,171,284 0.4% # Cal-Maine Foods, Inc......................... 193,250 16,965,417 0.3% J&J Snack Foods Corp......................... 159,784 16,462,545 0.3% #* Revlon, Inc. Class A......................... 378,632 12,987,078 0.3% #* USANA Health Sciences, Inc................... 141,615 16,141,278 0.3% Other Securities............................. 121,056,784 2.4% ------------ ------ Total Consumer Staples........................... 200,784,386 4.0% ------------ ------ Energy -- (3.7%) # EnLink Midstream LLC......................... 393,707 14,921,495 0.3% Other Securities............................. 207,038,617 4.1% ------------ ------ Total Energy..................................... 221,960,112 4.4% ------------ ------ Financials -- (14.6%) #* Encore Capital Group, Inc.................... 304,239 13,845,917 0.3% # FBL Financial Group, Inc. Class A............ 271,426 13,457,301 0.3% Horace Mann Educators Corp................... 426,348 12,965,243 0.3% Interactive Brokers Group, Inc. Class A...... 531,116 13,713,415 0.3% * Western Alliance Bancorp..................... 615,654 16,388,709 0.3% Other Securities............................. 809,367,891 16.0% ------------ ------ Total Financials................................. 879,738,476 17.5% ------------ ------ Health Care -- (8.4%) * Amsurg Corp.................................. 250,349 13,521,349 0.3% Cantel Medical Corp.......................... 297,616 12,618,918 0.3% * Greatbatch, Inc.............................. 248,195 12,456,907 0.3% * NuVasive, Inc................................ 346,328 14,164,815 0.3% * Prestige Brands Holdings, Inc................ 348,415 12,340,859 0.3% Other Securities............................. 439,265,444 8.5% ------------ ------ Total Health Care................................ 504,368,292 10.0% ------------ ------ Industrials -- (15.6%) # Apogee Enterprises, Inc...................... 317,666 13,945,537 0.3% #* EnPro Industries, Inc........................ 210,828 13,604,731 0.3% # Greenbrier Cos., Inc. (The).................. 233,628 14,611,095 0.3%
65 U.S. MICRO CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) H&E Equipment Services, Inc........................ 339,346 $ 12,688,147 0.3% * Huron Consulting Group, Inc........................ 179,182 12,472,859 0.3% Mueller Water Products, Inc. Class A............... 1,527,697 15,078,369 0.3% Other Securities................................... 858,642,440 16.9% -------------- ------ Total Industrials........................................ 941,043,178 18.7% -------------- ------ Information Technology -- (14.9%) #* Electronics for Imaging, Inc....................... 305,091 13,948,761 0.3% # Heartland Payment Systems, Inc..................... 346,861 17,915,371 0.4% * Integrated Device Technology, Inc.................. 1,015,649 16,666,800 0.3% * Manhattan Associates, Inc.......................... 380,234 15,251,186 0.3% Methode Electronics, Inc........................... 463,289 18,244,321 0.4% #* SunEdison, Inc..................................... 1,009,218 19,689,843 0.4% Tessera Technologies, Inc.......................... 421,657 12,814,156 0.3% * TriQuint Semiconductor, Inc........................ 757,922 16,393,853 0.3% #* Unisys Corp........................................ 544,766 13,967,800 0.3% Other Securities................................... 751,678,217 14.8% -------------- ------ Total Information Technology............................. 896,570,308 17.8% -------------- ------ Materials -- (4.6%) * Century Aluminum Co................................ 535,169 15,669,748 0.3% * Clearwater Paper Corp.............................. 193,931 12,479,460 0.3% Other Securities................................... 249,382,985 4.9% -------------- ------ Total Materials.......................................... 277,532,193 5.5% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 2,396,667 0.1% -------------- ------ Telecommunication Services -- (1.0%) Other Securities................................... 63,026,319 1.3% -------------- ------ Utilities -- (1.5%) American States Water Co........................... 369,652 13,226,148 0.3% # MGE Energy, Inc.................................... 294,935 13,115,759 0.3% Other Securities................................... 62,966,045 1.2% -------------- ------ Total Utilities.......................................... 89,307,952 1.8% -------------- ------ TOTAL COMMON STOCKS...................................... 5,009,778,671 99.7% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 269,653 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.077%. 16,819,521 16,819,521 0.3% -------------- ------ SECURITIES LENDING COLLATERAL -- (16.6%) (S)@ DFA Short Term Investment Fund..................... 86,521,072 1,001,048,800 19.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,367,248,025)................................ $6,027,916,645 119.9% ============== ======
66 U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 933,050,787 $ 1 -- $ 933,050,788 Consumer Staples.............. 200,784,386 -- -- 200,784,386 Energy........................ 221,805,032 155,080 -- 221,960,112 Financials.................... 879,666,150 72,326 -- 879,738,476 Health Care................... 504,182,595 185,697 -- 504,368,292 Industrials................... 941,039,023 4,155 -- 941,043,178 Information Technology........ 896,570,308 -- -- 896,570,308 Materials..................... 277,532,193 -- -- 277,532,193 Other......................... -- -- -- -- Real Estate Investment Trusts. 2,396,667 -- -- 2,396,667 Telecommunication Services.... 63,026,319 -- -- 63,026,319 Utilities..................... 89,307,952 -- -- 89,307,952 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 269,653 -- 269,653 Temporary Cash Investments...... 16,819,521 -- -- 16,819,521 Securities Lending Collateral... -- 1,001,048,800 -- 1,001,048,800 -------------- -------------- -- -------------- TOTAL........................... $5,026,180,933 $1,001,735,712 -- $6,027,916,645 ============== ============== == ==============
See accompanying Notes to Financial Statements. 67 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.0%) Real Estate Investment Trusts -- (90.0%) Alexandria Real Estate Equities, Inc.......... 791,699 $ 65,711,017 1.0% # American Campus Communities, Inc.............. 1,153,808 45,310,040 0.7% # American Realty Capital Properties, Inc....... 5,321,381 47,200,649 0.7% Apartment Investment & Management Co. Class A. 1,624,363 58,135,952 0.9% # AvalonBay Communities, Inc.................... 1,431,583 223,097,895 3.4% # BioMed Realty Trust, Inc...................... 2,139,472 46,469,332 0.7% Boston Properties, Inc........................ 1,673,636 212,133,363 3.2% Camden Property Trust......................... 947,053 72,610,554 1.1% # CBL & Associates Properties, Inc.............. 1,839,671 35,192,906 0.5% CubeSmart..................................... 1,589,488 33,458,722 0.5% # DDR Corp...................................... 3,339,854 60,584,952 0.9% # Digital Realty Trust, Inc..................... 1,494,005 103,071,405 1.6% Douglas Emmett, Inc........................... 1,494,511 42,040,594 0.6% Duke Realty Corp.............................. 3,643,400 69,078,864 1.0% # EPR Properties................................ 597,214 33,503,705 0.5% Equity Lifestyle Properties, Inc.............. 859,740 42,213,234 0.6% # Equity Residential............................ 3,771,256 262,328,567 4.0% # Essex Property Trust, Inc..................... 685,289 138,263,909 2.1% # Extra Space Storage, Inc...................... 1,217,347 70,800,902 1.1% # Federal Realty Investment Trust............... 728,119 95,966,084 1.5% General Growth Properties, Inc................ 5,802,509 150,343,008 2.3% HCP, Inc...................................... 5,063,898 222,659,595 3.4% Health Care REIT, Inc......................... 3,459,746 246,022,538 3.7% # Highwoods Properties, Inc..................... 997,646 42,769,084 0.6% # Home Properties, Inc.......................... 621,337 39,958,182 0.6% Hospitality Properties Trust.................. 1,637,839 48,496,413 0.7% Host Hotels & Resorts, Inc.................... 8,279,024 192,984,049 2.9% # Kilroy Realty Corp............................ 911,462 61,742,436 0.9% # Kimco Realty Corp............................. 4,516,480 112,686,176 1.7% # LaSalle Hotel Properties...................... 1,141,367 44,753,000 0.7% Liberty Property Trust........................ 1,633,481 56,796,134 0.9% # Macerich Co. (The)............................ 1,539,214 108,514,587 1.6% # Mid-America Apartment Communities, Inc........ 819,830 57,929,188 0.9% # National Retail Properties, Inc............... 1,384,837 52,789,986 0.8% # Omega Healthcare Investors, Inc............... 1,382,991 52,774,937 0.8% Prologis, Inc................................. 5,512,059 229,577,257 3.5% Public Storage................................ 1,571,862 289,757,041 4.4% # Realty Income Corp............................ 2,420,743 111,426,800 1.7% # Regency Centers Corp.......................... 1,007,704 61,167,633 0.9% RLJ Lodging Trust............................. 1,128,833 36,370,999 0.5% # Senior Housing Properties Trust............... 2,260,850 51,072,602 0.8% Simon Property Group, Inc..................... 3,371,761 604,253,289 9.1% # SL Green Realty Corp.......................... 1,058,736 122,495,755 1.9% Sunstone Hotel Investors, Inc................. 2,212,797 33,877,922 0.5% Tanger Factory Outlet Centers, Inc............ 1,069,184 38,244,712 0.6% Taubman Centers, Inc.......................... 695,179 52,868,363 0.8% # UDR, Inc...................................... 2,771,443 83,780,722 1.3% # Ventas, Inc................................... 3,262,593 223,520,246 3.4% Vornado Realty Trust.......................... 1,850,466 202,589,018 3.1% # Weingarten Realty Investors................... 1,269,483 46,018,759 0.7% Other Securities.............................. 1,148,616,643 17.4% -------------- ------ TOTAL COMMON STOCKS............................... 6,584,029,720 99.7% -------------- ------
68 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077%. 27,425,306 $ 27,425,306 0.4% -------------- ------ SECURITIES LENDING COLLATERAL -- (9.6%) (S)@ DFA Short Term Investment Fund..................... 60,664,727 701,890,889 10.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,122,699,751)................................ $7,313,345,915 110.7% ============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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. $6,584,029,720 -- -- $6,584,029,720 Temporary Cash Investments...... 27,425,306 -- -- 27,425,306 Securities Lending Collateral... -- $701,890,889 -- 701,890,889 -------------- ------------ -- -------------- TOTAL........................... $6,611,455,026 $701,890,889 -- $7,313,345,915 ============== ============ == ==============
See accompanying Notes to Financial Statements. 69 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (94.2%) AUSTRALIA -- (6.6%) Australia & New Zealand Banking Group, Ltd.. 526,856 $ 15,589,969 0.5% BHP Billiton, Ltd........................... 571,441 17,095,701 0.6% Commonwealth Bank of Australia.............. 314,221 22,344,073 0.7% National Australia Bank, Ltd................ 454,011 14,045,173 0.5% # Westpac Banking Corp........................ 453,022 13,905,175 0.5% Other Securities............................ 134,310,814 4.1% ------------ ------ TOTAL AUSTRALIA................................. 217,290,905 6.9% ------------ ------ AUSTRIA -- (0.2%) Other Securities............................ 7,427,701 0.2% ------------ ------ BELGIUM -- (1.2%) Anheuser-Busch InBev NV..................... 144,598 16,035,104 0.5% Other Securities............................ 22,572,524 0.7% ------------ ------ TOTAL BELGIUM................................... 38,607,628 1.2% ------------ ------ CANADA -- (9.3%) Bank of Nova Scotia (The)................... 196,436 12,029,646 0.4% Canadian National Railway Co................ 152,460 10,748,832 0.4% # Royal Bank of Canada........................ 225,667 16,020,245 0.5% Suncor Energy, Inc.......................... 296,232 10,518,792 0.3% # Toronto-Dominion Bank (The)................. 301,119 14,820,169 0.5% Other Securities............................ 242,622,337 7.7% ------------ ------ TOTAL CANADA.................................... 306,760,021 9.8% ------------ ------ CHINA -- (0.0%) Other Securities............................ 3,494 0.0% ------------ ------ DENMARK -- (1.5%) Novo Nordisk A.S. Class B................... 330,597 14,943,883 0.5% Other Securities............................ 34,075,141 1.1% ------------ ------ TOTAL DENMARK................................... 49,019,024 1.6% ------------ ------ FINLAND -- (0.9%) Other Securities............................ 29,928,767 1.0% ------------ ------ FRANCE -- (8.1%) BNP Paribas SA.............................. 203,287 12,774,973 0.4% GDF Suez.................................... 405,920 9,855,705 0.3% Sanofi...................................... 182,023 16,516,773 0.5% Total SA.................................... 344,554 20,570,996 0.7% Total SA Sponsored ADR...................... 157,489 9,432,016 0.3% Other Securities............................ 197,427,518 6.3% ------------ ------ TOTAL FRANCE.................................... 266,577,981 8.5% ------------ ------ GERMANY -- (6.9%) Allianz SE.................................. 62,165 9,885,610 0.3% BASF SE..................................... 181,171 16,008,296 0.5% Bayer AG.................................... 148,280 21,207,267 0.7% Daimler AG.................................. 228,081 17,783,242 0.6% Deutsche Telekom AG......................... 651,915 9,826,521 0.3% SAP SE...................................... 139,819 9,526,626 0.3%
70 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GERMANY -- (Continued) Siemens AG............................ 130,441 $ 14,712,887 0.5% Other Securities...................... 129,566,943 4.1% ------------ ------ TOTAL GERMANY............................. 228,517,392 7.3% ------------ ------ HONG KONG -- (2.8%) AIA Group, Ltd........................ 2,277,800 12,711,091 0.4% Other Securities...................... 79,404,008 2.5% ------------ ------ TOTAL HONG KONG........................... 92,115,099 2.9% ------------ ------ IRELAND -- (0.3%) Other Securities...................... 10,902,224 0.4% ------------ ------ ISRAEL -- (0.5%) Other Securities...................... 16,449,184 0.5% ------------ ------ ITALY -- (2.0%) Other Securities...................... 64,765,328 2.1% ------------ ------ JAPAN -- (18.6%) Softbank Corp......................... 209,500 15,251,477 0.5% Sumitomo Mitsui Financial Group, Inc.. 286,140 11,669,620 0.4% Toyota Motor Corp..................... 378,600 22,783,080 0.7% # Toyota Motor Corp. Sponsored ADR...... 105,729 12,830,214 0.4% Other Securities...................... 553,051,651 17.7% ------------ ------ TOTAL JAPAN............................... 615,586,042 19.7% ------------ ------ NETHERLANDS -- (2.4%) Unilever NV........................... 266,779 10,339,940 0.3% Other Securities...................... 68,414,087 2.2% ------------ ------ TOTAL NETHERLANDS......................... 78,754,027 2.5% ------------ ------ NEW ZEALAND -- (0.1%) Other Securities...................... 3,501,854 0.1% ------------ ------ NORWAY -- (0.8%) Other Securities...................... 26,556,960 0.9% ------------ ------ PORTUGAL -- (0.1%) Other Securities...................... 4,838,531 0.2% ------------ ------ SINGAPORE -- (1.4%) Other Securities...................... 45,340,958 1.5% ------------ ------ SPAIN -- (2.9%) Banco Santander SA.................... 1,186,769 10,485,725 0.3% Other Securities...................... 84,238,910 2.7% ------------ ------ TOTAL SPAIN............................... 94,724,635 3.0% ------------ ------ SWEDEN -- (2.7%) Other Securities...................... 90,294,870 2.9% ------------ ------ SWITZERLAND -- (7.7%) Nestle SA............................. 676,440 49,606,116 1.6% Novartis AG........................... 316,879 29,407,276 0.9% Roche Holding AG...................... 154,264 45,523,518 1.5%
71 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) UBS AG.................................. 590,475 $ 10,267,258 0.3% Other Securities........................ 121,195,401 3.9% -------------- ------ TOTAL SWITZERLAND............................. 255,999,569 8.2% -------------- ------ UNITED KINGDOM -- (17.2%) AstraZeneca P.L.C....................... 135,231 9,878,401 0.3% BG Group P.L.C.......................... 671,968 11,199,040 0.4% BP P.L.C. Sponsored ADR................. 574,678 24,975,506 0.8% British American Tobacco P.L.C.......... 312,442 17,708,463 0.6% Diageo P.L.C. Sponsored ADR............. 84,093 9,920,451 0.3% GlaxoSmithKline P.L.C................... 551,788 12,478,114 0.4% GlaxoSmithKline P.L.C. Sponsored ADR.... 251,446 11,438,278 0.4% HSBC Holdings P.L.C..................... 1,656,444 16,888,049 0.5% HSBC Holdings P.L.C. Sponsored ADR...... 376,440 19,205,968 0.6% * Lloyds Banking Group P.L.C.............. 10,257,881 12,667,343 0.4% Reckitt Benckiser Group P.L.C........... 128,515 10,823,979 0.3% Royal Dutch Shell P.L.C. ADR(780259107). 236,955 17,693,430 0.6% Royal Dutch Shell P.L.C. ADR(780259206). 214,807 15,420,994 0.5% SABMiller P.L.C......................... 165,893 9,383,398 0.3% Vodafone Group P.L.C. Sponsored ADR..... 316,816 10,524,640 0.3% Other Securities........................ 357,097,125 11.4% -------------- ------ TOTAL UNITED KINGDOM.......................... 567,303,179 18.1% -------------- ------ TOTAL COMMON STOCKS........................... 3,111,265,373 99.5% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities........................ 1,582,057 0.1% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 63,660 0.0% -------------- ------ TOTAL PREFERRED STOCKS........................ 1,645,717 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 100,270 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities........................ 12,601 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities........................ 226,054 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 338,925 0.0% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (5.7%) (S)@ DFA Short Term Investment Fund.......... 16,325,035 188,880,651 6.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,750,017,138)..................... $3,302,130,666 105.6% ============== ======
72 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 8,253,899 $ 209,037,006 -- $ 217,290,905 Austria..................... 36,240 7,391,461 -- 7,427,701 Belgium..................... 3,743,401 34,864,227 -- 38,607,628 Canada...................... 306,760,021 -- -- 306,760,021 China....................... -- 3,494 -- 3,494 Denmark..................... 5,265,955 43,753,069 -- 49,019,024 Finland..................... 1,828,828 28,099,939 -- 29,928,767 France...................... 14,281,625 252,296,356 -- 266,577,981 Germany..................... 20,097,451 208,419,941 -- 228,517,392 Hong Kong................... 942,735 91,172,364 -- 92,115,099 Ireland..................... 2,411,937 8,490,287 -- 10,902,224 Israel...................... 9,386,887 7,062,297 -- 16,449,184 Italy....................... 5,549,475 59,215,853 -- 64,765,328 Japan....................... 41,929,430 573,656,612 -- 615,586,042 Netherlands................. 13,454,571 65,299,456 -- 78,754,027 New Zealand................. -- 3,501,854 -- 3,501,854 Norway...................... 2,043,769 24,513,191 -- 26,556,960 Portugal.................... 33,089 4,805,442 -- 4,838,531 Singapore................... -- 45,340,958 -- 45,340,958 Spain....................... 20,154,651 74,569,984 -- 94,724,635 Sweden...................... 694,698 89,600,172 -- 90,294,870 Switzerland................. 18,961,389 237,038,180 -- 255,999,569 United Kingdom.............. 179,901,050 387,402,129 -- 567,303,179 Preferred Stocks Germany..................... -- 1,582,057 -- 1,582,057 United Kingdom.............. -- 63,660 -- 63,660 Rights/Warrants France...................... -- 100,270 -- 100,270 Germany..................... -- 12,601 -- 12,601 Spain....................... -- 226,054 -- 226,054 Securities Lending Collateral. -- 188,880,651 -- 188,880,651 ------------ -------------- -- -------------- TOTAL......................... $655,731,101 $2,646,399,565 -- $3,302,130,666 ============ ============== == ==============
See accompanying Notes to Financial Statements. 73 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.3%) AUSTRALIA -- (6.1%) # Australia & New Zealand Banking Group, Ltd.. 1,174,816 $ 34,763,475 0.3% BHP Billiton, Ltd........................... 1,834,078 54,869,794 0.5% # BHP Billiton, Ltd. Sponsored ADR............ 530,936 31,558,836 0.3% # Commonwealth Bank of Australia.............. 466,598 33,179,512 0.3% National Australia Bank, Ltd................ 1,331,618 41,194,608 0.4% # Westpac Banking Corp........................ 980,394 30,092,469 0.3% Other Securities............................ 600,034,640 4.6% -------------- ---- TOTAL AUSTRALIA................................. 825,693,334 6.7% -------------- ---- AUSTRIA -- (0.4%) Other Securities............................ 54,090,008 0.4% -------------- ---- BELGIUM -- (1.3%) Anheuser-Busch InBev NV..................... 322,414 35,753,896 0.3% Other Securities............................ 143,017,571 1.2% -------------- ---- TOTAL BELGIUM................................... 178,771,467 1.5% -------------- ---- CANADA -- (8.4%) Suncor Energy, Inc.(867224107).............. 812,323 28,869,959 0.3% Suncor Energy, Inc.(B3NB1P2)................ 729,529 25,904,573 0.2% # Toronto-Dominion Bank (The)................. 701,544 34,527,879 0.3% Other Securities............................ 1,050,879,382 8.5% -------------- ---- TOTAL CANADA.................................... 1,140,181,793 9.3% -------------- ---- CHINA -- (0.0%) Other Securities............................ 423,278 0.0% -------------- ---- DENMARK -- (1.4%) Other Securities............................ 185,872,965 1.5% -------------- ---- FINLAND -- (1.4%) # Nokia Oyj................................... 3,385,926 28,292,441 0.2% Other Securities............................ 160,415,860 1.3% -------------- ---- TOTAL FINLAND................................... 188,708,301 1.5% -------------- ---- FRANCE -- (6.8%) BNP Paribas SA.............................. 431,572 27,120,869 0.2% GDF Suez.................................... 1,783,905 43,313,070 0.4% Orange SA................................... 2,068,708 32,934,599 0.3% Total SA.................................... 1,517,702 90,611,752 0.7% # Total SA Sponsored ADR...................... 595,142 35,643,054 0.3% Other Securities............................ 692,177,521 5.6% -------------- ---- TOTAL FRANCE.................................... 921,800,865 7.5% -------------- ---- GERMANY -- (5.8%) Bayerische Motoren Werke AG................. 414,948 44,498,071 0.4% Daimler AG.................................. 529,376 41,274,905 0.3% Deutsche Telekom AG......................... 2,378,113 35,846,051 0.3% Fresenius SE & Co. KGaA..................... 612,582 31,521,025 0.3% RWE AG...................................... 793,387 28,150,774 0.2% Other Securities............................ 599,975,595 4.9% -------------- ---- TOTAL GERMANY................................... 781,266,421 6.4% -------------- ----
74 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.0%) Other Securities................................... $ -- 0.0% -------------- ----- HONG KONG -- (2.7%) Other Securities................................... 361,323,579 2.9% -------------- ----- IRELAND -- (0.4%) Other Securities................................... 51,166,064 0.4% -------------- ----- ISRAEL -- (0.6%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 588,403 33,227,117 0.3% Other Securities................................... 54,097,308 0.4% -------------- ----- TOTAL ISRAEL........................................... 87,324,425 0.7% -------------- ----- ITALY -- (2.2%) Eni SpA............................................ 1,478,324 31,495,536 0.3% Other Securities................................... 269,095,017 2.1% -------------- ----- TOTAL ITALY............................................ 300,590,553 2.4% -------------- ----- JAPAN -- (19.1%) Honda Motor Co., Ltd............................... 825,300 26,384,206 0.2% Sumitomo Mitsui Financial Group, Inc............... 754,470 30,769,477 0.3% Toyota Motor Corp.................................. 1,137,986 68,480,785 0.6% # Toyota Motor Corp. Sponsored ADR................... 396,641 48,132,385 0.4% Other Securities................................... 2,413,924,440 19.5% -------------- ----- TOTAL JAPAN............................................ 2,587,691,293 21.0% -------------- ----- NETHERLANDS -- (2.3%) Other Securities................................... 305,642,445 2.5% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities................................... 38,675,624 0.3% -------------- ----- NORWAY -- (0.9%) Other Securities................................... 122,185,630 1.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities................................... 37,236,707 0.3% -------------- ----- RUSSIA -- (0.0%) Other Securities................................... 106,452 0.0% -------------- ----- SINGAPORE -- (1.3%) Other Securities................................... 171,323,820 1.4% -------------- ----- SPAIN -- (2.5%) Banco Santander SA................................. 4,404,667 38,917,538 0.3% Iberdrola SA....................................... 3,664,318 25,939,399 0.2% Other Securities................................... 276,645,107 2.3% -------------- ----- TOTAL SPAIN............................................ 341,502,044 2.8% -------------- ----- SWEDEN -- (2.8%) Other Securities................................... 381,446,780 3.1% -------------- ----- SWITZERLAND -- (6.2%) ABB, Ltd........................................... 1,199,336 26,311,835 0.2% Credit Suisse Group AG............................. 1,122,531 29,908,488 0.3%
75 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Nestle SA............................... 2,189,299 $ 160,550,262 1.3% Novartis AG ADR......................... 818,651 75,880,761 0.6% Roche Holding AG........................ 142,703 42,111,851 0.4% Swiss Re AG............................. 365,604 29,563,037 0.3% Zurich Insurance Group AG............... 107,594 32,561,006 0.3% Other Securities........................ 445,138,708 3.5% --------------- ----- TOTAL SWITZERLAND........................... 842,025,948 6.9% --------------- ----- UNITED KINGDOM -- (17.1%) Anglo American P.L.C.................... 1,402,287 29,607,257 0.2% AstraZeneca P.L.C. Sponsored ADR........ 466,782 34,047,079 0.3% Aviva P.L.C............................. 3,728,348 31,184,842 0.3% # Barclays P.L.C. Sponsored ADR........... 2,072,823 31,921,474 0.3% BG Group P.L.C.......................... 2,660,297 44,336,595 0.4% # BHP Billiton P.L.C. ADR................. 545,653 28,395,782 0.2% BP P.L.C. Sponsored ADR................. 2,024,872 88,000,934 0.7% HSBC Holdings P.L.C. Sponsored ADR...... 1,620,604 82,683,216 0.7% * Lloyds Banking Group P.L.C.............. 48,291,922 59,635,155 0.5% # Prudential P.L.C. ADR................... 599,353 27,768,024 0.2% # Rio Tinto P.L.C. Sponsored ADR.......... 874,782 41,963,293 0.3% # Royal Dutch Shell P.L.C. ADR(780259206). 437,648 31,418,750 0.3% # Royal Dutch Shell P.L.C. ADR(780259107). 1,398,074 104,394,186 0.9% Vodafone Group P.L.C. Sponsored ADR..... 1,234,928 41,024,299 0.3% Other Securities........................ 1,642,525,645 13.3% --------------- ----- TOTAL UNITED KINGDOM........................ 2,318,906,531 18.9% --------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 1,427,849 0.0% --------------- ----- TOTAL COMMON STOCKS......................... 12,225,384,176 99.4% --------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities........................ 4,578,826 0.1% --------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 135,079 0.0% --------------- ----- TOTAL PREFERRED STOCKS...................... 4,713,905 0.1% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 331 0.0% --------------- ----- AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% --------------- ----- FRANCE -- (0.0%) Other Securities........................ 323,603 0.0% --------------- ----- GERMANY -- (0.0%) Other Securities........................ 152,593 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities........................ 3,274 0.0% --------------- ----- ITALY -- (0.0%) Other Securities........................ 126,221 0.0% --------------- -----
76 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- PORTUGAL -- (0.0%) Other Securities................ $ -- 0.0% --------------- ------ SINGAPORE -- (0.0%) Other Securities................ 203 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities................ 885,988 0.0% --------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 327,476 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 1,819,689 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (9.7%) (S)@ DFA Short Term Investment Fund.. 113,487,730 1,313,053,034 10.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,383,347,936)............. $13,544,970,804 110.2% =============== ======
77 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 51,305,653 $ 774,387,681 -- $ 825,693,334 Austria..................... 63,420 54,026,588 -- 54,090,008 Belgium..................... 17,745,914 161,025,553 -- 178,771,467 Canada...................... 1,140,163,277 18,516 -- 1,140,181,793 China....................... -- 423,278 -- 423,278 Denmark..................... 8,989,736 176,883,229 -- 185,872,965 Finland..................... 2,879,754 185,828,547 -- 188,708,301 France...................... 87,511,112 834,289,753 -- 921,800,865 Germany..................... 74,885,190 706,381,231 -- 781,266,421 Greece...................... -- -- -- -- Hong Kong................... 1,178,781 360,144,798 -- 361,323,579 Ireland..................... 11,115,124 40,050,940 -- 51,166,064 Israel...................... 35,879,323 51,445,102 -- 87,324,425 Italy....................... 15,954,887 284,635,666 -- 300,590,553 Japan....................... 119,241,147 2,468,450,146 -- 2,587,691,293 Netherlands................. 50,645,185 254,997,260 -- 305,642,445 New Zealand................. 103,194 38,572,430 -- 38,675,624 Norway...................... 19,664,949 102,520,681 -- 122,185,630 Portugal.................... 309,758 36,926,949 -- 37,236,707 Russia...................... -- 106,452 -- 106,452 Singapore................... 14,607 171,309,213 -- 171,323,820 Spain....................... 40,201,547 301,300,497 -- 341,502,044 Sweden...................... 7,291,377 374,155,403 -- 381,446,780 Switzerland................. 115,089,398 726,936,550 -- 842,025,948 United Kingdom.............. 660,083,143 1,658,823,388 -- 2,318,906,531 United States............... 1,397,183 30,666 -- 1,427,849 Preferred Stocks Germany..................... -- 4,578,826 -- 4,578,826 United Kingdom.............. -- 135,079 -- 135,079 Rights/Warrants Australia................... -- 331 -- 331 Austria..................... -- -- -- -- France...................... -- 323,603 -- 323,603 Germany..................... -- 152,593 -- 152,593 Hong Kong................... -- 3,274 -- 3,274 Italy....................... -- 126,221 -- 126,221 Portugal.................... -- -- -- -- Singapore................... -- 203 -- 203 Spain....................... -- 885,988 -- 885,988 United Kingdom.............. 312,720 14,756 -- 327,476 Securities Lending Collateral. -- 1,313,053,034 -- 1,313,053,034 -------------- --------------- -- --------------- TOTAL......................... $2,462,026,379 $11,082,944,425 -- $13,544,970,804 ============== =============== == ===============
See accompanying Notes to Financial Statements. 78 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $2,968,704,905 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 1,996,995,740 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 1,943,503,950 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 1,089,493,908 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 832,859,362 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $7,805,376,341)............................... 8,831,557,865 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,805,376,341)............................... $8,831,557,865 ==============
Summary of the Portfolio's investments as of October 31, 2014, 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. $8,831,557,865 -- -- $8,831,557,865 -------------- -- -- -------------- TOTAL........................... $8,831,557,865 -- -- $8,831,557,865 ============== == == ==============
See accompanying Notes to Financial Statements. 79 SCHEDULES OF INVESTMENTS October 31, 2014 JAPANESE SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company..................... $508,412,814 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $492,146,590)............................... $508,412,814 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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..................... $364,292,333 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $360,079,976)............................... $364,292,333 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 80 SCHEDULES OF INVESTMENTS October 31, 2014 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....................... $35,056,995 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $23,694,187)........................................... $35,056,995 ===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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.............................. $169,046,143 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $144,331,374).......................................... $169,046,143 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 81 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (93.9%) AUSTRALIA -- (19.9%) CFS Retail Property Trust Group. 18,583,289 $ 34,564,786 1.1% # Dexus Property Group............ 46,210,345 49,389,908 1.6% Federation Centres.............. 12,347,359 29,650,888 1.0% # Goodman Group................... 14,756,829 72,045,696 2.3% GPT Group (The)................. 14,160,152 51,470,344 1.7% # Investa Office Fund............. 5,292,776 16,699,243 0.5% #* Scentre Group................... 44,164,851 140,883,146 4.6% Stockland....................... 20,140,623 75,301,288 2.4% * Westfield Corp.................. 16,671,147 117,148,020 3.8% Other Securities................ 64,037,833 2.1% ------------ ----- TOTAL AUSTRALIA..................... 651,191,152 21.1% ------------ ----- BELGIUM -- (1.5%) # Cofinimmo SA.................... 157,224 18,261,633 0.6% Other Securities................ 29,674,061 1.0% ------------ ----- TOTAL BELGIUM....................... 47,935,694 1. 6% ------------ ----- CANADA -- (5.3%) H&R REIT........................ 1,103,860 21,968,489 0.7% # RioCan REIT..................... 1,231,999 29,022,291 0.9% Other Securities................ 121,715,937 4.0% ------------ ----- TOTAL CANADA........................ 172,706,717 5.6% ------------ ----- CHINA -- (0.2%) Other Securities................ 4,982,005 0.2% ------------ ----- FRANCE -- (4.0%) Fonciere Des Regions............ 257,388 23,663,104 0.8% Gecina SA....................... 208,873 28,268,746 0.9% ICADE........................... 335,700 26,711,749 0.9% Klepierre....................... 905,121 39,175,341 1.3% Other Securities................ 13,559,987 0.4% ------------ ----- TOTAL FRANCE........................ 131,378,927 4.3% ------------ ----- GERMANY -- (0.4%) Other Securities................ 12,143,621 0.4% ------------ ----- GREECE -- (0.0%) Other Securities................ 1,044,767 0.0% ------------ ----- HONG KONG -- (4.3%) Link REIT (The)................. 19,435,805 114,419,536 3.7% Other Securities................ 26,685,286 0.9% ------------ ----- TOTAL HONG KONG..................... 141,104,822 4.6% ------------ ----- ISRAEL -- (0.2%) Other Securities................ 7,565,685 0.2% ------------ ----- ITALY -- (0.3%) Other Securities................ 10,637,538 0.3% ------------ -----
82 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- JAPAN -- (17.6%) # Advance Residence Investment Corp.............. 11,195 $ 26,247,032 0.9% Frontier Real Estate Investment Corp........... 4,130 19,022,847 0.6% # Japan Hotel REIT Investment Corp............... 23,536 14,598,992 0.5% Japan Logistics Fund, Inc...................... 7,530 16,920,060 0.5% Japan Prime Realty Investment Corp............. 6,863 25,274,243 0.8% Japan Real Estate Investment Corp.............. 10,905 59,424,068 1.9% Japan Retail Fund Investment Corp.............. 20,401 41,076,269 1.3% # Kenedix Office Investment Corp................. 3,498 18,705,207 0.6% # Mori Hills REIT Investment Corp................ 11,966 16,710,243 0.5% # Mori Trust Sogo Reit, Inc...................... 9,857 17,611,418 0.6% Nippon Accommodations Fund, Inc................ 4,065 14,870,892 0.5% # Nippon Building Fund, Inc...................... 12,309 68,987,575 2.2% # Orix JREIT, Inc................................ 18,506 24,673,376 0.8% # United Urban Investment Corp................... 21,590 34,073,425 1.1% Other Securities............................... 174,753,743 5.7% ------------ ----- TOTAL JAPAN........................................ 572,949,390 18.5% ------------ ----- MALAYSIA -- (0.7%) Other Securities............................... 23,886,457 0.8% ------------ ----- MEXICO -- (1.9%) # Fibra Uno Administracion S.A. de C.V........... 13,210,601 45,852,668 1.5% Other Securities............................... 15,524,460 0.5% ------------ ----- TOTAL MEXICO....................................... 61,377,128 2.0% ------------ ----- NETHERLANDS -- (8.7%) Corio NV....................................... 617,119 30,038,041 1.0% Unibail-Rodamco SE............................. 829,287 212,635,326 6.9% Wereldhave NV.................................. 191,004 15,659,030 0.5% Other Securities............................... 25,689,873 0.8% ------------ ----- TOTAL NETHERLANDS.................................. 284,022,270 9.2% ------------ ----- NEW ZEALAND -- (0.7%) Other Securities............................... 21,664,115 0.7% ------------ ----- SINGAPORE -- (7.3%) Ascendas REIT.................................. 17,145,000 29,780,279 1.0% # CapitaCommercial Trust......................... 17,525,000 22,787,274 0.7% CapitaMall Trust............................... 20,595,300 31,588,897 1.0% # Suntec REIT.................................... 20,476,000 28,447,758 0.9% Other Securities............................... 124,234,624 4.1% ------------ ----- TOTAL SINGAPORE.................................... 236,838,832 7.7% ------------ ----- SOUTH AFRICA -- (3.9%) Growthpoint Properties, Ltd.................... 16,151,406 39,213,098 1.3% Redefine Properties, Ltd....................... 21,537,673 19,515,849 0.6% Other Securities............................... 67,596,797 2.2% ------------ ----- TOTAL SOUTH AFRICA................................. 126,325,744 4.1% ------------ ----- TAIWAN -- (0.4%) Other Securities............................... 13,945,781 0.4% ------------ ----- TURKEY -- (1.0%) # Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.. 19,840,694 22,284,885 0.7% Other Securities............................... 10,751,800 0.4% ------------ ----- TOTAL TURKEY....................................... 33,036,685 1.1% ------------ -----
83 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (15.6%) British Land Co. P.L.C. (The)... 8,315,595 $ 97,098,752 3.1% Derwent London P.L.C............ 814,790 38,765,810 1.2% Great Portland Estates P.L.C.... 2,866,484 31,548,662 1.0% Hammerson P.L.C................. 6,180,158 60,713,819 2.0% Intu Properties P.L.C........... 7,913,628 43,170,585 1.4% Land Securities Group P.L.C..... 6,756,959 119,895,804 3.9% Segro P.L.C..................... 6,175,812 37,624,807 1.2% Shaftesbury P.L.C............... 2,310,809 26,472,834 0.9% Other Securities................ 55,390,765 1.8% -------------- ------ TOTAL UNITED KINGDOM................... 510,681,838 16.5% -------------- ------ TOTAL COMMON STOCKS.................... 3,065,419,168 99.3% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (6.1%) (S)@ DFA Short Term Investment Fund.. 17,183,072 198,808,147 6.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%).......... (Cost $2,897,109,357).............. $3,264,227,315 105.7% ============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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................... -- $ 651,191,152 -- $ 651,191,152 Belgium..................... -- 47,935,694 -- 47,935,694 Canada...................... $172,706,717 -- -- 172,706,717 China....................... -- 4,982,005 -- 4,982,005 France...................... 93,236 131,285,691 -- 131,378,927 Germany..................... -- 12,143,621 -- 12,143,621 Greece...................... -- 1,044,767 -- 1,044,767 Hong Kong................... -- 141,104,822 -- 141,104,822 Israel...................... -- 7,565,685 -- 7,565,685 Italy....................... -- 10,637,538 -- 10,637,538 Japan....................... -- 572,949,390 -- 572,949,390 Malaysia.................... -- 23,886,457 -- 23,886,457 Mexico...................... 61,377,128 -- -- 61,377,128 Netherlands................. -- 284,022,270 -- 284,022,270 New Zealand................. -- 21,664,115 -- 21,664,115 Singapore................... -- 236,838,832 -- 236,838,832 South Africa................ 21,650,697 104,675,047 -- 126,325,744 Taiwan...................... -- 13,945,781 -- 13,945,781 Turkey...................... -- 33,036,685 -- 33,036,685 United Kingdom.............. -- 510,681,838 -- 510,681,838 Securities Lending Collateral. -- 198,808,147 -- 198,808,147 ------------ -------------- -- -------------- TOTAL......................... $255,827,778 $3,008,399,537 -- $3,264,227,315 ============ ============== == ==============
See accompanying Notes to Financial Statements. 84 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ ----------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.7%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 63,428,427 $2,044,932,484 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 222,954,469 1,255,233,660 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $2,628,854,364).......................................... 3,300,166,144 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.077% (Cost $8,924,902)................................................. 8,924,902 8,924,902 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,637,779,266).......................................... $3,309,091,046 ==============
Summary of the Portfolio's investments as of October 31, 2014, 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. $3,300,166,144 -- -- $3,300,166,144 Temporary Cash Investments...... 8,924,902 -- -- 8,924,902 -------------- -- -- -------------- TOTAL........................... $3,309,091,046 -- -- $3,309,091,046 ============== == == ==============
See accompanying Notes to Financial Statements. 85 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (91.6%) AUSTRALIA -- (5.0%) Primary Health Care, Ltd..... 10,511,594 $ 43,076,867 0.4% Other Securities............. 593,827,515 5.0% -------------- ---- TOTAL AUSTRALIA.................. 636,904,382 5.4% -------------- ---- AUSTRIA -- (0.7%) Other Securities............. 83,565,476 0.7% -------------- ---- BELGIUM -- (0.8%) Other Securities............. 103,554,907 0.9% -------------- ---- CANADA -- (7.9%) * Canfor Corp.................. 1,709,447 39,799,378 0.4% * Celestica, Inc............... 4,266,945 46,869,952 0.4% RONA, Inc.................... 3,166,544 38,631,809 0.3% West Fraser Timber Co., Ltd.. 1,107,322 58,094,982 0.5% Other Securities............. 821,935,286 7.0% -------------- ---- TOTAL CANADA..................... 1,005,331,407 8.6% -------------- ---- CHINA -- (0.0%) Other Securities............. 2,698,400 0.0% -------------- ---- DENMARK -- (1.6%) * Vestas Wind Systems A.S...... 2,910,693 97,144,292 0.8% Other Securities............. 110,946,585 1.0% -------------- ---- TOTAL DENMARK.................... 208,090,877 1.8% -------------- ---- FINLAND -- (2.1%) Huhtamaki Oyj................ 1,740,823 44,173,657 0.4% Other Securities............. 219,070,337 1.9% -------------- ---- TOTAL FINLAND.................... 263,243,994 2.3% -------------- ---- FRANCE -- (3.4%) Havas SA..................... 4,936,605 39,930,886 0.4% * Peugeot SA................... 3,646,402 43,335,736 0.4% Other Securities............. 349,882,507 2.9% -------------- ---- TOTAL FRANCE..................... 433,149,129 3.7% -------------- ---- GERMANY -- (4.6%) Aareal Bank AG............... 1,199,589 51,540,648 0.5% Aurubis AG................... 993,104 51,842,435 0.5% TUI AG....................... 3,423,151 52,422,124 0.5% Other Securities............. 423,677,812 3.5% -------------- ---- TOTAL GERMANY.................... 579,483,019 5.0% -------------- ---- GREECE -- (0.0%) Other Securities............. 25,337 0.0% -------------- ---- HONG KONG -- (2.4%) Other Securities............. 300,028,695 2.6% -------------- ----
86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.4%) Smurfit Kappa Group P.L.C............. 2,055,977 $ 42,480,051 0.4% Other Securities...................... 7,511,030 0.0% -------------- ----- TOTAL IRELAND............................. 49,991,081 0.4% -------------- ----- ISRAEL -- (0.7%) Other Securities...................... 83,951,496 0.7% -------------- ----- ITALY -- (3.6%) * Banca Popolare dell'Emilia Romagna SC. 9,396,426 71,701,123 0.6% #* Banca Popolare di Milano Scarl........ 110,262,326 83,107,298 0.7% * Banco Popolare SC..................... 7,116,853 103,381,009 0.9% Other Securities...................... 197,935,036 1.7% -------------- ----- TOTAL ITALY............................... 456,124,466 3.9% -------------- ----- JAPAN -- (22.4%) # Fujikura, Ltd......................... 9,669,000 40,615,669 0.4% Other Securities...................... 2,795,500,479 23.9% -------------- ----- TOTAL JAPAN............................... 2,836,116,148 24.3% -------------- ----- NETHERLANDS -- (2.0%) #* APERAM................................ 1,753,419 50,449,201 0.4% Delta Lloyd NV........................ 2,460,680 56,086,880 0.5% Other Securities...................... 145,390,828 1.3% -------------- ----- TOTAL NETHERLANDS......................... 251,926,909 2.2% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities...................... 44,837,058 0.4% -------------- ----- NORWAY -- (0.8%) Other Securities...................... 108,746,243 0.9% -------------- ----- PORTUGAL -- (0.7%) #* Banco Comercial Portugues SA.......... 516,415,630 58,368,713 0.5% Other Securities...................... 25,444,499 0.2% -------------- ----- TOTAL PORTUGAL............................ 83,813,212 0.7% -------------- ----- RUSSIA -- (0.0%) Other Securities...................... 547,872 0.0% -------------- ----- SINGAPORE -- (1.4%) Other Securities...................... 177,759,393 1.5% -------------- ----- SPAIN -- (2.5%) Bankinter SA.......................... 8,991,387 74,381,317 0.7% * Gamesa Corp. Tecnologica SA........... 6,939,007 68,509,030 0.6% Other Securities...................... 169,291,735 1.4% -------------- ----- TOTAL SPAIN............................... 312,182,082 2.7% -------------- ----- SWEDEN -- (3.3%) BillerudKorsnas AB.................... 3,504,601 51,117,323 0.4% Holmen AB Class B..................... 1,382,044 45,742,308 0.4% Trelleborg AB Class B................. 5,269,972 90,223,713 0.8% Other Securities...................... 232,132,103 2.0% -------------- ----- TOTAL SWEDEN.............................. 419,215,447 3.6% -------------- -----
87 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (3.8%) Helvetia Holding AG.................. 159,664 $ 75,922,724 0.7% Swiss Life Holding AG................ 175,357 40,234,036 0.4% Other Securities..................... 370,257,438 3.1% --------------- ----- TOTAL SWITZERLAND........................ 486,414,198 4.2% --------------- ----- UNITED KINGDOM -- (21.2%) Amlin P.L.C.......................... 11,064,118 80,751,776 0.7% Ashtead Group P.L.C.................. 7,730,038 129,510,847 1.1% Barratt Developments P.L.C........... 21,380,562 143,728,193 1.2% Beazley P.L.C........................ 12,470,827 52,380,139 0.5% Bellway P.L.C........................ 3,448,205 96,725,996 0.8% Bodycote P.L.C....................... 5,021,077 50,254,417 0.4% Bovis Homes Group P.L.C.............. 3,801,855 51,345,061 0.4% Catlin Group, Ltd.................... 9,089,700 78,087,662 0.7% Close Brothers Group P.L.C........... 1,724,250 40,463,125 0.4% CSR P.L.C............................ 4,886,688 65,673,331 0.6% Dixons Carphone P.L.C................ 11,398,297 72,376,637 0.6% DS Smith P.L.C....................... 15,172,280 64,440,510 0.6% # Greene King P.L.C.................... 4,957,978 63,741,992 0.6% Hiscox, Ltd.......................... 8,547,223 93,222,509 0.8% Home Retail Group P.L.C.............. 16,459,487 48,301,027 0.4% Inchcape P.L.C....................... 8,858,210 98,683,203 0.9% Millennium & Copthorne Hotels P.L.C.. 4,813,561 43,911,265 0.4% Mondi P.L.C.......................... 3,867,542 65,363,271 0.6% Persimmon P.L.C...................... 7,668,009 180,084,568 1.5% Taylor Wimpey P.L.C.................. 74,080,800 140,721,013 1.2% * Thomas Cook Group P.L.C.............. 24,698,963 49,209,419 0.4% Travis Perkins P.L.C................. 4,401,386 116,620,284 1.0% Vesuvius P.L.C....................... 5,951,466 40,633,041 0.4% Other Securities..................... 825,369,548 6.8% --------------- ----- TOTAL UNITED KINGDOM..................... 2,691,598,834 23.0% --------------- ----- TOTAL COMMON STOCKS...................... 11,619,300,062 99.5% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities..................... 1,706 0.0% --------------- ----- AUSTRIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- FRANCE -- (0.0%) Other Securities..................... 1,469,043 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... 22,154 0.0% --------------- ----- ISRAEL -- (0.0%) Other Securities..................... 10,062 0.0% --------------- ----- ITALY -- (0.0%) Other Securities..................... 95,467 0.0% --------------- ----- SPAIN -- (0.0%) Other Securities..................... 2,218 0.0% --------------- -----
88 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (0.0%) Other Securities................ $ 1,154 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 1,601,804 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (8.4%) (S)@ DFA Short Term Investment Fund.. 91,962,199 1,064,002,644 9.1% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $11,124,184,844)............. $12,684,904,510 108.6% =============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 10,888,717 $ 626,015,665 -- $ 636,904,382 Austria..................... -- 83,565,476 -- 83,565,476 Belgium..................... -- 103,554,907 -- 103,554,907 Canada...................... 1,004,947,054 384,353 -- 1,005,331,407 China....................... -- 2,698,400 -- 2,698,400 Denmark..................... -- 208,090,877 -- 208,090,877 Finland..................... -- 263,243,994 -- 263,243,994 France...................... 1,125,211 432,023,918 -- 433,149,129 Germany..................... 1,649,140 577,833,879 -- 579,483,019 Greece...................... -- 25,337 -- 25,337 Hong Kong................... 16,897 300,011,798 -- 300,028,695 Ireland..................... -- 49,991,081 -- 49,991,081 Israel...................... -- 83,951,496 -- 83,951,496 Italy....................... -- 456,124,466 -- 456,124,466 Japan....................... 15,666,766 2,820,449,382 -- 2,836,116,148 Netherlands................. -- 251,926,909 -- 251,926,909 New Zealand................. 1,190,287 43,646,771 -- 44,837,058 Norway...................... -- 108,746,243 -- 108,746,243 Portugal.................... -- 83,813,212 -- 83,813,212 Russia...................... -- 547,872 -- 547,872 Singapore................... 963,844 176,795,549 -- 177,759,393 Spain....................... 27,916 312,154,166 -- 312,182,082 Sweden...................... -- 419,215,447 -- 419,215,447 Switzerland................. -- 486,414,198 -- 486,414,198 United Kingdom.............. 1,148,986 2,690,449,848 -- 2,691,598,834 Rights/Warrants Australia................... -- 1,706 -- 1,706 Austria..................... -- -- -- -- France...................... -- 1,469,043 -- 1,469,043 Hong Kong................... -- 22,154 -- 22,154 Israel...................... -- 10,062 -- 10,062 Italy....................... -- 95,467 -- 95,467 Spain....................... -- 2,218 -- 2,218 United Kingdom.............. -- 1,154 -- 1,154 Securities Lending Collateral. -- 1,064,002,644 -- 1,064,002,644 -------------- --------------- -- --------------- TOTAL......................... $1,037,624,818 $11,647,279,692 -- $12,684,904,510 ============== =============== == ===============
See accompanying Notes to Financial Statements. 89 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.0%) AUSTRALIA -- (6.4%) # Australia & New Zealand Banking Group, Ltd.. 122,194 $ 3,615,790 0.3% # BHP Billiton, Ltd........................... 109,768 3,283,910 0.3% National Australia Bank, Ltd................ 90,701 2,805,904 0.2% Origin Energy, Ltd.......................... 180,805 2,271,403 0.2% Other Securities............................ 79,986,697 6.0% ------------ ---- TOTAL AUSTRALIA................................. 91,963,704 7.0% ------------ ---- AUSTRIA -- (0.5%) Other Securities............................ 6,584,288 0.5% ------------ ---- BELGIUM -- (1.4%) Delhaize Group SA........................... 33,045 2,259,447 0.2% Other Securities............................ 18,234,813 1.4% ------------ ---- TOTAL BELGIUM................................... 20,494,260 1.6% ------------ ---- CANADA -- (8.5%) Suncor Energy, Inc.......................... 82,938 2,947,616 0.2% Other Securities............................ 119,497,072 9.2% ------------ ---- TOTAL CANADA.................................... 122,444,688 9.4% ------------ ---- CHINA -- (0.0%) Other Securities............................ 74,706 0.0% ------------ ---- DENMARK -- (1.4%) Other Securities............................ 20,644,331 1.6% ------------ ---- FINLAND -- (1.9%) Fortum Oyj.................................. 107,420 2,491,261 0.2% Nokia Oyj................................... 340,765 2,847,396 0.2% UPM-Kymmene Oyj............................. 170,168 2,699,292 0.2% Other Securities............................ 19,384,098 1.5% ------------ ---- TOTAL FINLAND................................... 27,422,047 2.1% ------------ ---- FRANCE -- (6.0%) BNP Paribas SA.............................. 44,274 2,782,269 0.2% Cie de St-Gobain............................ 72,210 3,103,936 0.3% GDF Suez.................................... 142,877 3,469,042 0.3% Orange SA................................... 177,688 2,828,859 0.2% Renault SA.................................. 30,047 2,235,084 0.2% Total SA.................................... 79,639 4,754,708 0.4% Other Securities............................ 67,065,060 5.0% ------------ ---- TOTAL FRANCE.................................... 86,238,958 6.6% ------------ ---- GERMANY -- (5.2%) Allianz SE.................................. 20,504 3,260,590 0.3% Bayerische Motoren Werke AG................. 31,783 3,408,336 0.3% Daimler AG.................................. 35,601 2,775,774 0.2% RWE AG...................................... 85,573 3,036,281 0.2% Other Securities............................ 62,738,998 4.7% ------------ ---- TOTAL GERMANY................................... 75,219,979 5.7% ------------ ----
90 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.0%) Other Securities................................... $ -- 0.0% ------------ ----- HONG KONG -- (2.8%) Other Securities................................... 40,258,385 3.1% ------------ ----- IRELAND -- (0.5%) Other Securities................................... 6,871,293 0.5% ------------ ----- ISRAEL -- (0.7%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 55,754 3,148,428 0.3% Other Securities................................... 6,909,385 0.5% ------------ ----- TOTAL ISRAEL........................................... 10,057,813 0.8% ------------ ----- ITALY -- (2.4%) Unione di Banche Italiane SCPA..................... 339,391 2,665,405 0.2% Other Securities................................... 32,149,174 2.5% ------------ ----- TOTAL ITALY............................................ 34,814,579 2.7% ------------ ----- JAPAN -- (19.7%) Mitsubishi UFJ Financial Group, Inc................ 740,600 4,317,115 0.4% Mizuho Financial Group, Inc........................ 1,369,660 2,495,953 0.2% Sumitomo Mitsui Financial Group, Inc............... 73,541 2,999,216 0.3% Toyota Motor Corp. Sponsored ADR................... 20,242 2,456,367 0.2% Other Securities................................... 271,843,890 20.6% ------------ ----- TOTAL JAPAN............................................ 284,112,541 21.7% ------------ ----- NETHERLANDS -- (2.2%) Aegon NV........................................... 267,671 2,181,639 0.2% Other Securities................................... 29,787,913 2.2% ------------ ----- TOTAL NETHERLANDS...................................... 31,969,552 2.4% ------------ ----- NEW ZEALAND -- (0.4%) Other Securities................................... 6,098,591 0.5% ------------ ----- NORWAY -- (0.9%) Other Securities................................... 12,606,921 1.0% ------------ ----- PORTUGAL -- (0.3%) Other Securities................................... 4,739,339 0.4% ------------ ----- RUSSIA -- (0.0%) Other Securities................................... 41,460 0.0% ------------ ----- SINGAPORE -- (1.3%) Other Securities................................... 17,906,031 1.4% ------------ ----- SPAIN -- (2.3%) Banco Santander SA................................. 514,893 4,549,349 0.4% Iberdrola SA....................................... 400,479 2,834,957 0.2% Other Securities................................... 26,109,666 2.0% ------------ ----- TOTAL SPAIN............................................ 33,493,972 2.6% ------------ ----- SWEDEN -- (2.8%) Other Securities................................... 39,595,979 3.0% ------------ -----
91 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (5.9%) Aryzta AG............................... 25,690 $ 2,191,397 0.2% Clariant AG............................. 127,828 2,229,708 0.2% Credit Suisse Group AG.................. 94,484 2,517,412 0.2% Julius Baer Group, Ltd.................. 56,140 2,461,050 0.2% Lonza Group AG.......................... 19,866 2,188,965 0.2% Nestle SA............................... 92,984 6,818,898 0.5% Novartis AG............................. 53,863 4,998,640 0.4% Swiss Re AG............................. 49,846 4,030,588 0.3% Zurich Insurance Group AG............... 15,572 4,712,530 0.4% Other Securities........................ 52,893,358 3.9% -------------- ----- TOTAL SWITZERLAND........................... 85,042,546 6.5% -------------- ----- UNITED KINGDOM -- (16.5%) Anglo American P.L.C.................... 214,596 4,530,883 0.4% Barratt Developments P.L.C.............. 440,009 2,957,906 0.2% BG Group P.L.C.......................... 132,145 2,202,333 0.2% BP P.L.C................................ 311,879 2,243,939 0.2% BP P.L.C. Sponsored ADR................. 139,975 6,083,313 0.5% Friends Life Group, Ltd................. 461,924 2,395,548 0.2% # HSBC Holdings P.L.C. Sponsored ADR...... 186,519 9,516,199 0.7% * Lloyds Banking Group P.L.C.............. 2,860,531 3,532,438 0.3% Old Mutual P.L.C........................ 807,532 2,507,852 0.2% Royal Dutch Shell P.L.C. ADR(780259206). 80,746 5,796,755 0.4% # Royal Dutch Shell P.L.C. ADR(780259107). 80,780 6,031,843 0.5% * RSA Insurance Group P.L.C............... 287,221 2,222,416 0.2% Vodafone Group P.L.C. Sponsored ADR..... 100,243 3,330,079 0.3% Other Securities........................ 185,172,377 14.0% -------------- ----- TOTAL UNITED KINGDOM........................ 238,523,881 18.3% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 257,208 0.0% -------------- ----- TOTAL COMMON STOCKS......................... 1,297,477,052 99.4% -------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities........................ 165,949 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 10,532 0.0% -------------- ----- TOTAL PREFERRED STOCKS...................... 176,481 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........................ 111,443 0.0% -------------- ----- GERMANY -- (0.0%) Other Securities........................ 27,664 0.0% -------------- -----
92 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities................ $ 106 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................ 23,841 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 107,522 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 62,254 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 332,830 0.0% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (10.0%) (S)@ DFA Short Term Investment Fund.. 12,484,902 144,450,312 11.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,286,589,117)............... $1,442,436,675 110.5% ============== ======
93 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................... $ 2,066,649 $ 89,897,055 -- $ 91,963,704 Austria..................... -- 6,584,288 -- 6,584,288 Belgium..................... 934,668 19,559,592 -- 20,494,260 Canada...................... 122,439,760 4,928 -- 122,444,688 China....................... -- 74,706 -- 74,706 Denmark..................... -- 20,644,331 -- 20,644,331 Finland..................... -- 27,422,047 -- 27,422,047 France...................... 1,635,850 84,603,108 -- 86,238,958 Germany..................... 3,636,537 71,583,442 -- 75,219,979 Greece...................... -- -- -- -- Hong Kong................... 377,181 39,881,204 -- 40,258,385 Ireland..................... 1,510,705 5,360,588 -- 6,871,293 Israel...................... 3,514,247 6,543,566 -- 10,057,813 Italy....................... 932,201 33,882,378 -- 34,814,579 Japan....................... 5,424,818 278,687,723 -- 284,112,541 Netherlands................. 4,863,241 27,106,311 -- 31,969,552 New Zealand................. 3,791 6,094,800 -- 6,098,591 Norway...................... 782,276 11,824,645 -- 12,606,921 Portugal.................... -- 4,739,339 -- 4,739,339 Russia...................... -- 41,460 -- 41,460 Singapore................... -- 17,906,031 -- 17,906,031 Spain....................... 1,223,825 32,270,147 -- 33,493,972 Sweden...................... -- 39,595,979 -- 39,595,979 Switzerland................. 4,863,620 80,178,926 -- 85,042,546 United Kingdom.............. 41,468,468 197,055,413 -- 238,523,881 United States............... 221,853 35,355 -- 257,208 Preferred Stocks Germany..................... -- 165,949 -- 165,949 United Kingdom.............. -- 10,532 -- 10,532 Rights/Warrants Australia................... -- -- -- -- Austria..................... -- -- -- -- France...................... -- 111,443 -- 111,443 Germany..................... -- 27,664 -- 27,664 Hong Kong................... -- 106 -- 106 Italy....................... -- 23,841 -- 23,841 Portugal.................... -- -- -- -- Spain....................... -- 107,522 -- 107,522 United Kingdom.............. 60,121 2,133 -- 62,254 Securities Lending Collateral. -- 144,450,312 -- 144,450,312 ------------ -------------- -- -------------- TOTAL......................... $195,959,811 $1,246,476,864 -- $1,442,436,675 ============ ============== == ==============
See accompanying Notes to Financial Statements. 94 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ ------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company........................... $ 77,633,954 Investment in Dimensional Emerging Markets Value Fund........ 26,567,397 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 490,444 9,588,177 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $104,616,352)..................................... 113,789,528 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $104,616,352)..................................... $113,789,528 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $113,789,528 -- -- $113,789,528 ------------ -- -- ------------ TOTAL........................... $113,789,528 -- -- $113,789,528 ============ == == ============
See accompanying Notes to Financial Statements. 95 WORLD EX U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 4,787,335 $ 93,592,398 Investment in Dimensional Emerging Markets Value Fund........ 34,756,718 Investment in International Vector Equity Portfolio of DFA Investment Dimensions Group Inc........................ 1,205,268 13,571,316 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................... 9,043,760 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $144,053,325)..................................... 150,964,192 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $144,053,325)..................................... $150,964,192 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $150,964,192 -- -- $150,964,192 ------------ -- -- ------------ TOTAL........................... $150,964,192 -- -- $150,964,192 ============ == == ============
See accompanying Notes to Financial Statements. 96 WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ ---------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 25,721,741 $312,519,151 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 4,644,337 93,258,277 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $407,876,986)................................. 405,777,428 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $407,876,986)................................. $405,777,428 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $405,777,428 -- -- $405,777,428 ------------ -- -- ------------ TOTAL........................... $405,777,428 -- -- $405,777,428 ============ == == ============
See accompanying Notes to Financial Statements. 97 WORLD CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc.................... 2,165,013 $38,342,379 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 2,403,932 29,207,774 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 403,210 8,096,465 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $78,254,054).................................. 75,646,618 ----------- TEMPORARY CASH INVESTMENTS -- (0.0%) State Street Institutional Liquid Reserves, 0.077% (Cost $35,161)......................................... 35,161 35,161 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $78,289,215).................................. $75,681,779 ===========
Summary of the Fund's investments as of October 31, 2014, 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. $75,646,618 -- -- $75,646,618 Temporary Cash Investments...... 35,161 -- -- 35,161 ----------- -- -- ----------- TOTAL........................... $75,681,779 -- -- $75,681,779 =========== == == ===========
See accompanying Notes to Financial Statements. 98 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 3,703,600 $ 64,220,425 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 4,374,226 53,146,850 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 1,190,179 23,898,796 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $124,892,002)................................. 141,266,071 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $124,892,002)................................. $141,266,071 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $141,266,071 -- -- $141,266,071 Futures Contracts**............. 51,312 -- -- 51,312 Forward Currency Contracts**.... -- $638,471 -- 638,471 ------------ -------- -- ------------ TOTAL........................... $141,317,383 $638,471 -- $141,955,854 ============ ======== == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 99 SCHEDULES OF INVESTMENTS October 31, 2014 EMERGING MARKETS PORTFOLIO
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company..................... $4,080,491,363 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,936,204,861)............................. $4,080,491,363 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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..................... $4,861,063,765 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $4,385,025,944)............................. $4,861,063,765 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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.. $18,743,741,686 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $18,506,989,599)............................ $18,743,741,686 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 100 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.8%) BRAZIL -- (6.2%) AMBEV SA ADR........................................ 9,300,659 $ 62,128,402 0.4% Banco do Brasil SA.................................. 3,629,612 40,618,726 0.3% BM&FBovespa SA...................................... 9,686,489 42,623,863 0.3% Petroleo Brasileiro SA ADR.......................... 3,836,209 44,883,645 0.3% Other Securities.................................... 875,869,697 5.5% -------------- ----- TOTAL BRAZIL............................................ 1,066,124,333 6.8% -------------- ----- CHILE -- (1.3%) Other Securities.................................... 224,236,416 1.4% -------------- ----- CHINA -- (14.1%) Bank of China, Ltd. Class H......................... 157,471,702 75,373,982 0.5% China Construction Bank Corp. Class H............... 195,696,302 146,008,799 0.9% China Mobile, Ltd................................... 3,987,000 49,711,104 0.3% # China Mobile, Ltd. Sponsored ADR.................... 1,861,391 115,573,767 0.7% CNOOC, Ltd.......................................... 31,447,000 49,161,651 0.3% # CNOOC, Ltd. ADR..................................... 239,300 37,419,341 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 200,441,725 132,825,859 0.9% Tencent Holdings, Ltd............................... 9,231,600 148,372,706 1.0% Other Securities.................................... 1,659,270,901 10.5% -------------- ----- TOTAL CHINA............................................. 2,413,718,110 15.4% -------------- ----- COLOMBIA -- (0.5%) Other Securities.................................... 77,013,599 0.5% -------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 38,214,099 0.2% -------------- ----- EGYPT -- (0.1%) Other Securities.................................... 11,209,468 0.1% -------------- ----- GREECE -- (0.4%) Other Securities.................................... 75,174,054 0.5% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 180,757 0.0% -------------- ----- HUNGARY -- (0.2%) Other Securities.................................... 33,286,857 0.2% -------------- ----- INDIA -- (8.7%) HDFC Bank, Ltd...................................... 2,994,559 44,629,222 0.3% # Infosys, Ltd. Sponsored ADR......................... 875,587 58,541,747 0.4% Reliance Industries, Ltd............................ 3,980,031 64,496,597 0.4% Tata Consultancy Services, Ltd...................... 972,691 41,495,249 0.3% Other Securities.................................... 1,288,652,946 8.1% -------------- ----- TOTAL INDIA............................................. 1,497,815,761 9.5% -------------- ----- INDONESIA -- (2.8%) Astra International Tbk PT.......................... 72,654,500 40,738,177 0.3% Other Securities.................................... 438,370,964 2.7% -------------- ----- TOTAL INDONESIA......................................... 479,109,141 3.0% -------------- -----
101 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.3%) Malayan Banking Bhd....................... 16,366,740 $ 48,283,910 0.3% Other Securities.......................... 681,135,791 4.3% -------------- ----- TOTAL MALAYSIA................................ 729,419,701 4.6% -------------- ----- MEXICO -- (5.0%) Alfa S.A.B. de C.V. Class A............... 12,848,389 41,017,525 0.3% # America Movil S.A.B. de C.V. Series L ADR. 3,035,166 74,088,401 0.5% #* Cemex S.A.B. de C.V. Sponsored ADR........ 6,484,813 79,763,198 0.5% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR............................ 599,632 57,708,584 0.4% Grupo Financiero Banorte S.A.B. de C.V.... 8,504,555 54,502,411 0.3% # Grupo Mexico S.A.B. de C.V. Series B...... 16,098,780 55,411,005 0.4% Grupo Televisa S.A.B. Sponsored ADR....... 1,810,392 65,427,567 0.4% Other Securities.......................... 437,898,901 2.7% -------------- ----- TOTAL MEXICO.................................. 865,817,592 5.5% -------------- ----- PERU -- (0.1%) Other Securities.......................... 23,298,299 0.2% -------------- ----- PHILIPPINES -- (1.3%) Other Securities.......................... 228,026,975 1.5% -------------- ----- POLAND -- (1.8%) Other Securities.......................... 307,892,448 2.0% -------------- ----- RUSSIA -- (1.7%) Gazprom OAO Sponsored ADR................. 11,798,088 78,171,913 0.5% Other Securities.......................... 206,406,811 1.3% -------------- ----- TOTAL RUSSIA.................................. 284,578,724 1.8% -------------- ----- SOUTH AFRICA -- (7.3%) Bidvest Group, Ltd. (The)................. 1,505,451 41,432,531 0.3% FirstRand, Ltd............................ 10,566,034 45,257,744 0.3% MTN Group, Ltd............................ 4,967,624 109,998,339 0.7% Naspers, Ltd. Class N..................... 654,201 81,597,924 0.5% Sanlam, Ltd............................... 8,139,212 51,432,006 0.3% Sasol, Ltd................................ 994,736 49,672,340 0.3% Sasol, Ltd. Sponsored ADR................. 983,103 49,341,940 0.3% # Standard Bank Group, Ltd.................. 4,181,964 52,662,521 0.3% # Steinhoff International Holdings, Ltd..... 9,553,168 48,874,104 0.3% Other Securities.......................... 720,543,679 4.7% -------------- ----- TOTAL SOUTH AFRICA............................ 1,250,813,128 8.0% -------------- ----- SOUTH KOREA -- (13.4%) Hana Financial Group, Inc................. 1,140,149 39,483,163 0.3% Hyundai Motor Co.......................... 364,834 57,892,430 0.4% # Naver Corp................................ 60,144 42,559,210 0.3% POSCO ADR................................. 511,345 36,591,848 0.3% Samsung Electronics Co., Ltd.............. 348,260 406,120,741 2.6% #* SK Hynix, Inc............................. 1,223,154 54,545,683 0.4% Other Securities.......................... 1,667,152,633 10.4% -------------- ----- TOTAL SOUTH KOREA............................. 2,304,345,708 14.7% -------------- ----- SPAIN -- (0.0%) Other Securities.......................... 710,343 0.0% -------------- -----
102 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (13.3%) Hon Hai Precision Industry Co., Ltd.................... 44,256,377 $ 140,071,295 0.9% # Taiwan Semiconductor Manufacturing Co., Ltd............ 40,714,652 176,492,743 1.1% Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR................................................... 3,587,659 79,000,251 0.5% Other Securities....................................... 1,888,459,319 12.0% --------------- ----- TOTAL TAIWAN............................................... 2,284,023,608 14.5% --------------- ----- THAILAND -- (3.1%) PTT PCL................................................ 3,548,380 40,092,227 0.3% Other Securities....................................... 485,581,506 3.0% --------------- ----- TOTAL THAILAND............................................. 525,673,733 3.3% --------------- ----- TURKEY -- (2.0%) Other Securities....................................... 350,405,567 2.2% --------------- ----- TOTAL COMMON STOCKS........................................ 15,071,088,421 95.9% --------------- ----- PREFERRED STOCKS -- (3.1%) BRAZIL -- (3.0%) Banco Bradesco SA...................................... 2,851,473 42,951,675 0.3% # Banco Bradesco SA ADR.................................. 5,097,969 76,367,571 0.5% Itau Unibanco Holding SA............................... 3,529,263 52,373,393 0.4% Itau Unibanco Holding SA ADR........................... 6,110,461 90,190,404 0.6% Petroleo Brasileiro SA Sponsored ADR................... 5,128,535 62,721,983 0.4% Other Securities....................................... 193,832,482 1.1% --------------- ----- TOTAL BRAZIL............................................... 518,437,508 3.3% --------------- ----- CHILE -- (0.0%) Other Securities....................................... 1,292,018 0.0% --------------- ----- COLOMBIA -- (0.1%) Other Securities....................................... 17,751,681 0.1% --------------- ----- TOTAL PREFERRED STOCKS..................................... 537,481,207 3.4% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities....................................... 1,578 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities....................................... 589,439 0.0% --------------- ----- INDONESIA -- (0.0%) Other Securities....................................... 4,004 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities....................................... -- 0.0% --------------- ----- POLAND -- (0.0%) Other Securities....................................... 4,672 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities....................................... 12,479 0.0% --------------- ----- TAIWAN -- (0.0%) Other Securities....................................... 1,231 0.0% --------------- -----
103 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- THAILAND -- (0.0%) Other Securities............... $ 141,300 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 754,703 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund. 134,800,951 1,559,646,998 9.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $15,821,830,424)............. $17,168,971,329 109.2% =============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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...................... $ 336,497,923 $ 729,626,410 -- $ 1,066,124,333 Chile....................... 63,360,193 160,876,223 -- 224,236,416 China....................... 256,973,549 2,156,744,561 -- 2,413,718,110 Colombia.................... 77,013,599 -- -- 77,013,599 Czech Republic.............. -- 38,214,099 -- 38,214,099 Egypt....................... -- 11,209,468 -- 11,209,468 Greece...................... 1,939,009 73,235,045 -- 75,174,054 Hong Kong................... -- 180,757 -- 180,757 Hungary..................... 245,839 33,041,018 -- 33,286,857 India....................... 154,248,766 1,343,566,995 -- 1,497,815,761 Indonesia................... 18,275,402 460,833,739 -- 479,109,141 Malaysia.................... 2,543 729,417,158 -- 729,419,701 Mexico...................... 865,718,529 99,063 -- 865,817,592 Peru........................ 23,298,299 -- -- 23,298,299 Philippines................. 5,515,795 222,511,180 -- 228,026,975 Poland...................... -- 307,892,448 -- 307,892,448 Russia...................... 8,164,696 276,414,028 -- 284,578,724 South Africa................ 94,442,565 1,156,370,563 -- 1,250,813,128 South Korea................. 112,829,958 2,191,515,750 -- 2,304,345,708 Spain....................... 710,343 -- -- 710,343 Taiwan...................... 107,784,054 2,176,239,554 -- 2,284,023,608 Thailand.................... 525,673,733 -- -- 525,673,733 Turkey...................... 5,503,487 344,902,080 -- 350,405,567 Preferred Stocks Brazil...................... 264,637,009 253,800,499 -- 518,437,508 Chile....................... -- 1,292,018 -- 1,292,018 Colombia.................... 17,751,681 -- -- 17,751,681 Rights/Warrants Brazil...................... -- 1,578 -- 1,578 Hong Kong................... -- 589,439 -- 589,439 Indonesia................... -- 4,004 -- 4,004 Malaysia.................... -- -- -- -- Poland...................... -- 4,672 -- 4,672 South Korea................. -- 12,479 -- 12,479 Taiwan...................... -- 1,231 -- 1,231 Thailand.................... -- 141,300 -- 141,300 Securities Lending Collateral. -- 1,559,646,998 -- 1,559,646,998 -------------- --------------- -- --------------- TOTAL......................... $2,940,586,972 $14,228,384,357 -- $17,168,971,329 ============== =============== == ===============
See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts)
Enhanced U.S. Large U.S. Large Cap Company Equity U.S. Large Cap Portfolio Portfolio* Value Portfolio ------------- -------------- --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- -- $ 15,138,176 Investments at Value (including $2,693, $9,261, $0 and $1,036,309 of securities on loan, respectively).................... $ 212,207 $ 262,248 -- Temporary Cash Investments at Value & Cost.......................... -- 1,462 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 2,758 9,300 -- Cash................................................................ 8,088 65 -- Receivables: Investment Securities/Affiliated Investment Company Sold.......... -- -- -- Dividends, Interest and Tax Reclaims.............................. 1,005 259 -- Securities Lending Income......................................... -- 4 -- Fund Shares Sold.................................................. 189 12,685 18,115 Futures Margin Variation.......................................... 2,343 -- -- Unrealized Gain on Forward Currency Contracts....................... 244 -- -- Prepaid Expenses and Other Assets................................... 12 11 100 ------------ ------------ -------------- Total Assets.................................................... 226,846 286,034 15,156,391 ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 2,758 9,300 -- Investment Securities/Affiliated Investment Company Purchased........................................................ 7,159 1,505 -- Fund Shares Redeemed.............................................. 120 226 6,970 Due to Advisor.................................................... 35 26 1,832 Unrealized Loss on Forward Currency Contracts....................... 39 -- -- Accrued Expenses and Other Liabilities.............................. 16 22 608 ------------ ------------ -------------- Total Liabilities............................................... 10,127 11,079 9,410 ------------ ------------ -------------- NET ASSETS.......................................................... $ 216,719 $ 274,955 $ 15,146,981 ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $16,971 and shares outstanding of 0; 0; 0 and 731,895, 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 $82,977 and shares outstanding of 0; 0; 0 and 3,589,366, 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 $216,719; $274,955; $15,146,981 and $5,490,959 and shares outstanding of 15,874,939; 21,735,115; 448,845,985 and 237,045,635, respectively.......................................... $ 13.65 $ 12.65 $ 33.75 ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000 ============ ============ ============== Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 9,823,414 ============ ============ ============== Investments at Cost................................................. $ 207,934 $ 226,852 $ -- ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 184,906 $ 238,506 $ 9,713,491 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 149 502 32,662 Accumulated Net Realized Gain (Loss)................................ 20,138 551 86,066 Net Unrealized Foreign Exchange Gain (Loss)......................... 191 -- -- Net Unrealized Appreciation (Depreciation).......................... 11,335 35,396 5,314,762 ------------ ------------ -------------- NET ASSETS.......................................................... $ 216,719 $ 274,955 $ 15,146,981 ============ ============ ==============
U.S. Targeted Value Portfolio* ---------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- Investments at Value (including $2,693, $9,261, $0 and $1,036,309 of securities on loan, respectively).................... $ 5,574,818 Temporary Cash Investments at Value & Cost.......................... 14,280 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 1,024,559 Cash................................................................ 15,714 Receivables: Investment Securities/Affiliated Investment Company Sold.......... 7,515 Dividends, Interest and Tax Reclaims.............................. 2,171 Securities Lending Income......................................... 373 Fund Shares Sold.................................................. 5,112 Futures Margin Variation.......................................... -- Unrealized Gain on Forward Currency Contracts....................... -- Prepaid Expenses and Other Assets................................... 46 ------------ Total Assets.................................................... 6,644,588 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 1,024,559 Investment Securities/Affiliated Investment Company Purchased........................................................ 17,070 Fund Shares Redeemed.............................................. 10,140 Due to Advisor.................................................... 1,558 Unrealized Loss on Forward Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 354 ------------ Total Liabilities............................................... 1,053,681 ------------ NET ASSETS.......................................................... $ 5,590,907 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $16,971 and shares outstanding of 0; 0; 0 and 731,895, respectively....................................................... $ 23.19 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Class R2 Shares -- based on net assets of $0; $0; $0 and $82,977 and shares outstanding of 0; 0; 0 and 3,589,366, respectively....................................................... $ 23.12 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Institutional Class Shares -- based on net assets of $216,719; $274,955; $15,146,981 and $5,490,959 and shares outstanding of 15,874,939; 21,735,115; 448,845,985 and 237,045,635, respectively.......................................... $ 23.16 ============ NUMBER OF SHARES AUTHORIZED......................................... 700,000,000 ============ Investments in Affiliated Investment Company at Cost................ $ -- ============ Investments at Cost................................................. $ 4,124,477 ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 3,887,976 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 6,119 Accumulated Net Realized Gain (Loss)................................ 246,471 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... 1,450,341 ------------ NET ASSETS.......................................................... $ 5,590,907 ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector U.S. Small Cap Equity 1 Equity 2 Equity Value Portfolio* Portfolio* Portfolio* Portfolio* ---------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $2,011,364, $1,201,148, $1,605,031 and $534,724 of securities on loan, respectively).............................. $ 11,466,038 $ 10,746,561 $ 12,863,761 $ 3,483,746 Temporary Cash Investments at Value & Cost........... 60,522 68,558 94,206 24,721 Collateral from Securities on Loan Invested in Affiliate at Value & Cost........................... 2,005,967 1,182,906 1,568,923 520,451 Cash................................................. -- 3,201 5,546 3,396 Receivables: Investment Securities Sold......................... 17,503 806 751 410 Dividends, Interest and Tax Reclaims............... 3,553 9,614 10,701 2,253 Securities Lending Income.......................... 432 455 651 237 Fund Shares Sold................................... 6,427 9,293 8,801 2,879 Prepaid Expenses and Other Assets.................... 77 78 99 34 -------------- -------------- -------------- -------------- Total Assets.................................... 13,560,519 12,021,472 14,553,439 4,038,127 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Due to Custodian................................... 32 -- -- -- Upon Return of Securities Loaned................... 2,005,967 1,182,906 1,568,923 520,451 Investment Securities Purchased.................... 27,902 49,810 57,486 13,935 Fund Shares Redeemed............................... 9,062 5,936 5,177 1,410 Due to Advisor..................................... 4,574 1,463 2,068 841 Accrued Expenses and Other Liabilities............... 676 527 609 171 -------------- -------------- -------------- -------------- Total Liabilities............................... 2,048,213 1,240,642 1,634,263 536,808 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 11,512,306 $ 10,780,830 $ 12,919,176 $ 3,501,319 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,512,306; $10,780,830; $12,919,176 and $3,501,319 and shares outstanding of 321,354,700; 608,690,638; 744,868,065 and 205,523,101, respectively........................... $ 35.82 $ 17.71 $ 17.34 $ 17.04 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 8,188,385 $ 7,413,339 $ 8,506,724 $ 2,358,710 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 7,812,217 $ 7,378,936 $ 8,453,183 $ 2,263,224 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 3,960 19,703 22,013 4,499 Accumulated Net Realized Gain (Loss)................. 418,476 48,969 86,943 108,560 Net Unrealized Appreciation (Depreciation)........... 3,277,653 3,333,222 4,357,037 1,125,036 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 11,512,306 $ 10,780,830 $ 12,919,176 $ 3,501,319 ============== ============== ============== ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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 $2,183,092, $991,236, $733,454 and $187,140 of securities on loan, respectively).............................................. $ 9,208,558 $ 5,010,048 $ 6,584,030 $ 3,113,250 Temporary Cash Investments at Value & Cost.................. 60,668 16,820 27,425 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 2,198,003 1,001,049 701,891 188,881 Foreign Currencies at Value................................. -- -- -- 887 Cash........................................................ 8 1 -- 7,480 Receivables: Investment Securities Sold................................ 19,798 13,926 33 -- Dividends, Interest and Tax Reclaims...................... 2,711 1,636 4,986 6,468 Securities Lending Income................................. 1,076 668 114 140 Fund Shares Sold.......................................... 3,939 7,461 5,045 2,363 Prepaid Expenses and Other Assets........................... 53 36 54 21 -------------- -------------- ------------ ------------ Total Assets........................................... 11,494,814 6,051,645 7,323,578 3,319,490 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 2,198,003 1,001,049 701,891 188,881 Investment Securities Purchased........................... 41,472 15,934 10,641 67 Fund Shares Redeemed...................................... 4,586 3,370 2,093 1,827 Due to Advisor............................................ 2,556 1,994 830 639 Accrued Expenses and Other Liabilities...................... 481 271 364 229 -------------- -------------- ------------ ------------ Total Liabilities...................................... 2,247,098 1,022,618 715,819 191,643 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,247,716 $ 5,029,027 $ 6,607,759 $ 3,127,847 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $9,247,716; $5,029,027; $6,607,759 and $3,127,847 and shares outstanding of 294,721,795; 250,206,560; 204,979,714 and 144,898,247, respectively.................. $ 31.38 $ 20.10 $ 32.24 $ 21.59 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 6,673,921 $ 3,349,380 $ 4,393,384 $ 2,561,136 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 890 ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 6,457,485 $ 3,093,645 $ 4,621,934 $ 2,809,203 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 5,881 2,541 23,541 7,583 Accumulated Net Realized Gain (Loss)........................ 249,713 272,173 (228,362) (240,860) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- (190) Net Unrealized Appreciation (Depreciation).................. 2,534,637 1,660,668 2,190,646 552,111 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,247,716 $ 5,029,027 $ 6,607,759 $ 3,127,847 ============== ============== ============ ============
---------- * 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, 2014 (Amounts in thousands, except share and per share amounts)
International International Japanese Small Core Equity Small Company Portfolio* Company Portfolio ASSETS: Investments in Affiliated Investment Companies at Value.................... -- $ 8,831,558 $ 508,413 Investments at Value (including $1,270,773, $0, $0 and $0 of securities on loan, respectively)....................................................... $ 12,231,918 -- -- Temporary Cash............................................................. -- 9,752 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost... 1,313,053 -- -- Foreign Currencies at Value................................................ 5,615 -- -- Cash....................................................................... 74,244 -- -- Receivables: Investment Securities Sold............................................... 435 -- -- Dividends, Interest and Tax Reclaims..................................... 25,473 -- -- Securities Lending Income................................................ 939 -- -- Fund Shares Sold......................................................... 22,866 12,543 83 Unrealized Gain on Foreign Currency Contracts.............................. 4 -- -- Prepaid Expenses and Other Assets.......................................... 120 45 8 -------------- -------------- ------------ Total Assets........................................................... 13,674,667 8,853,898 508,504 -------------- -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned......................................... 1,313,053 -- -- Investment Securities Purchased.......................................... 55,267 -- -- Fund Shares Redeemed..................................................... 7,207 6,012 119 Due to Advisor........................................................... 3,502 2,942 169 Unrealized Loss on Foreign Currency Contracts............................ 185 -- -- Accrued Expenses and Other Liabilities..................................... 911 427 26 -------------- -------------- ------------ Total Liabilities...................................................... 1,380,125 9,381 314 -------------- -------------- ------------ NET ASSETS................................................................. $ 12,294,542 $ 8,844,517 $ 508,190 ============== ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,294,542; $8,844,517; $508,190 and $364,117 and shares outstanding of 1,011,887,141; 484,820,150; 26,534,841 and 15,916,240, respectively....... $ 12.15 $ 18.24 $ 19.15 ============== ============== ============ NUMBER OF SHARES AUTHORIZED................................................ 2,000,000,000 1,500,000,000 100,000,000 ============== ============== ============ Investments in Affiliated Investment Companies at Cost..................... $ -- $ 7,805,376 $ 492,147 ============== ============== ============ Investments at Cost........................................................ $ 11,070,295 $ -- $ -- ============== ============== ============ Foreign Currencies at Cost................................................. $ 5,656 $ -- $ -- ============== ============== ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................ $ 11,399,671 $ 7,513,994 $ 551,447 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................................ 40,713 36,226 2,523 Accumulated Net Realized Gain (Loss)....................................... (306,816) 268,704 (61,922) Net Unrealized Foreign Exchange Gain (Loss)................................ (608) (589) (124) Net Unrealized Appreciation (Depreciation)................................. 1,161,582 1,026,182 16,266 -------------- -------------- ------------ NET ASSETS................................................................. $ 12,294,542 $ 8,844,517 $ 508,190 ============== ============== ============
Asia Pacific Small Company ASSETS: Investments in Affiliated Investment Companies at Value.................... $ 364,292 Investments at Value (including $1,270,773, $0, $0 and $0 of securities on loan, respectively)....................................................... -- Temporary Cash............................................................. -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost... -- Foreign Currencies at Value................................................ -- Cash....................................................................... -- Receivables: Investment Securities Sold............................................... -- Dividends, Interest and Tax Reclaims..................................... -- Securities Lending Income................................................ -- Fund Shares Sold......................................................... 58 Unrealized Gain on Foreign Currency Contracts.............................. -- Prepaid Expenses and Other Assets.......................................... 9 ------------ Total Assets........................................................... 364,359 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned......................................... -- Investment Securities Purchased.......................................... -- Fund Shares Redeemed..................................................... 101 Due to Advisor........................................................... 122 Unrealized Loss on Foreign Currency Contracts............................ -- Accrued Expenses and Other Liabilities..................................... 19 ------------ Total Liabilities...................................................... 242 ------------ NET ASSETS................................................................. $ 364,117 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,294,542; $8,844,517; $508,190 and $364,117 and shares outstanding of 1,011,887,141; 484,820,150; 26,534,841 and 15,916,240, respectively....... $ 22.88 ============ NUMBER OF SHARES AUTHORIZED................................................ 100,000,000 ============ Investments in Affiliated Investment Companies at Cost..................... $ 360,080 ============ Investments at Cost........................................................ $ -- ============ Foreign Currencies at Cost................................................. $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................ $ 380,034 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................................ 7,045 Accumulated Net Realized Gain (Loss)....................................... (27,173) Net Unrealized Foreign Exchange Gain (Loss)................................ (1) Net Unrealized Appreciation (Depreciation)................................. 4,212 ------------ NET ASSETS................................................................. $ 364,117 ============
---------- * 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, 2014 (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....... $ 35,057 $ 169,046 -- $ 3,300,166 Investments at Value (including $0, $0, $190,837, $0 and $988,066 of securities on loan, respectively)................ -- -- $ 3,065,419 -- Temporary Cash Investments at Value & Cost.................... -- -- -- 8,925 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................. -- -- 198,808 -- Foreign Currencies at Value................................... -- -- 717 -- Cash.......................................................... -- -- 20,031 -- Receivables: Investment Securities/Affiliated Investment Company Sold....................................................... -- -- 283 -- Dividends, Interest and Tax Reclaims........................ -- -- 9,292 1 Securities Lending Income................................... -- -- 130 -- Fund Shares Sold............................................ -- 99 4,324 4,904 Unrealized Gain on Foreign Currency Contracts................. -- -- 1 -- Prepaid Expenses and Other Assets............................. 7 10 27 40 ------------ ------------ ------------ ------------ Total Assets.............................................. 35,064 169,155 3,299,032 3,314,036 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned............................ -- -- 198,808 -- Investment Securities/Affiliated Investment Company Purchased.................................................. -- -- 10,145 5,300 Fund Shares Redeemed........................................ -- 128 455 3,034 Due to Advisor.............................................. 10 56 875 51 Unrealized Loss on Foreign Currency Contracts................. -- -- 151 -- Accrued Expenses and Other Liabilities........................ 4 10 222 179 ------------ ------------ ------------ ------------ Total Liabilities......................................... 14 194 210,656 8,564 ------------ ------------ ------------ ------------ NET ASSETS.................................................... $ 35,050 $ 168,961 $ 3,088,376 $ 3,305,472 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $35,050; $168,961; $3,088,376; $3,305,472 and $11,684,771 and shares outstanding of 975,775; 8,734,430; 548,726,426; 310,892,904 and 597,749,808, respectively.................... $ 35.92 $ 19.34 $ 5.63 $ 10.63 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED................................... 100,000,000 100,000,000 700,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost........ $ 23,694 $ 144,331 $ -- $ 2,628,854 ============ ============ ============ ============ Investments at Cost........................................... $ -- $ -- $ 2,698,301 $ -- ============ ============ ============ ============ Foreign Currencies at Cost.................................... $ -- $ -- $ 721 $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................... $ 21,546 $ 165,175 $ 3,113,303 $ 2,649,228 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................... 106 119 (153,170) 21,784 Accumulated Net Realized Gain (Loss).......................... 2,032 (21,168) (238,590) (36,852) Net Unrealized Foreign Exchange Gain (Loss)................... 3 120 (281) -- Net Unrealized Appreciation (Depreciation).................... 11,363 24,715 367,114 671,312 ------------ ------------ ------------ ------------ NET ASSETS.................................................... $ 35,050 $ 168,961 $ 3,088,376 $ 3,305,472 ============ ============ ============ ============
DFA International Small Cap Value Portfolio* ---------------- ASSETS: Investments in Affiliated Investment Companies at Value....... -- Investments at Value (including $0, $0, $190,837, $0 and $988,066 of securities on loan, respectively)................ $ 11,620,902 Temporary Cash Investments at Value & Cost.................... -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................. 1,064,003 Foreign Currencies at Value................................... 28,811 Cash.......................................................... 11,527 Receivables: Investment Securities/Affiliated Investment Company Sold....................................................... 9,978 Dividends, Interest and Tax Reclaims........................ 29,193 Securities Lending Income................................... 1,089 Fund Shares Sold............................................ 7,407 Unrealized Gain on Foreign Currency Contracts................. 2 Prepaid Expenses and Other Assets............................. 85 -------------- Total Assets.............................................. 12,772,997 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................ 1,064,003 Investment Securities/Affiliated Investment Company Purchased.................................................. 12,746 Fund Shares Redeemed........................................ 4,200 Due to Advisor.............................................. 6,300 Unrealized Loss on Foreign Currency Contracts................. 191 Accrued Expenses and Other Liabilities........................ 786 -------------- Total Liabilities......................................... 1,088,226 -------------- NET ASSETS.................................................... $ 11,684,771 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $35,050; $168,961; $3,088,376; $3,305,472 and $11,684,771 and shares outstanding of 975,775; 8,734,430; 548,726,426; 310,892,904 and 597,749,808, respectively.................... $ 19.55 ============== NUMBER OF SHARES AUTHORIZED................................... 2,300,000,000 ============== Investments in Affiliated Investment Companies at Cost........ $ -- ============== Investments at Cost........................................... $ 10,060,182 ============== Foreign Currencies at Cost.................................... $ 29,123 ============== NET ASSETS CONSIST OF: Paid-In Capital............................................... $ 9,902,122 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................... 20,577 Accumulated Net Realized Gain (Loss).......................... 202,416 Net Unrealized Foreign Exchange Gain (Loss)................... (752) Net Unrealized Appreciation (Depreciation).................... 1,560,408 -------------- NET ASSETS.................................................... $ 11,684,771 ==============
---------- * 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, 2014 (Amounts in thousands, except share and per share amounts)
International World ex U.S. World ex U.S. Vector Equity World ex U.S. Targeted Value Core Equity Portfolio* Value Portfolio Portfolio Portfolio ------------- --------------- -------------- ------------- ASSETS: Investments in Affiliated Investment Companies at Value............. -- $ 113,790 $ 150,964 $ 405,777 Investments at Value (including $139,049, $0, $0, $0 and $0 of securities on loan, respectively).................................. $ 1,297,986 -- -- -- Temporary Cash Investments at Value & Cost.......................... -- -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 144,450 -- -- -- Foreign Currencies at Value......................................... 759 -- -- -- Cash................................................................ 5,192 124 107 1,539 Receivables: Investment Securities Sold........................................ 34 -- -- -- Dividends, Interest and Tax Reclaims.............................. 2,867 -- -- -- Securities Lending Income......................................... 109 -- -- -- Fund Shares Sold.................................................. 2,203 97 119 677 From Advisor...................................................... -- -- -- 23 Prepaid Expenses and Other Assets................................... 21 11 19 16 ------------ ------------ ------------ ------------ Total Assets.................................................... 1,453,621 114,022 151,209 408,032 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 144,450 -- -- -- Investment Securities Purchased................................... 2,523 17 32 1,339 Fund Shares Redeemed.............................................. 511 10 50 9 Due to Advisor.................................................... 482 39 16 -- Unrealized Loss on Foreign Currency Contracts....................... 2 -- -- -- Accrued Expenses and Other Liabilities.............................. 100 5 15 36 ------------ ------------ ------------ ------------ Total Liabilities............................................... 148,068 71 113 1,384 ------------ ------------ ------------ ------------ NET ASSETS.......................................................... $ 1,305,553 $ 113,951 $ 151,096 $ 406,648 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $1,305,553; $113,951; $151,096; $406,648 and $75,707 and shares outstanding of 115,931,127; 9,967,506; 12,511,669; 38,752,388 and 5,680,133, respectively............................. $ 11.26 $ 11.43 $ 12.08 $ 10.49 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED......................................... 500,000,000 100,000,000 100,000,000 100,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost.............. $ -- $ 104,616 $ 144,053 $ 407,877 ============ ============ ============ ============ Investments at Cost................................................. $ 1,142,139 $ -- $ -- $ -- ============ ============ ============ ============ Foreign Currencies at Cost.......................................... $ 763 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 1,133,748 $ 106,315 $ 145,500 $ 409,000 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 4,680 343 218 (2) Accumulated Net Realized Gain (Loss)................................ 11,355 (1,837) (1,533) (250) Net Unrealized Foreign Exchange Gain (Loss)......................... (73) (44) -- -- Net Unrealized Appreciation (Depreciation).......................... 155,843 9,174 6,911 (2,100) ------------ ------------ ------------ ------------ NET ASSETS.......................................................... $ 1,305,553 $ 113,951 $ 151,096 $ 406,648 ============ ============ ============ ============
World Core Equity Portfolio ------------ ASSETS: Investments in Affiliated Investment Companies at Value............. $ 75,647 Investments at Value (including $139,049, $0, $0, $0 and $0 of securities on loan, respectively).................................. -- Temporary Cash Investments at Value & Cost.......................... 35 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- Foreign Currencies at Value......................................... -- Cash................................................................ -- Receivables: Investment Securities Sold........................................ -- Dividends, Interest and Tax Reclaims.............................. -- Securities Lending Income......................................... -- Fund Shares Sold.................................................. -- From Advisor...................................................... 28 Prepaid Expenses and Other Assets................................... 7 ------------ Total Assets.................................................... 75,717 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- Investment Securities Purchased................................... -- Fund Shares Redeemed.............................................. -- Due to Advisor.................................................... -- Unrealized Loss on Foreign Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 10 ------------ Total Liabilities............................................... 10 ------------ NET ASSETS.......................................................... $ 75,707 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $1,305,553; $113,951; $151,096; $406,648 and $75,707 and shares outstanding of 115,931,127; 9,967,506; 12,511,669; 38,752,388 and 5,680,133, respectively............................. $ 13.33 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Investments in Affiliated Investment Companies at Cost.............. $ 78,254 ============ Investments at Cost................................................. $ -- ============ Foreign Currencies at Cost.......................................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 78,074 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. -- Accumulated Net Realized Gain (Loss)................................ 240 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... (2,607) ------------ NET ASSETS.......................................................... $ 75,707 ============
---------- * 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, 2014 (Amounts in thousands, except share and per share amounts)
Selectively Emerging Hedged Global Emerging Markets Equity Markets Small Cap Portfolio Portfolio Portfolio ------------- ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value.................. $ 141,266 $ 4,080,491 $ 4,861,064 Investments at Value (including $0, $0, $0, $0 and $2,020,097 of securities on loan, respectively)....................................... -- -- -- Temporary Cash........................................................... 5,756 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost. -- -- -- Segregated Cash for Futures Contracts.................................... 235 -- -- Foreign Currencies at Value.............................................. -- -- -- Cash..................................................................... -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.............. -- -- -- Dividends, Interest and Tax Reclaims.................................... -- -- -- Securities Lending Income............................................... -- -- -- Fund Shares Sold........................................................ -- 5,607 2,337 From Advisor............................................................ 2 -- -- Futures Margin Variation................................................ 58 -- -- Unrealized Gain on Forward Currency Contracts............................ 638 -- -- Prepaid Expenses and Other Assets........................................ 13 30 50 ------------ ------------ ------------ Total Assets......................................................... 147,968 4,086,128 4,863,451 ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned........................................ -- -- -- Investment Securities/Affiliated Investment Companies Purchased......... 300 -- -- Fund Shares Redeemed.................................................... 383 10,866 810 Due to Advisor.......................................................... -- 1,349 1,835 Unrealized Loss on Foreign Currency Contracts............................ -- -- -- Accrued Expenses and Other Liabilities................................... 9 215 203 ------------ ------------ ------------ Total Liabilities.................................................... 692 12,430 2,848 ------------ ------------ ------------ NET ASSETS............................................................... $ 147,276 $ 4,073,698 $ 4,860,603 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $99,066 and $0 and shares outstanding of 0; 0; 0; 3,564,838 and 0, respectively........ N/A N/A N/A ============ ============ ============ Institutional Class Shares -- based on net assets of $147,276; $4,073,698; $4,860,603; $18,647,276 and $15,727,547 and shares outstanding of 10,370,147; 152,931,698; 226,969,296; 670,453,061 and 783,404,911, respectively........................................... $ 14.20 $ 26.64 $ 21.42 ============ ============ ============ NUMBER OF SHARES AUTHORIZED.............................................. 100,000,000 500,000,000 500,000,000 ============ ============ ============ Investments in Affiliated Investment Companies at Cost................... $ 124,892 $ 2,936,205 $ 4,385,026 ============ ============ ============ Investments at Cost...................................................... $ -- $ -- $ -- ============ ============ ============ Foreign Currencies at Cost............................................... $ -- $ -- $ -- ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................................... $ 125,440 $ 2,949,124 $ 4,296,559 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................... 3,031 6,653 7,565 Accumulated Net Realized Gain (Loss)..................................... 1,742 (26,314) 80,669 Net Unrealized Foreign Exchange Gain (Loss).............................. 638 (51) (228) Net Unrealized Appreciation (Depreciation)............................... 16,425 1,144,286 476,038 ------------ ------------ ------------ NET ASSETS............................................................... $ 147,276 $ 4,073,698 $ 4,860,603 ============ ============ ============
Emerging Emerging Markets Core Markets Value Equity Portfolio Portfolio* -------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value.................. $ 18,743,742 -- Investments at Value (including $0, $0, $0, $0 and $2,020,097 of securities on loan, respectively)....................................... -- $ 15,609,324 Temporary Cash........................................................... -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost. -- 1,559,647 Segregated Cash for Futures Contracts.................................... -- -- Foreign Currencies at Value.............................................. -- 17,742 Cash..................................................................... -- 91,653 Receivables: Investment Securities/Affiliated Investment Companies Sold.............. -- 1,250 Dividends, Interest and Tax Reclaims.................................... -- 13,732 Securities Lending Income............................................... -- 3,328 Fund Shares Sold........................................................ 17,245 18,176 From Advisor............................................................ -- -- Futures Margin Variation................................................ -- -- Unrealized Gain on Forward Currency Contracts............................ -- -- Prepaid Expenses and Other Assets........................................ 68 91 -------------- -------------- Total Assets......................................................... 18,761,055 17,314,943 -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned........................................ -- 1,559,647 Investment Securities/Affiliated Investment Companies Purchased......... -- 10,304 Fund Shares Redeemed.................................................... 7,771 8,693 Due to Advisor.......................................................... 6,275 7,152 Unrealized Loss on Foreign Currency Contracts............................ -- 15 Accrued Expenses and Other Liabilities................................... 667 1,585 -------------- -------------- Total Liabilities.................................................... 14,713 1,587,396 -------------- -------------- NET ASSETS............................................................... $ 18,746,342 $ 15,727,547 ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $99,066 and $0 and shares outstanding of 0; 0; 0; 3,564,838 and 0, respectively........ $ 27.79 N/A ============== ============== Institutional Class Shares -- based on net assets of $147,276; $4,073,698; $4,860,603; $18,647,276 and $15,727,547 and shares outstanding of 10,370,147; 152,931,698; 226,969,296; 670,453,061 and 783,404,911, respectively........................................... $ 27.81 $ 20.08 ============== ============== NUMBER OF SHARES AUTHORIZED.............................................. 1,500,000,000 1,000,000,000 ============== ============== Investments in Affiliated Investment Companies at Cost................... $ 18,506,990 $ -- ============== ============== Investments at Cost...................................................... $ -- $ 14,262,183 ============== ============== Foreign Currencies at Cost............................................... $ -- $ 17,745 ============== ============== NET ASSETS CONSIST OF: Paid-In Capital.......................................................... $ 19,017,206 $ 14,516,502 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................... 37,443 28,530 Accumulated Net Realized Gain (Loss)..................................... (545,118) (164,363) Net Unrealized Foreign Exchange Gain (Loss).............................. 59 (260) Net Unrealized Appreciation (Depreciation)............................... 236,752 1,347,138 -------------- -------------- NET ASSETS............................................................... $ 18,746,342 $ 15,727,547 ============== ==============
---------- * 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, 2014 (Amounts in thousands)
Enhanced U.S. Large U.S. Large U.S. Large U.S. Targeted Company Cap Equity Cap Value Value Portfolio Portfolio Portfolio* Portfolio ---------- ---------- ---------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends................................................................... -- -- $ 272,418 -- Interest.................................................................... -- -- 20 -- Income from Securities Lending.............................................. -- -- 2,502 -- Expenses Allocated from Affiliated Investment Company....................... -- -- (14,920) -- ------- ------- ---------- -------- Total Net Investment Income Received from Affiliated Investment Company.... -- -- 260,020 -- ------- ------- ---------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $8, respectively). $ 162 $ 3,773 -- $ 59,301 Interest..................................................................... 1,451 1 -- 12 Income from Securities Lending............................................... -- 54 -- 3,332 ------- ------- ---------- -------- Total Investment Income.................................................... 1,613 3,828 -- 62,645 ------- ------- ---------- -------- Fund Expenses Investment Advisory Services Fees............................................ 103 297 -- 4,941 Administrative Services Fees................................................. 310 -- 20,484 12,352 Accounting & Transfer Agent Fees............................................. 15 17 107 285 S&P 500(R) Fees.............................................................. 8 -- -- -- Shareholder Servicing Fees -- Class R1 Shares............................................................. -- -- -- 12 Class R2 Shares............................................................. -- -- -- 166 Custodian Fees............................................................... 8 15 -- 78 Filing Fees.................................................................. 22 33 319 218 Shareholders' Reports........................................................ 4 6 298 142 Directors'/Trustees' Fees & Expenses......................................... 1 1 96 35 Professional Fees............................................................ 5 6 65 109 Organizational & Offering Costs.............................................. -- 28 -- -- Other........................................................................ 3 3 76 43 ------- ------- ---------- -------- Total Expenses............................................................. 479 406 21,445 18,381 ------- ------- ---------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)............................................... -- (29) -- -- Fees Paid Indirectly......................................................... (2) -- -- -- ------- ------- ---------- -------- Net Expenses................................................................. 477 377 21,445 18,381 ------- ------- ---------- -------- Net Investment Income (Loss)................................................. 1,136 3,451 238,575 44,264 ------- ------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................................. 643 563 600,495 262,739 Futures..................................................................... 31,175 -- -- -- Foreign Currency Transactions............................................... (151) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 332 24,836 1,088,709 116,751 Futures..................................................................... (852) -- -- -- Translation of Foreign Currency Denominated Amounts......................... 408 -- -- -- ------- ------- ---------- -------- Net Realized and Unrealized Gain (Loss)...................................... 31,555 25,399 1,689,204 379,490 ------- ------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ $32,691 $28,850 $1,927,779 $423,754 ======= ======= ========== ========
---------- * 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. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $38, $46, $34 and $6, respectively)..................................................... $120,663 $ 159,836 $ 195,784 $ 48,388 Interest........................................................... 25 22 22 4 Income from Securities Lending..................................... 5,060 4,124 6,170 2,310 -------- ---------- ---------- -------- Total Investment Income......................................... 125,748 163,982 201,976 50,702 -------- ---------- ---------- -------- Expenses Investment Advisory Services Fees.................................. 21,412 15,551 22,906 9,637 Administrative Services Fees....................................... 32,118 -- -- -- Accounting & Transfer Agent Fees................................... 606 518 647 184 Custodian Fees..................................................... 148 129 148 54 Filing Fees........................................................ 336 439 377 112 Shareholders' Reports.............................................. 213 128 168 80 Directors'/Trustees' Fees & Expenses............................... 76 64 80 23 Professional Fees.................................................. 254 189 243 69 Other.............................................................. 95 79 99 33 -------- ---------- ---------- -------- Total Expenses.................................................. 55,258 17,097 24,668 10,192 -------- ---------- ---------- -------- Net Investment Income (Loss)....................................... 70,490 146,885 177,308 40,510 -------- ---------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold....................................... 462,894 51,551 91,185 115,011 Futures.......................................................... (12,757) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................ 404,462 1,034,068 1,187,562 197,283 -------- ---------- ---------- -------- Net Realized and Unrealized Gain (Loss)............................ 854,599 1,085,619 1,278,747 312,294 -------- ---------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...... $925,089 $1,232,504 $1,456,055 $352,804 ======== ========== ========== ========
See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $22, $12, $0 and $7,592, respectively)........................................ $ 92,975 $ 51,716 $ 143,591 $105,069 Interest...................................................... 11 3 9 -- Income from Securities Lending................................ 10,024 6,741 1,285 3,427 -------- -------- ---------- -------- Total Investment Income.................................... 103,010 58,460 144,885 108,496 -------- -------- ---------- -------- Expenses Investment Advisory Services Fees............................. 2,525 4,842 9,263 7,471 Administrative Services Fees.................................. 26,929 19,369 -- -- Accounting & Transfer Agent Fees.............................. 478 277 309 182 Custodian Fees................................................ 140 82 64 319 Filing Fees................................................... 286 113 219 95 Shareholders' Reports......................................... 194 105 158 121 Directors'/Trustees' Fees & Expenses.......................... 60 35 37 21 Professional Fees............................................. 207 123 111 111 Other......................................................... 74 49 42 39 -------- -------- ---------- -------- Total Expenses............................................. 30,893 24,995 10,203 8,359 -------- -------- ---------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................... -- -- (396) -- Fees Paid Indirectly.......................................... -- -- -- (9) -------- -------- ---------- -------- Net Expenses............................................... 30,893 24,995 9,807 8,350 -------- -------- ---------- -------- Net Investment Income (Loss).................................... 72,117 33,465 135,078 100,146 -------- -------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 281,378 293,787 51,264 (5,883) Futures..................................................... -- (692) (553) -- Foreign Currency Transactions............................... -- -- -- (1,034) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 332,001 40,078 857,969 (85,773) Translation of Foreign Currency Denominated Amounts......... -- -- -- (232) -------- -------- ---------- -------- Net Realized and Unrealized Gain (Loss)....................... 613,379 333,173 908,680 (92,922) -------- -------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................................... $685,496 $366,638 $1,043,758 $ 7,224 ======== ======== ========== ========
See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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, $18,245, $804 and $310, respectively)........................................... -- $ 223,629 $ 7,253 $ 14,113 Interest........................................................... -- 1 -- -- Income from Securities Lending..................................... -- 19,367 641 1,067 Expenses Allocated from Affiliated Investment Companies............ -- (11,216) (562) (490) --------- --------- ------- -------- Total Net Investment Income Received from Affiliated Investment Companies............................................. -- 231,781 7,332 14,690 --------- --------- ------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $26,542, $0, $0 and $0, respectively)....................................................... $ 361,812 -- -- -- Interest............................................................. -- 31 -- -- Income from Securities Lending....................................... 15,893 -- -- -- --------- --------- ------- -------- Total Investment Income........................................... 377,705 31 -- -- --------- --------- ------- -------- Fund Expenses Investment Advisory Services Fees.................................... 39,037 -- -- -- Administrative Services Fees......................................... -- 36,252 1,757 1,488 Accounting & Transfer Agent Fees..................................... 641 95 25 25 Custodian Fees....................................................... 1,505 2 -- -- Filing Fees.......................................................... 553 197 34 29 Shareholders' Reports................................................ 234 212 4 5 Directors'/Trustees' Fees & Expenses................................. 78 64 3 3 Professional Fees.................................................... 269 73 5 7 Other................................................................ 131 53 3 1 --------- --------- ------- -------- Total Expenses.................................................... 42,448 36,948 1,831 1,558 --------- --------- ------- -------- Fees Paid Indirectly................................................. (49) -- -- -- --------- --------- ------- -------- Net Expenses......................................................... 42,399 36,948 1,831 1,558 --------- --------- ------- -------- Net Investment Income (Loss)......................................... 335,306 194,864 5,501 13,132 --------- --------- ------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**....................................... (183,788) 303,846 9,738 227 Futures............................................................ -- (945) -- -- Foreign Currency Transactions...................................... (1,661) (909) (118) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................... (293,395) (612,635) (8,349) (25,748) Futures............................................................ -- -- -- -- Translation of Foreign Currency Denominated Amounts................ (699) (606) (112) (4) --------- --------- ------- -------- Net Realized and Unrealized Gain (Loss).............................. (479,543) (311,249) 1,159 (25,525) --------- --------- ------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................................ $(144,237) $(116,385) $ 6,660 $(12,393) ========= ========= ======= ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $1, $601, $0, $0 and $0, respectively).......................................... $ 1,170 $ 4,009 -- -- Income Distributions Received from Affiliated Investment Companies...................................................... -- -- -- $ 84,335 Income from Securities Lending.................................. 5 585 -- -- Expenses Allocated from Affiliated Investment Company........... (44) (231) -- -- ------- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company........................................... 1,131 4,363 -- 84,335 ------- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $12,355, $0 and $20,887, respectively)...................................... -- -- $113,687 -- Interest......................................................... -- 1 -- 4 Income from Securities Lending................................... -- -- 1,921 -- ------- -------- -------- -------- Total Fund Investment Income.................................. -- 1 115,608 4 ------- -------- -------- -------- Fund Expenses Investment Advisory Services Fees................................ -- -- 8,947 6,955 Administrative Services Fees..................................... 153 728 -- -- Accounting & Transfer Agent Fees................................. 17 24 157 55 Custodian Fees................................................... -- -- 376 1 Filing Fees...................................................... 16 18 154 213 Shareholders' Reports............................................ 1 4 73 114 Directors'/Trustees' Fees & Expenses............................. -- 1 18 17 Professional Fees................................................ 3 4 57 20 Other............................................................ 1 1 31 9 ------- -------- -------- -------- Total Expenses................................................ 191 780 9,813 7,384 ------- -------- -------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................... (12) -- -- (5,839) Fees Paid Indirectly............................................. -- -- (14) -- ------- -------- -------- -------- Net Expenses..................................................... 179 780 9,799 1,545 ------- -------- -------- -------- Net Investment Income (Loss)..................................... 952 3,584 105,809 82,794 ------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.................................... 2,353 5,664 3,629 (2,790) Futures......................................................... -- (53) -- -- Foreign Currency Transactions................................... (4) (20) (581) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (2,920) (13,937) 99,706 305,008 Futures......................................................... -- -- -- -- Translation of Foreign Currency Denominated Amounts............. (1) (9) (267) -- ------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).......................... (572) (8,355) 102,487 302,218 ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $ 380 $ (4,771) $208,296 $385,012 ======= ======== ======== ========
DFA International Small Cap Value Portfolio ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $1, $601, $0, $0 and $0, respectively).......................................... -- Income Distributions Received from Affiliated Investment Companies...................................................... -- Income from Securities Lending.................................. -- Expenses Allocated from Affiliated Investment Company........... -- --------- Total Net Investment Income Received from Affiliated Investment Company........................................... -- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $12,355, $0 and $20,887, respectively)...................................... $ 275,245 Interest......................................................... -- Income from Securities Lending................................... 19,108 --------- Total Fund Investment Income.................................. 294,353 --------- Fund Expenses Investment Advisory Services Fees................................ 77,966 Administrative Services Fees..................................... -- Accounting & Transfer Agent Fees................................. 690 Custodian Fees................................................... 1,463 Filing Fees...................................................... 235 Shareholders' Reports............................................ 246 Directors'/Trustees' Fees & Expenses............................. 85 Professional Fees................................................ 324 Other............................................................ 146 --------- Total Expenses................................................ 81,155 --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................... -- Fees Paid Indirectly............................................. (16) --------- Net Expenses..................................................... 81,139 --------- Net Investment Income (Loss)..................................... 213,214 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.................................... 220,979 Futures......................................................... -- Foreign Currency Transactions................................... (2,193) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (457,867) Futures......................................................... -- Translation of Foreign Currency Denominated Amounts............. (878) --------- Net Realized and Unrealized Gain (Loss).......................... (239,959) --------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $ (26,745) =========
---------- * Investment Income and a portion of 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, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands)
World ex U.S. International World ex U.S. Targeted World ex U.S. World Core Vector Equity Value Value Core Equity Equity Portfolio Portfolio* Portfolio* Portfolio Portfolio* ------------- ------------- ------------- ------------- ---------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $310, $147, $0 and $0, respectively)............................ -- $ 4,469 $ 1,133 -- $ 1 Income Distributions Received from Affiliated Investment Companies................................................. -- 182 1,680 $ 6,170 351 Income from Securities Lending............................. -- 128 81 -- -- Expenses Allocated from Affiliated Investment Companies................................................. -- (216) (71) -- -- -------- ------- ------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies.................................... -- 4,563 2,823 6,170 352 -------- ------- ------- -------- ------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $2,855, $0, $0, $0 and $0, respectively)............................... $ 37,256 -- -- -- -- Income from Securities Lending.............................. 1,876 -- -- -- -- -------- ------- ------- -------- ------- Total Investment Income.................................. 39,132 -- -- -- -- -------- ------- ------- -------- ------- Fund Expenses Investment Advisory Services Fees........................... 5,621 554 813 938 81 Accounting & Transfer Agent Fees............................ 84 20 31 28 33 Custodian Fees.............................................. 266 2 4 4 1 Filing Fees................................................. 75 21 48 49 27 Shareholders' Reports....................................... 54 2 2 2 12 Directors'/Trustees' Fees & Expenses........................ 9 1 1 2 -- Professional Fees........................................... 48 10 12 12 21 Organizational & Offering Costs............................. -- -- -- 16 -- Other....................................................... 21 2 3 3 1 -------- ------- ------- -------- ------- Total Expenses........................................... 6,178 612 914 1,054 176 -------- ------- ------- -------- ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................. -- (224) (668) (967) (165) Fees Paid Indirectly........................................ (4) -- -- (1) -- -------- ------- ------- -------- ------- Net Expenses................................................ 6,174 388 246 86 11 -------- ------- ------- -------- ------- Net Investment Income (Loss)................................ 32,958 4,175 2,577 6,084 341 -------- ------- ------- -------- ------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies....................................... -- 157 983 -- 3 Net Realized Gain (Loss) on: Investment Securities Sold**............................... 14,492 1,007 (2,175) (107) 247 Futures.................................................... -- 1 1 -- -- Foreign Currency Transactions.............................. (376) (40) (9) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. (66,559) (6,120) (4,735) (13,820) (2,851) Futures.................................................... -- 1 -- -- -- Translation of Foreign Currency Denominated Amounts................................................... (93) (12) -- -- -- -------- ------- ------- -------- ------- Net Realized and Unrealized Gain (Loss)..................... (52,536) (5,006) (5,935) (13,927) (2,601) -------- ------- ------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... $(19,578) $ (831) $(3,358) $ (7,843) $(2,260) ======== ======= ======= ======== =======
---------- * Investment Income and a portion of 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, $3, $0 and $0, respectively. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands)
Selectively Emerging Emerging Hedged Emerging Markets Markets Global Equity Markets Small Cap Value Portfolio Portfolio* Portfolio* Portfolio* ------------- ---------- ---------- ---------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $12,913, $11,001, $69,599 and $0, respectively).......................................... -- $ 98,189 $101,164 $ 528,265 Income Distributions Received from Affiliated Investment Companies.............................................................. $2,199 -- -- -- Interest................................................................ -- 5 5 8 Income from Securities Lending.......................................... -- 4,707 19,756 24,637 Expenses Allocated from Affiliated Investment Companies................. -- (5,798) (11,646) (28,263) ------ -------- -------- --------- Total Net Investment Income Received from Affiliated Investment Companies............................................................ 2,199 97,103 109,279 524,647 ------ -------- -------- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $46,703, respectively)........................................................... -- -- -- -- Interest................................................................. 3 -- -- -- Income from Securities Lending........................................... -- -- -- -- ------ -------- -------- --------- Total Fund Investment Income.......................................... 3 -- -- -- ------ -------- -------- --------- Fund Expenses Investment Advisory Services Fees........................................ 329 -- -- -- Administrative Services Fees............................................. -- 15,438 19,823 76,112 Accounting & Transfer Agent Fees......................................... 18 47 49 141 Shareholder Servicing Fees -- Class R2 Shares......................................................... -- -- -- 250 Custodian Fees........................................................... 2 -- -- -- Filing Fees.............................................................. 28 138 159 227 Shareholders' Reports.................................................... 2 152 77 261 Directors'/Trustees' Fees & Expenses..................................... 1 27 31 135 Professional Fees........................................................ 9 26 29 115 Other.................................................................... 1 22 26 115 ------ -------- -------- --------- Total Expenses........................................................ 390 15,850 20,194 77,356 ------ -------- -------- --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................... (315) -- -- -- Fees Paid Indirectly..................................................... -- -- -- -- ------ -------- -------- --------- Net Expenses............................................................. 75 15,850 20,194 77,356 ------ -------- -------- --------- Net Investment Income (Loss)............................................. 2,127 81,253 89,085 447,291 ------ -------- -------- --------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies............................................................... 342 -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold**............................................ 1,409 (24,604) 98,856 (519,942) Futures................................................................. 572 -- -- 499 Foreign Currency Transactions........................................... 1,469 (658) (968) (4,493) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 1,003 12,634 21,383 (179,006) Futures................................................................. (82) -- (4) -- Translation of Foreign Currency Denominated Amounts..................... 610 (12) (137) (29) ------ -------- -------- --------- Net Realized and Unrealized Gain (Loss).................................. 5,323 (12,640) 119,130 (702,971) ------ -------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations............ $7,450 $ 68,613 $208,215 $(255,680) ====== ======== ======== =========
Emerging Markets Core Equity Portfolio ----------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $12,913, $11,001, $69,599 and $0, respectively).......................................... -- Income Distributions Received from Affiliated Investment Companies.............................................................. -- Interest................................................................ -- Income from Securities Lending.......................................... -- Expenses Allocated from Affiliated Investment Companies................. -- --------- Total Net Investment Income Received from Affiliated Investment Companies............................................................ -- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $46,703, respectively)........................................................... $ 357,701 Interest................................................................. 2 Income from Securities Lending........................................... 32,636 --------- Total Fund Investment Income.......................................... 390,339 --------- Fund Expenses Investment Advisory Services Fees........................................ 79,177 Administrative Services Fees............................................. -- Accounting & Transfer Agent Fees......................................... 823 Shareholder Servicing Fees -- Class R2 Shares......................................................... -- Custodian Fees........................................................... 6,018 Filing Fees.............................................................. 527 Shareholders' Reports.................................................... 329 Directors'/Trustees' Fees & Expenses..................................... 100 Professional Fees........................................................ 391 Other.................................................................... 169 --------- Total Expenses........................................................ 87,534 --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................... -- Fees Paid Indirectly..................................................... (75) --------- Net Expenses............................................................. 87,459 --------- Net Investment Income (Loss)............................................. 302,880 --------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies............................................................... -- Net Realized Gain (Loss) on: Investment Securities Sold**............................................ (111,516) Futures................................................................. -- Foreign Currency Transactions........................................... (2,722) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 123,834 Futures................................................................. -- Translation of Foreign Currency Denominated Amounts..................... (212) --------- Net Realized and Unrealized Gain (Loss).................................. 9,384 --------- Net Increase (Decrease) in Net Assets Resulting from Operations............ $ 312,264 =========
---------- * 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, $1,357, $0 and $960, 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 June 25, Year Year Year 2013(a) Year Year Ended Ended Ended to Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 -------- -------- -------- -------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................... $ 1,136 $ 1,274 $ 3,451 $ 591 $ 238,575 $ 183,780 Net Realized Gain (Loss) on: Investment Securities Sold...................... 643 (238) 563 37 600,495 819,592 Futures......................................... 31,175 40,444 -- -- -- -- Foreign Currency Transactions................... (151) (934) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...... 332 1,803 24,836 10,560 1,088,709 2,030,120 Futures......................................... (852) 5,088 -- -- -- -- Translation of Foreign Currency Denominated Amounts........................................ 408 946 -- -- -- -- -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 32,691 48,383 28,850 11,188 1,927,779 3,033,492 -------- -------- -------- -------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares...................... (903) (1,597) (3,170) (321) (230,364) (180,943) Net Short-Term Gains: Institutional Class Shares...................... -- -- (40) -- -- -- -------- -------- -------- -------- ----------- ----------- Total Distributions............................ (903) (1,597) (3,210) (321) (230,364) (180,943) -------- -------- -------- -------- ----------- ----------- Capital Share Transactions (1): Shares Issued..................................... 36,703 49,190 134,371 127,286 3,477,302 2,669,600 Shares Issued in Lieu of Cash Distributions....... 757 1,381 3,180 321 209,934 165,830 Shares Redeemed................................... (65,369) (74,528) (23,643) (3,067) (2,200,742) (2,059,492) -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................................. (27,909) (23,957) 113,908 124,540 1,486,494 775,938 -------- -------- -------- -------- ----------- ----------- Total Increase (Decrease) in Net Assets........ 3,879 22,829 139,548 135,407 3,183,909 3,628,487 Net Assets Beginning of Period............................... 212,840 190,011 135,407 -- 11,963,072 8,334,585 -------- -------- -------- -------- ----------- ----------- End of Period..................................... $216,719 $212,840 $274,955 $135,407 $15,146,981 $11,963,072 ======== ======== ======== ======== =========== =========== (1) Shares Issued and Redeemed: Shares Issued..................................... 2,890 4,732 11,205 12,483 108,157 102,131 Shares Issued in Lieu of Cash Distributions....... 60 142 265 30 6,479 6,512 Shares Redeemed................................... (5,263) (7,146) (1,962) (286) (68,360) (79,135) -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.................................. (2,313) (2,272) 9,508 12,227 46,276 29,508 ======== ======== ======== ======== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ $ 149 $ 200 $ 502 $ 281 $ 32,662 $ 28,203
---------- See page 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 U.S. Core Equity 1 Portfolio Portfolio Portfolio ----------------------- ------------------------ ------------------------ Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 ---------- ----------- ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................... $ 44,264 $ 45,589 $ 70,490 $ 104,594 $ 146,885 $ 109,577 Net Realized Gain (Loss) on: Investment Securities Sold....................... 262,739 274,964 462,894 467,388 51,551 48,730 Futures.......................................... -- 4,864 (12,757) 4,175 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................ 116,751 903,746 404,462 2,087,253 1,034,068 1,549,261 ---------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 423,754 1,229,163 925,089 2,663,410 1,232,504 1,707,568 ---------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares.................................. (80) (604) -- -- -- -- Class R2 Shares.................................. (330) (171) -- -- -- -- Institutional Class Shares....................... (37,254) (44,723) (63,952) (97,302) (135,714) (105,633) Net Short-Term Gains: Class R1 Shares.................................. (32) (162) -- -- -- -- Class R2 Shares.................................. (84) (43) -- -- -- -- Institutional Class Shares....................... (13,954) (9,669) (2,510) (15,668) -- -- Net Long-Term Gains: Class R1 Shares.................................. (544) (2,657) -- -- -- -- Class R2 Shares.................................. (1,417) (709) -- -- -- -- Institutional Class Shares....................... (235,328) (158,843) (443,795) (380,218) (34,892) -- ---------- ----------- ----------- ----------- ----------- ----------- Total Distributions............................ (289,023) (217,581) (510,257) (493,188) (170,606) (105,633) ---------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued..................................... 1,893,177 1,069,213 2,936,905 1,700,691 3,297,271 2,012,312 Shares Issued in Lieu of Cash Distributions....... 271,172 193,793 463,121 448,519 161,062 95,895 Shares Redeemed................................... (921,922) (1,112,648) (1,829,533) (1,880,921) (1,305,580) (1,020,936) ---------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions............................ 1,242,427 150,358 1,570,493 268,289 2,152,753 1,087,271 ---------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets........ 1,377,158 1,161,940 1,985,325 2,438,511 3,214,651 2,689,206 Net Assets Beginning of Year................................. 4,213,749 3,051,809 9,526,981 7,088,470 7,566,179 4,876,973 ---------- ----------- ----------- ----------- ----------- ----------- End of Year....................................... $5,590,907 $ 4,213,749 $11,512,306 $ 9,526,981 $10,780,830 $ 7,566,179 ========== =========== =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued..................................... 83,026 54,473 83,520 56,681 195,985 144,586 Shares Issued in Lieu of Cash Distributions....... 12,467 11,549 13,724 17,521 9,673 7,046 Shares Redeemed................................... (40,542) (56,250) (52,171) (64,686) (77,540) (73,616) ---------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.................................. 54,951 9,772 45,073 9,516 128,118 78,016 ========== =========== =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ $ 6,119 $ 484 $ 3,960 $ 1,366 $ 19,703 $ 14,478
See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Vector U.S. Core Equity 2 Portfolio Equity Portfolio U.S. Small Cap Portfolio --------------------------- ---------------------- ----------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ---------- ---------- ----------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 177,308 $ 146,563 $ 40,510 $ 36,935 $ 72,117 $ 76,179 Net Realized Gain (Loss) on: Investment Securities Sold................. 91,185 106,205 115,011 42,264 281,378 252,589 Futures.................................... -- -- -- (48) -- (331) Foreign Currency Transactions.............. -- -- -- -- -- 1 Change in Unrealized Appreciation (Depreciation) of: Investment Securities...................... 1,187,562 2,176,008 197,283 684,534 332,001 1,551,354 ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 1,456,055 2,428,776 352,804 763,685 685,496 1,879,792 ----------- ----------- ---------- ---------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................. (165,687) (143,640) (37,709) (34,959) (65,689) (74,990) Net Short-Term Gains: Institutional Class Shares................. (4,518) -- (1,492) -- (19,821) (8,279) Net Long-Term Gains: Institutional Class Shares................. (98,745) (55,772) (38,966) (3,507) (218,795) (228,672) ----------- ----------- ---------- ---------- ----------- ---------- Total Distributions....................... (268,950) (199,412) (78,167) (38,466) (304,305) (311,941) ----------- ----------- ---------- ---------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................ 2,965,961 1,993,887 798,485 590,251 2,450,541 2,025,365 Shares Issued in Lieu of Cash Distributions............................... 265,683 194,014 77,784 37,851 285,840 287,893 Shares Redeemed.............................. (1,489,137) (1,351,685) (543,429) (468,656) (1,316,683) (997,627) ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 1,742,507 836,216 332,840 159,446 1,419,698 1,315,631 ----------- ----------- ---------- ---------- ----------- ---------- Total Increase (Decrease) in Net Assets................................... 2,929,612 3,065,580 607,477 884,665 1,800,889 2,883,482 Net Assets Beginning of Year............................ 9,989,564 6,923,984 2,893,842 2,009,177 7,446,827 4,563,345 ----------- ----------- ---------- ---------- ----------- ---------- End of Year.................................. $12,919,176 $ 9,989,564 $3,501,319 $2,893,842 $ 9,247,716 $7,446,827 =========== =========== ========== ========== =========== ========== (1) Shares Issued and Redeemed: Shares Issued................................ 178,876 145,060 48,426 43,824 80,252 76,522 Shares Issued in Lieu of Cash Distributions............................... 16,353 14,935 4,849 2,932 9,623 12,811 Shares Redeemed.............................. (89,926) (98,040) (33,059) (34,484) (43,155) (38,832) ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 105,303 61,955 20,216 12,272 46,720 50,501 =========== =========== ========== ========== =========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 22,013 $ 14,455 $ 4,499 $ 3,096 $ 5,881 $ 3,164
See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Large Cap International U.S. Micro Cap Portfolio Securities 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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 33,465 $ 46,722 $ 135,078 $ 103,396 $ 100,146 $ 68,706 Capital Gain Distributions Received from Investment Securities........................ -- -- -- 15,455 -- -- Net Realized Gain (Loss) on: Investment Securities Sold*................. 293,787 227,715 51,264 15,023 (5,883) (15,210) Futures..................................... (692) (423) (553) -- -- -- Foreign Currency Transactions............... -- -- -- -- (1,034) (394) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 40,078 1,117,408 857,969 254,603 (85,773) 476,010 Translation of Foreign Currency Denominated Amounts........................ -- -- -- -- (232) 154 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 366,638 1,391,422 1,043,758 388,477 7,224 529,266 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (30,943) (46,915) (156,934) (102,731) (98,177) (70,787) Net Short-Term Gains: Institutional Class Shares.................. (12,783) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares.................. (200,738) (176,365) -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (244,464) (223,280) (156,934) (102,731) (98,177) (70,787) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................. 732,739 605,885 1,531,390 1,428,666 711,014 631,372 Shares Issued in Lieu of Cash Distributions... 228,631 207,612 154,320 99,760 89,712 66,684 Shares Redeemed............................... (750,348) (723,766) (642,193) (853,143) (337,040) (457,180) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................ 211,022 89,731 1,043,517 675,283 463,686 240,876 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.... 333,196 1,257,873 1,930,341 961,029 372,733 699,355 Net Assets Beginning of Year............................. 4,695,831 3,437,958 4,677,418 3,716,389 2,755,114 2,055,759 ---------- ---------- ---------- ---------- ---------- ---------- End of Year................................... $5,029,027 $4,695,831 $6,607,759 $4,677,418 $3,127,847 $2,755,114 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................. 37,333 36,865 53,449 51,717 31,887 31,421 Shares Issued in Lieu of Cash Distributions... 11,975 14,570 5,604 3,726 3,956 3,350 Shares Redeemed............................... (38,226) (43,945) (22,496) (30,873) (15,048) (22,837) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 11,082 7,490 36,557 24,570 20,795 11,934 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................. $ 2,541 $ 1,656 $ 23,541 $ 32,390 $ 7,583 $ 6,579
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 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, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ----------- -------- --------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 335,306 $ 218,030 $ 194,864 $ 180,481 $ 5,501 $ 6,101 Net Realized Gain (Loss) on: Investment Securities Sold*................. (183,788) (10,392) 303,846 262,518 9,738 5,783 Futures..................................... -- -- (945) (29) -- -- Foreign Currency Transactions............... (1,661) (2,185) (909) (2,035) (118) (468) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... (293,395) 1,736,462 (612,635) 1,540,906 (8,349) 94,197 Futures..................................... -- -- -- 30 -- -- Translation of Foreign Currency Denominated Amounts........................ (699) 312 (606) 438 (112) 26 ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................. (144,237) 1,942,227 (116,385) 1,982,309 6,660 105,639 ----------- ----------- ----------- ----------- -------- --------- Distributions From: Net Investment Income: Institutional Class Shares.................. (320,068) (214,687) (190,299) (159,066) (11,539) (2,836) Net Short-Term Gains: Institutional Class Shares.................. -- -- (27,834) -- -- -- Net Long-Term Gains: Institutional Class Shares.................. -- -- (211,626) (39,012) -- -- ----------- ----------- ----------- ----------- -------- --------- Total Distributions........................ (320,068) (214,687) (429,759) (198,078) (11,539) (2,836) ----------- ----------- ----------- ----------- -------- --------- Capital Share Transactions (1): Shares Issued................................. 4,323,558 2,415,089 1,513,008 1,229,487 176,108 142,226 Shares Issued in Lieu of Cash Distributions... 309,979 206,673 418,230 188,769 10,648 2,638 Shares Redeemed............................... (1,383,156) (1,323,574) (1,061,294) (1,104,930) (87,819) (127,503) ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) from Capital Share Transactions........................ 3,250,381 1,298,188 869,944 313,326 98,937 17,361 ----------- ----------- ----------- ----------- -------- --------- Total Increase (Decrease) in Net Assets.... 2,786,076 3,025,728 323,800 2,097,557 94,058 120,164 Net Assets Beginning of Year............................. 9,508,466 6,482,738 8,520,717 6,423,160 414,132 293,968 ----------- ----------- ----------- ----------- -------- --------- End of Year................................... $12,294,542 $ 9,508,466 $ 8,844,517 $ 8,520,717 $508,190 $ 414,132 =========== =========== =========== =========== ======== ========= (1) Shares Issued and Redeemed: Shares Issued................................. 340,141 213,883 78,077 72,452 9,215 8,814 Shares Issued in Lieu of Cash Distributions... 23,911 18,646 22,420 11,691 579 173 Shares Redeemed............................... (108,799) (117,963) (54,917) (65,368) (4,681) (7,179) ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 255,253 114,566 45,580 18,775 5,113 1,808 =========== =========== =========== =========== ======== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................. $ 40,713 $ 27,329 $ 36,226 $ 27,083 $ 2,523 $ 6,178
---------- * Net of foreign capital gain taxes withheld of $0, $14, $0, $27, $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, 2014 2013 2014 2013 2014 2013 -------- -------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................... $ 13,132 $ 11,525 $ 952 $ 933 $ 3,584 $ 2,635 Net Realized Gain (Loss) on:........................... Investment Securities Sold*.......................... 227 (255) 2,353 2,545 5,664 2,298 Futures.............................................. -- -- -- -- (53) 29 Foreign Currency Transactions........................ -- 9 (4) -- (20) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........... (25,748) 17,462 (2,920) 7,107 (13,937) 41,299 Futures.............................................. -- -- -- -- -- (29) Translation of Foreign Currency Denominated Amounts............................................. (4) (1) (1) -- (9) 7 -------- -------- ------- ------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... (12,393) 28,740 380 10,585 (4,771) 46,236 -------- -------- ------- ------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares........................... (12,860) (7,603) (919) (953) (3,660) (2,834) Net Long-Term Gains: Institutional Class Shares........................... -- -- (406) -- -- -- -------- -------- ------- ------- -------- -------- Total Distributions................................. (12,860) (7,603) (1,325) (953) (3,660) (2,834) -------- -------- ------- ------- -------- -------- Capital Share Transactions (1): Shares Issued.......................................... 80,887 96,294 5,784 2,464 23,560 32,191 Shares Issued in Lieu of Cash Distributions............ 12,189 7,183 1,013 729 3,003 2,141 Shares Redeemed........................................ (34,872) (31,639) (7,898) (7,045) (19,977) (13,244) -------- -------- ------- ------- -------- -------- Net Increase (Decrease) from Capital Share Transactions....................................... 58,204 71,838 (1,101) (3,852) 6,586 21,088 -------- -------- ------- ------- -------- -------- Total Increase (Decrease) in Net Assets............. 32,951 92,975 (2,046) 5,780 (1,845) 64,490 Net Assets Beginning of Year...................................... 331,166 238,191 37,096 31,316 170,806 106,316 -------- -------- ------- ------- -------- -------- End of Year............................................ $364,117 $331,166 $35,050 $37,096 $168,961 $170,806 ======== ======== ======= ======= ======== ======== (1) Shares Issued and Redeemed: Shares Issued.......................................... 3,484 4,135 151 78 1,098 1,806 Shares Issued in Lieu of Cash Distributions............ 549 309 27 24 133 128 Shares Redeemed........................................ (1,459) (1,362) (206) (224) (926) (834) -------- -------- ------- ------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 2,574 3,082 (28) (122) 305 1,100 ======== ======== ======= ======= ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 7,045 $ 6,418 $ 106 $ 129 $ 119 $ 92
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $1, 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 DFA Global Real Estate DFA International Small Estate Securities 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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 105,809 $ 72,994 $ 82,794 $ 84,342 $ 213,214 $ 208,592 Net Realized Gain (Loss) on: Investment Securities Sold*................ 3,629 (19,009) (2,790) (3,169) 220,979 179,935 Futures.................................... -- 888 -- -- -- -- Foreign Currency Transactions.............. (581) (860) -- -- (2,193) (2,311) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 99,706 105,321 305,008 60,459 (457,867) 2,722,774 Translation of Foreign Currency Denominated Amounts....................... (267) 18 -- -- (878) 666 ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 208,296 159,352 385,012 141,632 (26,745) 3,109,656 ---------- ---------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................. (106,263) (181,848) (72,036) (84,341) (201,006) (198,381) Net Short-Term Gains: Institutional Class Shares................. -- -- -- -- (38,805) -- Net Long-Term Gains: Institutional Class Shares................. -- -- -- -- (127,501) (117,102) ---------- ---------- ---------- ---------- ----------- ----------- Total Distributions....................... (106,263) (181,848) (72,036) (84,341) (367,312) (315,483) ---------- ---------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................ 1,020,832 842,458 1,203,232 932,289 2,122,914 1,644,691 Shares Issued in Lieu of Cash Distributions.. 105,300 180,122 70,668 82,056 335,987 292,218 Shares Redeemed.............................. (298,766) (372,815) (364,111) (304,476) (1,528,972) (1,848,793) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 827,366 649,765 909,789 709,869 929,929 88,116 ---------- ---------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets................................... 929,399 627,269 1,222,765 767,160 535,872 2,882,289 Net Assets Beginning of Year............................ 2,158,977 1,531,708 2,082,707 1,315,547 11,148,899 8,266,610 ---------- ---------- ---------- ---------- ----------- ----------- End of Year.................................. $3,088,376 $2,158,977 $3,305,472 $2,082,707 $11,684,771 $11,148,899 ========== ========== ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................ 190,067 159,658 123,414 99,632 102,419 96,297 Shares Issued in Lieu of Cash Distributions.. 21,490 35,387 8,208 9,335 16,875 18,141 Shares Redeemed.............................. (56,784) (71,419) (37,911) (32,860) (74,184) (106,982) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 154,773 123,626 93,711 76,107 45,110 7,456 ========== ========== ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (153,170) $ (147,973) $ 21,784 $ 11,624 $ 20,577 $ 15,456
---------- * Net of foreign capital gain taxes withheld of $0, $7, $0, $0, $0 and $6, respectively. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Vector World ex U.S. Value World ex U.S. Targeted Equity Portfolio Portfolio Value Portfolio ---------------------- ------------------ --------------------- Period Nov. 1, Year Year Year Year Year 2012(a) Ended Ended Ended Ended Ended to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 ---------- ---------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................... $ 32,958 $ 18,816 $ 4,175 $ 2,186 $ 2,577 $ 1,009 Capital Gain Distributions Received from Affiliated Investment Companies.................................. -- -- 157 64 983 191 Net Realized Gain (Loss) on: Investment Securities Sold*........................... 14,492 8,277 1,007 3,077 (2,175) 947 Futures............................................... -- -- 1 (12) 1 1 Foreign Currency Transactions......................... (376) (71) (40) (14) (9) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ (66,559) 172,846 (6,120) 13,382 (4,735) 11,646 Futures............................................... -- -- 1 (1) -- -- Translation of Foreign Currency Denominated Amounts.............................................. (93) 46 (12) (15) -- -- ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... (19,578) 199,914 (831) 18,667 (3,358) 13,791 ---------- ---------- -------- -------- -------- ------- Distributions From: Net Investment Income: Institutional Class Shares............................ (31,342) (17,456) (4,113) (2,334) (2,482) (993) Net Short-Term Gains: Institutional Class Shares............................ (571) -- -- -- (48) -- Net Long-Term Gains: Institutional Class Shares............................ (7,322) (2,044) -- -- (1,147) -- ---------- ---------- -------- -------- -------- ------- Total Distributions................................. (39,235) (19,500) (4,113) (2,334) (3,677) (993) ---------- ---------- -------- -------- -------- ------- Capital Share Transactions (1): Shares Issued.......................................... 399,996 419,905 10,506 53,066 99,296 87,917 Shares Issued in Lieu of Cash Distributions............ 38,822 18,898 4,102 2,232 3,678 993 Shares Redeemed........................................ (165,226) (89,842) (13,300) (11,241) (40,853) (5,698) ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) from Capital Share Transactions....................................... 273,592 348,961 1,308 44,057 62,121 83,212 ---------- ---------- -------- -------- -------- ------- Total Increase (Decrease) in Net Assets............. 214,779 529,375 (3,636) 60,390 55,086 96,010 Net Assets Beginning of Period.................................... 1,090,774 561,399 117,587 57,197 96,010 -- ---------- ---------- -------- -------- -------- ------- End of Period.......................................... $1,305,553 $1,090,774 $113,951 $117,587 $151,096 $96,010 ========== ========== ======== ======== ======== ======= (1) Shares Issued and Redeemed: Shares Issued.......................................... 33,823 39,490 889 4,923 7,921 8,136 Shares Issued in Lieu of Cash Distributions............ 3,246 1,856 340 209 299 90 Shares Redeemed........................................ (13,983) (8,665) (1,114) (1,036) (3,412) (522) ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 23,086 32,681 115 4,096 4,808 7,704 ========== ========== ======== ======== ======== ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... $ 4,680 $ 2,486 $ 343 $ 187 $ 218 $ 15
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $3 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 World Core Equity Selectively Hedged Equity Portfolio Portfolio Global Equity Portfolio ------------------ ---------------- ---------------------- Period April 9, Year 2013(a) Year Year Year Year Ended to Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 -------- -------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................... $ 6,084 $ 1,160 $ 341 $ 23 $ 2,127 $ 1,317 Capital Gain Distributions Received from Affiliated Investment Companies............... -- -- 3 -- 342 115 Net Realized Gain (Loss) on: Investment Securities Sold*................... (107) (30) 247 21 1,409 (81) Futures....................................... -- -- -- -- 572 545 Foreign Currency Transactions................. -- -- -- -- 1,469 237 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.... (13,820) 11,720 (2,851) 228 1,003 12,814 Futures....................................... -- -- -- -- (82) 150 Translation of Foreign Currency Denominated Amounts...................................... -- -- -- -- 610 121 -------- -------- ------- ------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (7,843) 12,850 (2,260) 272 7,450 15,218 -------- -------- ------- ------- -------- ------- Distributions From: Net Investment Income: Institutional Class Shares.................... (6,099) (1,171) (348) (23) (1,858) (330) Net Short-Term Gains: Institutional Class Shares.................... (64) -- (10) -- (281) (43) Net Long-Term Gains: Institutional Class Shares.................... -- -- (14) -- (539) (56) -------- -------- ------- ------- -------- ------- Total Distributions.......................... (6,163) (1,171) (372) (23) (2,678) (429) -------- -------- ------- ------- -------- ------- Capital Share Transactions (1): Shares Issued.................................. 312,847 125,005 79,069 2,383 71,131 43,832 Shares Issued in Lieu of Cash Distributions.... 6,153 1,169 372 23 2,678 429 Shares Redeemed................................ (28,066) (8,133) (2,830) (1,118) (22,653) (2,652) -------- -------- ------- ------- -------- ------- Net Increase (Decrease) from Capital Share Transactions.......................... 290,934 118,041 76,611 1,288 51,156 41,609 -------- -------- ------- ------- -------- ------- Total Increase (Decrease) in Net Assets...... 276,928 129,720 73,979 1,537 55,928 56,398 Net Assets Beginning of Period............................ 129,720 -- 1,728 191 91,348 34,950 -------- -------- ------- ------- -------- ------- End of Period.................................. $406,648 $129,720 $75,707 $ 1,728 $147,276 $91,348 ======== ======== ======= ======= ======== ======= (1) Shares Issued and Redeemed: Shares Issued.................................. 28,743 12,721 5,733 212 5,123 3,666 Shares Issued in Lieu of Cash Distributions.... 556 117 27 2 205 39 Shares Redeemed................................ (2,595) (790) (216) (97) (1,662) (217) -------- -------- ------- ------- -------- ------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 26,704 12,048 5,544 117 3,666 3,488 ======== ======== ======= ======= ======== ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (2) $ (1) $ -- $ -- $ 3,031 $ 1,390
Emerging Markets Portfolio ---------------------- Year Year Ended Ended Oct. 31, Oct. 31, 2014 2013 ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................... $ 81,253 $ 61,645 Capital Gain Distributions Received from Affiliated Investment Companies............... -- -- Net Realized Gain (Loss) on: Investment Securities Sold*................... (24,604) 22,235 Futures....................................... -- -- Foreign Currency Transactions................. (658) (124) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.... 12,634 143,306 Futures....................................... -- -- Translation of Foreign Currency Denominated Amounts...................................... (12) (6) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 68,613 227,056 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................... (77,881) (59,866) Net Short-Term Gains: Institutional Class Shares.................... -- -- Net Long-Term Gains: Institutional Class Shares.................... (21,358) (30,527) ---------- ---------- Total Distributions.......................... (99,239) (90,393) ---------- ---------- Capital Share Transactions (1): Shares Issued.................................. 1,057,534 1,304,374 Shares Issued in Lieu of Cash Distributions.... 92,820 84,860 Shares Redeemed................................ (701,770) (667,334) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......................... 448,584 721,900 ---------- ---------- Total Increase (Decrease) in Net Assets...... 417,958 858,563 Net Assets Beginning of Period............................ 3,655,740 2,797,177 ---------- ---------- End of Period.................................. $4,073,698 $3,655,740 ========== ========== (1) Shares Issued and Redeemed: Shares Issued.................................. 40,611 50,466 Shares Issued in Lieu of Cash Distributions.... 3,453 3,233 Shares Redeemed................................ (26,688) (25,465) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 17,376 28,234 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 6,653 $ 6,855
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Small Emerging Markets Value Emerging Markets Core Cap 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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 89,085 $ 69,684 $ 447,291 $ 342,372 $ 302,880 $ 211,992 Net Realized Gain (Loss) on: Investment Securities Sold*.................. 98,856 64,325 (519,942) 296,735 (111,516) (9,977) Futures...................................... -- 452 499 -- -- -- Foreign Currency Transactions................ (968) (1,227) (4,493) (2,807) (2,722) (2,207) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... 21,383 146,169 (179,006) 717,140 123,834 581,086 Futures...................................... (4) 4 -- -- -- -- Translation of Foreign Currency Denominated Amounts......................... (137) (42) (29) 7 (212) (79) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 208,215 279,365 (255,680) 1,353,447 312,264 780,815 ---------- ---------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares.............................. -- -- (1,989) (1,837) -- -- Institutional Class Shares................... (83,100) (67,721) (405,752) (355,664) (287,956) (205,400) Net Short-Term Gains: Class R2 Shares.............................. -- -- (62) -- -- -- Institutional Class Shares................... -- (3,428) (11,122) -- -- -- Net Long-Term Gains: Class R2 Shares.............................. -- -- (1,472) (2,090) -- -- Institutional Class Shares................... (63,095) (92,100) (262,348) (342,441) -- -- ---------- ---------- ----------- ----------- ----------- ----------- Total Distributions........................ (146,195) (163,249) (682,745) (702,032) (287,956) (205,400) ---------- ---------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................. 1,042,130 1,458,450 3,257,115 4,240,153 4,643,693 5,406,041 Shares Issued in Lieu of Cash Distributions... 135,989 142,712 647,473 656,583 266,070 187,871 Shares Redeemed............................... (421,399) (583,088) (3,488,728) (2,967,974) (2,227,486) (1,743,072) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions........................ 756,720 1,018,074 415,860 1,928,762 2,682,277 3,850,840 ---------- ---------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets.... 818,740 1,134,190 (522,565) 2,580,177 2,706,585 4,426,255 Net Assets Beginning of Year............................. 4,041,863 2,907,673 19,268,907 16,688,730 13,020,962 8,594,707 ---------- ---------- ----------- ----------- ----------- ----------- End of Year................................... $4,860,603 $4,041,863 $18,746,342 $19,268,907 $15,727,547 $13,020,962 ========== ========== =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................. 49,106 69,669 116,998 148,957 235,819 276,461 Shares Issued in Lieu of Cash Distributions... 6,569 6,956 23,036 22,991 12,932 9,689 Shares Redeemed............................... (20,277) (28,076) (124,198) (105,179) (113,406) (90,412) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 35,398 48,549 15,836 66,769 135,345 195,738 ========== ========== =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................ $ 7,565 $ 8,340 $ 37,443 $ 14,817 $ 28,530 $ 31,355
---------- * Net of foreign capital gain taxes withheld of $1,357, $1, $0, $0, $960 and $0, respectively. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio ------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.07 0.07 0.07 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized). 1.94 2.42 1.20 0.56 1.05 -------- -------- -------- -------- -------- Total from Investment Operations......................... 2.01 2.49 1.27 0.63 1.12 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.06) (0.08) (0.13) (0.01) (0.07) Net Realized Gains......................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions...................................... (0.06) (0.08) (0.13) (0.01) (0.07) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 13.65 $ 11.70 $ 9.29 $ 8.15 $ 7.53 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 17.18% 26.99% 15.84% 8.41% 17.40% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $216,719 $212,840 $190,011 $171,128 $157,730 Ratio of Expenses to Average Net Assets..................... 0.23% 0.24% 0.25% 0.26% 0.26% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.23% 0.24% 0.25% 0.26% 0.26% Ratio of Net Investment Income to Average Net Assets........ 0.55% 0.63% 0.80% 0.86% 0.98% Portfolio Turnover Rate..................................... 202% 139% 76% 140% 78% ---------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity Portfolio ------------------- Period Year June 25, Ended 2013(a) to Oct. 31, Oct. 31, 2014 2013 --------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 11.07 $ 10.00 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.21 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 1.57 1.04 -------- -------- Total from Investment Operations......................... 1.78 1.10 --------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.03) Net Realized Gains......................................... -- -- -------- -------- Total Distributions...................................... (0.20) (0.03) --------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.65 $ 11.07 =========================================================== ======== ========== Total Return................................................ 16.19% 11.01%(D) --------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $274,955 $135,407 Ratio of Expenses to Average Net Assets..................... 0.19% 0.19%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.20% 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.75% 1.58%(C)(E) Portfolio Turnover Rate..................................... 1% 0%(D) ---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio ------------------------------------------------------------- Year Year Year Year Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 29.72 $ 22.34 $ 19.29 $ 18.58 ----------- ----------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.56 0.47 0.41 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 4.02 7.38 3.04 0.70 ----------- ----------- ---------- ---------- Total from Investment Operations......................... 4.58 7.85 3.45 1.03 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.55) (0.47) (0.40) (0.32) Net Realized Gains......................................... -- -- -- -- ----------- ----------- ---------- ---------- Total Distributions...................................... (0.55) (0.47) (0.40) (0.32) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 33.75 $ 29.72 $ 22.34 $ 19.29 =========================================================== =========== =========== ========== ========== Total Return................................................ 15.49% 35.52% 18.14% 5.53% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $15,146,981 $11,963,072 $8,334,585 $7,340,344 Ratio of Expenses to Average Net Assets..................... 0.27%(B) 0.27%(B) 0.27%(B) 0.28%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.27%(B) 0.27%(B) 0.27%(B) 0.28%(B) Ratio of Net Investment Income to Average Net Assets........ 1.75% 1.82% 1.99% 1.63% ---------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2010 --------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 15.81 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 2.76 ---------- Total from Investment Operations......................... 3.09 --------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) Net Realized Gains......................................... -- ---------- Total Distributions...................................... (0.32) --------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 18.58 =========================================================== ========== Total Return................................................ 19.72% --------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $6,921,036 Ratio of Expenses to Average Net Assets..................... 0.28%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.28%(B) Ratio of Net Investment Income to Average Net Assets........ 1.86% ---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 22.63 $17.28 $ 15.32 $ 14.75 $ 11.73 ------- ------ ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.18 0.27 0.15 0.10 0.07 Net Gains (Losses) on Securities (Realized and Unrealized). 1.86 6.28 2.06 0.60 3.07 ------- ------ ------- ------- ------- Total from Investment Operations.......................... 2.04 6.55 2.21 0.70 3.14 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.16) (0.22) (0.13) (0.10) (0.12) Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- ------- ------ ------- ------- ------- Total Distributions....................................... (1.48) (1.20) (0.25) (0.13) (0.12) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 23.19 $22.63 $ 17.28 $ 15.32 $ 14.75 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 9.47% 40.39% 14.67% 4.69% 26.93% ------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $16,971 $9,470 $49,423 $45,132 $41,316 Ratio of Expenses to Average Net Assets...................... 0.47% 0.47% 0.48% 0.48% 0.49% Ratio of Net Investment Income to Average Net Assets......... 0.79% 1.42% 0.93% 0.61% 0.59% Portfolio Turnover Rate...................................... 10% 16% 20% 23% 20% -------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 22.57 $ 17.26 $ 15.31 $ 14.76 $11.74 ------- ------- ------- ------- ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.15 0.19 0.13 0.07 0.05 Net Gains (Losses) on Securities (Realized and Unrealized). 1.84 6.31 2.05 0.60 3.07 ------- ------- ------- ------- ------ Total from Investment Operations.......................... 1.99 6.50 2.18 0.67 3.12 ------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.12) (0.21) (0.11) (0.09) (0.10) Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- ------- ------- ------- ------- ------ Total Distributions....................................... (1.44) (1.19) (0.23) (0.12) (0.10) ------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 23.12 $ 22.57 $ 17.26 $ 15.31 $14.76 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 9.30% 40.10% 14.46% 4.50% 26.66% ------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $82,977 $23,305 $12,754 $10,918 $5,967 Ratio of Expenses to Average Net Assets...................... 0.62% 0.62% 0.63% 0.63% 0.64% Ratio of Net Investment Income to Average Net Assets......... 0.64% 0.95% 0.78% 0.42% 0.44% Portfolio Turnover Rate...................................... 10% 16% 20% 23% 20% ------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 2014 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 34.48 ---------- ---------- ---------- ---------- ---------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.21 0.24 0.17 0.12 0.09 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 1.85 6.31 2.06 0.59 3.06 2.93 ---------- ---------- ---------- ---------- ---------- ----------- Total from Investment Operations.................. 2.06 6.55 2.23 0.71 3.15 3.16 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.18) (0.25) (0.15) (0.12) (0.09) (0.22) Net Realized Gains................................. (1.32) (0.98) (0.12) (0.03) -- (1.60) ---------- ---------- ---------- ---------- ---------- ----------- Total Distributions............................... (1.50) (1.23) (0.27) (0.15) (0.09) (1.82) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 23.16 $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 35.82 ===================================================== ========== ========== ========== ========== ========== =========== Total Return......................................... 9.58% 40.40% 14.78% 4.76% 27.02% 9.49% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $5,490,959 $4,180,974 $2,989,632 $2,487,929 $2,223,982 $11,512,306 Ratio of Expenses to Average Net Assets.............. 0.37% 0.37% 0.38% 0.38% 0.38% 0.52% Ratio of Net Investment Income to Average Net Assets. 0.90% 1.25% 1.03% 0.71% 0.69% 0.66% Portfolio Turnover Rate.............................. 10% 16% 20% 23% 20% 9% -------------------------------------------------------------------------------------------------------------------------------
U.S. Small 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 Year................... $ 26.57 $ 23.50 $ 22.49 $ 17.69 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.39 0.20 0.16 0.09 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 9.41 3.38 1.00 4.79 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 9.80 3.58 1.16 4.88 ----------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.37) (0.18) (0.15) (0.08) Net Realized Gains................................. (1.52) (0.33) -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (1.89) (0.51) (0.15) (0.08) ----------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 34.48 $ 26.57 $ 23.50 $ 22.49 ===================================================== ========== ========== ========== ========== Total Return......................................... 39.35% 15.60% 5.13% 27.69% ----------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $9,526,981 $7,088,470 $6,540,863 $6,555,277 Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets. 1.28% 0.78% 0.62% 0.43% Portfolio Turnover Rate.............................. 14% 15% 14% 19% -----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 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, 2014 2013 2012 2011 2010 2014 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 15.62 ----------- ---------- ---------- ---------- ---------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.27 0.25 0.21 0.17 0.15 0.26 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 2.02 3.62 1.32 0.59 1.61 1.86 ----------- ---------- ---------- ---------- ---------- ----------- Total from Investment Operations.................. 2.29 3.87 1.53 0.76 1.76 2.12 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.25) (0.24) (0.20) (0.16) (0.12) (0.24) Net Realized Gains................................. (0.07) -- -- -- -- (0.16) ----------- ---------- ---------- ---------- ---------- ----------- Total Distributions............................... (0.32) (0.24) (0.20) (0.16) (0.12) (0.40) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 17.34 ===================================================== =========== ========== ========== ========== ========== =========== Total Return......................................... 14.72% 32.32% 14.29% 7.47% 20.80% 13.78% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $10,780,830 $7,566,179 $4,876,973 $3,731,411 $2,897,409 $12,919,176 Ratio of Expenses to Average Net Assets.............. 0.19% 0.19% 0.19% 0.20% 0.20% 0.22% Ratio of Net Investment Income to Average Net Assets. 1.61% 1.79% 1.79% 1.49% 1.53% 1.55% Portfolio Turnover Rate.............................. 5% 1% 3% 5% 4% 6% --------------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 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................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.24 0.20 0.16 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 3.73 1.36 0.54 1.64 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 3.97 1.56 0.70 1.78 ----------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.24) (0.18) (0.15) (0.11) Net Realized Gains................................. (0.10) -- -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (0.34) (0.18) (0.15) (0.11) ----------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 15.62 $ 11.99 $ 10.61 $ 10.06 ===================================================== ========== ========== ========== ========== Total Return......................................... 33.66% 14.81% 6.98% 21.41% ----------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $9,989,564 $6,923,984 $5,819,906 $4,990,367 Ratio of Expenses to Average Net Assets.............. 0.22% 0.22% 0.22% 0.23% Ratio of Net Investment Income to Average Net Assets. 1.74% 1.74% 1.42% 1.47% Portfolio Turnover Rate.............................. 3% 5% 9% 7% -----------------------------------------------------------------------------------------------------
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 ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year.......................... $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.21 0.20 0.16 0.12 0.10 Net Gains (Losses) on Securities (Realized and Unrealized). 1.62 4.03 1.32 0.46 1.79 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.83 4.23 1.48 0.58 1.89 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.19) (0.20) (0.15) (0.12) (0.10) Net Realized Gains......................................... (0.22) (0.02) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.41) (0.22) (0.15) (0.12) (0.10) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................ $ 17.04 $ 15.62 $ 11.61 $ 10.28 $ 9.82 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 11.91% 36.80% 14.55% 5.86% 23.65% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)......................... $3,501,319 $2,893,842 $2,009,177 $1,851,895 $1,558,423 Ratio of Expenses to Average Net Assets..................... 0.32% 0.32% 0.32% 0.33% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)................................. 0.32% 0.32% 0.32% 0.33% 0.33% Ratio of Net Investment Income to Average Net Assets........ 1.26% 1.50% 1.45% 1.11% 1.13% Portfolio Turnover Rate..................................... 10% 3% 9% 10% 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 Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.26 0.35 0.25 0.18 0.13 Net Gains (Losses) on Securities (Realized and Unrealized). 2.27 8.13 2.53 1.49 4.17 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 2.53 8.48 2.78 1.67 4.30 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.36) (0.22) (0.18) (0.13) Net Realized Gains......................................... (0.94) (1.20) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.18) (1.56) (0.22) (0.18) (0.13) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 19.06 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 8.67% 39.03% 13.61% 8.76% 28.99% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,247,716 $7,446,827 $4,563,345 $3,770,323 $3,391,457 Ratio of Expenses to Average Net Assets...................... 0.37% 0.37% 0.37% 0.37% 0.37% Ratio of Net Investment Income to Average Net Assets......... 0.86% 1.33% 1.14% 0.84% 0.76% Portfolio Turnover Rate...................................... 9% 10% 16% 23% 19% --------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 19.64 $ 14.84 $ 13.24 $ 12.25 $ 9.57 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.14 0.19 0.14 0.09 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 1.35 5.57 1.59 0.99 2.68 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.49 5.76 1.73 1.08 2.74 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.13) (0.20) (0.13) (0.09) (0.06) Net Realized Gains......................................... (0.90) (0.76) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.03) (0.96) (0.13) (0.09) (0.06) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 20.10 $ 19.64 $ 14.84 $ 13.24 $ 12.25 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 7.88% 41.34% 13.13% 8.85% 28.77% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $5,029,027 $4,695,831 $3,437,958 $3,257,719 $3,178,286 Ratio of Expenses to Average Net Assets...................... 0.52% 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets......... 0.69% 1.16% 0.99% 0.69% 0.58% Portfolio Turnover Rate...................................... 12% 11% 15% 14% 9% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 135 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.72 0.67 0.57 0.40 0.58 Net Gains (Losses) on Securities (Realized and Unrealized). 4.62 1.95 2.74 1.93 5.92 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 5.34 2.62 3.31 2.33 6.50 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.87) (0.68) (0.73) (0.32) (0.55) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.87) (0.68) (0.73) (0.32) (0.55) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 21.24 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 19.80% 10.28% 14.45% 11.09% 43.21% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $6,607,759 $4,677,418 $3,716,389 $3,098,647 $2,689,552 Ratio of Expenses to Average Net Assets...................... 0.18% 0.18% 0.22% 0.32% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.19% 0.19% 0.23% 0.32% 0.33% Ratio of Net Investment Income to Average Net Assets......... 2.48% 2.42% 2.29% 1.76% 3.13% Portfolio Turnover Rate...................................... 0% 1% 0% 3% 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 22.20 $ 18.33 $ 17.91 $ 19.42 $ 18.02 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.75 0.58 0.60 0.63 0.48 Net Gains (Losses) on Securities (Realized and Unrealized). (0.62) 3.90 0.40 (1.53) 1.43 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 0.13 4.48 1.00 (0.90) 1.91 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.74) (0.61) (0.58) (0.61) (0.51) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.74) (0.61) (0.58) (0.61) (0.51) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 21.59 $ 22.20 $ 18.33 $ 17.91 $ 19.42 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 0.47% 24.85% 5.89% (4.86)% 10.99% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,127,847 $2,755,114 $2,055,759 $1,704,149 $1,616,686 Ratio of Expenses to Average Net Assets...................... 0.28% 0.29% 0.30% 0.30% 0.30% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.28% 0.29% 0.30% 0.30% 0.30% Ratio of Net Investment Income to Average Net Assets......... 3.35% 2.90% 3.38% 3.19% 2.65% Portfolio Turnover Rate...................................... 4% 5% 4% 3% 7% --------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.38 0.31 0.31 0.33 0.23 Net Gains (Losses) on Securities (Realized and Unrealized). (0.43) 2.47 0.20 (0.89) 0.96 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... (0.05) 2.78 0.51 (0.56) 1.19 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.37) (0.31) (0.30) (0.33) (0.20) ----------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.37) (0.31) (0.30) (0.33) (0.20) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 12.15 $ 12.57 $ 10.10 $ 9.89 $ 10.78 =========================================================== =========== ========== ========== ========== ========== Total Return................................................ (0.55)% 27.98% 5.49% (5.49)% 12.48% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $12,294,542 $9,508,466 $6,482,738 $5,395,884 $4,866,989 Ratio of Expenses to Average Net Assets..................... 0.38% 0.39% 0.40% 0.40% 0.40% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.38% 0.39% 0.40% 0.40% 0.40% Ratio of Net Investment Income to Average Net Assets........ 3.01% 2.80% 3.18% 2.96% 2.31% Portfolio Turnover Rate..................................... 7% 3% 5% 3% 2% ---------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................................. $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................. 0.42 0.42 0.38 0.40 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.62) 4.16 0.39 (0.83) 2.13 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................................ (0.20) 4.58 0.77 (0.43) 2.41 ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................ (0.42) (0.37) (0.42) (0.50) (0.26) Net Realized Gains............................................... (0.54) (0.09) (0.28) -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............................................. (0.96) (0.46) (0.70) (0.50) (0.26) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................................... $ 18.24 $ 19.40 $ 15.28 $ 15.21 $ 16.14 =================================================================== ========== ========== ========== ========== ========== Total Return....................................................... (1.09)% 30.66% 5.63% (2.92)% 17.61% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................ $8,844,517 $8,520,717 $6,423,160 $5,834,015 $5,511,594 Ratio of Expenses to Average Net Assets (B)........................ 0.53% 0.54% 0.56% 0.55% 0.56% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................................... 0.53% 0.54% 0.56% 0.55% 0.56% Ratio of Net Investment Income to Average Net Assets............... 2.15% 2.47% 2.58% 2.37% 1.94% ----------------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio ------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................................. $ 19.33 $ 14.99 $ 15.24 $ 14.13 $ 14.32 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................. 0.24 0.26 0.29 0.27 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.13 4.21 (0.26) 1.08 (0.18) -------- -------- -------- -------- -------- Total from Investment Operations................................ 0.37 4.47 0.03 1.35 0.04 --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................ (0.55) (0.13) (0.28) (0.24) (0.23) Net Realized Gains............................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions............................................. (0.55) (0.13) (0.28) (0.24) (0.23) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................................... $ 19.15 $ 19.33 $ 14.99 $ 15.24 $ 14.13 =================================================================== ======== ======== ======== ======== ======== Total Return....................................................... 2.00% 30.06% 0.20% 9.57% 0.33% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................ $508,190 $414,132 $293,968 $163,120 $114,933 Ratio of Expenses to Average Net Assets (B)........................ 0.55% 0.56% 0.57% 0.56% 0.57% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................................... 0.55% 0.56% 0.57% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets............... 1.25% 1.51% 1.88% 1.74% 1.52% ---------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.83 1.01 0.87 0.85 0.69 Net Gains (Losses) on Securities (Realized and Unrealized). (1.81) 1.37 0.58 (2.16) 4.99 -------- -------- -------- -------- -------- Total from Investment Operations......................... (0.98) 2.38 1.45 (1.31) 5.68 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.96) (0.78) (1.27) (1.29) (0.63) Net Realized Gains......................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions...................................... (0.96) (0.78) (1.27) (1.29) (0.63) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 25.64 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ (3.84)% 10.46% 7.09% (5.59)% 28.36% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $364,117 $331,166 $238,191 $139,262 $131,511 Ratio of Expenses to Average Net Assets (B)................. 0.55% 0.57% 0.59% 0.60% 0.63% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.55% 0.57% 0.59% 0.60% 0.61% Ratio of Net Investment Income to Average Net Assets........ 3.53% 4.26% 3.91% 3.34% 3.14% -----------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.95 0.88 0.69 0.82 0.50 Net Gains (Losses) on Securities (Realized and Unrealized). (0.65) 9.17 4.47 (0.85) 4.41 ------- ------- ------- ------- ------- Total from Investment Operations......................... 0.30 10.05 5.16 (0.03) 4.91 ---------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.93) (0.90) (0.79) (0.77) (0.50) Net Realized Gains......................................... (0.41) -- -- -- -- ------- ------- ------- ------- ------- Total Distributions...................................... (1.34) (0.90) (0.79) (0.77) (0.50) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 35.92 $ 36.96 $ 27.81 $ 23.44 $ 24.24 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 0.73% 36.81% 22.82% (0.28)% 25.37% ---------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $35,050 $37,096 $31,316 $33,869 $33,751 Ratio of Expenses to Average Net Assets (B)................. 0.58% 0.59% 0.60% 0.60% 0.60% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.62% 0.63% 0.63% 0.62% 0.64% Ratio of Net Investment Income to Average Net Assets........ 2.50% 2.79% 2.83% 3.26% 2.39% ----------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.42 0.37 0.39 0.39 0.27 Net Gains (Losses) on Securities (Realized and Unrealized). (0.90) 5.78 (0.17) (2.20) 1.89 -------- -------- -------- -------- -------- Total from Investment Operations.......................... (0.48) 6.15 0.22 (1.81) 2.16 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.44) (0.40) (0.37) (0.46) (0.25) -------- -------- -------- -------- -------- Total Distributions....................................... (0.44) (0.40) (0.37) (0.46) (0.25) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 19.34 $ 20.26 $ 14.51 $ 14.66 $ 16.93 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. (2.68)% 42.99% 1.85% (11.09)% 14.85% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $168,961 $170,806 $106,316 $117,452 $128,106 Ratio of Expenses to Average Net Assets...................... 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) Ratio of Net Investment Income to Average Net Assets......... 1.97% 2.16% 2.78% 2.25% 1.78% 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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.22 0.22 0.27 0.30 0.31 Net Gains (Losses) on Securities (Realized and Unrealized). 0.19 0.25 0.75 (0.33) 0.58 ---------- ---------- ---------- ---------- -------- Total from Investment Operations.......................... 0.41 0.47 1.02 (0.03) 0.89 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.26) (0.66) (0.25) (0.65) (0.55) ---------- ---------- ---------- ---------- -------- Total Distributions....................................... (0.26) (0.66) (0.25) (0.65) (0.55) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 5.63 $ 5.48 $ 5.67 $ 4.90 $ 5.58 ============================================================= ========== ========== ========== ========== ======== Total Return................................................. 8.21% 9.24% 22.34% (0.43)% 18.96% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $3,088,376 $2,158,977 $1,531,708 $1,060,156 $958,554 Ratio of Expenses to Average Net Assets...................... 0.38% 0.39% 0.41% 0.42% 0.41% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.38% 0.39% 0.41% 0.42% 0.41% Ratio of Net Investment Income to Average Net Assets......... 4.14% 4.07% 5.45% 5.73% 6.42% Portfolio Turnover Rate...................................... 1% 5% 3% 7% 6% ------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................. $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.31 0.49 0.29 0.41 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.05 0.37 1.07 0.06 1.60 ---------- ---------- ---------- -------- -------- Total from Investment Operations................ 1.36 0.86 1.36 0.47 2.00 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.32) (0.60) (0.24) (0.54) (0.47) Net Realized Gains............................... -- -- -- -- -- ---------- ---------- ---------- -------- -------- Total Distributions............................. (0.32) (0.60) (0.24) (0.54) (0.47) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................... $ 10.63 $ 9.59 $ 9.33 $ 8.21 $ 8.28 =================================================== ========== ========== ========== ======== ======== Total Return....................................... 14.98% 9.74% 17.33% 6.17% 31.38% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................ $3,305,472 $2,082,707 $1,315,547 $869,348 $695,461 Ratio of Expenses to Average Net Assets............ 0.32%(B) 0.32%(B) 0.34%(B) 0.41%(B) 0.41%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)............................. 0.55%(B) 0.55%(B) 0.60%(B) 0.73%(B) 0.73%(B) Ratio of Net Investment Income to Average Net Assets............................................ 3.21% 5.18% 3.38% 5.01% 5.59% 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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................. $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.37 0.37 0.34 0.34 0.24 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... (0.34) 5.21 0.61 (0.98) 1.22 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations................ 0.03 5.58 0.95 (0.64) 1.46 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................ (0.35) (0.36) (0.36) (0.38) (0.22) Net Realized Gains............................... (0.30) (0.21) (0.28) (0.29) -- ----------- ----------- ---------- ---------- ---------- Total Distributions............................. (0.65) (0.57) (0.64) (0.67) (0.22) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year....................... $ 19.55 $ 20.17 $ 15.16 $ 14.85 $ 16.16 =================================================== =========== =========== ========== ========== ========== Total Return....................................... 0.13% 37.79% 6.92% (4.39)% 10.01% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)................ $11,684,771 $11,148,899 $8,266,610 $7,459,144 $7,655,318 Ratio of Expenses to Average Net Assets............ 0.68% 0.69% 0.71% 0.70% 0.70% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)............................. 0.68% 0.69% 0.71% 0.70% 0.70% Ratio of Net Investment Income to Average Net Assets............................................ 1.78% 2.16% 2.30% 2.05% 1.57% Portfolio Turnover Rate............................ 8% 9% 18% 16% 18% ------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 ---------- ---------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................ 0.32 0.26 0.27 0.29 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.43) 2.44 0.14 (0.87) 1.05 ---------- ---------- -------- -------- -------- Total from Investment Operations............................... (0.11) 2.70 0.41 (0.58) 1.23 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................... (0.30) (0.25) (0.27) (0.29) (0.17) Net Realized Gains.............................................. (0.08) (0.03) (0.15) (0.07) -- ---------- ---------- -------- -------- -------- Total Distributions............................................ (0.38) (0.28) (0.42) (0.36) (0.17) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................................... $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.28 ================================================================== ========== ========== ======== ======== ======== Total Return...................................................... (1.05)% 29.52% 4.90% (5.99)% 13.62% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................. $1,305,553 $1,090,774 $561,399 $410,580 $363,123 Ratio of Expenses to Average Net Assets........................... 0.49% 0.51% 0.54% 0.54% 0.54% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................... 0.49% 0.51% 0.54% 0.54% 0.53% Ratio of Net Investment Income to Average Net Assets.............. 2.64% 2.51% 2.94% 2.73% 1.91% Portfolio Turnover Rate........................................... 8% 2% 5% 10% 5% ---------------------------------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio ------------------------------------------------- Year Year Year Year Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 --------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 11.93 $ 9.94 $ 9.96 $ 11.35 -------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................ 0.42 0.29 0.29 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.50) 2.02 (0.05) (1.35) -------- -------- ------- ------- Total from Investment Operations............................... (0.08) 2.31 0.24 (1.05) --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................... (0.42) (0.32) (0.26) (0.26) Net Realized Gains.............................................. -- -- -- (0.08) -------- -------- ------- ------- Total Distributions............................................ (0.42) (0.32) (0.26) (0.34) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................................... $ 11.43 $ 11.93 $ 9.94 $ 9.96 ================================================================== ======== ======== ======== ======== Total Return...................................................... (0.81)% 23.61% 2.70% (9.59)% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................. $113,951 $117,587 $57,197 $47,165 Ratio of Expenses to Average Net Assets........................... 0.57%(B) 0.60%(B) 0.60%(B) 0.60%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................... 0.76%(B) 0.76%(B) 0.84%(B) 0.91%(B) Ratio of Net Investment Income to Average Net Assets.............. 3.54% 2.61% 2.97% 2.64% Portfolio Turnover Rate........................................... N/A N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------
--------- Period Aug. 23, 2010(a) to Oct. 31, 2010 ------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 10.00 ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................ 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)...... 1.33 ------- Total from Investment Operations............................... 1.35 ------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................... -- Net Realized Gains.............................................. -- ------- Total Distributions............................................ -- ------------------------------------------------------------------------------------- Net Asset Value, End of Period.................................... $ 11.35 ================================================================== ========== Total Return...................................................... 13.50%(D) ------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................. $29,616 Ratio of Expenses to Average Net Assets........................... 0.90%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................... 1.37%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets.............. 0.76%(C)(E) Portfolio Turnover Rate........................................... 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 U.S. Targeted World ex U.S. Core Value Portfolio Equity Portfolio ------------------ -------------------- Period Period Year Nov. 1, Year April 9, Ended 2012(a) to Ended 2013(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................ $ 12.46 $ 10.00 $ 10.77 $ 10.00 -------- ------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.23 0.20 0.28 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). (0.22) 2.46 (0.27) 0.77 -------- ------- -------- -------- Total from Investment Operations......................... 0.01 2.66 0.01 0.95 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.20) (0.28) (0.18) Net Realized Gains......................................... (0.15) -- (0.01) -- -------- ------- -------- -------- Total Distributions...................................... (0.39) (0.20) (0.29) (0.18) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 12.08 $ 12.46 $ 10.49 $ 10.77 =========================================================== ======== ========== ======== ========== Total Return................................................ 0.06% 26.90%(D) (0.04)% 9.62%(D) ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $151,096 $96,010 $406,648 $129,720 Ratio of Expenses to Average Net Assets (B)(B).............. 0.69% 0.79%(C)(E) 0.47% 0.47%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)(B).......................... 1.17% 1.27%(C)(E) 0.88% 0.97%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.84% 1.78%(C)(E) 2.59% 3.12%(C)(E) ------------------------------------------------------------------------------------------------------------------
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)
World Core Equity Portfolio ------------------------- Year Period Year Ended March 7, Ended Oct. 2012(a) to Oct. 31, 31, Oct. 31, 2014 2013 2012 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 12.71 $10.24 $10.00 ------- ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.17 0.23 0.16 Net Gains (Losses) on Securities (Realized and Unrealized). 0.87 2.47 0.19 ------- ------ ------ Total from Investment Operations......................... 1.04 2.70 0.35 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.23) (0.11) Net Realized Gains......................................... (0.18) -- (0.00) ------- ------ ------ Total Distributions...................................... (0.42) (0.23) (0.11) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 13.33 $12.71 $10.24 =========================================================== ======== ====== ========== Total Return................................................ 8.36% 26.77% 3.54%(D) ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $75,707 $1,728 $ 191 Ratio of Expenses to Average Net Assets (B)................. 0.35% 0.40% 0.40%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.97% 5.71% 52.27%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.27% 2.01% 2.40%(C)(E) -------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio --------------------------- Period Year Year Nov. 14, Ended Ended 2011(a) to Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 ----------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 13.63 $ 10.87 $ 10.00 -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.27 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized). 0.76 2.65 0.87 -------- ------- ------- Total from Investment Operations......................... 1.03 2.89 1.09 ----------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) (0.10) (0.22) Net Realized Gains......................................... (0.14) (0.03) -- -------- ------- ------- Total Distributions...................................... (0.46) (0.13) (0.22) ----------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 14.20 $ 13.63 $ 10.87 =========================================================== ======== ======== ========== Total Return................................................ 7.83% 26.86% 11.11%(D) ----------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $147,276 $91,348 $34,950 Ratio of Expenses to Average Net Assets (B)................. 0.40% 0.40% 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.69% 0.72% 1.00%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.94% 1.93% 2.13%(C)(E) -----------------------------------------------------------------------------------------------
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 Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.56 0.52 0.55 0.61 0.48 Net Gains (Losses) on Securities (Realized and Unrealized). (0.20) 1.17 0.37 (2.53) 6.07 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 0.36 1.69 0.92 (1.92) 6.55 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.53) (0.50) (0.50) (0.53) (0.46) Net Realized Gains......................................... (0.16) (0.28) (1.04) (1.77) (0.42) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.69) (0.78) (1.54) (2.30) (0.88) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 30.90 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 1.33% 6.58% 4.08% (6.82)% 26.53% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $4,073,698 $3,655,740 $2,797,177 $2,313,035 $2,372,498 Ratio of Expenses to Average Net Assets (B)................. 0.56% 0.57% 0.61% 0.61% 0.60% Ratio of Net Investment Income to Average Net Assets........ 2.11% 1.97% 2.14% 2.07% 1.76% --------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 21.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.43 0.40 0.40 0.42 0.34 Net Gains (Losses) on Securities (Realized and Unrealized). 0.62 1.37 0.83 (3.67) 6.79 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.05 1.77 1.23 (3.25) 7.13 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.40) (0.39) (0.35) (0.40) (0.32) Net Realized Gains......................................... (0.33) (0.61) (0.40) (0.76) -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.73) (1.00) (0.75) (1.16) (0.32) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 21.42 $ 21.10 $ 20.33 $ 19.85 $ 24.26 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 5.12% 8.92% 6.71% (14.03)% 41.33% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $4,860,603 $4,041,863 $2,907,673 $1,832,745 $1,833,038 Ratio of Expenses to Average Net Assets (B)................. 0.72% 0.75% 0.82% 0.79% 0.78% Ratio of Net Investment Income to Average Net Assets........ 2.02% 1.91% 2.01% 1.86% 1.70% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 145 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year..................... $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.84 ------- -------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.59 0.47 0.50 0.20 0.56 Net Gains (Losses) on Securities (Realized and Unrealized)......................................... (1.10) 1.68 (0.45) (5.45) 9.18 ------- -------- ------- ------- ------- Total from Investment Operations.................... (0.51) 2.15 0.05 (5.25) 9.74 ---------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.55) (0.50) (0.47) (0.45) (7.12) Net Realized Gains.................................... (0.42) (0.59) (0.39) (1.63) (13.11) ------- -------- ------- ------- ------- Total Distributions................................. (0.97) (1.09) (0.86) (2.08) (20.23) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year........................... $ 27.79 $ 29.27 $ 28.21 $ 29.02 $ 36.35 ====================================================== ======== ======== ======== ======== ======== Total Return........................................... (1.75)% 7.75% 0.43% (15.24)% 29.71% ---------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $99,066 $106,070 $99,111 $78,157 $39,668 Ratio of Expenses to Average Net Assets (B)............ 0.80% 0.82% 0.86% 0.86% 0.86% Ratio of Net Investment Income to Average Net Assets... 2.09% 1.65% 1.78% 1.56% 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year..................... $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 ----------- ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.66 0.55 0.57 0.64 0.45 Net Gains (Losses) on Securities (Realized and Unrealized)......................................... (1.10) 1.67 (0.44) (5.72) 8.01 ----------- ----------- ----------- ----------- ----------- Total from Investment Operations.................... (0.44) 2.22 0.13 (5.08) 8.46 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.61) (0.57) (0.54) (0.54) (0.39) Net Realized Gains.................................... (0.42) (0.59) (0.39) (1.63) (0.70) ----------- ----------- ----------- ----------- ----------- Total Distributions................................. (1.03) (1.16) (0.93) (2.17) (1.09) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year........................... $ 27.81 $ 29.28 $ 28.22 $ 29.02 $ 36.27 ====================================================== =========== =========== =========== =========== =========== Total Return........................................... (1.51)% 8.01% 0.70% (14.84)% 30.04% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $18,647,276 $19,162,837 $16,589,619 $13,730,213 $11,542,870 Ratio of Expenses to Average Net Assets (B)............ 0.55% 0.57% 0.61% 0.61% 0.60% Ratio of Net Investment Income to Average Net Assets... 2.35% 1.91% 2.03% 1.88% 1.40% --------------------------------------------------------------------------------------------------------------------------
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. 146 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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.42 0.39 0.41 0.43 0.30 Net Gains (Losses) on Securities (Realized and Unrealized). (0.03) 1.07 0.23 (2.65) 4.81 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations......................... 0.39 1.46 0.64 (2.22) 5.11 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.40) (0.37) (0.37) (0.36) (0.29) ----------- ----------- ---------- ---------- ---------- Total Distributions...................................... (0.40) (0.37) (0.37) (0.36) (0.29) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 20.08 $ 20.09 $ 19.00 $ 18.73 $ 21.31 =========================================================== =========== =========== ========== ========== ========== Total Return................................................ 1.89% 7.75% 3.55% (10.59)% 31.30% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $15,727,547 $13,020,962 $8,594,707 $5,367,473 $4,179,882 Ratio of Expenses to Average Net Assets..................... 0.61% 0.63% 0.68% 0.67% 0.65% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.61% 0.63% 0.68% 0.68% 0.65% Ratio of Net Investment Income to Average Net Assets........ 2.10% 1.97% 2.18% 2.04% 1.63% Portfolio Turnover Rate..................................... 2% 1% 1% 1% 4% ---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 147 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-seven operational portfolios, of which thirty-one (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. World Core Equity Portfolio invests in six portfolios within the Fund, Dimensional Investment Group Inc. ("DIG") and DFAITC. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund.
Percentage Ownership Feeder Funds Master Funds at 10/31/14 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 82% Japanese Small Company Portfolio The Japanese Small Company Series 20% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 25% 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 80% The United Kingdom Small Company Series 98% The Asia Pacific Small Company Series 75% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 31% DFA International Real Estate Securities Portfolio 41% 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 3% Emerging Markets Core Equity Portfolio 1% World Core Equity Portfolio U.S. Core Equity 1 Portfolio --* U.S. Large Company Portfolio --* Large Cap International Portfolio --* International Core Equity Portfolio --* Emerging Markets Core Equity Portfolio --*
148
Percentage Ownership Fund of Funds Master Funds at 10/31/14 ------------- ------------ ----------- The Emerging Markets Series --* Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio --* International Core Equity Portfolio --* Emerging Markets Core Equity Portfolio --*
* Amounts designated as -- are less than 1%. Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity Portfolio, and Selectively Hedged Global Equity Portfolio also invest in short-term temporary cash investments. In addition, World ex U.S. Targeted Value Portfolio and Selectively Hedged Global Equity Portfolio engage 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 June 27, 2014, the Dimensional Retirement Equity Fund II changed its name to the World Core Equity Portfolio. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities 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 ask prices which approximates fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, 149 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of 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 shares of The DFA International Value Series and DEM), World ex U.S. Targeted Value Portfolio (except shares of The Emerging Markets Small Cap Series and DEM), World ex U.S. Core Equity Portfolio, World Core Equity Portfolio (except shares of The Emerging Markets Series), 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, World ex U.S. Targeted Value 150 Portfolio and World Core Equity 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. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolios. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fixed Income Portfolio, the International Equity Portfolios and Selectively Hedged Global Equity Portfolio 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 Fixed Income 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, the Fixed Income Portfolio and Selectively Hedged Global Equity Portfolio do 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, Fixed Income Portfolio and Selectively Hedged Global Equity Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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, 2014, 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 151 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 and International Small Company Portfolio, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. For the year ended October 31, 2014, 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% 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%
152 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% World Core Equity Portfolio................. 0.30% Selectively Hedged Global Equity Portfolio.. 0.30% Emerging Markets Core Equity Portfolio...... 0.55%
For the year ended October 31, 2014, 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, U.S. Micro Cap Portfolio and International Small Company 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%
* Prior to February 28, 2014, the Portfolios and the U.S. Targeted Value Portfolio each were provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for each of these Portfolios were combined into an investment management agreement that provides for an investment management fee, equal to each Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for 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. The Investment Management Agreements became effective on February 28, 2014. The nature and level of services to each Portfolio under the Investment Management Agreements are the same as under the Previous Agreements. As of February 28, 2014, the Portfolios pay the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by each Portfolio to the Advisor under the Previous Agreements. 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, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2014, 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). 153 Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Previously Recovery Waived 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% $ 2 $ 53 U.S. Targeted Value Portfolio (2)............... 0.50% -- -- U.S. Core Equity 1 Portfolio (1)................ 0.23% -- -- U.S. Core Equity 2 Portfolio (1)................ 0.26% -- -- U.S. Vector Equity Portfolio (1)................ 0.36% -- -- DFA Real Estate Securities Portfolio (1)........ 0.18% -- 1,237 International Core Equity Portfolio (1)......... 0.49% -- -- International Small Company Portfolio (3)....... 0.45% -- -- Japanese Small Company Portfolio (4)............ 0.47% -- -- Asia Pacific Small Company Portfolio (4)........ 0.47% -- -- United Kingdom Small Company Portfolio (4)...... 0.47% -- 36 Continental Small Company Portfolio (4)......... 0.47% -- -- DFA International Real Estate Securities Portfolio (1)................................. 0.65% -- -- DFA Global Real Estate Securities Portfolio (5). 0.32% -- 12,371 International Vector Equity Portfolio (1)....... 0.60% -- -- World ex U.S. Value Portfolio (6)............... 0.60% 51 554 World ex U.S. Targeted Value Portfolio (7)...... 0.80% -- 938 World ex U.S. Core Equity Portfolio (8)......... 0.47% -- 1,123 World Core Equity Portfolio (9)................. 0.35% -- 126 Selectively Hedged Global Equity Portfolio (10). 0.40% 41 628 Emerging Markets Core Equity Portfolio (1)...... 0.85% -- -- Class R1 Shares --------------- U.S. Targeted Value Portfolio (11).............. 0.62% -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (11).............. 0.77% -- -- Emerging Markets Value Portfolio (12)........... 0.96% -- --
(1) 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. (2) The Advisor has contractually agreed to waive its management fee and to assume the Portfolio's expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies 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 154 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. (3) The Advisor has contractually agreed to waive its administration fee and to assume the other direct expenses of the Portfolio (excluding expenses incurred through its investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the rate listed above as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount 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. (4) The Advisor has contractually agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund. At any time that the direct expenses of a Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's direct expenses to exceed the Expense Limitation Amount, as listed above. (5) Effective February 28, 2012, the Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of 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 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 its Master Funds but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to 0.55% of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio were less than 0.55% of average net assets on an annualized basis, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery did not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount then in effect. The Advisor voluntarily agreed to waive all or a portion of its advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly and indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.35% of the Portfolio's average net assets on an annualized basis. (6) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.47% to the extent necessary to offset the proportionate share of the advisory fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the advisory fee that remains payable by the Portfolio (i.e., the advisory fee remaining after the proportionate share of the Master Funds' advisory services fees have been offset (the "Remaining Management Fee")) to the extent necessary to reduce the Portfolio's ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The maximum amount that may be waived to limit Portfolio Expenses is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio's Expense Limitation Amount listed above, the Advisor retains the right to seek reimbursement for any 155 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. (7) 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, 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. (8) 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 above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement 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) Effective June 27, 2014, 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 (including the Portfolio's proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor has also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of a class of the Portfolio so that such Portfolio Expenses do not exceed the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. Prior to June 27, 2014, the Advisor 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 (including the Portfolio's proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of such class of the Portfolio so that the Portfolio Expenses did not exceed 0.40% of the average net assets of such class of the Portfolio on an annualized basis. (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 Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio to 156 the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of 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 reduce all or a portion of its management fee and to assume the direct and indirect expenses of the Class R1 shares and Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R1 shares and Class R2 shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Class R1 shares or Class R2 shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (12) 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 of the Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") 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 Class R2 shares 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 annualized Portfolio Expenses of the Class R2 shares of the Portfolio 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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly - ---------- Enhanced U.S. Large Company Portfolio.............. $ 2 Large Cap International Portfolio.................. 9 International Core Equity Portfolio................ 49 DFA International Real Estate Securities Portfolio. 14 DFA International Small Cap Value Portfolio........ 16 International Vector Equity Portfolio.............. 4 World ex U.S. Value Portfolio...................... -- World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ 1 Emerging Markets Core Equity Portfolio............. 75
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, 2014, the total related amounts paid by 157 the Fund to the CCO were $262 (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, 2014, 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.............. $ 8 U.S. Large Cap Equity Portfolio.................... 1 U.S. Large Cap Value Portfolio..................... 315 U.S. Targeted Value Portfolio...................... 92 U.S. Small Cap Value Portfolio..................... 288 U.S. Core Equity 1 Portfolio....................... 142 U.S. Core Equity 2 Portfolio....................... 221 U.S. Vector Equity Portfolio....................... 67 U.S. Small Cap Portfolio........................... 154 U.S. Micro Cap Portfolio........................... 143 DFA Real Estate Securities Portfolio............... 114 Large Cap International Portfolio.................. 72 International Core Equity Portfolio................ 207 International Small Company Portfolio.............. 219 Japanese Small Company Portfolio................... 9 Asia Pacific Small Company Portfolio............... 6 United Kingdom Small Company Portfolio............. 1 Continental Small Company Portfolio................ 5 DFA International Real Estate Securities Portfolio. 43 DFA Global Real Estate Securities Portfolio........ 32 DFA International Small Cap Value Portfolio........ 321 International Vector Equity Portfolio.............. 17 World ex U.S. Value Portfolio...................... 1 World ex U.S. Targeted Value Portfolio............. 1 World ex U.S. Core Equity Portfolio................ 1 World Core Equity Portfolio........................ -- Selectively Hedged Global Equity Portfolio......... 1 Emerging Markets Portfolio......................... 98 Emerging Markets Small Cap Portfolio............... 75 Emerging Markets Value Portfolio................... 424 Emerging Markets Core Equity Portfolio............. 207
E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $284,240 $284,126 $ 136,465 $130,055 U.S. Large Cap Equity Portfolio....... -- -- 105,635 2,673 U.S. Targeted Value Portfolio......... -- -- 1,600,291 468,623 U.S. Small Cap Value Portfolio........ -- -- 2,314,774 933,389 U.S. Core Equity 1 Portfolio.......... -- -- 2,642,774 444,763 U.S. Core Equity 2 Portfolio.......... -- -- 2,417,443 694,222 U.S. Vector Equity Portfolio.......... -- -- 642,248 313,857
158
U.S. Government Other Investment Securities Securities --------------- ------------------- Purchases Sales Purchases Sales --------- ----- ---------- -------- U.S. Small Cap Portfolio........................... -- -- $2,066,573 $719,322 U.S. Micro Cap Portfolio........................... -- -- 719,550 558,944 DFA Real Estate Securities Portfolio............... -- -- 1,106,381 8,256 Large Cap International Portfolio.................. -- -- 567,276 118,540 International Core Equity Portfolio................ -- -- 4,016,566 748,175 DFA International Real Estate Securities Portfolio. -- -- 846,116 29,337 DFA International Small Cap Value Portfolio........ -- -- 1,840,016 913,850 International Vector Equity Portfolio.............. -- -- 367,063 96,902 Emerging Markets Core Equity Portfolio............. -- -- 3,024,471 327,277
For the year ended October 31, 2014, 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 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio..... $1,235,206 $2,044,932 $564,393 $14,000 $43,175 -- DFA International Real Estate Securities Portfolio.............................. 842,644 1,255,234 382,205 12,500 41,160 -- ---------- ---------- -------- ------- ------- ---- Total.................................... $2,077,850 $3,300,166 $946,598 $26,500 $84,335 -- ========== ========== ======== ======= ======= ==== World ex U.S. Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio.............................. $ 10,626 $ 9,588 $ 1,893 $ 2,663 $ 182 $157 World ex U.S. Targeted Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio.............................. $ 59,508 $ 93,592 $ 52,059 $12,519 $ 1,360 $919 International Vector Equity Portfolio.... 8,639 13,571 7,607 1,786 320 64 ---------- ---------- -------- ------- ------- ---- Total.................................... $ 68,147 $ 107,163 $ 59,666 $14,305 $ 1,680 $983 ========== ========== ======== ======= ======= ==== World ex U.S. Core Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- International Core Equity Portfolio...... $ 99,732 $ 312,519 $235,743 $ 8,931 $ 5,073 -- Emerging Markets Core Equity Portfolio... 29,703 93,258 66,717 3,258 1,097 -- ---------- ---------- -------- ------- ------- ---- Total.................................... $ 129,435 $ 405,777 $302,460 $12,189 $ 6,170 -- ========== ========== ======== ======= ======= ==== World Core Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 1 Portfolio............. $ 639 $ 38,342 $ 38,394 $ 1,100 $ 143 $ 3 International Core Equity Portfolio...... 96 29,208 32,105 178 120 -- Emerging Markets Core Equity Portfolio... 30 8,097 8,546 189 70 -- Large Cap International Portfolio........ 258 -- 322 595 8 -- U.S. Large Company Portfolio............. 641 -- 761 1,477 10 -- ---------- ---------- -------- ------- ------- ---- Total.................................... $ 1,664 $ 75,647 $ 80,128 $ 3,539 $ 351 $ 3 ========== ========== ======== ======= ======= ====
159
Selectively Hedged Global Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 2 Portfolio........... $37,594 $ 64,220 $28,980 $ 7,200 $ 670 $342 International Core Equity Portfolio.... 34,847 53,147 26,181 5,580 1,166 -- Emerging Markets Core Equity Portfolio. 15,187 23,899 11,446 2,600 363 -- ------- -------- ------- ------- ------ ---- Total.................................. $87,628 $141,266 $66,607 $15,380 $2,199 $342 ======= ======== ======= ======= ====== ====
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, 2014, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, realized foreign capital gains tax, tax-equalization, non-deductible 90 day stock issuance cost, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, were reclassified to the 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.............. $ 2,841 $ (284) $ (2,557) U.S. Large Cap Equity Portfolio.................... 69 (60) (9) U.S. Large Cap Value Portfolio..................... 5,129 (3,752) (1,377) U.S. Targeted Value Portfolio...................... 16,408 (965) (15,443) U.S. Small Cap Value Portfolio..................... 27,492 (3,944) (23,548) U.S. Core Equity 1 Portfolio....................... 7,962 (5,946) (2,016) U.S. Core Equity 2 Portfolio....................... 5,976 (4,163) (1,813) U.S. Vector Equity Portfolio....................... 7,287 (1,398) (5,889) U.S. Small Cap Portfolio........................... 17,302 (3,711) (13,591) U.S. Micro Cap Portfolio........................... 15,490 (1,637) (13,853) DFA Real Estate Securities Portfolio............... 5,762 13,007 (18,769) Large Cap International Portfolio.................. -- (965) 965 International Core Equity Portfolio................ 7,711 (1,854) (5,857) International Small Company Portfolio.............. 19,380 4,578 (23,958) Japanese Small Company Portfolio................... -- 2,383 (2,383) Asia Pacific Small Company Portfolio............... -- 355 (355) United Kingdom Small Company Portfolio............. 196 (56) (140) Continental Small Company Portfolio................ -- 103 (103) DFA International Real Estate Securities Portfolio. 5,952 (4,743) (1,209) DFA Global Real Estate Securities Portfolio........ 598 (598) -- DFA International Small Cap Value Portfolio........ 18,832 (7,087) (11,745) International Vector Equity Portfolio.............. 1,317 578 (1,895) World ex U.S. Value Portfolio...................... -- 94 (94)
160
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- World ex U.S. Targeted Value Portfolio..... $ 128 $ 108 $ (236) World ex U.S. Core Equity Portfolio........ 34 14 (48) World Core Equity Portfolio................ -- 7 (7) Selectively Hedged Global Equity Portfolio. 174 1,372 (1,546) Emerging Markets Portfolio................. 2,916 (3,574) 658 Emerging Markets Small Cap Portfolio....... 11,484 (6,760) (4,724) Emerging Markets Value Portfolio........... 22,724 (16,924) (5,800) Emerging Markets Core Equity Portfolio..... 15,015 (17,749) 2,734
The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 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 2013.................................. $ 1,597 -- $ 1,597 2014.................................. 903 -- 903 U.S. Large Cap Equity Portfolio 2013.................................. 321 -- 321 2014.................................. 3,209 -- 3,209 U.S. Large Cap Value Portfolio 2013.................................. 180,943 -- 180,943 2014.................................. 230,364 -- 230,364 U.S. Targeted Value Portfolio 2013.................................. 55,372 $162,209 217,581 2014.................................. 51,735 237,290 289,025 U.S. Small Cap Value Portfolio 2013.................................. 112,970 380,218 493,188 2014.................................. 66,463 443,795 510,258 U.S. Core Equity 1 Portfolio 2013.................................. 105,633 -- 105,633 2014.................................. 135,714 34,892 170,606 U.S. Core Equity 2 Portfolio 2013.................................. 143,640 55,772 199,412 2014.................................. 170,204 98,745 268,949 U.S. Vector Equity Portfolio 2013.................................. 34,959 3,507 38,466 2014.................................. 39,201 38,966 78,167 U.S. Small Cap Portfolio 2013.................................. 83,270 228,671 311,941 2014.................................. 85,510 218,795 304,305 U.S. Micro Cap Portfolio 2013.................................. 46,915 176,365 223,280 2014.................................. 43,726 200,738 244,464 DFA Real Estate Securities Portfolio 2013.................................. 102,731 -- 102,731 2014.................................. 156,934 -- 156,934
161
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Large Cap International Portfolio 2013............................................... $ 70,787 -- $ 70,787 2014............................................... 98,177 -- 98,177 International Core Equity Portfolio 2013............................................... 214,687 -- 214,687 2014............................................... 320,068 -- 320,068 International Small Company Portfolio 2013............................................... 159,066 $ 39,012 198,078 2014............................................... 218,133 211,626 429,759 Japanese Small Company Portfolio 2013............................................... 2,836 -- 2,836 2014............................................... 11,539 -- 11,539 Asia Pacific Small Company Portfolio 2013............................................... 7,603 -- 7,603 2014............................................... 12,860 -- 12,860 United Kingdom Small Company Portfolio 2013............................................... 953 -- 953 2014............................................... 919 406 1,325 Continental Small Company Portfolio 2013............................................... 2,834 -- 2,834 2014............................................... 3,660 -- 3,660 DFA International Real Estate Securities Portfolio 2013............................................... 181,848 -- 181,848 2014............................................... 106,263 -- 106,263 DFA Global Real Estate Securities Portfolio 2013............................................... 84,341 -- 84,341 2014............................................... 72,036 -- 72,036 DFA International Small Cap Value Portfolio 2013............................................... 198,381 117,102 315,483 2014............................................... 239,810 127,501 367,311 International Vector Equity Portfolio 2013............................................... 17,456 2,044 19,500 2014............................................... 31,913 7,322 39,235 World ex U.S. Value Portfolio 2013............................................... 2,334 -- 2,334 2014............................................... 4,113 -- 4,113 World ex U.S. Targeted Value Portfolio 2013............................................... 993 -- 993 2014............................................... 2,537 1,141 3,678 World ex U.S. Core Equity Portfolio 2013............................................... 1,171 -- 1,171 2014............................................... 6,163 -- 6,163 World Core Equity Portfolio 2013............................................... 24 -- 24 2014............................................... 358 14 372 Selectively Hedged Global Equity Portfolio 2013............................................... 373 56 429 2014............................................... 2,139 539 2,678
162
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Emerging Markets Portfolio 2013................................... $ 59,866 $ 30,527 $ 90,393 2014................................... 78,253 20,987 99,240 Emerging Markets Small Cap Portfolio 2013................................... 71,149 92,100 163,249 2014................................... 83,100 63,095 146,195 Emerging Markets Value Portfolio 2013................................... 357,501 344,531 702,032 2014................................... 418,693 264,053 682,746 Emerging Markets Core Equity Portfolio 2013................................... 205,400 -- 205,400 2014................................... 287,956 -- 287,956
At October 31, 2014, 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....... $ 1,183 $ 1,658 $ 2,841 U.S. Large Cap Equity Portfolio............. 60 4 64 U.S. Large Cap Value Portfolio.............. 3,752 1,377 5,129 U.S. Targeted Value Portfolio............... 2,906 13,502 16,408 U.S. Small Cap Value Portfolio.............. 3,731 23,761 27,492 U.S. Core Equity 1 Portfolio................ 2,994 1,051 4,045 U.S. Core Equity 2 Portfolio................ 3,939 2,037 5,976 U.S. Vector Equity Portfolio................ 1,899 5,388 7,287 U.S. Small Cap Portfolio.................... 3,514 13,788 17,302 U.S. Micro Cap Portfolio.................... 1,587 13,903 15,490 DFA Real Estate Securities Portfolio........ 1,721 -- 1,721 International Core Equity Portfolio......... 3,892 -- 3,892 International Small Company Portfolio....... 9,273 10,107 19,380 United Kingdom Small Company Portfolio...... 60 136 196 DFA Global Real Estate Securities Portfolio. 395 -- 395 DFA International Small Cap Value Portfolio. 9,738 9,094 18,832 International Vector Equity Portfolio....... 991 326 1,317 World ex U.S.Targeted Value Portfolio....... 112 16 128 World ex U.S. Core Equity Portfolio......... 23 -- 23 Selectively Hedged Global Equity Portfolio.. 122 52 174 Emerging Markets Portfolio.................. 2,916 -- 2,916 Emerging Markets Small Cap Portfolio........ 2,631 2,358 4,989 Emerging Markets Value Portfolio............ 22,724 -- 22,724 Emerging Markets Core Equity Portfolio...... 8,118 -- 8,118
163 At October 31, 2014, 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 Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- Enhanced U.S. Large Company Portfolio.............................. $ 10,953 $ 16,610 -- $ 4,258 $ 31,821 U.S. Large Cap Equity Portfolio.......... 789 266 -- 35,396 36,451 U.S. Large Cap Value Portfolio........... 33,189 86,219 -- 5,314,609 5,434,017 U.S. Targeted Value Portfolio............ 16,494 237,909 -- 1,448,620 1,703,023 U.S. Small Cap Value Portfolio........... 19,593 427,114 -- 3,253,670 3,700,377 U.S. Core Equity 1 Portfolio............. 20,278 49,463 -- 3,332,295 3,402,036 U.S. Core Equity 2 Portfolio............. 23,510 89,850 -- 4,352,855 4,466,215 U.S. Vector Equity Portfolio............. 4,696 109,043 -- 1,124,422 1,238,161 U.S. Small Cap Portfolio................. 8,376 268,311 -- 2,513,699 2,790,386 U.S. Micro Cap Portfolio................. 5,283 278,651 -- 1,651,592 1,935,526 DFA Real Estate Securities Portfolio..... 23,652 -- $(135,249) 2,132,640 2,021,043 Large Cap International Portfolio........ 10,646 -- (217,917) 525,987 318,716 International Core Equity Portfolio...... 51,510 -- (301,210) 1,144,778 895,078 International Small Company Portfolio.... 131,822 250,319 -- 948,743 1,330,884 Japanese Small Company Portfolio......... 7,630 -- (59,307) 8,436 (43,241) Asia Pacific Small Company Portfolio..... 14,404 -- (26,743) (3,568) (15,907) United Kingdom Small Company Portfolio.............................. 481 2,151 -- 10,875 13,507 Continental Small Company Portfolio...... 310 -- (21,040) 24,524 3,794 DFA International Real Estate Securities Portfolio.............................. 141,014 -- (206,244) 40,344 (24,886) DFA Global Real Estate Securities Portfolio.............................. 21,815 -- (774) 635,235 656,276 DFA International Small Cap Value Portfolio.............................. 127,903 207,078 -- 1,447,990 1,782,971 International Vector Equity Portfolio.... 7,404 10,948 -- 153,470 171,822 World ex U.S. Value Portfolio............ 632 -- (1,648) 8,666 7,650 World ex U.S. Targeted Value Portfolio.............................. 425 410 -- 4,762 5,597 World ex U.S. Core Equity Portfolio...... -- -- -- (2,352) (2,352) World Core Equity Portfolio.............. 12 232 -- (2,611) (2,367) Selectively Hedged Global Equity Portfolio.............................. 4,023 1,915 -- 15,899 21,837 Emerging Markets Portfolio............... 17,907 -- (24,940) 1,131,763 1,124,730 Emerging Markets Small Cap Portfolio..... 43,338 88,624 -- 432,216 564,178 Emerging Markets Value Portfolio......... 193,147 -- (527,781) 64,633 (270,001) Emerging Markets Core Equity Portfolio.............................. 73,738 -- (161,804) 1,299,327 1,211,261
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 164 enactment. As of October 31, 2014, 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, ---------------------------------------------------------- 2015 2016 2017 2018 2019 Unlimited Total ------ ------- -------- ------- ------- --------- -------- Enhanced U.S. Large Company Portfolio.............. -- -- -- -- -- -- -- U.S. Large Cap Equity Portfolio.................... -- -- -- -- -- -- -- U.S. Large Cap Value Portfolio..................... -- -- -- -- -- -- -- U.S. Targeted Value Portfolio...................... -- -- -- -- -- -- -- U.S. Small Cap Value Portfolio..................... -- -- -- -- -- -- -- U.S. Core Equity 1 Portfolio....................... -- -- -- -- -- -- -- U.S. Core Equity 2 Portfolio....................... -- -- -- -- -- -- -- U.S. Vector Equity Portfolio....................... -- -- -- -- -- -- -- U.S. Small Cap Portfolio........................... -- -- -- -- -- -- -- U.S. Micro Cap Portfolio........................... -- -- -- -- -- -- -- DFA Real Estate Securities Portfolio............... -- $ 1,368 $ 62,969 $44,388 $26,523 -- $135,248 Large Cap International Portfolio.................. -- 19,004 135,392 14,311 12,549 $ 36,660 217,916 International Core Equity Portfolio................ -- -- 53,176 -- -- 248,034 301,210 International Small Company Portfolio.............. -- -- -- -- -- -- -- Japanese Small Company Portfolio................... $4,547 23,057 13,952 12,208 5,543 -- 59,307 Asia Pacific Small Company Portfolio............... -- 16,317 8,261 -- -- 2,165 26,743 United Kingdom Small Company Portfolio............. -- -- -- -- -- -- -- Continental Small Company Portfolio................ -- 8,564 7,224 5,252 -- -- 21,040 DFA International Real Estate Securities Portfolio. 46 13,446 34,576 38,689 69,466 50,022 206,245 DFA Global Real Estate Securities Portfolio........ -- -- -- 774 -- -- 774 DFA International Small Cap Value Portfolio........ -- -- -- -- -- -- -- International Vector Equity Portfolio.............. -- -- -- -- -- -- -- World ex U.S. Value Portfolio...................... -- -- -- -- 1,648 -- 1,648 World ex U.S. Targeted Value Portfolio............. -- -- -- -- -- -- -- World ex U.S. Core Equity Portfolio................ -- -- -- -- -- -- -- World Core Equity Portfolio........................ -- -- -- -- -- -- -- Selectively Hedged Global Equity Portfolio......... -- -- -- -- -- -- -- Emerging Markets Portfolio......................... -- -- -- -- -- 24,940 24,940 Emerging Markets Small Cap Portfolio............... -- -- -- -- -- -- -- Emerging Markets Value Portfolio................... -- -- -- -- -- 527,781 527,781 Emerging Markets Core Equity Portfolio............. -- 7,080 26,444 -- -- 128,280 161,804
During the year ended October 31, 2014, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Enhanced U.S. Large Company Portfolio.............. $ 1,059 U.S. Large Cap Value Portfolio..................... 512,898 DFA Real Estate Securities Portfolio............... 39,893 Japanese Small Company Portfolio................... 7,238 Continental Small Company Portfolio................ 5,494 DFA International Real Estate Securities Portfolio. 453 DFA Global Real Estate Securities Portfolio........ 34 World ex U.S. Value Portfolio...................... 1,066
165 At October 31, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Enhanced U.S. Large Company Portfolio.............. $ 210,692 $ 5,022 $ (749) $ 4,273 U.S. Large Cap Equity Portfolio.................... 237,614 38,887 (3,491) 35,396 U.S. Large Cap Value Portfolio..................... 9,823,567 5,314,609 -- 5,314,609 U.S. Targeted Value Portfolio...................... 5,165,038 1,685,110 (236,491) 1,448,619 U.S. Small Cap Value Portfolio..................... 10,278,857 4,008,701 (755,031) 3,253,670 U.S. Core Equity 1 Portfolio....................... 8,665,729 3,497,101 (164,805) 3,332,296 U.S. Core Equity 2 Portfolio....................... 10,174,035 4,623,538 (270,683) 4,352,855 U.S. Vector Equity Portfolio....................... 2,904,496 1,250,886 (126,464) 1,124,422 U.S. Small Cap Portfolio........................... 8,953,532 2,915,579 (401,882) 2,513,697 U.S. Micro Cap Portfolio........................... 4,376,325 2,023,663 (372,071) 1,651,592 DFA Real Estate Securities Portfolio............... 5,215,811 2,157,356 (59,821) 2,097,535 Large Cap International Portfolio.................. 2,775,950 746,735 (220,554) 526,181 International Core Equity Portfolio................ 12,399,582 2,136,680 (991,291) 1,145,389 International Small Company Portfolio.............. 7,882,227 949,331 -- 949,331 Japanese Small Company Portfolio................... 499,853 8,560 -- 8,560 Asia Pacific Small Company Portfolio............... 367,859 (3,566) (1) (3,567) United Kingdom Small Company Portfolio............. 24,185 10,872 -- 10,872 Continental Small Company Portfolio................ 144,642 24,404 -- 24,404 DFA International Real Estate Securities Portfolio. 3,223,748 102,962 (62,483) 40,479 DFA Global Real Estate Securities Portfolio........ 2,673,856 635,235 -- 635,235 DFA International Small Cap Value Portfolio........ 11,236,026 3,233,676 (1,784,797) 1,448,879 International Vector Equity Portfolio.............. 1,288,889 244,755 (91,208) 153,547 World ex U.S. Value Portfolio...................... 105,080 8,710 -- 8,710 World ex U.S. Targeted Value Portfolio............. 146,202 4,762 -- 4,762 World ex U.S. Core Equity Portfolio................ 408,129 2,247 (4,599) (2,352) World Core Equity Portfolio........................ 78,292 486 (3,096) (2,610) Selectively Hedged Global Equity Portfolio......... 125,380 15,886 -- 15,886 Emerging Markets Portfolio......................... 2,948,677 1,131,865 (51) 1,131,814 Emerging Markets Small Cap Portfolio............... 4,428,625 432,439 -- 432,439 Emerging Markets Value Portfolio................... 18,679,167 64,575 -- 64,575 Emerging Markets Core Equity Portfolio............. 15,869,382 3,057,569 (1,757,980) 1,299,589
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 Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 166 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Year Ended Year Ended Oct. 31, 2014 Oct. 31, 2013 --------------------- --------------------- Amount Shares Amount Shares ----------- -------- ----------- -------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued........................................ $ 9,171 406 $ 9,003 477 Shares Issued in Lieu of Cash Distributions.......... 657 30 3,423 205 Shares Redeemed...................................... (2,817) (123) (61,998) (3,124) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R1 Shares............ $ 7,011 313 $ (49,572) (2,442) =========== ======== =========== ======== Class R2 Shares Shares Issued........................................ $ 77,620 3,429 $ 10,505 520 Shares Issued in Lieu of Cash Distributions.......... 1,832 84 923 55 Shares Redeemed...................................... (21,767) (957) (5,597) (281) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 57,685 2,556 $ 5,831 294 =========== ======== =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,806,386 79,191 $ 1,049,705 53,476 Shares Issued in Lieu of Cash Distributions.......... 268,683 12,353 189,447 11,289 Shares Redeemed...................................... (897,338) (39,462) (1,045,053) (52,845) ----------- -------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 1,177,731 52,082 $ 194,099 11,920 =========== ======== =========== ======== Emerging Markets Value Portfolio Class R2 Shares Shares Issued........................................ $ 38,565 1,378 $ 27,484 947 Shares Issued in Lieu of Cash Distributions.......... 3,524 126 3,927 137 Shares Redeemed...................................... (43,702) (1,563) (27,940) (973) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ (1,613) (59) $ 3,471 111 =========== ======== =========== ======== Institutional Class Shares Shares Issued........................................ $ 3,218,550 115,620 $ 4,212,669 148,010 Shares Issued in Lieu of Cash Distributions.......... 643,949 22,910 652,656 22,854 Shares Redeemed...................................... (3,445,026) (122,635) (2,940,034) (104,206) ----------- -------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 417,473 15,895 $ 1,925,291 66,658 =========== ======== =========== ========
On October 29, 2010, the Board of Directors of the Fund 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 167 shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares had a higher net asset value per share. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. The per share data in the financial highlights prior to the year ended October 31, 2011 have been retroactively restated to reflect the conversion. 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. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Forward Currency Contracts: 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, 2014, The 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, 2014 Gain (Loss) ---------- -------- ------------------ -------- ---------------- ----------- 12/15/14 (5,183) Canadian Dollar (1) $ (4,609) $ (4,594) $ 15 11/14/14 3,162 UK Pound Sterling (1) 5,096 5,057 (39) 11/14/14 (12,356) UK Pound Sterling (2) (19,993) (19,764) 229 -------- -------- ---- $(19,506) $(19,301) $205 ======== ======== ====
168 Selectively Hedged Global Equity Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount October 31, 2014 Gain (Loss) ---------- ---------- -------------- -------- ---------------- ----------- 11/24/14 (439) Denmark Krone (1) $ (76) $ (75) $ 1 11/24/14 (3,659) Denmark Krone (1) (628) (616) 12 11/26/14 (9,274) Euro (3) (11,726) (11,623) 103 01/28/15 (1,028,433) Japanese Yen (4) (9,544) (9,165) 379 12/03/14 (2,848) Swiss Franc (2) (3,103) (2,960) 143 -------- -------- ---- $(25,077) $(24,439) $638 ======== ======== ====
Counterparties: (1)Citibank, N.A. (2)JP Morgan (3)Bank of America Corp. (4)State Street Bank and Trust * During the year ended October 31, 2014, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average contract amount of forward currency contracts was $43,008 and $21,289 (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. 3. 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, U.S. Small Cap Value 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), Russell 2000 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. At October 31, 2014, the following Portfolios had outstanding futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ---------- Enhanced U.S. Large Company Portfolio....... S&P 500 Index(R) 12/18/14 411 $206,671 $7,062 -- Selectively Hedged Global Equity Portfolio........ S&P 500(R) Emini Index 12/19/14 51 5,129 51 $235
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2014, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount of outstanding futures contracts were $191,549 and $3,210 (in thousands), respectively. 169 The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 2014: 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 Receivables: Futures Margin Variation The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of October 31, 2014 (amounts in thousands):
Asset Derivatives Value ----------------------------------- Total Value Foreign at Exchange Equity October 31, 2014 Contracts Contracts - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $7,306 $244 $7,062* Selectively Hedged Global Equity Portfolio. 689 638 51* Liability Derivatives Value ----------------------------------- Total Value Foreign at Exchange Equity October 31, 2014 Contracts Contracts - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ (39) $(39) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements 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, 2014 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts -------- --------- --------- Enhanced U.S. Large Company Portfolio....... $ 31,046 $ (129) $ 31,175 U.S. Small Cap Value Portfolio*............. (12,757) -- (12,757) U.S. Micro Cap Portfolio*................... (692) -- (692) DFA Real Estate Securities Portfolio*....... (553) -- (553) Selectively Hedged Global Equity Portfolio.. 2,041 1,469 572
170
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ----- --------- --------- Enhanced U.S. Large Company Portfolio...... $(430) $422 $(852) Selectively Hedged Global Equity Portfolio. 528 610 (82)
* As of October 31, 2014, there were no futures contracts outstanding. During the year ended October 31, 2014, the Portfolios had limited activity in futures contracts. Offsetting of Derivative Assets and Derivative Liabilities The following tables present the Portfolios' gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of October 31, 2014 (Amounts in thousands):
Gross Amounts Not Gross Amounts Not Offset in the Offset in the Statements of Assets Statements of Assets Gross and Liabilities Gross and Liabilities Amounts of ---------------------- Amounts of ---------------------- Recognized Financial Cash Net Recognized Financial Cash Net Assets Instruments Collateral Amount Liabilities Instruments Collateral Amount Description (a) (b) Received (c) (a) (d) Pledged (e) ----------- ---------- ----------- ---------- ------ ----------- ----------- ---------- ------ Assets Liabilities ---------------------------------------- ----------------------------------------- Selectively Hedged Global Equity Portfolio Forward Currency Contracts................. $638 -- -- $638 -- -- -- -- Enhanced U.S. Large Company Portfolio Forward Currency Contracts................. $244 $(15) -- $229 $39 $(15) -- $24
(a)No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities. (b)Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (c)Represents the net amount due from counterparties in the event of default. (d)Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (e)Represents the net amount due to counterparties in the event of default. Note J contains information regarding securities lending amounts that are subject to netting arrangements. I. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to its 171 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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. Large Cap Equity Portfolio........ 0.85% $ 377 7 -- $ 800 U.S. Small Cap Value Portfolio......... 0.84% 14,769 25 $ 9 43,715 U.S. Vector Equity Portfolio........... 0.85% 649 3 -- 649 U.S. Small Cap Portfolio............... 0.84% 6,921 1 -- 6,921 U.S. Micro Cap Portfolio............... 0.85% 2,595 32 2 6,726 Large Cap International Portfolio...... 0.84% 4,560 4 -- 11,607 International Small Company Portfolio.. 0.83% 5,142 7 1 12,200 DFA International Small Cap Value Portfolio............................ 0.83% 5,466 17 2 15,323 International Vector Equity Portfolio.. 0.84% 2,959 10 1 10,858 World ex U.S. Value Portfolio.......... 0.84% 206 38 -- 3,715 World ex U.S. Targeted Value Portfolio. 0.84% 724 28 -- 4,483 World ex U.S. Core Equity Portfolio.... 0.83% 1,029 12 -- 6,277 World Core Equity Portfolio............ 0.84% 53 56 -- 224
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2014. J. Securities Lending: As of October 31, 2014, 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 -------- U.S. Large Cap Equity Portfolio.................... $ 51 U.S. Targeted Value Portfolio...................... 21,398 U.S. Small Cap Value Portfolio..................... 29,283 U.S. Core Equity 1 Portfolio....................... 29,505 U.S. Core Equity 2 Portfolio....................... 50,236 U.S. Vector Equity Portfolio....................... 19,332 U.S. Small Cap Portfolio........................... 1,156 U.S. Micro Cap Portfolio........................... 2,399 DFA Real Estate Securities Portfolio............... 43,406 Large Cap International Portfolio.................. 7,310 International Core Equity Portfolio................ 33,745 DFA International Real Estate Securities Portfolio. 3,455 DFA International Small Cap Value Portfolio........ 16,689 International Vector Equity Portfolio.............. 3,210 Emerging Markets Core Equity Portfolio............. 614,348
172 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 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. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Portfolio 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. Other: At October 31, 2014, 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 of Number of Outstanding Shareholders Shares ------------ ------------- Enhanced U.S. Large Company Portfolio-Institutional Class Shares. 5 82% U.S. Large Cap Equity Portfolio-Institutional Class Shares....... 3 96%
173
Approximate Percentage of Number of Outstanding Shareholders Shares ------------ ------------- U.S. Large Cap Value Portfolio-Institutional Class Shares.............. 3 71% U.S. Targeted Value Portfolio-Class R1 Shares.......................... 4 90% U.S. Targeted Value Portfolio-Class R2 Shares.......................... 6 80% U.S. Targeted Value Portfolio-Institutional Class Shares............... 3 57% U.S. Small Cap Value Portfolio-Institutional Class Shares.............. 3 58% U.S. Core Equity 1 Portfolio-Institutional Class Shares................ 5 78% U.S. Core Equity 2 Portfolio-Institutional Class Shares................ 6 82% U.S. Vector Equity Portfolio-Institutional Class Shares................ 5 94% U.S. Small Cap Portfolio-Institutional Class Shares.................... 3 48% U.S. Micro Cap Portfolio-Institutional Class Shares.................... 5 76% DFA Real Estate Securities Portfolio-Institutional Class Shares........ 4 85% Large Cap International Portfolio-Institutional Class Shares........... 3 67% International Core Equity Portfolio.................................... 4 71% Japanese Small Company Portfolio-Institutional Class Shares............ 3 83% Asia Pacific Small Company Portfolio-Institutional Class Shares........ 3 89% United Kingdom Small Company Portfolio-Institutional Class Shares...... 4 97% Continental Small Company Portfolio-Institutional Class Shares......... 5 94% DFA International Real Estate Securities Portfolio-Institutional Class Shares............................................................... 4 93% DFA Global Real Estate Securities Portfolio-Institutional Class Shares. 3 81% 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 82% World ex U.S. Targeted Value Portfolio-Institutional Class Shares...... 3 99% World ex U.S. Core Equity Portfolio-Institutional Class Shares......... 3 95% Selectively Hedged Global Equity Portfolio-Institutional Class Shares.. 3 96% Emerging Markets Portfolio-Institutional Class Shares.................. 4 67% Emerging Markets Small Cap Portfolio-Institutional Class Shares........ 4 55% Emerging Markets Value Portfolio-Class R2 Shares....................... 4 87% Emerging Markets Value Portfolio-Institutional Class Shares............ 2 30% 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, described below, 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. 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 174 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. Oral argument on the appeal was held on November 5, 2014, and the parties await the Second Circuit's ruling. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be 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. N. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 175 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of the Portfolios, as defined: 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, World 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, 2014, 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, 2014 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 19, 2014 176 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- DFA COMMODITY STRATEGY PORTFOLIO VS. BLOOMBERG COMMODITY INDEX TOTAL RETURN November 9, 2010-October 31, 2014 [CHART] DFA Commodity Strategy Bloomberg Commodity Index Portfolio 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 8,051 11/30/2013 8,397 7,987 12/31/2013 8,473 8,086 1/31/2014 8,565 8,110 2/28/2014 9,156 8,616 3/31/2014 9,200 8,651 4/30/2014 9,435 8,862 5/31/2014 9,200 8,607 6/30/2014 9,271 8,658 7/31/2014 8,822 8,227 8/31/2014 8,750 8,141 Past performance is not predictive of 9/30/2014 8,208 7,634 future performance. 10/31/2014 8,178 7,573 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Since redemption of fund shares. Total Return Year Inception Dow Jones data provided by Dow Jones ------------------------------------------------------ Indexes. The S&P data are provided by -3.08% -4.93% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- 177 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) Commodity Market Review 12 Months Ended October 31, 2014 During the fiscal year ended October 31, 2014, commodities retreated from an early 2014 rally to end with a -5.94% return as measured by the Bloomberg Commodity Index Total Return. The precious metals sector led the decline. Following closely in terms of decline, grain and energy prices declined significantly in the period. Industrial metals produced near flat returns, and the livestock sector stood apart, producing a double-digit positive return in the period. 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 Bloomberg Commodity Index Total Return. 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, 2014, the total return was -3.08% for the Portfolio and -5.94% for the Bloomberg Commodity Index Total Return. The Portfolio's relative outperformance was attributable to the combination of differences in the 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 Bloomberg Commodity Index, whose returns for the period ranged from +62.41% (coffee) to -31.64% (sugar). While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component duration increased slightly from 1.81 to 1.85 years during the period. The Portfolio benefited from exposure to longer duration relative to its short-term obligations on its derivatives. The Portfolio also benefited from its exposure to lower credit securities 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. 178 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- DFA Commodity Strategy Portfolio -------------------------------- Actual Fund Return............... $1,000.00 $ 866.80 0.33% $1.55 Hypothetical 5% Annual Return.... $1,000.00 $1,023.54 0.33% $1.68
---------- * 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. 179 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 29, 2014. 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.................................... 36.0% Foreign Corporate............................ 22.7% Foreign Government........................... 19.8% Government................................... 13.5% Supranational................................ 8.0% ----- 100.0%
180 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS October 31, 2014
Face Amount^ Value+ ------- ------ (000) BONDS -- (79.2%) AUSTRALIA -- (6.7%) Australia & New Zealand Banking Group, Ltd. 1.250%, 01/10/17............................. $ 12,000 $12,041,136 1.250%, 06/13/17............................. 10,000 9,988,870 BHP Billiton Finance USA, Ltd. 1.625%, 02/24/17............................. 5,000 5,062,535 Commonwealth Bank of Australia 1.125%, 03/13/17............................. 8,737 8,739,464 1.900%, 09/18/17............................. 7,000 7,097,377 National Australia Bank, Ltd. 0.900%, 01/20/16............................. 5,000 5,016,750 1.300%, 07/25/16............................. 7,000 7,063,196 Westpac Banking Corp. 3.000%, 12/09/15............................. 8,500 8,723,014 1.200%, 05/19/17............................. 10,000 9,994,150 2.000%, 08/14/17............................. 3,000 3,055,923 ----------- TOTAL AUSTRALIA.................................. 76,782,415 ----------- CANADA -- (7.3%) Bank of Nova Scotia (The) 2.550%, 01/12/17............................. 5,000 5,153,565 Canadian National Railway Co. 1.450%, 12/15/16............................. 4,275 4,326,642 Enbridge, Inc. 4.900%, 03/01/15............................. 1,500 1,521,063 Export Development Canada 0.875%, 12/07/16............................. GBP 10,000 15,970,451 Ontario, Province of Canada 2.300%, 05/10/16............................. 5,000 5,129,055 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 1,830 1,881,441 Royal Bank of Canada 1.200%, 01/23/17............................. 7,000 7,017,290 1.250%, 06/16/17............................. 15,000 14,990,940 Toronto-Dominion Bank (The) 2.500%, 07/14/16............................. 2,500 2,573,345 2.375%, 10/19/16............................. 19,000 19,595,137 TransAlta Corp. 4.750%, 01/15/15............................. 2,508 2,527,695 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 3,106 3,156,243 ----------- TOTAL CANADA..................................... 83,842,867 ----------- FINLAND -- (1.3%) Municipality Finance P.L.C. 2.375%, 05/16/16............................. 15,000 15,425,760 -----------
Face Amount^ Value+ ------- ------ (000) FRANCE -- (1.7%) Agence Francaise de Developpement 2.500%, 07/15/15............................. $ 3,000 $ 3,045,600 BNP Paribas SA 3.250%, 03/11/15............................. 4,035 4,075,064 Orange SA 2.125%, 09/16/15............................. 500 505,467 2.750%, 09/14/16............................. 4,000 4,119,840 Societe Generale SA 2.750%, 10/12/17............................. 5,000 5,146,085 Total Capital International SA 1.550%, 06/28/17............................. 3,040 3,060,219 ----------- TOTAL FRANCE..................................... 19,952,275 ----------- GERMANY -- (3.2%) Deutsche Bank AG 3.250%, 01/11/16............................. 1,000 1,029,137 6.000%, 09/01/17............................. 3,000 3,362,445 KFW 5.500%, 12/07/15............................. GBP 4,000 6,732,666 Landeskreditbank Baden- Wuerttemberg Foerderbank 2.250%, 07/15/16............................. 10,000 10,285,320 Landwirtschaftliche Rentenbank 3.250%, 12/07/16............................. GBP 9,000 15,056,989 ----------- TOTAL GERMANY.................................... 36,466,557 ----------- JAPAN -- (2.9%) Japan Bank for International Cooperation 1.125%, 07/19/17............................. 15,000 15,044,085 Japan Finance Organization for Municipalities 1.500%, 09/12/17............................. 13,000 13,100,490 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 3,500 3,545,861 2.000%, 09/13/16............................. 1,000 1,012,581 Sumitomo Mitsui Banking Corp. 1.300%, 01/10/17............................. 1,000 1,000,350 ----------- TOTAL JAPAN...................................... 33,703,367 ----------- NETHERLANDS -- (4.3%) Aegon NV 4.625%, 12/01/15............................. 3,489 3,631,902 Bank Nederlandse Gemeenten NV 1.375%, 09/27/17............................. 10,000 10,064,900
181 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) NETHERLANDS -- (Continued) Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 3.125%, 02/05/15............................. CAD 7,000 $ 6,237,301 Deutsche Telekom International Finance BV 5.750%, 03/23/16............................. 880 937,510 Nederlandse Waterschapsbank NV 2.125%, 09/07/16............................. GBP 10,000 16,336,622 2.125%, 02/09/17............................. 4,000 4,113,104 Shell International Finance BV 1.125%, 08/21/17............................. 8,000 7,998,120 ----------- TOTAL NETHERLANDS................................ 49,319,459 ----------- NORWAY -- (1.3%) Kommunalbanken A.S. 1.125%, 12/15/16............................. GBP 9,000 14,417,893 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.8%) Asian Development Bank 1.000%, 12/15/16............................. GBP 14,000 22,402,750 Council Of Europe Development Bank 1.750%, 12/19/16............................. GBP 14,000 22,753,468 European Bank for Reconstruction & Development 0.750%, 09/01/17............................. 5,000 4,967,670 European Investment Bank 3.250%, 12/07/16............................. GBP 9,000 15,062,979 4.875%, 01/17/17............................. 4,000 4,358,144 Nordic Investment Bank 7.500%, 04/15/15............................. NZD 11,000 8,711,887 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 78,256,898 ----------- SWEDEN -- (2.8%) Kommuninvest I Sverige AB 1.625%, 02/13/17............................. 4,500 4,582,260 Svensk Exportkredit AB 2.125%, 07/13/16............................. 5,000 5,129,500 1.125%, 12/15/16............................. GBP 8,000 12,815,905 Svenska Handelsbanken AB 3.125%, 07/12/16............................. 9,250 9,607,642 ----------- TOTAL SWEDEN..................................... 32,135,307 ----------- SWITZERLAND -- (0.2%) Credit Suisse New York 3.500%, 03/23/15............................. 1,000 1,011,777
Face Amount^ Value+ ------- ------ (000) SWITZERLAND -- (Continued) UBS AG 3.875%, 01/15/15............................. $ 1,163 $ 1,170,885 ----------- TOTAL SWITZERLAND................................ 2,182,662 ----------- UNITED KINGDOM -- (5.3%) Barclays Bank P.L.C. 5.000%, 09/22/16............................. 1,700 1,824,989 BP Capital Markets P.L.C. 2.248%, 11/01/16............................. 6,500 6,653,368 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 3,100 3,128,030 1.250%, 02/14/17............................. 1,200 1,196,916 Diageo Capital P.L.C. 5.500%, 09/30/16............................. 2,000 2,166,374 GlaxoSmithKline Capital P.L.C. 1.500%, 05/08/17............................. 5,000 5,043,340 Lloyds Bank P.L.C. 4.875%, 01/21/16............................. 5,000 5,249,485 Network Rail Infrastructure Finance P.L.C. 1.125%, 12/15/16............................. GBP 13,000 20,869,725 Rio Tinto Finance USA P.L.C. 1.125%, 03/20/15............................. 3,850 3,859,879 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 6,300 6,389,901 Vodafone Group P.L.C. 1.625%, 03/20/17............................. 4,951 4,972,126 ----------- TOTAL UNITED KINGDOM............................. 61,354,133 ----------- UNITED STATES -- (35.4%) AbbVie, Inc. 1.200%, 11/06/15............................. 4,000 4,022,520 ACE INA Holdings, Inc. 2.600%, 11/23/15............................. 3,295 3,362,432 Actavis, Inc. 1.875%, 10/01/17............................. 6,000 5,947,290 Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. 3,615 3,690,998 Altria Group, Inc. 4.125%, 09/11/15............................. 2,170 2,234,345 American Express Credit Corp. 1.750%, 06/12/15............................. 1,200 1,208,680 2.750%, 09/15/15............................. 2,250 2,294,201 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 813 853,698 Amgen, Inc. 1.875%, 11/15/14............................. 1,825 1,825,650 4.850%, 11/18/14............................. 1,000 1,001,603
182 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Anadarko Petroleum Corp. 5.950%, 09/15/16............................. $ 6,000 $ 6,520,422 Anheuser-Busch Cos., LLC 5.600%, 03/01/17............................. 5,000 5,488,520 Anheuser-Busch InBev Worldwide, Inc. 0.800%, 07/15/15............................. 2,000 2,005,802 Apache Corp. 5.625%, 01/15/17............................. 1,500 1,641,811 Apple, Inc. 1.050%, 05/05/17............................. 27,000 26,997,705 AT&T, Inc. 2.500%, 08/15/15............................. 3,066 3,112,781 2.400%, 08/15/16............................. 1,000 1,024,580 AutoZone, Inc. 6.950%, 06/15/16............................. 3,000 3,274,068 Bank of America Corp. 1.500%, 10/09/15............................. 5,000 5,036,400 3.750%, 07/12/16............................. 1,500 1,565,920 Bank of New York Mellon Corp. (The) 1.969%, 06/20/17............................. 4,000 4,078,872 Becton Dickinson and Co. 1.750%, 11/08/16............................. 1,500 1,515,690 Branch Banking & Trust Co. 1.000%, 04/03/17............................. 4,400 4,379,822 Burlington Northern Santa Fe LLC 4.875%, 01/15/15............................. 200 201,730 Capital One Financial Corp. 2.150%, 03/23/15............................. 4,700 4,729,445 Cardinal Health, Inc. 4.000%, 06/15/15............................. 3,000 3,060,105 CareFusion Corp. 1.450%, 05/15/17............................. 5,000 4,990,520 Caterpillar Financial Services Corp. 2.650%, 04/01/16............................. 5,000 5,137,455 1.350%, 09/06/16............................. 1,000 1,009,615 CenterPoint Energy Resources Corp. 6.150%, 05/01/16............................. 5,000 5,377,965 Charles Schwab Corp. (The) 0.850%, 12/04/15............................. 3,000 3,009,645 Citigroup, Inc. 1.350%, 03/10/17............................. 2,000 2,000,130 CNA Financial Corp. 5.850%, 12/15/14............................. 3,277 3,295,600 Colgate-Palmolive Co. 1.300%, 01/15/17............................. 9,723 9,808,115 Comcast Corp. 4.950%, 06/15/16............................. 3,500 3,732,540 Comerica, Inc. 3.000%, 09/16/15............................. 2,277 2,323,414 Computer Sciences Corp. 2.500%, 09/15/15............................. 3,558 3,608,225
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) ConAgra Foods, Inc. 5.819%, 06/15/17............................. $ 5,000 $5,521,900 CVS Health Corp. 3.250%, 05/18/15............................. 1,000 1,014,688 Devon Energy Corp. 1.200%, 12/15/16............................. 5,970 6,038,583 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 3.500%, 03/01/16............................. 5,000 5,167,685 Dominion Resources, Inc. 5.150%, 07/15/15............................. 1,400 1,443,268 2.250%, 09/01/15............................. 5,000 5,059,095 Dow Chemical Co. (The) 2.500%, 02/15/16............................. 6,000 6,125,424 Eastman Chemical Co. 3.000%, 12/15/15............................. 1,000 1,023,259 2.400%, 06/01/17............................. 3,000 3,054,636 eBay, Inc. 1.350%, 07/15/17............................. 3,000 2,979,225 Ecolab, Inc. 1.000%, 08/09/15............................. 2,000 2,006,502 Enbridge Energy Partners L.P. 5.350%, 12/15/14............................. 1,475 1,482,983 Energy Transfer Partners L.P. 5.950%, 02/01/15............................. 1,200 1,214,490 EOG Resources, Inc. 2.950%, 06/01/15............................. 2,440 2,474,972 2.500%, 02/01/16............................. 6,000 6,126,870 Exelon Corp. 4.900%, 06/15/15............................. 500 512,741 Express Scripts Holding Co. 2.100%, 02/12/15............................. 4,000 4,016,124 3.125%, 05/15/16............................. 1,975 2,044,858 Fifth Third Bancorp 3.625%, 01/25/16............................. 1,000 1,033,646 Fifth Third Bank 0.900%, 02/26/16............................. 2,000 2,004,354 Ford Motor Credit Co. LLC 12.000%, 05/15/15............................ 3,500 3,705,415 Freeport-McMoRan, Inc. 1.400%, 02/13/15............................. 3,996 4,002,362 GATX Corp. 4.750%, 05/15/15............................. 5,240 5,346,503 Gilead Sciences, Inc. 2.400%, 12/01/14............................. 3,000 3,004,125 Goldman Sachs Group, Inc. (The) 3.300%, 05/03/15............................. 600 608,042 3.625%, 02/07/16............................. 1,000 1,032,075 6.250%, 09/01/17............................. 3,000 3,362,709 Hartford Financial Services Group, Inc. (The) 4.000%, 03/30/15............................. 1,400 1,419,058
183 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Hewlett-Packard Co. 2.625%, 12/09/14............................. $ 1,000 $1,001,908 3.000%, 09/15/16............................. 1,000 1,032,813 Hillshire Brands Co. (The) 2.750%, 09/15/15............................. 1,666 1,691,363 HSBC USA, Inc. 2.375%, 02/13/15............................. 2,000 2,011,108 John Deere Capital Corp. 2.000%, 01/13/17............................. 1,500 1,531,618 Johnson Controls, Inc. 5.500%, 01/15/16............................. 1,282 1,354,242 2.600%, 12/01/16............................. 3,475 3,587,201 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 2,800 2,819,298 3.400%, 06/24/15............................. 1,000 1,018,061 Kellogg Co. 1.875%, 11/17/16............................. 1,000 1,016,834 1.750%, 05/17/17............................. 3,000 3,026,157 KeyBank NA 1.100%, 11/25/16............................. 6,000 6,005,712 KeyCorp 3.750%, 08/13/15............................. 3,000 3,071,118 Kinder Morgan Energy Partners L.P. 6.000%, 02/01/17............................. 830 908,756 Kroger Co. (The) 2.200%, 01/15/17............................. 1,000 1,020,855 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 4,000 4,148,224 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 1,050 1,094,246 Marathon Oil Corp. 0.900%, 11/01/15............................. 1,140 1,141,108 MetLife, Inc. 5.000%, 06/15/15............................. 500 513,737 Mondelez International, Inc. 4.125%, 02/09/16............................. 3,716 3,866,803 Morgan Stanley 3.800%, 04/29/16............................. 6,000 6,236,688 MUFG Union Bank NA 3.000%, 06/06/16............................. 1,000 1,030,570 Mylan, Inc. 1.350%, 11/29/16............................. 6,038 6,052,588 Occidental Petroleum Corp. 1.750%, 02/15/17............................. 2,722 2,757,155 Omnicom Group, Inc. 5.900%, 04/15/16............................. 1,750 1,870,265 ONEOK Partners L.P. 2.000%, 10/01/17............................. 2,820 2,839,994 PepsiCo, Inc. 0.700%, 08/13/15............................. 5,045 5,057,779 Philip Morris International, Inc. 2.500%, 05/16/16............................. 2,224 2,286,001 Phillips 66 2.950%, 05/01/17............................. 5,000 5,192,225
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Pioneer Natural Resources Co. 6.650%, 03/15/17............................. $ 3,450 $ 3,822,424 Plains All American Pipeline L.P. / PAA Finance Corp. 3.950%, 09/15/15............................. 2,830 2,904,820 PNC Funding Corp. 4.250%, 09/21/15............................. 600 619,189 PPG Industries, Inc. 1.900%, 01/15/16............................. 2,050 2,077,935 Progress Energy, Inc. 5.625%, 01/15/16............................. 2,000 2,112,208 Prudential Financial, Inc. 3.875%, 01/14/15............................. 1,000 1,006,585 6.200%, 01/15/15............................. 2,448 2,475,420 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 4,000 4,173,856 Reynolds American, Inc. 1.050%, 10/30/15............................. 4,000 4,007,792 Sherwin-Williams Co. (The) 3.125%, 12/15/14............................. 1,048 1,051,224 Southern Power Co. 4.875%, 07/15/15............................. 3,660 3,763,633 Starbucks Corp. 0.875%, 12/05/16............................. 1,000 1,001,109 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 4,000 4,157,504 Symantec Corp. 2.750%, 06/15/17............................. 2,000 2,032,656 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 2,350 2,356,418 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 2,250 2,276,615 2.250%, 08/15/16............................. 2,953 3,013,593 Time Warner Cable, Inc. 3.500%, 02/01/15............................. 4,000 4,027,472 Time Warner, Inc. 5.875%, 11/15/16............................. 1,000 1,094,408 Toyota Motor Credit Corp. 2.000%, 09/15/16............................. 15,819 16,165,626 UnitedHealth Group, Inc. 1.875%, 11/15/16............................. 1,000 1,020,133 Valero Energy Corp. 4.500%, 02/01/15............................. 900 908,055 Verizon Communications, Inc. 0.700%, 11/02/15............................. 3,000 3,002,334 Walgreen Co. 1.000%, 03/13/15............................. 3,720 3,725,915 Walt Disney Co. (The) 0.875%, 12/01/14............................. 1,500 1,500,795 1.125%, 02/15/17............................. 2,000 2,007,256 Wells Fargo & Co. 1.250%, 02/13/15............................. 1,000 1,002,551 1.500%, 07/01/15............................. 2,500 2,518,787 2.625%, 12/15/16............................. 6,000 6,210,660
184 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Western Union Co. (The) 5.930%, 10/01/16............................. $ 2,348 $ 2,552,337 Whirlpool Corp. 1.350%, 03/01/17............................. 2,000 1,994,372 Whirpool Corp. 1.650%, 11/01/17............................. 5,000 5,000,955 Williams Partners L.P. 3.800%, 02/15/15............................. 2,300 2,318,966 Xerox Corp. 4.250%, 02/15/15............................. 3,500 3,536,302 Yum! Brands, Inc. 4.250%, 09/15/15............................. 2,485 2,555,437 Zimmer Holdings, Inc. 1.400%, 11/30/14............................. 1,000 1,000,738 ------------ TOTAL UNITED STATES.............................. 408,374,413 ------------ TOTAL BONDS...................................... 912,214,006 ------------ AGENCY OBLIGATIONS -- (6.5%) Federal Home Loan Bank 2.250%, 09/08/17............................. 10,000 10,323,290 Federal Home Loan Mortgage Corporation 1.000%, 07/28/17............................. 30,000 30,055,050
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (Continued) Federal National Mortgage Association 1.375%, 11/15/16............................. $ 5,000 $ 5,076,100 0.750%, 04/20/17............................. 30,000 29,934,030 -------------- TOTAL AGENCY OBLIGATIONS........................... 75,388,470 -------------- U.S. TREASURY OBLIGATIONS -- (14.3%) U.S. Treasury Notes ++^^ 0.875%, 12/31/16............................. 113,000 113,670,994 3.000%, 02/28/17............................. 15,000 15,809,760 1.000%, 09/15/17............................. 35,000 35,106,645 -------------- TOTAL U.S. TREASURY OBLIGATIONS.................... 164,587,399 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,157,311,859).............................. $1,152,189,875 ==============
Summary of the Portfolio's investments as of October 31, 2014, 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.............................. -- $ 76,782,415 -- $ 76,782,415 Canada................................. -- 83,842,867 -- 83,842,867 Finland................................ -- 15,425,760 -- 15,425,760 France................................. -- 19,952,275 -- 19,952,275 Germany................................ -- 36,466,557 -- 36,466,557 Japan.................................. -- 33,703,367 -- 33,703,367 Netherlands............................ -- 49,319,459 -- 49,319,459 Norway................................. -- 14,417,893 -- 14,417,893 Supranational Organization Obligations. -- 78,256,898 -- 78,256,898 Sweden................................. -- 32,135,307 -- 32,135,307 Switzerland............................ -- 2,182,662 -- 2,182,662 United Kingdom......................... -- 61,354,133 -- 61,354,133 United States.......................... -- 408,374,413 -- 408,374,413 Agency Obligations....................... -- 75,388,470 -- 75,388,470 U.S. Treasury Obligations................ -- 164,587,399 -- 164,587,399 Swap Agreements**........................ -- (12,499,678) -- (12,499,678) Futures Contracts**...................... $(1,217,029) -- -- (1,217,029) Forward Currency Contracts**............. -- 1,912,228 -- 1,912,228 ----------- -------------- -- -------------- TOTAL.................................... $(1,217,029) $1,141,602,425 -- $1,140,385,396 =========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 185 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value................................................................... $ 1,152,190 Temporary Cash......................................................................... 29,195 Foreign Currencies at Value............................................................ 3 Segregated Cash for Swaps Contracts.................................................... 7,316 Cash................................................................................... 8,652 Receivables: Investment Securities Sold........................................................... 40 Interest............................................................................. 8,027 Fund Shares Sold..................................................................... 6,071 Unrealized Gain on Forward Currency Contracts.......................................... 2,157 Prepaid Expenses and Other Assets...................................................... 41 ------------ Total Assets...................................................................... 1,213,692 ------------ LIABILITIES: Payables: Investment Securities Purchased...................................................... 5,000 Fund Shares Redeemed................................................................. 1,180 Due to Advisor....................................................................... 297 Futures Margin Variation............................................................. 196 Unrealized Loss on Swap Contracts...................................................... 12,500 Unrealized Loss on Forward Currency Contracts.......................................... 245 Accrued Expenses and Other Liabilities................................................. 83 ------------ Total Liabilities................................................................. 19,501 ------------ NET ASSETS............................................................................. $ 1,194,191 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 149,317,618 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.00 ============ Investments at Cost.................................................................... $ 1,157,312 ============ Foreign Currencies at Cost............................................................. $ 3 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 1,204,372 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 5,939 Accumulated Net Realized Gain (Loss)................................................... 903 Net Unrealized Foreign Exchange Gain (Loss)............................................ 1,816 Net Unrealized Appreciation (Depreciation)............................................. (18,839) ------------ NET ASSETS............................................................................. $ 1,194,191 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 ============
See accompanying Notes to Financial Statements. 186 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands) Investment Income Interest.......................................................................................... $ 9,845 -------- Total Investment Income........................................................................ 9,845 -------- Expenses Investment Advisory Services Fees................................................................. 3,648 Accounting & Transfer Agent Fees.................................................................. 61 Custodian Fees.................................................................................... 39 Filing Fees....................................................................................... 133 Shareholders' Reports............................................................................. 48 Directors'/Trustees' Fees & Expenses.............................................................. 7 Professional Fees................................................................................. 30 Other............................................................................................. 9 -------- Total Expenses................................................................................. 3,975 -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (640) Fees Paid Indirectly.............................................................................. (12) -------- Net Expenses...................................................................................... 3,323 -------- Net Investment Income (Loss)...................................................................... 6,522 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:...................................................................... Investment Securities Sold...................................................................... 2,967 Futures......................................................................................... (2,034) Swap Contracts.................................................................................. (49,078) Foreign Currency Transactions................................................................... 2,905 Change in Unrealized Appreciation (Depreciation) of:.............................................. Investment Securities and Foreign Currency...................................................... (7,904) Futures......................................................................................... (649) Swap Contracts.................................................................................. (6,914) Translation of Foreign Currency Denominated Amounts............................................. 2,590 -------- Net Realized and Unrealized Gain (Loss)........................................................... (58,117) -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $(51,595) ========
See accompanying Notes to Financial Statements. 187 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, 2014 2013 ---------- --------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................................................... $ 6,522 $ 4,128 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 2,967 952 Futures............................................................................ (2,034) (1,683) Swap Contracts..................................................................... (49,078) (68,369) Foreign Currency Transactions...................................................... 2,905 (1,229) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... (7,904) 75 Futures............................................................................ (649) (717) Swap Contracts..................................................................... (6,914) (6,861) Translation of Foreign Currency Denominated Amounts................................ 2,590 715 ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (51,595) (72,989) ---------- --------- Distributions From: Net Investment Income: Institutional Class Shares......................................................... (4,154) (2,493) Net Short-Term Gains: Institutional Class Shares......................................................... (379) (472) Net Long-Term Gains: Institutional Class Shares......................................................... (474) (472) ---------- --------- Total Distributions............................................................... (5,007) (3,437) ---------- --------- Capital Share Transactions (1): Shares Issued........................................................................ 761,756 552,864 Shares Issued in Lieu of Cash Distributions.......................................... 4,915 3,267 Shares Redeemed...................................................................... (302,192) (151,470) ---------- --------- Net Increase (Decrease) from Capital Share Transactions........................... 464,479 404,661 ---------- --------- Total Increase (Decrease) in Net Assets........................................... 407,877 328,235 Net Assets Beginning of Year.................................................................... 786,314 458,079 ---------- --------- End of Year.......................................................................... $1,194,191 $ 786,314 ========== ========= (1) Shares Issued and Redeemed: Shares Issued........................................................................ 90,096 63,019 Shares Issued in Lieu of Cash Distributions.......................................... 566 366 Shares Redeemed...................................................................... (36,041) (17,417) ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 54,621 45,968 ========== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 5,939 $ 1,500
See accompanying Notes to Financial Statements. 188 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Year Year Year Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................................... $ 8.30 $ 9.40 $ 9.77 ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................................. 0.06 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)................... (0.31) (1.10) (0.37) ---------- -------- -------- Total from Investment Operations............................................ (0.25) (1.04) (0.30) ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................................ (0.04) (0.04) (0.06) Net Realized Gains........................................................... (0.01) (0.02) (0.01) ---------- -------- -------- Total Distributions......................................................... (0.05) (0.06) (0.07) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................................................. $ 8.00 $ 8.30 $ 9.40 =============================================================================== ========== ======== ======== Total Return................................................................... (3.08)% (11.15)% (3.08)% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).......................................... $1,194,191 $786,314 $458,079 Ratio of Expenses to Average Net Assets........................................ 0.33% 0.34% 0.35% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................................................................... 0.39% 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets........................... 0.65% 0.66% 0.79% Portfolio Turnover Rate........................................................ 104% 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 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor 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. 189 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"), whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-seven operational portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the "Subsidiary"), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the 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 agreements will be valued at the price provided by an independent third-party pricing service or source. If a price is not available from an independent third-party pricing service or source, the swap agreement will be valued in good faith at fair value in accordance with procedures adopted by the Board. These securities are generally categorized as Level 2 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. 190 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, 2014, there were no significant transfers between Level 1 and Level 2 and no significant 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, 2014, 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. 191 To the extent of the Portfolio's investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods. As of October 31, 2014, the Portfolio held a $243,966,964 investment in the Subsidiary, representing 20.10% 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. 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, 2014, 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 "Fee Waiver Agreement"), the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through 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, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement will continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. At October 31, 2014, there were no previously waived fees subject to future recovery by the Advisor. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. For the year ended October 31, 2014, approximately $640 (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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- DFA Commodity Strategy Portfolio. $12
192 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, 2014, the total related amounts paid by the Fund to the CCO were $262 (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, 2014, 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. $8
F. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $212,151 $458,903 $1,165,997 $516,202
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, 2014, 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 book 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. $(48,297) $2,071 $46,226
193 The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Tax Exempt Capital Gains Capital Gains Income Total -------------- ------------- ---------- ------ DFA Commodity Strategy Portfolio 2013............................. $2,965 $472 -- $3,437 2014............................. 4,533 474 -- 5,007
At October 31, 2014, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- DFA Commodity Strategy Portfolio. $705 $57 $762
At October 31, 2014, 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 Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- DFA Commodity Strategy Portfolio. $7,964 $889 -- $(18,924) $(10,071)
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, 2014, the Portfolio did not have any capital loss carryforwards. At October 31, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA Commodity Strategy Portfolio. $1,157,312 $1,471 $(6,593) $(5,122)
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. 194 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. 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 Statement 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 Statement of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2014, 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 2014 Gain (Loss) ---------- -------- ------------------- --------- ----------- ----------- 11/25/14 (7,100) Canadian Dollar (1) $ (6,307) $ (6,296) $ 11 11/14/14 (11,269) New Zealand Dollar (2) (8,907) (8,776) 131 11/03/14 47,418 UK Pound Sterling (3) 75,972 75,855 (117) 11/03/14 (47,418) UK Pound Sterling (1) (76,835) (75,855) 980 11/04/14 55,373 UK Pound Sterling (1) 88,453 88,580 127 11/04/14 (55,373) UK Pound Sterling (1) (89,372) (88,580) 792 12/03/14 (47,748) UK Pound Sterling (3) (76,480) (76,364) 116 12/04/14 (55,464) UK Pound Sterling (1) (88,577) (88,705) (128) --------- --------- ------ $(182,053) $(180,141) $1,912 ========= ========= ======
Counterparties: (1)Citibank, N.A. (2)Bank of America Corp. (3)State Street Bank and Trust * During the year ended October 31, 2014, the Portfolio's average contract amount of forward currency contracts was $226,502 (in thousands). **Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. 195 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 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. 196 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 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 197 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, 2014, 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.... 02/12/15 54 $ 4,719 $ 12 CBT Wheat Futures.......... 03/13/15 98 2,674 20 Coffee 'C' Futures......... 03/19/15 47 3,389 (33) Copper Futures............. 03/27/15 79 6,002 (73) Corn Futures............... 03/13/15 300 5,839 82 Cotton No.2 Futures........ 03/09/15 33 1,038 9 Gasoline RBOB Futures...... 12/31/14 28 2,523 (132) Gold 100 oz Futures........ 02/25/15 83 9,731 (479) KCB Wheat Futures.......... 03/13/15 33 988 (8) LME Nickel Futures......... 01/19/15 46 4,355 (253) LME Nickel Futures......... 11/19/14 46 4,342 (807) LME Nickel Futures......... 01/19/15 (24) (2,272) 51 LME Nickel Futures......... 11/19/14 (46) (4,342) 630 LME Prime Aluminum Futures. 11/19/14 196 10,117 230 LME Prime Aluminum Futures. 01/19/15 193 9,878 462 LME Prime Aluminum Futures. 01/19/15 (101) (5,169) (308) LME Prime Aluminum Futures. 11/19/14 (196) (10,116) (284) LME Zinc Futures........... 01/19/15 83 4,796 57 LME Zinc Futures........... 11/19/14 83 4,794 (56) LME Zinc Futures........... 01/19/15 (43) (2,485) (44) LME Zinc Futures........... 11/19/14 (83) (4,794) 3 Lean Hogs Futures.......... 02/13/15 49 1,726 (23) Live Cattle Futures........ 02/27/15 53 3,521 (31) NY Harbor ULSD Futures..... 12/31/14 27 2,843 (73) Natural Gas Futures........ 12/29/14 197 7,799 (211) Silver Futures............. 03/27/15 37 2,990 (203) Soybean Futures............ 01/14/15 79 4,145 373 Soybean Meal Futures....... 01/14/15 57 2,090 297 Soybean Oil Futures........ 01/14/15 110 2,311 126 Sugar #11 Futures.......... 02/27/15 195 3,503 (139) WTI Crude Futures.......... 12/19/14 80 6,434 (412) -------- ------- $ 83,369 $(1,217) ======== =======
The Subsidiary's securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2014 the Subsidiary's average notional contract amount of outstanding futures contracts was $72,751 (in thousands). 198 At October 31, 2014, the Subsidiary had the following outstanding commodity total return swaps, which are typically on custom commodity indices that include exposure to various precious metal, energy and agricultural commodities (dollar amounts in thousands):
Unrealized Commodity Expiration Notional Appreciation Counterparty Exposure Date Amount* (Depreciation) ------------ --------- ---------- ----------- -------------- Bank of America................. Index** 12/31/14 USD $ (90,558) $ (1,024) Citibank, N.A................... Index** 12/31/14 USD (216,371) (2,422) Credit Suisse................... Index** 11/25/14 USD (95,104) (1,068) Credit Suisse................... Index** 11/25/14 USD (200,339) (2,250) Deutsche Bank AG, London Branch. Index** 11/25/14 USD (240,817) (2,706) UBS AG.......................... Index** 01/30/15 USD (270,642) (3,030) ----------- -------- $(1,113,831) $(12,500) =========== ========
* During the year ended October 31, 2014 the Subsidiary's average notional value of outstanding swap contracts was $1,037,960 (in thousands). **Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total Return. The following is a summary of the location of derivatives on the Portfolio's Statement of Assets and Liabilities as of October 31, 2014: Location on the Statement of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Commodity Futures Payables: Futures Margin Contracts Variation Foreign Exchange Unrealized Gain on Unrealized Loss on Contracts Forward Currency Forward Currency Contracts Contracts Commodity Swap Contracts Unrealized Loss on Swap Contracts The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2014 (amounts in thousands):
Asset Derivatives Value ----------------------------- Total Value Foreign Commodity Commodity at Exchange Futures Swap October 31, 2014 Contracts Contracts Contracts - ---------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $ 4,509 $2,157 $ 2,352* -- Liability Derivatives Value - ----------------------------- Total Value Foreign Commodity Commodity at Exchange Futures Swap October 31, 2014 Contracts Contracts Contracts - ---------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $(16,314) $ (245) $(3,569)* $(12,500)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements of Assets and Liabilities. 199 The following is a summary of the location on the Portfolio's Statement of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings for the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Commodity Futures 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 Commodity Swap 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, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------------- Foreign Commodity Commodity Exchange Futures Swap Total Contracts Contracts Contracts -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $(48,117) $2,995 $(2,034) $(49,078)
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------------- Foreign Commodity Commodity Exchange Futures Swap Total Contracts Contracts Contracts ------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $(4,866) $2,697 $(649) $(6,914)
Offsetting of Derivative Assets and Derivative Liabilities The Portfolios are subject to master netting agreements ("MNA") with certain counterparties which govern the terms of derivative transactions and reduce the counterparty risk associated with such transactions by specifying offsetting mechanisms and collateral posting arrangements at pre-arranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different MNA, possibly resulting in the need for multiple agreements with a single counterparty. As the MNA's are specific to unique operations of different asset types, they allow each Portfolio to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single MNA with a counterparty. Certain MNA's contain provisions which allow for the net settlement of receivable and payable positions with the same counterparty if defined conditions are met. The following table presents the Portfolio's gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolio as of October 31, 2014 (Amounts in thousands):
Gross Amounts Not Offset Gross Amounts Not Offset in the Consolidated in the Consolidated Statements of Assets and Statements of Assets and Liabilities Liabilities Gross ------------------------- Gross ------------------------ Amounts of Cash Amounts of Cash Recognized Financial Collateral Net Recognized Financial Collateral Description Assets(a) Instruments(b) Received Amount(c) Liabilities(a) Instruments(d) Pledged ----------- ---------- -------------- ---------- --------- -------------- -------------- ---------- Assets Liabilities ---------------------------------------------- ---------------------------------------- DFA Commodity Strategy Portfolio Forward Currency Contracts....... $2,157 $(245) -- $1,912 $ 245 $ (245) -- Swap Contracts................... -- -- -- -- 12,500 (5,184)(f) (7,316)
Net Description Amount(e) ----------- --------- ---------- DFA Commodity Strategy Portfolio Forward Currency Contracts....... -- Swap Contracts................... --
200 (a)No amounts have been netted against the gross amounts recognized in the Consolidated Statements of Assets and Liabilities. (b)Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Consolidated Statements of Assets and Liabilities. (c)Represents the net amount due from counterparties in the event of default. (d)Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities as well as pledged non-cash collateral. (e)Represents the net amount due to counterparties in the event of default. (f)The actual collateral received is greater than the amount shown here due to overcollateralization. I. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. There were no borrowings by the Portfolio under the lines of credit during the year ended October 31, 2014. 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. Other: At October 31, 2014, three shareholders held 85% 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. L. 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. 201 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of DFA Commodity Strategy Portfolio: 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, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 19, 2014 202 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, 2014 [CHART] DFA International Value MSCI World ex USA Index Portfolio - Class R2 (net div.) ----------------------- ------------------------ 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 8/31/2013 8,902 9,333 9/30/2013 9,570 9,993 10/31/2013 9,901 10,328 11/30/2013 9,931 10,391 12/31/2013 10,149 10,548 1/31/2014 9,775 10,122 2/28/2014 10,328 10,675 3/31/2014 10,249 10,627 4/30/2014 10,420 10,794 5/31/2014 10,529 10,961 6/30/2014 10,661 11,117 7/31/2014 10,419 10,919 8/31/2014 10,419 10,927 9/30/2014 9,956 10,479 10/31/2014 9,782 10,312 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ------------------------------------------------------------ MSCI data copyright MSCI 2014, all -1.21% 5.55% -0.34% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] DFA International Value MSCI World ex USA Index Portfolio-Institutional Class (net div.) ----------------------------- ----------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,737 10,665 12/31/2004 11,272 11,116 1/31/2005 11,155 10,897 2/28/2005 11,595 11,382 3/31/2005 11,305 11,123 4/30/2005 10,961 10,840 5/31/2005 10,975 10,859 6/30/2005 11,147 11,037 7/31/2005 11,643 11,393 8/31/2005 12,027 11,708 9/30/2005 12,363 12,242 10/31/2005 12,173 11,847 11/30/2005 12,391 12,160 12/31/2005 12,993 12,724 1/31/2006 13,878 13,529 2/28/2006 14,008 13,483 3/31/2006 14,598 13,911 4/30/2006 15,332 14,576 5/31/2006 14,713 14,022 6/30/2006 14,612 14,004 7/31/2006 14,839 14,136 8/31/2006 15,343 14,537 9/30/2006 15,557 14,526 10/31/2006 16,244 15,100 11/30/2006 16,776 15,549 12/31/2006 17,429 15,995 1/31/2007 17,753 16,093 2/28/2007 17,738 16,222 3/31/2007 18,307 16,637 4/30/2007 19,227 17,394 5/31/2007 19,883 17,781 6/30/2007 19,737 17,798 7/31/2007 19,186 17,552 8/31/2007 18,964 17,298 9/30/2007 19,951 18,281 10/31/2007 20,913 19,076 11/30/2007 19,643 18,330 12/31/2007 19,215 17,985 1/31/2008 17,658 16,364 2/29/2008 17,429 16,660 3/31/2008 17,639 16,422 4/30/2008 18,422 17,335 5/31/2008 18,430 17,598 6/30/2008 16,600 16,230 7/31/2008 16,130 15,652 8/31/2008 15,450 15,047 9/30/2008 13,646 12,874 10/31/2008 10,223 10,196 11/30/2008 9,595 9,643 12/31/2008 10,312 10,152 1/31/2009 8,892 9,204 2/28/2009 7,800 8,273 3/31/2009 8,647 8,818 4/30/2009 10,235 9,955 5/31/2009 11,757 11,214 6/30/2009 11,581 11,098 7/31/2009 12,951 12,140 8/31/2009 13,686 12,722 9/30/2009 14,390 13,247 10/31/2009 13,811 13,034 11/30/2009 14,214 13,356 12/31/2009 14,381 13,569 1/31/2010 13,546 12,933 2/28/2010 13,588 12,920 3/31/2010 14,671 13,752 4/30/2010 14,418 13,547 5/31/2010 12,721 12,052 6/30/2010 12,500 11,878 7/31/2010 14,059 12,976 8/31/2010 13,365 12,588 9/30/2010 14,797 13,795 10/31/2010 15,322 14,287 11/30/2010 14,539 13,682 12/31/2010 15,901 14,783 1/31/2011 16,576 15,102 2/28/2011 17,121 15,662 3/31/2011 16,649 15,348 4/30/2011 17,533 16,184 5/31/2011 16,900 15,704 6/30/2011 16,664 15,480 7/31/2011 16,126 15,225 8/31/2011 14,397 13,938 9/30/2011 12,821 12,538 10/31/2011 14,038 13,758 11/30/2011 13,585 13,122 12/31/2011 13,222 12,979 1/31/2012 14,110 13,679 2/29/2012 14,837 14,431 3/31/2012 14,721 14,325 4/30/2012 14,191 14,081 5/31/2012 12,438 12,476 6/30/2012 13,314 13,294 7/31/2012 13,259 13,459 8/31/2012 13,800 13,843 9/30/2012 14,290 14,263 10/31/2012 14,474 14,363 11/30/2012 14,695 14,665 12/31/2012 15,418 15,109 1/31/2013 16,133 15,852 2/28/2013 15,650 15,694 3/31/2013 15,696 15,818 4/30/2013 16,469 16,539 5/31/2013 16,264 16,168 6/30/2013 15,690 15,563 7/31/2013 16,762 16,391 8/31/2013 16,638 16,180 9/30/2013 17,893 17,323 10/31/2013 18,512 17,904 11/30/2013 18,579 18,014 12/31/2013 18,982 18,285 1/31/2014 18,283 17,547 2/28/2014 19,327 18,505 3/31/2014 19,187 18,422 4/30/2014 19,508 18,712 5/31/2014 19,722 19,002 6/30/2014 19,960 19,272 7/31/2014 19,515 18,928 8/31/2014 19,515 18,943 9/30/2014 18,661 18,165 10/31/2014 18,333 17,877 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.97% 5.83% 6.25% rights reserved.
-------------------------------------------------------------------------------- 203 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Large Company Portfolio S&P 500 Index ------------------ ------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,406 10,405 12/31/2004 10,758 10,759 1/31/2005 10,496 10,496 2/28/2005 10,724 10,717 3/31/2005 10,530 10,527 4/30/2005 10,336 10,328 5/31/2005 10,656 10,656 6/30/2005 10,675 10,672 7/31/2005 11,075 11,069 8/31/2005 10,972 10,968 9/30/2005 11,060 11,056 10/31/2005 10,876 10,872 11/30/2005 11,290 11,283 12/31/2005 11,293 11,287 1/31/2006 11,594 11,586 2/28/2006 11,617 11,618 3/31/2006 11,763 11,762 4/30/2006 11,926 11,920 5/31/2006 11,578 11,577 6/30/2006 11,600 11,593 7/31/2006 11,670 11,664 8/31/2006 11,950 11,942 9/30/2006 12,251 12,250 10/31/2006 12,650 12,649 11/30/2006 12,884 12,889 12/31/2006 13,069 13,070 1/31/2007 13,269 13,268 2/28/2007 13,010 13,008 3/31/2007 13,147 13,154 4/30/2007 13,738 13,737 5/31/2007 14,211 14,216 6/30/2007 13,982 13,980 7/31/2007 13,542 13,546 8/31/2007 13,744 13,749 9/30/2007 14,259 14,264 10/31/2007 14,486 14,490 11/30/2007 13,877 13,885 12/31/2007 13,790 13,788 1/31/2008 12,961 12,961 2/29/2008 12,541 12,540 3/31/2008 12,494 12,486 4/30/2008 13,096 13,094 5/31/2008 13,265 13,264 6/30/2008 12,152 12,146 7/31/2008 12,056 12,044 8/31/2008 12,225 12,218 9/30/2008 11,149 11,129 10/31/2008 9,284 9,260 11/30/2008 8,626 8,596 12/31/2008 8,721 8,687 1/31/2009 7,994 7,955 2/28/2009 7,144 7,108 3/31/2009 7,771 7,730 4/30/2009 8,515 8,470 5/31/2009 8,998 8,944 6/30/2009 9,009 8,962 7/31/2009 9,695 9,640 8/31/2009 10,043 9,988 9/30/2009 10,420 10,360 10/31/2009 10,219 10,168 11/30/2009 10,833 10,778 12/31/2009 11,042 10,986 1/31/2010 10,652 10,591 2/28/2010 10,979 10,919 3/31/2010 11,644 11,578 4/30/2010 11,821 11,760 5/31/2010 10,873 10,821 6/30/2010 10,305 10,255 7/31/2010 11,027 10,973 8/31/2010 10,533 10,478 9/30/2010 11,469 11,413 10/31/2010 11,903 11,847 11/30/2010 11,903 11,849 12/31/2010 12,698 12,641 1/31/2011 13,006 12,940 2/28/2011 13,442 13,384 3/31/2011 13,458 13,389 4/30/2011 13,844 13,786 5/31/2011 13,689 13,629 6/30/2011 13,457 13,402 7/31/2011 13,186 13,130 8/31/2011 12,475 12,417 9/30/2011 11,592 11,544 10/31/2011 12,865 12,805 11/30/2011 12,826 12,777 12/31/2011 12,965 12,908 1/31/2012 13,541 13,486 2/29/2012 14,118 14,069 3/31/2012 14,590 14,532 4/30/2012 14,499 14,441 5/31/2012 13,619 13,573 6/30/2012 14,182 14,132 7/31/2012 14,380 14,329 8/31/2012 14,697 14,652 9/30/2012 15,076 15,030 10/31/2012 14,797 14,753 11/30/2012 14,890 14,838 12/31/2012 15,016 14,973 1/31/2013 15,793 15,749 2/28/2013 16,007 15,963 3/31/2013 16,608 16,561 4/30/2013 16,930 16,881 5/31/2013 17,320 17,275 6/30/2013 17,094 17,043 7/31/2013 17,957 17,911 8/31/2013 17,431 17,392 9/30/2013 17,980 17,937 10/31/2013 18,807 18,762 11/30/2013 19,377 19,334 12/31/2013 19,871 19,823 1/31/2014 19,175 19,138 2/28/2014 20,062 20,013 3/31/2014 20,225 20,181 4/30/2014 20,376 20,331 5/31/2014 20,842 20,808 6/30/2014 21,271 21,238 7/31/2014 20,982 20,945 8/31/2014 21,821 21,783 9/30/2014 21,511 21,477 10/31/2014 22,036 22,002 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------- The S&P data are provided by 17.17% 16.61% 8.22% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- 204 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-US developed markets was generally negative for the period. Only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-US securities in developed markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets. 205
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars ------------------------------------------ ------------ ---------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, 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 is designed 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, 2014, the Master Fund held approximately 550 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, 2014, total returns were -1.21% for the Portfolio's Class R2 shares, -0.97% for the Portfolio's Institutional Class shares, and -0.15% for the MSCI World ex USA Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in international equity markets rather than the behavior of a limited number of stocks. The Master Fund had significantly greater exposure than the Index to value stocks. Value stocks, particularly those in Canada, generally underperformed the Index, which detracted from the Portfolio's relative performance. U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index/SM/......... 20.69%
206 Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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, 2014, the total return was 17.17% for the Portfolio and 17.27% 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. 207 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- DFA International Value Portfolio** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $ 938.70 0.68% $3.32 Institutional Class Shares......... $1,000.00 $ 939.80 0.43% $2.10 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.78 0.68% $3.47 Institutional Class Shares......... $1,000.00 $1,023.04 0.43% $2.19
208 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Company Portfolio ---------------------------- Actual Fund Return............ $1,000.00 $1,081.50 0.08% $0.42 Hypothetical 5% Annual Return. $1,000.00 $1,024.80 0.08% $0.41
---------- * 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). 209 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 29, 2014. 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....................... 11.7% Consumer Staples............................. 9.6% Energy....................................... 9.2% Financials................................... 14.1% Health Care.................................. 14.3% Industrials.................................. 10.4% Information Technology....................... 19.5% Materials.................................... 3.3% Real Estate Investment Trusts................ 2.3% Telecommunication Services................... 2.4% Utilities.................................... 3.2% ----- 100.0%
210 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company.................................. $6,992,010,787 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $6,241,548,980)........................................ $6,992,010,787 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 211 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (94.3%) Consumer Discretionary -- (11.0%) * Amazon.com, Inc................... 119,627 $ 36,541,263 0.6% Comcast Corp. Class A............. 817,188 45,231,356 0.8% Home Depot, Inc. (The)............ 424,972 41,443,269 0.7% McDonald's Corp................... 310,042 29,060,237 0.5% Walt Disney Co. (The)............. 498,635 45,565,266 0.8% Other Securities.................. 462,380,792 8.2% ------------ ----- Total Consumer Discretionary.......... 660,222,183 11.6% ------------ ----- Consumer Staples -- (9.1%) Altria Group, Inc................. 626,269 30,273,843 0.5% Coca-Cola Co. (The)............... 1,246,361 52,197,599 0.9% CVS Health Corp................... 365,676 31,378,658 0.5% PepsiCo, Inc...................... 475,765 45,754,320 0.8% Philip Morris International, Inc.. 493,239 43,903,203 0.8% Procter & Gamble Co. (The)........ 854,935 74,610,177 1.3% Wal-Mart Stores, Inc.............. 498,575 38,026,315 0.7% Other Securities.................. 229,904,226 4.1% ------------ ----- Total Consumer Staples................ 546,048,341 9.6% ------------ ----- Energy -- (8.7%) Chevron Corp...................... 599,583 71,919,981 1.3% ConocoPhillips.................... 388,233 28,011,011 0.5% Exxon Mobil Corp.................. 1,346,567 130,226,495 2.3% Schlumberger, Ltd................. 409,347 40,386,175 0.7% Other Securities.................. 249,849,733 4.4% ------------ ----- Total Energy.......................... 520,393,395 9.2% ------------ ----- Financials -- (13.3%) American Express Co............... 284,188 25,562,711 0.5% Bank of America Corp.............. 3,320,301 56,976,365 1.0% * Berkshire Hathaway, Inc. Class B.. 575,615 80,678,198 1.4% Citigroup, Inc.................... 957,275 51,242,931 0.9% JPMorgan Chase & Co............... 1,187,616 71,827,016 1.3% Wells Fargo & Co.................. 1,499,982 79,634,044 1.4% Other Securities.................. 433,133,681 7.6% ------------ ----- Total Financials...................... 799,054,946 14.1% ------------ ----- Health Care -- (13.5%) AbbVie, Inc....................... 502,575 31,893,410 0.6% Amgen, Inc........................ 239,844 38,897,900 0.7% Bristol-Myers Squibb Co........... 523,480 30,461,301 0.5% * Celgene Corp...................... 252,443 27,034,121 0.5% * Gilead Sciences, Inc.............. 477,306 53,458,272 0.9% Johnson & Johnson................. 890,499 95,977,982 1.7% Merck & Co., Inc.................. 910,816 52,772,679 0.9% Pfizer, Inc....................... 2,002,113 59,963,284 1.1% UnitedHealth Group, Inc........... 306,788 29,147,928 0.5% Other Securities.................. 389,334,935 6.9% ------------ ----- Total Health Care..................... 808,941,812 14.3% ------------ ----- Industrials -- (9.8%) 3M Co............................. 204,595 31,460,573 0.5% Boeing Co. (The).................. 211,605 26,431,581 0.5%
212 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 3,168,182 $ 81,770,777 1.4% Union Pacific Corp................................. 283,361 32,997,388 0.6% United Technologies Corp........................... 268,630 28,743,410 0.5% Other Securities................................... 387,881,602 6.9% -------------- ------ Total Industrials........................................ 589,285,331 10.4% -------------- ------ Information Technology -- (18.4%) Apple, Inc......................................... 1,890,655 204,190,740 3.6% Cisco Systems, Inc................................. 1,610,062 39,398,217 0.7% * Facebook, Inc. Class A............................. 657,792 49,327,822 0.9% * Google, Inc. Class A............................... 89,703 50,939,643 0.9% * Google, Inc. Class C............................... 89,695 50,146,681 0.9% Intel Corp......................................... 1,563,267 53,166,711 0.9% International Business Machines Corp............... 292,938 48,159,007 0.8% MasterCard, Inc. Class A........................... 310,783 26,028,076 0.5% Microsoft Corp..................................... 2,601,713 122,150,425 2.1% Oracle Corp........................................ 1,026,833 40,097,829 0.7% QUALCOMM, Inc...................................... 529,201 41,547,571 0.7% Visa, Inc. Class A................................. 155,436 37,526,913 0.7% Other Securities................................... 344,214,576 6.1% -------------- ------ Total Information Technology............................. 1,106,894,211 19.5% -------------- ------ Materials -- (3.1%) Other Securities................................... 185,987,511 3.3% -------------- ------ Real Estate Investment Trusts -- (2.2%) Other Securities................................... 130,277,329 2.3% -------------- ------ Telecommunication Services -- (2.2%) AT&T, Inc.......................................... 1,637,467 57,049,350 1.0% Verizon Communications, Inc........................ 1,308,847 65,769,562 1.2% Other Securities................................... 11,531,497 0.2% -------------- ------ Total Telecommunication Services......................... 134,350,409 2.4% -------------- ------ Utilities -- (3.0%) Other Securities................................... 178,957,404 3.2% -------------- ------ TOTAL COMMON STOCKS...................................... 5,660,412,872 99.9% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional Liquid Reserves, 0.077%. 54,720,884 54,720,884 1.0% -------------- ------ SECURITIES LENDING COLLATERAL -- (4.8%) (S)@ DFA Short Term Investment Fund..................... 24,630,465 284,974,480 5.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,041,361,577)................................ $6,000,108,236 105.9% ============== ======
213 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 660,222,183 -- -- $ 660,222,183 Consumer Staples.............. 546,048,341 -- -- 546,048,341 Energy........................ 520,393,395 -- -- 520,393,395 Financials.................... 799,054,946 -- -- 799,054,946 Health Care................... 808,941,812 -- -- 808,941,812 Industrials................... 589,285,331 -- -- 589,285,331 Information Technology........ 1,106,894,211 -- -- 1,106,894,211 Materials..................... 185,987,511 -- -- 185,987,511 Real Estate Investment Trusts. 130,277,329 -- -- 130,277,329 Telecommunication Services.... 134,350,409 -- -- 134,350,409 Utilities..................... 178,957,404 -- -- 178,957,404 Temporary Cash Investments.... 54,720,884 -- -- 54,720,884 Securities Lending Collateral... -- $284,974,480 -- 284,974,480 Futures Contracts**............. 2,610,591 -- -- 2,610,591 -------------- ------------ -- -------------- TOTAL........................... $5,717,744,347 $284,974,480 -- $6,002,718,827 ============== ============ == ==============
**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. 214 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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................................ $ 6,992,011 -- Investments at Value (including $0 and $300,787 of securities on loan, respectively). -- $ 5,660,413 Temporary Cash Investments at Value & Cost........................................... -- 54,721 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............. -- 284,974 Segregated Cash for Futures Contracts................................................ -- 2,755 Receivables: Investment Securities Sold......................................................... -- 1,007 Dividends, Interest and Tax Reclaims............................................... -- 5,627 Securities Lending Income.......................................................... -- 37 Fund Shares Sold................................................................... 15,682 1,680 Futures Margin Variation........................................................... -- 684 Prepaid Expenses and Other Assets.................................................... 51 54 -------------- ------------ Total Assets.................................................................... 7,007,744 6,011,952 -------------- ------------ LIABILITIES: Payables: Due to Custodian................................................................... -- 51 Upon Return of Securities Loaned................................................... -- 284,974 Fund Shares Redeemed............................................................... 3,786 57,712 Due to Advisor..................................................................... 1,151 351 Accrued Expenses and Other Liabilities............................................... 393 490 -------------- ------------ Total Liabilities............................................................... 5,330 343,578 -------------- ------------ NET ASSETS........................................................................... $ 7,002,414 $ 5,668,374 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $11,200 and $0 and shares outstanding of 605,992 and 0, respectively......................................................... $ 18.48 $ N/A ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $6,991,214 and $5,668,374 and shares outstanding of 378,416,143 and 355,660,908, respectively..................... $ 18.47 $ 15.94 ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost............................... $ 6,241,549 $ -- ============== ============ Investments at Cost.................................................................. $ -- $ 2,701,666 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital...................................................................... $ 6,717,735 $ 2,993,680 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................................................. 22,455 10,292 Accumulated Net Realized Gain (Loss)................................................. (487,555) (296,956) Net Unrealized Foreign Exchange Gain (Loss).......................................... (683) -- Net Unrealized Appreciation (Depreciation)........................................... 750,462 2,961,358 -------------- ------------ NET ASSETS........................................................................... $ 7,002,414 $ 5,668,374 ============== ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 215 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $18,357 and $0, respectively)................. $ 320,822 -- Interest.................................................................................. 1 -- Income from Securities Lending............................................................ 8,005 -- Expenses Allocated from Affiliated Investment Company..................................... (15,209) -- --------- -------- Total Net Investment Income Received from Affiliated Investment Companies.............. 313,619 -- --------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0 and $15, respectively)..................... -- $107,293 Interest.................................................................................. -- 21 Income from Securities Lending............................................................ -- 302 --------- -------- Total Investment Income................................................................ -- 107,616 --------- -------- Expenses Investment Advisory Services Fees......................................................... -- 1,326 Administrative Services Fees.............................................................. 13,943 1,857 Accounting & Transfer Agent Fees.......................................................... 68 302 S&P 500(R) Fees........................................................................... -- 104 Shareholder Servicing Fees -- Class R2 Shares............................................. 23 -- Custodian Fees............................................................................ -- 67 Filing Fees............................................................................... 215 89 Shareholders' Reports..................................................................... 195 79 Directors'/Trustees' Fees & Expenses...................................................... 49 38 Professional Fees......................................................................... 52 258 Other..................................................................................... 40 44 --------- -------- Total Expenses......................................................................... 14,585 4,164 --------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................................................................. -- 80 --------- -------- Net Expenses.............................................................................. 14,585 4,244 --------- -------- Net Investment Income (Loss).............................................................. 299,034 103,372 --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**............................................................ 130,787 90,274 Futures................................................................................. -- 12,101 Foreign Currency Transactions........................................................... (1,306) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................................. (506,381) 634,795 Futures................................................................................. (25) 345 Translation of Foreign Currency Denominated Amounts..................................... (1,031) -- --------- -------- Net Realized and Unrealized Gain (Loss)................................................... (377,956) 737,515 --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. $ (78,922) $840,887 ========= ========
---------- * 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 and $0, respectively. See accompanying Notes to Financial Statements. 216 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, 2014 2013 2014 2013 ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................. $ 299,034 $ 177,660 $ 103,372 $ 95,270 Capital Gain Distributions Received from Investment Securities................................................... -- -- -- 409 Net Realized Gain (Loss) on: Investment Securities Sold*................................. 130,787 296,792 90,274 180,412 Futures..................................................... -- (1,213) 12,101 8,021 Foreign Currency Transactions............................... (1,306) (1,636) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. (506,381) 993,902 634,795 780,086 Futures..................................................... (25) 27 345 2,321 Translation of Foreign Currency Denominated Amounts......... (1,031) 396 -- -- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ (78,922) 1,465,928 840,887 1,066,519 ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................................. (347) (218) -- -- Institutional Class Shares.................................. (295,058) (189,040) (102,736) (94,840) ----------- ----------- ---------- ---------- Total Distributions........................................ (295,405) (189,258) (102,736) (94,840) ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................................. 1,652,421 1,466,636 787,937 774,924 Shares Issued in Lieu of Cash Distributions................... 286,790 178,512 89,598 82,335 Shares Redeemed............................................... (1,090,342) (1,881,241) (864,648) (948,938) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.... 848,869 (236,093) 12,887 (91,679) ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets.................... 474,542 1,040,577 751,038 880,000 Net Assets Beginning of Year............................................. 6,527,872 5,487,295 4,917,336 4,037,336 ----------- ----------- ---------- ---------- End of Year................................................... $ 7,002,414 $ 6,527,872 $5,668,374 $4,917,336 =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................................. 84,840 83,922 52,855 62,326 Shares Issued in Lieu of Cash Distributions................... 14,488 10,436 6,016 6,727 Shares Redeemed............................................... (55,963) (107,838) (57,748) (76,529) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................................................. 43,365 (13,480) 1,123 (7,476) =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 22,455 $ 14,422 $ 10,292 $ 12,679
---------- * Net of foreign capital gain taxes withheld of $0, $2, $0 and $0, respectively. See accompanying Notes to Financial Statements. 217 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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 19.46 $15.72 $15.83 $17.82 $17.13 ------- ------ ------ ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.74 0.49 0.51 0.53 0.37 Net Gains (Losses) on Securities (Realized and Unrealized). (0.93) 3.77 (0.13) (2.00) 1.29 ------- ------ ------ ------ ------ Total from Investment Operations.......................... (0.19) 4.26 0.38 (1.47) 1.66 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.79) (0.52) (0.49) (0.52) (0.97) ------- ------ ------ ------ ------ Total Distributions....................................... (0.79) (0.52) (0.49) (0.52) (0.97) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 18.48 $19.46 $15.72 $15.83 $17.82 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. (1.21)% 27.61% 2.70% (8.53)% 10.60% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $11,200 $5,517 $6,407 $6,102 $4,952 Ratio of Expenses to Average Net Assets (B).................. 0.68% 0.69% 0.71% 0.71% 0.72% Ratio of Net Investment Income to Average Net Assets......... 3.79% 2.84% 3.33% 2.97% 2.11% -----------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.84 0.52 0.54 0.58 0.39 Net Gains (Losses) on Securities (Realized and Unrealized). (0.98) 3.78 (0.12) (1.99) 1.34 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... (0.14) 4.30 0.42 (1.41) 1.73 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.84) (0.57) (0.53) (0.57) (0.38) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.84) (0.57) (0.53) (0.57) (0.38) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 18.47 $ 19.45 $ 15.72 $ 15.83 $ 17.81 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. (0.97)% 27.90% 2.98% (8.26)% 10.94% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $6,991,214 $6,522,355 $5,480,888 $5,287,323 $5,157,857 Ratio of Expenses to Average Net Assets (B).................. 0.43% 0.43% 0.45% 0.45% 0.45% Ratio of Net Investment Income to Average Net Assets......... 4.29% 3.00% 3.54% 3.26% 2.34% ---------------------------------------------------------------------------------------------------------------------------
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. 218 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 13.87 $ 11.15 $ 9.90 $ 9.34 $ 8.16 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.29 0.27 0.22 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). 2.07 2.71 1.25 0.56 1.15 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 2.36 2.98 1.47 0.75 1.33 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.29) (0.26) (0.22) (0.19) (0.15) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.29) (0.26) (0.22) (0.19) (0.15) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 15.94 $ 13.87 $ 11.15 $ 9.90 $ 9.34 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 17.17% 27.10% 15.02% 8.09% 16.47% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $5,668,374 $4,917,336 $4,037,336 $3,762,013 $3,712,973 Ratio of Expenses to Average Net Assets..................... 0.08% 0.09% 0.10% 0.10% 0.10%** Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)................................. 0.08% 0.10% 0.10% 0.10% 0.11%** Ratio of Net Investment Income to Average Net Assets........ 1.95% 2.13% 2.10% 1.95% 1.99% Portfolio Turnover Rate..................................... 3% 3% 4% 4% 1%* --------------------------------------------------------------------------------------------------------------------------
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. 219 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, 2014, the Feeder Fund owned 75% 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
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 220 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 ask prices which approximates 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 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, 2014, there were no significant transfers between Level 1 and Level 2 and no significant 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. 221 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, 2014, 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, 2014, 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*..... 0.035%
For the year ended October 31, 2014, 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 rate of average daily net assets: U.S. Large Company Portfolio*. 0.025%
* Prior to February 28, 2014, the Portfolio was provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for the Portfolio was combined into an investment management agreement that provides for an investment management fee, equal to the Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the U.S. Large Company Portfolio. The Investment Management Agreement became effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement are the same as under the Previous Agreements. As of February 28, 2014, the Portfolio pays the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by the Portfolio to the Advisor under the Previous Agreements. 222 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 will remain in effect through February 28, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2014, 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 ----------------- ------------- ----------------- Institutional Class Shares U.S. Large Company Portfolio (1)...... 0.08% $552 $397 Class R2 Shares DFA International Value Portfolio (2). 0.79% -- --
(1) Effective August 1, 2013, the Advisor has contractually agreed to waive all or a portion of its management fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies 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. (2) 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 of the Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above as a percentage of average net assets (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 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 annualized expenses of the Class R2 shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2014, the total related amounts paid by 223 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, 2014, 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. $207 U.S. Large Company Portfolio...... 260
E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $245,329 $139,778
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, 2014, 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) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- DFA International Value Portfolio. -- $ 4,404 $(4,404) U.S. Large Company Portfolio...... $3,023 (3,023) --
The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- DFA International Value Portfolio 2013.............................. $189,258 -- $189,258 2014.............................. 295,405 -- 295,405 U.S. Large Company Portfolio 2013.............................. 94,840 -- 94,840 2014.............................. 102,736 -- 102,736
224 At October 31, 2014, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ U.S. Large Company Portfolio. $3,023 -- $3,023
At October 31, 2014, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Unrealized Earnings Short-Term Long-Term Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- DFA International Value Portfolio. $31,792 -- $(485,409) $ 738,630 $ 285,013 U.S. Large Company Portfolio...... 10,550 -- (109,001) 2,773,405 2,674,954
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, 2014, 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. $485,409 -- -- $485,409 U.S. Large Company Portfolio...... -- $65,329 $43,672 109,001
During the year ended October 31, 2014, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Value Portfolio. $126,405 U.S. Large Company Portfolio...... 76,220
At October 31, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA International Value Portfolio. $6,252,699 $ 739,995 $ (683) $ 739,312 U.S. Large Company Portfolio...... 3,226,704 2,837,721 (64,317) 2,773,404
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 Portfolios' tax positions and has concluded that no additional provision for income tax is required in the Portfolios' 225 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, 2014 Oct. 31, 2013 -------------------- --------------------- Amount Shares Amount Shares ----------- ------- ----------- -------- DFA International Value Portfolio Class R2 Shares Shares Issued........................................ $ 11,741 598 $ 1,969 112 Shares Issued in Lieu of Cash Distributions.......... 347 17 218 13 Shares Redeemed...................................... (5,810) (293) (4,454) (249) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 6,278 322 $ (2,267) (124) =========== ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,640,680 84,242 $ 1,464,667 83,810 Shares Issued in Lieu of Cash Distributions.......... 286,443 14,471 178,294 10,423 Shares Redeemed...................................... (1,084,532) (55,670) (1,876,787) (107,589) ----------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 842,591 43,043 $ (233,826) (13,356) =========== ======= =========== ========
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, for the year ended October 31, 2010 has 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: Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 1. 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 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 226 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, 2014, the U.S. Large Company Portfolio had outstanding futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ---------- U.S. Large Company Portfolio........ S&P 500(R) Emini Index 12/19/14 611 $61,448 $2,611 $2,755
* During the year ended October 31, 2014, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $51,511 (in thousands). The following is a summary of the location of derivatives on the U.S. Large Company Portfolio's Statement of Assets and Liabilities as of October 31, 2014:
Location on the Statements of Assets and Liabilities ------------------------------------------------------ Derivative Type Asset Derivatives Liability Derivatives --------------- ----------------------------- ------------------------ Equity contracts Receivables: Futures Margin Variation
The following is a summary of the U.S. Large Company Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2014 (amounts in thousands): Asset Derivatives Value ----------------------------------------- Total Value at October 31, 2014 Equity Contracts ---------------- ------------------------ U.S. Large Company $2,611 $2,611* Portfolio * Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on the U.S. Large Company Portfolio's Statement of Operations for the Portfolio's derivative instrument holdings for the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------- Equity Total Contracts ------- --------- U.S. Large Company Portfolio. $12,101 $12,101
227
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Equity Total Contracts ----- --------- U.S. Large Company Portfolio. $345 $345
I. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. There were no borrowings by the Portfolios under the lines of credit during the year ended October 31, 2014. J. Securities Lending: As of October 31, 2014, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. In addition, U.S. Large Company Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $18,397 (in thousands). 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. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to 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 228 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. Other: At October 31, 2014, 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............ 2 92% DFA International Value Portfolio-Institutional Class Shares. 3 67% U.S. Large Company Portfolio................................. 4 78%
N. Subsequent Event Evaluations: 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. 229 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of Dimensional Investment Group Inc. and Shareholders of the Portfolios, as defined: 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, 2014, 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, 2014 by correspondence with the custodian, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 19, 2014 230 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000 VALUE INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Large Cap Value Russell 1000 Value Series Index -------------------- ------------------ 10/31/2004 $10,000 $10,000 11/30/2004 10,655 10,506 12/31/2004 11,082 10,858 1/31/2005 10,805 10,665 2/28/2005 11,134 11,018 3/31/2005 11,104 10,867 4/30/2005 10,728 10,672 5/31/2005 11,185 10,929 6/30/2005 11,415 11,049 7/31/2005 11,984 11,368 8/31/2005 11,886 11,319 9/30/2005 12,069 11,478 10/31/2005 11,748 11,186 11/30/2005 12,218 11,552 12/31/2005 12,234 11,621 1/31/2006 12,817 12,072 2/28/2006 12,775 12,146 3/31/2006 13,002 12,311 4/30/2006 13,367 12,624 5/31/2006 13,123 12,305 6/30/2006 13,235 12,383 7/31/2006 13,046 12,684 8/31/2006 13,260 12,897 9/30/2006 13,627 13,154 10/31/2006 14,167 13,584 11/30/2006 14,436 13,894 12/31/2006 14,726 14,206 1/31/2007 15,156 14,388 2/28/2007 14,928 14,164 3/31/2007 15,032 14,383 4/30/2007 15,671 14,914 5/31/2007 16,317 15,452 6/30/2007 16,055 15,091 7/31/2007 15,060 14,393 8/31/2007 14,772 14,554 9/30/2007 15,157 15,054 10/31/2007 15,242 15,056 11/30/2007 14,391 14,320 12/31/2007 14,343 14,182 1/31/2008 13,795 13,614 2/29/2008 13,372 13,043 3/31/2008 13,247 12,945 4/30/2008 14,082 13,577 5/31/2008 14,420 13,555 6/30/2008 12,839 12,257 7/31/2008 12,700 12,213 8/31/2008 12,946 12,421 9/30/2008 11,783 11,508 10/31/2008 9,134 9,516 11/30/2008 8,238 8,834 12/31/2008 8,506 8,956 1/31/2009 7,496 7,926 2/28/2009 6,446 6,867 3/31/2009 7,083 7,455 4/30/2009 8,228 8,254 5/31/2009 8,858 8,764 6/30/2009 8,750 8,699 7/31/2009 9,584 9,411 8/31/2009 10,234 9,904 9/30/2009 10,682 10,286 10/31/2009 10,221 9,971 11/30/2009 10,797 10,533 12/31/2009 11,095 10,720 1/31/2010 10,838 10,418 2/28/2010 11,305 10,747 3/31/2010 12,186 11,447 4/30/2010 12,573 11,743 5/31/2010 11,495 10,778 6/30/2010 10,627 10,171 7/31/2010 11,461 10,860 8/31/2010 10,770 10,395 9/30/2010 11,820 11,201 10/31/2010 12,261 11,538 11/30/2010 12,166 11,476 12/31/2010 13,352 12,382 1/31/2011 13,779 12,662 2/28/2011 14,525 13,129 3/31/2011 14,592 13,181 4/30/2011 14,965 13,532 5/31/2011 14,748 13,389 6/30/2011 14,491 13,115 7/31/2011 13,827 12,680 8/31/2011 12,661 11,888 9/30/2011 11,380 10,990 10/31/2011 12,959 12,248 11/30/2011 12,851 12,185 12/31/2011 12,952 12,430 1/31/2012 13,596 12,901 2/29/2012 14,382 13,415 3/31/2012 14,647 13,813 4/30/2012 14,348 13,672 5/31/2012 13,332 12,870 6/30/2012 14,050 13,509 7/31/2012 14,186 13,649 8/31/2012 14,748 13,945 9/30/2012 15,291 14,388 10/31/2012 15,331 14,317 11/30/2012 15,365 14,311 12/31/2012 15,833 14,607 1/31/2013 16,937 15,556 2/28/2013 17,154 15,779 3/31/2013 17,974 16,405 4/30/2013 18,164 16,653 5/31/2013 18,910 17,080 6/30/2013 18,700 16,929 7/31/2013 19,818 17,844 8/31/2013 19,235 17,167 9/30/2013 19,798 17,597 10/31/2013 20,801 18,367 11/30/2013 21,675 18,880 12/31/2013 22,251 19,358 1/31/2014 21,370 18,670 2/28/2014 22,095 19,478 3/31/2014 22,617 19,943 4/30/2014 22,766 20,132 5/31/2014 23,268 20,427 6/30/2014 23,898 20,961 7/31/2014 23,729 20,603 8/31/2014 24,481 21,361 9/30/2014 23,878 20,920 Past performance is not predictive of 10/31/2014 24,061 21,390 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 Russell data copyright (C) Russell ---------------------------------------------------- Investment Group 1995-2014, all rights 15.67% 18.68% 9.18% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] DFA International MSCI World ex Value Series USA Index (net div.) ----------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,743 10,665 12/31/2004 11,278 11,116 1/31/2005 11,166 10,897 2/28/2005 11,608 11,382 3/31/2005 11,322 11,123 4/30/2005 10,978 10,840 5/31/2005 10,992 10,859 6/30/2005 11,168 11,037 7/31/2005 11,666 11,393 8/31/2005 12,050 11,708 9/30/2005 12,389 12,242 10/31/2005 12,203 11,847 11/30/2005 12,420 12,160 12/31/2005 13,029 12,724 1/31/2006 13,919 13,529 2/28/2006 14,052 13,483 3/31/2006 14,645 13,911 4/30/2006 15,387 14,576 5/31/2006 14,764 14,022 6/30/2006 14,671 14,004 7/31/2006 14,897 14,136 8/31/2006 15,409 14,537 9/30/2006 15,622 14,526 10/31/2006 16,316 15,100 11/30/2006 16,858 15,549 12/31/2006 17,516 15,995 1/31/2007 17,846 16,093 2/28/2007 17,830 16,222 3/31/2007 18,407 16,637 4/30/2007 19,336 17,394 5/31/2007 19,997 17,781 6/30/2007 19,851 17,798 7/31/2007 19,299 17,552 8/31/2007 19,083 17,298 9/30/2007 20,079 18,281 10/31/2007 21,053 19,076 11/30/2007 19,778 18,330 12/31/2007 19,352 17,985 1/31/2008 17,784 16,364 2/29/2008 17,558 16,660 3/31/2008 17,768 16,422 4/30/2008 18,562 17,335 5/31/2008 18,570 17,598 6/30/2008 16,734 16,230 7/31/2008 16,260 15,652 8/31/2008 15,581 15,047 9/30/2008 13,761 12,874 10/31/2008 10,310 10,196 11/30/2008 9,678 9,643 12/31/2008 10,410 10,152 1/31/2009 8,973 9,204 2/28/2009 7,871 8,273 3/31/2009 8,729 8,818 4/30/2009 10,337 9,955 5/31/2009 11,874 11,214 6/30/2009 11,693 11,098 7/31/2009 13,084 12,140 8/31/2009 13,834 12,722 9/30/2009 14,539 13,247 10/31/2009 13,961 13,034 11/30/2009 14,377 13,356 12/31/2009 14,539 13,569 1/31/2010 13,699 12,933 2/28/2010 13,753 12,920 3/31/2010 14,837 13,752 4/30/2010 14,584 13,547 5/31/2010 12,877 12,052 6/30/2010 12,651 11,878 7/31/2010 14,232 12,976 8/31/2010 13,536 12,588 9/30/2010 14,991 13,795 10/31/2010 15,515 14,287 11/30/2010 14,738 13,682 12/31/2010 16,112 14,783 1/31/2011 16,798 15,102 2/28/2011 17,359 15,662 3/31/2011 16,880 15,348 4/30/2011 17,783 16,184 5/31/2011 17,142 15,704 6/30/2011 16,907 15,480 7/31/2011 16,365 15,225 8/31/2011 14,612 13,938 9/30/2011 13,012 12,538 10/31/2011 14,268 13,758 11/30/2011 13,798 13,122 12/31/2011 13,428 12,979 1/31/2012 14,331 13,679 2/29/2012 15,081 14,431 3/31/2012 14,955 14,325 4/30/2012 14,422 14,081 5/31/2012 12,642 12,476 6/30/2012 13,536 13,294 7/31/2012 13,482 13,459 8/31/2012 14,042 13,843 9/30/2012 14,539 14,263 10/31/2012 14,720 14,363 11/30/2012 14,955 14,665 12/31/2012 15,687 15,109 1/31/2013 16,428 15,852 2/28/2013 15,931 15,694 3/31/2013 15,985 15,818 4/30/2013 16,771 16,539 5/31/2013 16,572 16,168 6/30/2013 15,985 15,563 7/31/2013 17,078 16,391 8/31/2013 16,961 16,180 9/30/2013 18,235 17,323 10/31/2013 18,868 17,904 11/30/2013 18,940 18,014 12/31/2013 19,356 18,285 1/31/2014 18,651 17,547 2/28/2014 19,717 18,505 3/31/2014 19,572 18,422 4/30/2014 19,907 18,712 5/31/2014 20,133 19,002 6/30/2014 20,377 19,272 7/31/2014 19,925 18,928 8/31/2014 19,934 18,943 Past performance is not predictive of 9/30/2014 19,057 18,165 future performance. 10/31/2014 18,732 17,877 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.72% 6.06% 6.48% rights reserved.
-------------------------------------------------------------------------------- 231 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Japanese Small Company MSCI Japan Small Cap Index Series (net div.) ---------------------- -------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,307 10,435 12/31/2004 10,810 10,940 1/31/2005 11,257 11,312 2/28/2005 11,676 11,529 3/31/2005 11,746 11,502 4/30/2005 11,425 11,408 5/31/2005 11,229 11,198 6/30/2005 11,439 11,350 7/31/2005 11,676 11,671 8/31/2005 12,332 12,072 9/30/2005 12,835 12,826 10/31/2005 13,240 13,082 11/30/2005 13,506 13,642 12/31/2005 15,028 15,486 1/31/2006 15,670 15,980 2/28/2006 14,735 14,939 3/31/2006 15,391 15,610 4/30/2006 15,698 15,687 5/31/2006 14,595 14,429 6/30/2006 14,036 13,977 7/31/2006 13,366 13,053 8/31/2006 13,589 13,400 9/30/2006 13,380 13,107 10/31/2006 13,282 13,023 11/30/2006 13,198 12,913 12/31/2006 13,310 12,988 1/31/2007 13,589 13,241 2/28/2007 14,134 13,763 3/31/2007 14,036 13,636 4/30/2007 13,841 13,403 5/31/2007 13,561 13,083 6/30/2007 13,785 13,169 7/31/2007 13,869 13,166 8/31/2007 13,282 12,364 9/30/2007 13,268 12,289 10/31/2007 13,352 12,733 11/30/2007 13,045 12,198 12/31/2007 12,235 11,468 1/31/2008 11,885 10,905 2/29/2008 11,802 11,024 3/31/2008 12,039 11,028 4/30/2008 12,123 11,165 5/31/2008 12,570 11,509 6/30/2008 11,983 10,802 7/31/2008 11,648 10,449 8/31/2008 11,006 9,987 9/30/2008 10,293 9,012 10/31/2008 9,539 8,061 11/30/2008 9,791 8,390 12/31/2008 10,796 9,043 1/31/2009 10,056 8,569 2/28/2009 8,757 7,443 3/31/2009 9,148 7,705 4/30/2009 9,525 8,099 5/31/2009 10,698 9,091 6/30/2009 11,411 9,669 7/31/2009 11,648 9,911 8/31/2009 12,263 10,467 9/30/2009 12,137 10,425 10/31/2009 11,704 10,044 11/30/2009 11,229 9,685 12/31/2009 11,187 9,504 1/31/2010 11,341 9,709 2/28/2010 11,564 9,893 3/31/2010 12,151 10,343 4/30/2010 12,514 10,623 5/31/2010 11,466 9,886 6/30/2010 11,648 9,930 7/31/2010 11,858 10,051 8/31/2010 11,536 9,838 9/30/2010 12,039 10,240 10/31/2010 11,788 10,156 11/30/2010 12,081 10,354 12/31/2010 13,198 11,398 1/31/2011 13,506 11,534 2/28/2011 14,134 11,998 3/31/2011 13,254 11,258 4/30/2011 13,184 11,268 5/31/2011 12,961 11,100 6/30/2011 13,617 11,514 7/31/2011 14,120 11,992 8/31/2011 13,743 11,502 9/30/2011 13,673 11,512 10/31/2011 12,975 11,088 11/30/2011 13,184 10,787 12/31/2011 13,115 10,955 1/31/2012 13,953 11,405 2/29/2012 13,966 11,529 3/31/2012 14,372 11,837 4/30/2012 14,078 11,666 5/31/2012 12,905 10,697 6/30/2012 13,589 11,153 7/31/2012 13,128 10,979 8/31/2012 13,142 10,916 9/30/2012 13,324 11,218 10/31/2012 13,045 10,975 11/30/2012 13,240 11,051 12/31/2012 13,729 11,395 1/31/2013 14,162 11,821 2/28/2013 14,511 12,222 3/31/2013 15,628 13,209 4/30/2013 16,453 14,078 5/31/2013 15,112 12,963 6/30/2013 15,251 12,927 7/31/2013 15,615 13,138 8/31/2013 15,265 12,960 9/30/2013 16,997 14,436 10/31/2013 17,039 14,377 11/30/2013 16,913 14,282 12/31/2013 17,039 14,396 1/31/2014 16,872 14,355 2/28/2014 16,802 14,036 3/31/2014 16,885 14,072 4/30/2014 16,634 13,811 5/31/2014 17,067 14,263 6/30/2014 18,282 15,273 7/31/2014 18,170 15,355 8/31/2014 18,338 15,246 9/30/2014 17,779 14,736 Past performance is not predictive of 10/31/2014 17,458 14,342 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 2.46% 8.33% 5.73% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE ASIA PACIFIC SMALL COMPANY SERIES VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Asia Pacific MSCI Pacific ex Japan Small Company Series Small Cap Index (net div.) -------------------- -------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,729 10,770 12/31/2004 10,977 11,225 1/31/2005 11,224 11,323 2/28/2005 11,550 11,683 3/31/2005 11,161 11,351 4/30/2005 10,786 11,167 5/31/2005 10,545 11,310 6/30/2005 11,019 11,928 7/31/2005 11,394 12,425 8/31/2005 11,691 12,415 9/30/2005 12,123 13,041 10/31/2005 11,444 12,275 11/30/2005 11,727 12,741 12/31/2005 11,911 12,991 1/31/2006 12,718 13,734 2/28/2006 12,902 13,872 3/31/2006 13,560 14,460 4/30/2006 14,338 15,392 5/31/2006 13,524 14,606 6/30/2006 13,439 14,428 7/31/2006 13,701 14,576 8/31/2006 14,041 15,052 9/30/2006 14,190 15,301 10/31/2006 15,357 16,368 11/30/2006 16,214 17,362 12/31/2006 16,681 18,010 1/31/2007 17,113 18,468 2/28/2007 17,573 18,820 3/31/2007 18,493 19,791 4/30/2007 19,788 21,163 5/31/2007 21,486 21,994 6/30/2007 22,371 22,566 7/31/2007 22,725 22,560 8/31/2007 21,033 21,108 9/30/2007 23,496 22,981 10/31/2007 25,556 24,552 11/30/2007 23,871 22,580 12/31/2007 23,468 22,269 1/31/2008 21,111 19,285 2/29/2008 21,762 20,431 3/31/2008 20,708 19,142 4/30/2008 22,159 20,423 5/31/2008 23,128 20,643 6/30/2008 20,856 18,333 7/31/2008 19,632 17,490 8/31/2008 18,259 16,070 9/30/2008 15,124 12,933 10/31/2008 10,099 8,365 11/30/2008 9,130 7,452 12/31/2008 10,127 8,318 1/31/2009 8,882 7,402 2/28/2009 8,393 6,942 3/31/2009 9,696 7,937 4/30/2009 11,146 9,358 5/31/2009 14,027 11,602 6/30/2009 14,140 11,928 7/31/2009 16,185 13,651 8/31/2009 16,921 14,352 9/30/2009 18,245 15,554 10/31/2009 18,655 15,927 11/30/2009 19,526 16,385 12/31/2009 20,042 17,040 1/31/2010 18,960 15,950 2/28/2010 19,299 16,150 3/31/2010 20,892 17,481 4/30/2010 21,182 17,970 5/31/2010 18,252 15,257 6/30/2010 18,033 15,170 7/31/2010 20,035 16,713 8/31/2010 20,014 16,676 9/30/2010 23,050 19,180 10/31/2010 24,048 20,031 11/30/2010 23,730 19,764 12/31/2010 26,058 21,758 1/31/2011 25,506 21,126 2/28/2011 25,669 21,241 3/31/2011 26,214 21,893 4/30/2011 27,332 22,779 5/31/2011 26,525 22,257 6/30/2011 25,633 21,466 7/31/2011 26,058 21,783 8/31/2011 24,246 20,268 9/30/2011 19,724 16,583 10/31/2011 22,810 19,299 11/30/2011 22,201 17,983 12/31/2011 20,906 17,407 1/31/2012 23,071 19,214 2/29/2012 24,812 20,708 3/31/2012 24,459 20,060 4/30/2012 24,360 20,168 5/31/2012 21,323 17,550 6/30/2012 21,776 17,796 7/31/2012 22,102 18,381 8/31/2012 22,845 18,675 9/30/2012 23,977 19,668 10/31/2012 24,515 20,074 11/30/2012 24,869 20,272 12/31/2012 26,037 20,781 1/31/2013 27,346 21,882 2/28/2013 27,466 22,142 3/31/2013 27,587 22,197 4/30/2013 27,134 22,021 5/31/2013 25,124 20,400 6/30/2013 23,347 18,656 7/31/2013 24,501 19,402 8/31/2013 24,699 19,570 9/30/2013 26,433 21,075 10/31/2013 27,190 21,445 11/30/2013 26,249 20,539 12/31/2013 26,575 20,636 1/31/2014 25,322 19,680 2/28/2014 26,787 20,739 3/31/2014 27,183 21,122 4/30/2014 27,254 21,260 5/31/2014 27,282 21,434 6/30/2014 27,495 21,550 7/31/2014 28,075 22,019 Past performance is not predictive of 8/31/2014 28,514 22,189 future performance. 9/30/2014 25,888 20,150 The returns shown do not reflect the 10/31/2014 26,263 20,388 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------------- MSCI data copyright MSCI 2014, all -3.46% 7.08% 10.14% rights reserved.
-------------------------------------------------------------------------------- 232 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] United Kingdom MSCI UK Small Cap Small Company Series Index (net div.) -------------------- ------------------ 10/31/2004 $10,000 $10,000 11/30/2004 10,809 10,809 12/31/2004 11,256 11,432 1/31/2005 11,576 11,689 2/28/2005 11,971 11,965 3/31/2005 11,703 11,816 4/30/2005 11,308 11,282 5/31/2005 11,087 11,182 6/30/2005 11,298 11,354 7/31/2005 11,519 11,691 8/31/2005 12,168 12,257 9/30/2005 12,032 12,278 10/31/2005 11,693 11,904 11/30/2005 12,201 12,499 12/31/2005 12,738 13,039 1/31/2006 13,735 14,100 2/28/2006 13,923 14,321 3/31/2006 14,153 14,611 4/30/2006 14,868 15,384 5/31/2006 14,567 15,043 6/30/2006 14,563 14,915 7/31/2006 14,666 14,799 8/31/2006 15,282 15,332 9/30/2006 15,729 15,781 10/31/2006 16,623 16,685 11/30/2006 17,667 17,766 12/31/2006 18,631 18,600 1/31/2007 18,763 18,557 2/28/2007 18,758 18,615 3/31/2007 19,643 19,385 4/30/2007 20,320 20,347 5/31/2007 20,593 20,477 6/30/2007 19,840 19,881 7/31/2007 19,737 19,770 8/31/2007 19,624 19,045 9/30/2007 18,946 17,966 10/31/2007 20,461 19,940 11/30/2007 18,095 17,633 12/31/2007 17,140 16,747 1/31/2008 15,988 15,400 2/29/2008 16,223 15,922 3/31/2008 16,162 15,721 4/30/2008 16,435 16,014 5/31/2008 16,482 16,090 6/30/2008 15,169 14,990 7/31/2008 14,638 14,392 8/31/2008 14,403 14,015 9/30/2008 12,178 11,438 10/31/2008 8,909 8,264 11/30/2008 8,278 7,498 12/31/2008 8,095 7,308 1/31/2009 7,897 7,267 2/28/2009 7,573 7,027 3/31/2009 7,902 7,434 4/30/2009 9,558 9,142 5/31/2009 10,536 10,107 6/30/2009 10,588 10,179 7/31/2009 11,505 11,115 8/31/2009 12,404 12,187 9/30/2009 12,766 12,468 10/31/2009 12,785 12,486 11/30/2009 12,747 12,356 12/31/2009 13,015 12,661 1/31/2010 12,888 12,603 2/28/2010 12,446 12,038 3/31/2010 13,490 13,099 4/30/2010 13,989 13,622 5/31/2010 12,408 11,985 6/30/2010 12,643 12,036 7/31/2010 14,351 13,484 8/31/2010 13,824 13,118 9/30/2010 15,301 14,563 10/31/2010 16,101 15,184 11/30/2010 15,310 14,552 12/31/2010 16,877 16,074 1/31/2011 17,121 16,230 2/28/2011 17,639 16,658 3/31/2011 17,314 16,370 4/30/2011 18,848 17,871 5/31/2011 18,735 17,645 6/30/2011 18,137 17,050 7/31/2011 18,020 17,003 8/31/2011 16,223 15,269 9/30/2011 14,586 13,659 10/31/2011 16,134 15,151 11/30/2011 15,644 14,563 12/31/2011 15,160 14,077 1/31/2012 16,500 15,505 2/29/2012 17,846 16,945 3/31/2012 18,236 17,001 4/30/2012 18,551 17,290 5/31/2012 16,463 15,148 6/30/2012 17,272 15,869 7/31/2012 17,563 16,158 8/31/2012 18,528 17,014 9/30/2012 19,483 17,922 10/31/2012 19,911 18,293 11/30/2012 20,038 18,299 12/31/2012 21,143 19,141 1/31/2013 21,519 19,644 2/28/2013 21,717 19,755 3/31/2013 22,366 20,287 4/30/2013 22,935 20,794 5/31/2013 23,151 21,075 6/30/2013 22,643 20,315 7/31/2013 24,563 22,008 8/31/2013 24,741 22,309 9/30/2013 26,416 23,983 10/31/2013 27,361 24,827 11/30/2013 27,987 25,412 12/31/2013 29,534 26,640 1/31/2014 28,838 26,073 2/28/2014 31,430 28,602 3/31/2014 30,466 27,570 4/30/2014 29,967 26,911 5/31/2014 29,944 26,963 6/30/2014 29,920 26,899 7/31/2014 28,993 26,139 8/31/2014 29,436 26,414 Past performance is not predictive of 9/30/2014 27,756 24,864 future performance. 10/31/2014 27,695 24,705 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------- MSCI data copyright MSCI 2014, all 1.22% 16.72% 10.72% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Continental Small MSCI Europe ex UK Small Company Series Cap Index (net div.) ----------------- ----------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,070 11,110 12/31/2004 11,644 11,665 1/31/2005 11,809 11,796 2/28/2005 12,569 12,623 3/31/2005 12,225 12,300 4/30/2005 11,902 11,938 5/31/2005 11,935 12,108 6/30/2005 12,258 12,496 7/31/2005 13,021 13,353 8/31/2005 13,461 13,732 9/30/2005 13,805 14,201 10/31/2005 13,122 13,221 11/30/2005 13,170 13,390 12/31/2005 13,853 14,166 1/31/2006 15,182 15,746 2/28/2006 15,622 16,191 3/31/2006 16,632 17,237 4/30/2006 17,779 18,458 5/31/2006 16,926 17,510 6/30/2006 16,611 17,111 7/31/2006 16,575 16,923 8/31/2006 17,015 17,322 9/30/2006 17,246 17,503 10/31/2006 18,114 18,439 11/30/2006 19,374 19,729 12/31/2006 20,299 20,660 1/31/2007 21,240 21,321 2/28/2007 21,276 21,413 3/31/2007 22,520 22,551 4/30/2007 23,708 23,916 5/31/2007 24,168 24,333 6/30/2007 23,905 24,101 7/31/2007 23,776 23,924 8/31/2007 22,932 22,841 9/30/2007 23,445 23,296 10/31/2007 24,576 24,690 11/30/2007 22,763 22,923 12/31/2007 22,326 22,459 1/31/2008 20,202 19,754 2/29/2008 21,070 20,950 3/31/2008 21,741 21,376 4/30/2008 22,003 21,741 5/31/2008 22,427 22,079 6/30/2008 20,537 20,039 7/31/2008 19,451 18,901 8/31/2008 18,922 18,385 9/30/2008 15,630 14,578 10/31/2008 11,458 10,477 11/30/2008 10,565 9,608 12/31/2008 11,668 10,496 1/31/2009 10,343 9,553 2/28/2009 9,451 8,712 3/31/2009 10,137 9,386 4/30/2009 11,797 11,340 5/31/2009 13,506 13,032 6/30/2009 13,340 12,865 7/31/2009 14,402 14,020 8/31/2009 15,610 15,459 9/30/2009 16,947 16,941 10/31/2009 16,474 16,479 11/30/2009 16,975 16,817 12/31/2009 16,922 16,893 1/31/2010 16,644 16,668 2/28/2010 16,292 16,193 3/31/2010 17,504 17,507 4/30/2010 17,338 17,396 5/31/2010 14,875 14,705 6/30/2010 14,782 14,485 7/31/2010 16,551 16,221 8/31/2010 15,796 15,450 9/30/2010 17,968 17,834 10/31/2010 19,006 18,978 11/30/2010 17,532 17,540 12/31/2010 19,806 19,996 1/31/2011 20,372 20,448 2/28/2011 20,723 20,795 3/31/2011 21,422 21,497 4/30/2011 22,872 22,998 5/31/2011 22,100 22,121 6/30/2011 21,389 21,407 7/31/2011 20,182 20,107 8/31/2011 18,110 18,007 9/30/2011 15,384 15,302 10/31/2011 16,963 16,978 11/30/2011 15,844 15,652 12/31/2011 15,222 15,120 1/31/2012 16,672 16,619 2/29/2012 17,742 17,895 3/31/2012 17,775 17,750 4/30/2012 17,363 17,454 5/31/2012 14,992 15,060 6/30/2012 15,650 15,802 7/31/2012 15,493 15,746 8/31/2012 16,200 16,433 9/30/2012 17,056 17,317 10/31/2012 17,351 17,616 11/30/2012 17,585 17,885 12/31/2012 18,647 18,850 1/31/2013 20,061 20,385 2/28/2013 19,863 20,323 3/31/2013 19,418 19,800 4/30/2013 20,218 20,569 5/31/2013 20,594 21,036 6/30/2013 19,915 20,100 7/31/2013 21,652 21,928 8/31/2013 21,680 21,887 9/30/2013 23,578 23,759 10/31/2013 24,927 25,189 11/30/2013 25,380 25,637 12/31/2013 26,095 26,302 1/31/2014 25,933 26,085 2/28/2014 28,215 28,365 3/31/2014 28,360 28,388 4/30/2014 28,639 28,507 5/31/2014 28,756 28,828 6/30/2014 28,506 28,546 7/31/2014 26,842 26,863 8/31/2014 26,523 26,647 Past performance is not predictive of 9/30/2014 25,109 25,178 future performance. 10/31/2014 24,366 24,356 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------- MSCI data copyright MSCI 2014, all -2.25% 8.14% 9.31% rights reserved.
-------------------------------------------------------------------------------- 233 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, 2014 [CHART] Canadian Small MSCI Canada Small Company Series Cap Index (net div.) -------------- -------------------- 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 8/31/2013 10,690 11,262 9/30/2013 11,170 11,696 10/31/2013 11,480 11,959 11/30/2013 11,330 11,668 12/31/2013 11,610 11,958 1/31/2014 11,250 11,555 2/28/2014 11,970 12,358 3/31/2014 12,140 12,468 4/30/2014 12,670 12,944 5/31/2014 12,690 12,956 6/30/2014 13,650 14,057 7/31/2014 13,010 13,443 Past performance is not predictive of 8/31/2014 13,460 13,905 future performance. 9/30/2014 11,920 12,434 The returns shown do not reflect the 10/31/2014 11,040 11,601 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------------------- MSCI data copyright MSCI 2014, all -3.83% 7.31% 1.31% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] MSCI Emerging Markets Index Emerging Markets Series (net div.) ----------------------- --------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,874 10,926 12/31/2004 11,583 11,450 1/31/2005 11,677 11,480 2/28/2005 12,546 12,481 3/31/2005 11,689 11,656 4/30/2005 11,412 11,343 5/31/2005 11,754 11,738 6/30/2005 12,109 12,137 7/31/2005 12,888 12,985 8/31/2005 12,971 13,097 9/30/2005 14,005 14,316 10/31/2005 13,308 13,380 11/30/2005 14,271 14,487 12/31/2005 15,097 15,343 1/31/2006 16,545 17,057 2/28/2006 16,497 17,037 3/31/2006 16,722 17,187 4/30/2006 17,726 18,411 5/31/2006 15,682 16,482 6/30/2006 15,665 16,442 7/31/2006 15,954 16,677 8/31/2006 16,456 17,102 9/30/2006 16,686 17,244 10/31/2006 17,685 18,063 11/30/2006 18,819 19,406 12/31/2006 19,581 20,280 1/31/2007 19,870 20,061 2/28/2007 19,569 19,942 3/31/2007 20,461 20,737 4/30/2007 21,772 21,697 5/31/2007 23,231 22,771 6/30/2007 23,615 23,839 7/31/2007 24,188 25,096 8/31/2007 23,774 24,563 9/30/2007 25,871 27,276 10/31/2007 28,712 30,317 11/30/2007 26,840 28,168 12/31/2007 26,745 28,267 1/31/2008 24,418 24,740 2/29/2008 25,198 26,566 3/31/2008 24,418 25,160 4/30/2008 26,167 27,202 5/31/2008 26,320 27,706 6/30/2008 23,621 24,943 7/31/2008 23,314 24,002 8/31/2008 21,931 22,085 9/30/2008 18,884 18,220 10/31/2008 13,910 13,234 11/30/2008 12,652 12,237 12/31/2008 13,644 13,192 1/31/2009 12,599 12,340 2/28/2009 11,784 11,644 3/31/2009 13,485 13,317 4/30/2009 15,487 15,533 5/31/2009 18,128 18,187 6/30/2009 17,974 17,942 7/31/2009 20,035 19,960 8/31/2009 20,106 19,888 9/30/2009 21,884 21,694 10/31/2009 21,429 21,720 11/30/2009 22,711 22,654 12/31/2009 23,532 23,548 1/31/2010 22,250 22,235 2/28/2010 22,522 22,313 3/31/2010 24,412 24,114 4/30/2010 24,560 24,407 5/31/2010 22,280 22,260 6/30/2010 22,315 22,096 7/31/2010 24,282 23,936 8/31/2010 23,721 23,471 9/30/2010 26,421 26,080 10/31/2010 27,224 26,837 11/30/2010 26,615 26,129 12/31/2010 28,783 27,993 1/31/2011 28,039 27,234 2/28/2011 27,844 26,980 3/31/2011 29,398 28,566 4/30/2011 30,425 29,452 5/31/2011 29,587 28,680 6/30/2011 29,238 28,238 7/31/2011 29,014 28,113 8/31/2011 26,669 25,601 9/30/2011 22,634 21,868 10/31/2011 25,470 24,765 11/30/2011 24,589 23,114 12/31/2011 23,875 22,836 1/31/2012 26,432 25,426 2/29/2012 27,868 26,949 3/31/2012 27,147 26,049 4/30/2012 26,663 25,738 5/31/2012 23,792 22,852 6/30/2012 24,973 23,734 7/31/2012 25,174 24,197 8/31/2012 25,346 24,116 9/30/2012 26,763 25,571 10/31/2012 26,627 25,416 11/30/2012 26,976 25,739 12/31/2012 28,559 26,997 1/31/2013 28,706 27,369 2/28/2013 28,376 27,026 3/31/2013 27,974 26,560 4/30/2013 28,293 26,760 5/31/2013 27,377 26,074 6/30/2013 25,659 24,414 7/31/2013 26,037 24,669 8/31/2013 25,428 24,245 9/30/2013 27,242 25,822 10/31/2013 28,488 27,076 11/30/2013 28,063 26,681 12/31/2013 27,779 26,295 1/31/2014 25,854 24,587 2/28/2014 26,793 25,402 3/31/2014 27,738 26,182 4/30/2014 27,903 26,269 5/31/2014 28,854 27,186 6/30/2014 29,657 27,908 7/31/2014 30,012 28,448 8/31/2014 30,951 29,089 Past performance is not predictive of 9/30/2014 28,677 26,933 future performance. 10/31/2014 28,984 27,250 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------------------- MSCI data copyright MSCI 2014, all 1.74% 6.23% 11.23% rights reserved.
-------------------------------------------------------------------------------- 234 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 CHART Emerging Markets MSCI Emerging Markets Small Cap Series Index (net div.) ---------------- ------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,946 10,926 12/31/2004 11,530 11,450 1/31/2005 11,857 11,480 2/28/2005 12,607 12,481 3/31/2005 11,744 11,656 4/30/2005 11,315 11,343 5/31/2005 11,536 11,738 6/30/2005 11,827 12,137 7/31/2005 12,488 12,985 8/31/2005 12,571 13,097 9/30/2005 13,405 14,316 10/31/2005 12,756 13,380 11/30/2005 13,667 14,487 12/31/2005 14,565 15,343 1/31/2006 15,982 17,057 2/28/2006 16,161 17,037 3/31/2006 16,452 17,187 4/30/2006 17,804 18,411 5/31/2006 15,935 16,482 6/30/2006 15,238 16,442 7/31/2006 15,589 16,677 8/31/2006 16,137 17,102 9/30/2006 16,595 17,244 10/31/2006 17,851 18,063 11/30/2006 19,208 19,406 12/31/2006 20,095 20,280 1/31/2007 20,494 20,061 2/28/2007 20,667 19,942 3/31/2007 21,601 20,737 4/30/2007 23,256 21,697 5/31/2007 25,113 22,771 6/30/2007 25,869 23,839 7/31/2007 27,137 25,096 8/31/2007 26,018 24,563 9/30/2007 27,810 27,276 10/31/2007 29,917 30,317 11/30/2007 27,530 28,168 12/31/2007 27,851 28,267 1/31/2008 24,512 24,740 2/29/2008 25,220 26,566 3/31/2008 24,048 25,160 4/30/2008 25,512 27,202 5/31/2008 25,369 27,706 6/30/2008 22,446 24,943 7/31/2008 22,107 24,002 8/31/2008 20,774 22,085 9/30/2008 17,036 18,220 10/31/2008 11,875 13,234 11/30/2008 11,155 12,237 12/31/2008 12,738 13,192 1/31/2009 11,768 12,340 2/28/2009 11,048 11,644 3/31/2009 12,571 13,317 4/30/2009 15,119 15,533 5/31/2009 18,554 18,187 6/30/2009 18,464 17,942 7/31/2009 20,827 19,960 8/31/2009 21,077 19,888 9/30/2009 22,839 21,694 10/31/2009 22,821 21,720 11/30/2009 24,179 22,654 12/31/2009 25,512 23,548 1/31/2010 24,393 22,235 2/28/2010 24,815 22,313 3/31/2010 26,940 24,114 4/30/2010 27,387 24,407 5/31/2010 24,643 22,260 6/30/2010 25,304 22,096 7/31/2010 27,637 23,936 8/31/2010 27,774 23,471 9/30/2010 31,155 26,080 10/31/2010 32,399 26,837 11/30/2010 31,536 26,129 12/31/2010 33,351 27,993 1/31/2011 31,952 27,234 2/28/2011 31,024 26,980 3/31/2011 32,756 28,566 4/30/2011 34,488 29,452 5/31/2011 33,720 28,680 6/30/2011 33,714 28,238 7/31/2011 34,101 28,113 8/31/2011 30,875 25,601 9/30/2011 25,393 21,868 10/31/2011 28,208 24,765 11/30/2011 26,845 23,114 12/31/2011 26,131 22,836 1/31/2012 29,089 25,426 2/29/2012 31,476 26,949 3/31/2012 30,679 26,049 4/30/2012 29,946 25,738 5/31/2012 27,220 22,852 6/30/2012 28,262 23,734 7/31/2012 27,929 24,197 8/31/2012 28,661 24,116 9/30/2012 30,339 25,571 10/31/2012 30,238 25,416 11/30/2012 30,774 25,739 12/31/2012 32,679 26,997 1/31/2013 33,292 27,369 2/28/2013 33,643 27,026 3/31/2013 33,500 26,560 4/30/2013 34,185 26,760 5/31/2013 33,714 26,074 6/30/2013 30,798 24,414 7/31/2013 30,952 24,669 8/31/2013 29,673 24,245 9/30/2013 31,851 25,822 10/31/2013 33,083 27,076 11/30/2013 32,625 26,681 12/31/2013 32,369 26,295 1/31/2014 30,994 24,587 2/28/2014 32,387 25,402 3/31/2014 33,506 26,182 4/30/2014 33,786 26,269 5/31/2014 34,946 27,186 6/30/2014 35,863 27,908 7/31/2014 35,952 28,448 8/31/2014 37,071 29,089 9/30/2014 35,244 26,933 Past performance is not predictive of 10/31/2014 34,935 27,250 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------- MSCI data copyright MSCI 2014, all 5.60% 8.89% 13.32% rights reserved.
-------------------------------------------------------------------------------- 235 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index /SM/........ 20.69%
Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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 is designed 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, 2014, the Series held approximately 260 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, 2014, total returns were 15.67% for the Series and 16.46% for the Russell 1000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Series excludes real estate investment trusts (REITs) and highly regulated utilities from eligibility while the Index holds stocks in these sectors. REITs and utilities generally outperformed other sectors during the period, which detracted from the Series' relative performance. Lower book to market stocks outperformed higher book to market stocks within the index. The Series had less weight than the index in lower book to market stocks, which detracted from relative performance. 236 International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-US developed markets was generally negative for the period. Only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-US securities in developed markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets. 237
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollar ------------------------------------------ ------------ --------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. International Equity Series' Performance Overview The DFA International Value Series The DFA International Value Series is designed to capture the returns of international 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, 2014, the Series held approximately 550 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, 2014, total returns were -0.72% for the Series and -0.15% for the MSCI World ex USA Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad trends in international equity markets rather than the behavior of a limited number of stocks. The Series had significantly greater exposure than the Index to value stocks. Value stocks, particularly those in Canada, generally underperformed the Index, which detracted from the Series' relative performance. The Japanese Small Company Series The Japanese Small Company Series is designed to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, 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, 2014, total returns were 2.46% for the Series and -0.24% for the MSCI Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the Japanese equity market, rather than the behavior of a limited number of stocks. The Series' greater exposure than the Index to companies with smaller relative capitalization contributed to relative outperformance as these stocks generally outperformed during the period. This was partially offset by the Series' exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Series' relative performance. Differences in the valuation timing and methodology between the Series and the Index also benefited 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 Asia Pacific Small Company Series The Asia Pacific Small Company Series is designed to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Series held approximately 880 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. 238 For the 12 months ended October 31, 2014, total returns were -3.46% for the Series and -4.93% 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 trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. The Series' exclusion of growth-oriented small cap stocks with low profitability contributed to relative performance as these stocks underperformed. This was partially offset by the Series' exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Series' relative performance. In addition, differences in the valuation timing and methodology between the Series and the Index benefited 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 United Kingdom Small Company Series The United Kingdom Small Company Series is designed to capture the returns of U.K. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Series held approximately 320 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, 2014, total returns were 1.22% for the Series and -0.49% for the MSCI UK Small Cap Index (net dividends). As a result of the Series diversified investment approach, performance was determined principally by broad trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Series excludes a number of growth-oriented small cap stocks with low profitability that were held by the Index. These stocks generally underperformed, contributing to the Series' relative performance. The Continental Small Company Series The Continental Small Company Series is designed 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, 2014, the Series held approximately 1,180 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, 2014, total returns were -2.25% for the Series and -3.31% 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 trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the period, the Series' outperformance was primarily attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Canadian Small Company Series The Canadian Small Company Series is designed to capture the returns of Canadian small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Series held approximately 370 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, 2014, total returns were -3.83% for the Series and -3.00% for the MSCI Canada Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the Canadian equity market. Due to construction methodology differences between the Series and the Index, the Series' holdings in the energy sector significantly underperformed those of the Index and contributed to the Series' relative underperformance. The Index held a number of companies in the energy sector that were outside of the Series' definition of small caps and these companies outperformed, which contributed to the Series' relative underperformance. The Series' exclusion of real 239 estate investment trusts (REITs) also detracted from the Series' relative performance as REITs outperformed during the period. The Emerging Markets Series The Emerging Markets Series is designed 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, 2014, the Series held approximately 1,100 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, 2014, total returns were 1.74% for the Series and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was generally determined by broad trends in emerging markets rather than the behavior of a limited number of stocks. The Series' relative performance benefited from a lower weight than the Index in Russia, among the lowest performing emerging markets during the period, and a higher weight in India and Taiwan, among the best performing emerging markets during the period. The Series excludes certain countries from eligibility that the Index holds, such as the UAE and Qatar. Both of these countries underperformed, and their exclusion contributed to the Series' outperformance. The Emerging Markets Small Cap Series The Emerging Markets Small Cap Series is designed 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, 2014, the Series held approximately 3,200 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, 2014, total returns were 5.60% for the Series and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was principally determined by broad 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 outperformed emerging markets large caps over the period, and the Series' greater exposure to small caps, particularly those in India, contributed to the Series' relative outperformance. During the year ended October 31, 2014, the Series did not invest in certain countries that the Index holds, such as the UAE, Qatar, and Russia. Russia underperformed significantly and, as it was excluded from the Series, contributed to the Series' relative performance. 240 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- The U.S. Large Cap Value Series - Actual Fund Return............ $1,000.00 $1,056.90 0.11% $0.57 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 $ 941.00 0.22% $1.08 Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12
241 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $1,049.50 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 $ 963.60 0.13% $0.64 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 The United Kingdom Small Company Series --------------------------------------- Actual Fund Return...................... $1,000.00 $ 924.20 0.11% $0.53 Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56 The Continental Small Company Series ------------------------------------ Actual Fund Return...................... $1,000.00 $ 850.80 0.12% $0.56 Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61 The Canadian Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $ 871.30 0.12% $0.57 Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61 The Emerging Markets Series --------------------------- Actual Fund Return...................... $1,000.00 $1,038.70 0.15% $0.77 Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77 The Emerging Markets Small Cap Series ------------------------------------- Actual Fund Return...................... $1,000.00 $1,034.00 0.26% $1.33 Hypothetical 5% Annual Return........... $1,000.00 $1,023.89 0.26% $1.33
---------- * 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. 242 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 29, 2014. 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....................... 12.3% Consumer Staples............................. 6.8% Energy....................................... 20.9% Financials................................... 20.7% Health Care.................................. 10.6% Industrials.................................. 12.1% Information Technology....................... 8.6% Materials.................................... 3.3% Other........................................ -- Telecommunication Services................... 4.4% Utilities.................................... 0.3% ----- 100.0%
The DFA International Value Series Consumer Discretionary....................... 11.5% Consumer Staples............................. 4.2% Energy....................................... 13.2% Financials................................... 35.2% Health Care.................................. 4.0% Industrials.................................. 9.0% Information Technology....................... 3.4% Materials.................................... 11.3% Other........................................ -- Telecommunication Services................... 5.1% Utilities.................................... 3.1% ----- 100.0%
The Japanese Small Company Series Consumer Discretionary....................... 20.6% Consumer Staples............................. 8.8% Energy....................................... 1.0% Financials................................... 11.7% Health Care.................................. 4.9% Industrials.................................. 29.7% Information Technology....................... 11.5% Materials.................................... 11.1% Telecommunication Services................... 0.2% Utilities.................................... 0.5% ----- 100.0%
243 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED The Asia Pacific Small Company Series Consumer Discretionary....................... 28.1% Consumer Staples............................. 4.8% Energy....................................... 5.0% Financials................................... 13.4% Health Care.................................. 6.5% Industrials.................................. 18.8% Information Technology....................... 5.7% Materials.................................... 10.7% Other........................................ -- Telecommunication Services................... 4.3% Utilities.................................... 2.7% ----- 100.0%
The United Kingdom Small Company Series Consumer Discretionary....................... 25.9% Consumer Staples............................. 4.7% Energy....................................... 4.7% Financials................................... 15.1% Health Care.................................. 3.8% Industrials.................................. 24.9% Information Technology....................... 8.7% Materials.................................... 6.8% Other........................................ -- Telecommunication Services................... 2.8% Utilities.................................... 2.6% ----- 100.0%
The Continental Small Company Series Consumer Discretionary....................... 14.5% Consumer Staples............................. 6.2% Energy....................................... 3.3% Financials................................... 17.9% Health Care.................................. 9.8% Industrials.................................. 26.3% Information Technology....................... 9.7% Materials.................................... 7.7% Other........................................ -- Telecommunication Services................... 2.4% Utilities.................................... 2.2% ----- 100.0%
The Canadian Small Company Series Consumer Discretionary....................... 10.8% Consumer Staples............................. 3.7% Energy....................................... 26.9% Financials................................... 8.6% Health Care.................................. 1.8% Industrials.................................. 16.7% Information Technology....................... 6.4% Materials.................................... 18.9% Other........................................ -- Telecommunication Services................... 0.5% Utilities.................................... 5.7% ----- 100.0%
The Emerging Markets Series Consumer Discretionary....................... 9.3% Consumer Staples............................. 8.3% Energy....................................... 8.8% Financials................................... 26.1% Health Care.................................. 2.2% Industrials.................................. 7.9% Information Technology....................... 17.4% Materials.................................... 8.9% Other........................................ -- Telecommunication Services................... 7.3% Utilities.................................... 3.8% ----- 100.0%
The Emerging Markets Small Cap Series Consumer Discretionary....................... 17.7% Consumer Staples............................. 8.8% Energy....................................... 2.3% Financials................................... 16.1% Health Care.................................. 6.0% Industrials.................................. 17.7% Information Technology....................... 13.5% Materials.................................... 13.0% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.0% Utilities.................................... 3.8% ----- 100.0%
244 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (95.1%) Consumer Discretionary -- (11.7%) Comcast Corp. Class A................ 9,873,756 $ 546,512,395 3.0% # Comcast Corp. Special Class A........ 3,813,064 210,252,349 1.1% General Motors Co.................... 3,814,989 119,790,655 0.7% Time Warner Cable, Inc............... 1,876,119 276,183,478 1.5% # Time Warner, Inc..................... 5,052,904 401,554,281 2.2% Other Securities..................... 691,314,995 3.7% -------------- ----- Total Consumer Discretionary............. 2,245,608,153 12.2% -------------- ----- Consumer Staples -- (6.4%) Archer-Daniels-Midland Co............ 2,861,952 134,511,744 0.7% CVS Health Corp...................... 6,986,047 599,472,693 3.3% Mondelez International, Inc. Class A. 6,213,977 219,104,829 1.2% Other Securities..................... 283,040,723 1.5% -------------- ----- Total Consumer Staples................... 1,236,129,989 6.7% -------------- ----- Energy -- (19.8%) Anadarko Petroleum Corp.............. 2,644,697 242,730,291 1.3% Apache Corp.......................... 1,895,772 146,353,598 0.8% Chevron Corp......................... 5,620,609 674,192,050 3.7% ConocoPhillips....................... 6,993,622 504,589,827 2.7% Exxon Mobil Corp..................... 4,477,321 433,001,714 2.4% Hess Corp............................ 1,628,606 138,122,075 0.7% Marathon Oil Corp.................... 3,640,872 128,886,869 0.7% Marathon Petroleum Corp.............. 1,752,484 159,300,796 0.9% National Oilwell Varco, Inc.......... 1,968,548 142,995,327 0.8% Occidental Petroleum Corp............ 2,823,071 251,055,704 1.4% Phillips 66.......................... 2,603,498 204,374,593 1.1% Valero Energy Corp................... 2,806,975 140,601,378 0.8% Other Securities..................... 653,113,763 3.5% -------------- ----- Total Energy............................. 3,819,317,985 20.8% -------------- ----- Financials -- (19.7%) American International Group, Inc.... 3,145,850 168,523,184 0.9% Bank of America Corp................. 16,826,224 288,738,004 1.6% Bank of New York Mellon Corp. (The).. 3,470,782 134,388,679 0.7% Capital One Financial Corp........... 2,096,624 173,537,568 0.9% Citigroup, Inc....................... 5,327,316 285,171,225 1.6% Goldman Sachs Group, Inc. (The)...... 919,421 174,680,796 1.0% JPMorgan Chase & Co.................. 10,466,709 633,026,560 3.4% MetLife, Inc......................... 2,280,037 123,669,207 0.7% Morgan Stanley....................... 5,045,057 176,324,742 1.0% Prudential Financial, Inc............ 1,229,198 108,833,191 0.6% Wells Fargo & Co..................... 4,057,795 215,428,337 1.2% Other Securities..................... 1,316,622,406 7.1% -------------- ----- Total Financials......................... 3,798,943,899 20.7% -------------- ----- Health Care -- (10.1%) Aetna, Inc........................... 2,009,110 165,771,666 0.9% * Express Scripts Holding Co........... 3,072,578 236,035,442 1.3% Pfizer, Inc.......................... 22,619,948 677,467,443 3.7% Thermo Fisher Scientific, Inc........ 1,580,260 185,791,168 1.0% WellPoint, Inc....................... 1,674,297 212,116,687 1.1% Other Securities..................... 468,823,592 2.6% -------------- ----- Total Health Care........................ 1,946,005,998 10.6% -------------- -----
245 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (11.5%) CSX Corp........................................... 5,604,703 $ 199,695,568 1.1% Eaton Corp. P.L.C.................................. 1,690,402 115,606,593 0.6% FedEx Corp......................................... 828,737 138,730,574 0.8% General Electric Co................................ 21,597,811 557,439,502 3.0% # Norfolk Southern Corp.............................. 1,681,939 186,089,731 1.0% Northrop Grumman Corp.............................. 1,364,645 188,266,424 1.0% Southwest Airlines Co.............................. 3,905,821 134,672,708 0.7% Union Pacific Corp................................. 2,788,102 324,674,478 1.8% Other Securities................................... 372,674,139 2.0% --------------- ------ Total Industrials........................................ 2,217,849,717 12.0% --------------- ------ Information Technology -- (8.2%) Cisco Systems, Inc................................. 8,906,456 217,940,978 1.2% Hewlett-Packard Co................................. 9,619,949 345,163,770 1.9% # Intel Corp......................................... 9,210,936 313,263,933 1.7% #* Micron Technology, Inc............................. 3,654,213 120,917,908 0.7% Other Securities................................... 586,548,708 3.1% --------------- ------ Total Information Technology............................. 1,583,835,297 8.6% --------------- ------ Materials -- (3.2%) Freeport-McMoRan, Inc.............................. 4,647,012 132,439,842 0.7% Other Securities................................... 474,065,162 2.6% --------------- ------ Total Materials.......................................... 606,505,004 3.3% --------------- ------ Telecommunication Services -- (4.2%) # AT&T, Inc.......................................... 18,488,608 644,143,103 3.5% Other Securities................................... 161,208,509 0.9% --------------- ------ Total Telecommunication Services......................... 805,351,612 4.4% --------------- ------ Utilities -- (0.3%) Other Securities................................... 52,328,955 0.3% --------------- ------ TOTAL COMMON STOCKS...................................... 18,311,876,609 99.6% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 7,528 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077%. 87,103,094 87,103,094 0.5% --------------- ------ SECURITIES LENDING COLLATERAL -- (4.4%) (S)@ DFA Short Term Investment Fund..................... 74,271,257 859,318,447 4.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,592,557,040)............................... $19,258,305,678 104.8% =============== ======
246 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $ 2,245,608,153 -- -- $ 2,245,608,153 Consumer Staples............ 1,236,129,989 -- -- 1,236,129,989 Energy...................... 3,819,317,985 -- -- 3,819,317,985 Financials.................. 3,798,943,899 -- -- 3,798,943,899 Health Care................. 1,946,005,998 -- -- 1,946,005,998 Industrials................. 2,217,849,717 -- -- 2,217,849,717 Information Technology...... 1,583,835,297 -- -- 1,583,835,297 Materials................... 606,505,004 -- -- 606,505,004 Telecommunication Services.. 805,351,612 -- -- 805,351,612 Utilities................... 52,328,955 -- -- 52,328,955 Rights/Warrants............. -- $ 7,528 -- 7,528 Temporary Cash Investments.... 87,103,094 -- -- 87,103,094 Securities Lending Collateral. -- 859,318,447 -- 859,318,447 --------------- ------------ -- --------------- TOTAL......................... $18,398,979,703 $859,325,975 -- $19,258,305,678 =============== ============ == ===============
See accompanying Notes to Financial Statements. 247 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (94.3%) AUSTRALIA -- (5.8%) Macquarie Group, Ltd............. 1,184,395 $ 64,009,420 0.7% National Australia Bank, Ltd..... 1,748,681 54,096,766 0.6% Santos, Ltd...................... 4,404,343 50,470,467 0.5% Suncorp Group, Ltd............... 3,736,013 48,613,845 0.5% # Wesfarmers, Ltd.................. 2,317,545 90,193,505 1.0% Other Securities................. 266,392,193 2.8% ------------ ---- TOTAL AUSTRALIA...................... 573,776,196 6.1% ------------ ---- AUSTRIA -- (0.1%) Other Securities................. 13,688,459 0.2% ------------ ---- BELGIUM -- (1.2%) Other Securities................. 115,542,460 1.2% ------------ ---- CANADA -- (7.8%) Canadian Natural Resources, Ltd.. 1,849,320 64,534,631 0.7% # Manulife Financial Corp.......... 3,287,435 62,391,406 0.7% Suncor Energy, Inc............... 3,750,370 133,170,496 1.4% Other Securities................. 506,038,567 5.4% ------------ ---- TOTAL CANADA......................... 766,135,100 8.2% ------------ ---- CHINA -- (0.0%) Other Securities................. 30,085 0.0% ------------ ---- DENMARK -- (1.4%) Other Securities................. 134,026,860 1.4% ------------ ---- FINLAND -- (0.7%) Other Securities................. 74,138,749 0.8% ------------ ---- FRANCE -- (8.0%) AXA SA........................... 4,004,754 92,503,906 1.0% BNP Paribas SA................... 783,124 49,213,123 0.5% Cie de St-Gobain................. 1,103,444 47,431,371 0.5% GDF Suez......................... 3,247,971 78,860,475 0.8% Orange SA........................ 3,989,277 63,510,770 0.7% Renault SA....................... 759,515 56,497,480 0.6% Societe Generale SA.............. 1,296,228 62,466,561 0.7% Vivendi SA....................... 3,686,124 90,049,366 1.0% Other Securities................. 244,827,209 2.6% ------------ ---- TOTAL FRANCE......................... 785,360,261 8.4% ------------ ---- GERMANY -- (6.3%) Allianz SE....................... 642,692 102,202,246 1.1% Bayerische Motoren Werke AG...... 765,791 82,121,669 0.9% Daimler AG....................... 2,214,556 172,666,663 1.8% Other Securities................. 258,875,046 2.8% ------------ ---- TOTAL GERMANY........................ 615,865,624 6.6% ------------ ---- HONG KONG -- (2.7%) Hutchison Whampoa, Ltd........... 5,076,000 64,497,462 0.7% Other Securities................. 202,183,086 2.2% ------------ ---- TOTAL HONG KONG...................... 266,680,548 2.9% ------------ ----
248 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.2%) Other Securities........................ $ 22,188,446 0.2% -------------- ----- ISRAEL -- (0.3%) Other Securities........................ 30,877,234 0.3% -------------- ----- ITALY -- (1.8%) UniCredit SpA........................... 6,991,980 50,640,963 0.5% Other Securities........................ 122,767,297 1.4% -------------- ----- TOTAL ITALY................................. 173,408,260 1.9% -------------- ----- JAPAN -- (21.0%) Honda Motor Co., Ltd.................... 2,621,200 83,797,746 0.9% Mitsubishi UFJ Financial Group, Inc..... 21,459,506 125,092,037 1.3% Mizuho Financial Group, Inc............. 51,323,400 93,527,433 1.0% Nippon Steel & Sumitomo Metal Corp...... 19,063,940 50,306,760 0.5% Nissan Motor Co., Ltd................... 5,844,900 53,315,418 0.6% NTT DOCOMO, Inc......................... 3,091,700 52,144,249 0.6% Sumitomo Mitsui Financial Group, Inc.... 2,678,800 109,249,245 1.2% Other Securities........................ 1,496,080,852 16.0% -------------- ----- TOTAL JAPAN................................. 2,063,513,740 22.1% -------------- ----- NETHERLANDS -- (3.2%) * ING Groep NV............................ 6,479,202 92,784,515 1.0% Other Securities........................ 221,541,679 2.4% -------------- ----- TOTAL NETHERLANDS 314,326,194 3.4% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities........................ 9,374,710 0.1% -------------- ----- NORWAY -- (0.8%) Other Securities........................ 76,742,959 0.8% -------------- ----- PORTUGAL -- (0.0%) Other Securities........................ 3,873,915 0.0% -------------- ----- SINGAPORE -- (1.2%) Other Securities........................ 116,978,973 1.3% -------------- ----- SPAIN -- (2.4%) Iberdrola SA............................ 11,714,112 82,923,213 0.9% Other Securities........................ 153,903,256 1.6% -------------- ----- TOTAL SPAIN................................. 236,826,469 2.5% -------------- ----- SWEDEN -- (3.0%) Nordea Bank AB.......................... 3,823,977 49,183,048 0.5% Telefonaktiebolaget LM Ericsson Class B. 4,879,427 57,657,241 0.6% Other Securities........................ 187,488,169 2.1% -------------- ----- TOTAL SWEDEN................................ 294,328,458 3.2% -------------- ----- SWITZERLAND -- (9.9%) ABB, Ltd................................ 3,170,149 69,548,848 0.7% Holcim, Ltd............................. 887,877 63,016,649 0.7% Novartis AG............................. 2,434,443 225,923,258 2.4% Novartis AG ADR......................... 681,571 63,174,816 0.7% Swiss Re AG............................. 1,547,148 125,103,648 1.3%
249 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) UBS AG.................................. 4,344,251 $ 75,538,418 0.8% Zurich Insurance Group AG............... 333,311 100,869,393 1.1% Other Securities........................ 246,924,514 2.7% -------------- ------ TOTAL SWITZERLAND............................. 970,099,544 10.4% -------------- ------ UNITED KINGDOM -- (16.4%) Anglo American P.L.C.................... 3,310,475 69,895,879 0.7% # Barclays P.L.C. Sponsored ADR........... 5,060,358 77,929,513 0.8% BP P.L.C. Sponsored ADR................. 7,387,909 321,078,524 3.4% Glencore P.L.C.......................... 9,442,477 48,445,899 0.5% HSBC Holdings P.L.C..................... 9,197,250 93,769,306 1.0% HSBC Holdings P.L.C. Sponsored ADR...... 2,089,967 106,630,116 1.1% # Royal Dutch Shell P.L.C. ADR(780259107). 3,323,210 248,144,091 2.7% Royal Dutch Shell P.L.C. ADR(780259206). 755,142 54,211,644 0.6% Standard Chartered P.L.C................ 4,120,837 62,029,541 0.7% Vodafone Group P.L.C.................... 27,417,470 91,175,542 1.0% Vodafone Group P.L.C. Sponsored ADR..... 2,196,216 72,958,305 0.8% Other Securities........................ 361,708,827 3.9% -------------- ------ TOTAL UNITED KINGDOM.......................... 1,607,977,187 17.2% -------------- ------ TOTAL COMMON STOCKS........................... 9,265,760,431 99.2% -------------- ------ PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities........................ 20,887,882 0.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 241,112 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities........................ 648,719 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 889,831 0.0% -------------- ------ Value+ - ------ SECURITIES LENDING COLLATERAL -- (5.5%) (S)@ DFA Short Term Investment Fund.......... 46,617,671 539,366,448 5.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,769,870,982)..................... $9,826,904,592 105.2% ============== ======
250 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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................... $ 18,343,012 $ 555,433,184 -- $ 573,776,196 Austria..................... -- 13,688,459 -- 13,688,459 Belgium..................... 3,605,664 111,936,796 -- 115,542,460 Canada...................... 766,135,100 -- -- 766,135,100 China....................... -- 30,085 -- 30,085 Denmark..................... -- 134,026,860 -- 134,026,860 Finland..................... 1,844,352 72,294,397 -- 74,138,749 France...................... 4,069,567 781,290,694 -- 785,360,261 Germany..................... 60,551,498 555,314,126 -- 615,865,624 Hong Kong................... -- 266,680,548 -- 266,680,548 Ireland..................... 4,822,991 17,365,455 -- 22,188,446 Israel...................... 752,406 30,124,828 -- 30,877,234 Italy....................... 21,181,850 152,226,410 -- 173,408,260 Japan....................... 69,435,900 1,994,077,840 -- 2,063,513,740 Netherlands................. 26,977,934 287,348,260 -- 314,326,194 New Zealand................. -- 9,374,710 -- 9,374,710 Norway...................... 5,167,596 71,575,363 -- 76,742,959 Portugal.................... -- 3,873,915 -- 3,873,915 Singapore................... -- 116,978,973 -- 116,978,973 Spain....................... 6,381,719 230,444,750 -- 236,826,469 Sweden...................... 11,273,598 283,054,860 -- 294,328,458 Switzerland................. 96,770,573 873,328,971 -- 970,099,544 United Kingdom.............. 924,692,710 683,284,477 -- 1,607,977,187 Preferred Stocks Germany..................... -- 20,887,882 -- 20,887,882 Rights/Warrants France...................... -- 241,112 -- 241,112 Spain....................... -- 648,719 -- 648,719 Securities Lending Collateral. -- 539,366,448 -- 539,366,448 -------------- -------------- -- -------------- TOTAL......................... $2,022,006,470 $7,804,898,122 -- $9,826,904,592 ============== ============== == ==============
See accompanying Notes to Financial Statements. 251 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.8%) Consumer Discretionary -- (17.9%) Aoyama Trading Co., Ltd..................... 315,900 $ 7,513,669 0.3% H2O Retailing Corp.......................... 442,605 7,361,480 0.3% Nifco, Inc.................................. 295,500 9,363,392 0.4% # Resorttrust, Inc............................ 291,116 7,018,444 0.3% Shimachu Co., Ltd........................... 295,800 7,615,745 0.3% Wacoal Holdings Corp........................ 629,000 6,550,239 0.3% Other Securities............................ 466,467,139 18.5% ------------ ----- Total Consumer Discretionary.................... 511,890,108 20.4% ------------ ----- Consumer Staples -- (7.6%) Matsumotokiyoshi Holdings Co., Ltd.......... 229,700 6,680,147 0.3% Sapporo Holdings, Ltd....................... 1,993,000 8,625,333 0.4% # Takara Holdings, Inc........................ 814,000 6,480,260 0.3% # UNY Group Holdings Co., Ltd................. 1,471,300 7,799,995 0.3% Other Securities............................ 189,525,032 7.4% ------------ ----- Total Consumer Staples.......................... 219,110,767 8.7% ------------ ----- Energy -- (0.9%) Other Securities............................ 25,847,200 1.0% ------------ ----- Financials -- (10.2%) Awa Bank, Ltd. (The)........................ 1,185,000 7,105,993 0.3% Daishi Bank, Ltd. (The)..................... 2,061,000 7,293,168 0.3% Higo Bank, Ltd. (The)....................... 1,151,000 6,551,664 0.3% Juroku Bank, Ltd. (The)..................... 2,060,000 8,124,606 0.3% Keiyo Bank, Ltd. (The)...................... 1,325,000 6,927,376 0.3% #* Leopalace21 Corp............................ 1,523,700 9,543,623 0.4% Musashino Bank, Ltd. (The).................. 203,400 6,891,841 0.3% North Pacific Bank, Ltd..................... 1,846,200 7,610,951 0.3% San-In Godo Bank, Ltd. (The)................ 980,000 7,550,640 0.3% Senshu Ikeda Holdings, Inc.................. 1,365,100 7,062,181 0.3% Other Securities............................ 217,936,777 8.6% ------------ ----- Total Financials................................ 292,598,820 11.7% ------------ ----- Health Care -- (4.3%) Other Securities............................ 122,558,383 4.9% ------------ ----- Industrials -- (25.8%) Aica Kogyo Co., Ltd......................... 318,300 6,588,512 0.3% DMG Mori Seiki Co., Ltd..................... 577,200 6,798,023 0.3% Fujikura, Ltd............................... 2,042,000 8,577,639 0.4% # Furukawa Electric Co., Ltd.................. 4,610,000 8,136,200 0.3% Glory, Ltd.................................. 274,400 7,071,142 0.3% # Hazama Ando Corp............................ 1,049,700 7,056,975 0.3% # Iwatani Corp................................ 1,107,000 7,568,717 0.3% # Japan Steel Works, Ltd. (The)............... 1,988,000 7,111,136 0.3% # Maeda Corp.................................. 845,000 7,470,851 0.3% Mitsui Engineering & Shipbuilding Co., Ltd.. 4,886,000 10,622,003 0.4% Nishi-Nippon Railroad Co., Ltd.............. 1,627,000 6,482,809 0.3% Nishimatsu Construction Co., Ltd............ 1,855,000 9,006,722 0.4% Nisshinbo Holdings, Inc..................... 929,000 7,672,103 0.3% OSG Corp.................................... 455,100 7,420,946 0.3% Sankyu, Inc................................. 1,561,000 7,216,910 0.3%
252 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Sanwa Holdings Corp................ 1,262,100 $ 8,751,418 0.4% Tsubakimoto Chain Co............... 854,700 6,742,103 0.3% Other Securities................... 607,859,813 24.0% -------------- ------ Total Industrials........................ 738,154,022 29.5% -------------- ------ Information Technology -- (10.0%) Anritsu Corp....................... 865,700 6,702,549 0.3% Horiba, Ltd........................ 218,850 7,917,501 0.3% # IT Holdings Corp................... 519,701 8,491,586 0.4% Oki Electric Industry Co., Ltd..... 4,385,000 10,188,368 0.4% # SCREEN Holdings Co., Ltd........... 1,267,000 6,905,771 0.3% # Taiyo Yuden Co., Ltd............... 661,300 6,797,894 0.3% Other Securities................... 239,685,095 9.4% -------------- ------ Total Information Technology............. 286,688,764 11.4% -------------- ------ Materials -- (9.6%) ADEKA Corp......................... 530,500 6,847,875 0.3% Lintec Corp........................ 312,600 6,526,618 0.3% Mitsui Mining & Smelting Co., Ltd.. 3,666,000 9,724,344 0.4% Nihon Parkerizing Co., Ltd......... 275,800 6,583,269 0.3% # Sumitomo Osaka Cement Co., Ltd..... 2,682,000 8,383,958 0.3% Tokuyama Corp...................... 2,222,000 6,495,139 0.3% Toyobo Co., Ltd.................... 5,435,000 7,823,086 0.3% Other Securities................... 223,923,257 8.8% -------------- ------ Total Materials.......................... 276,307,546 11.0% -------------- ------ Telecommunication Services -- (0.1%) Other Securities................... 4,309,409 0.2% -------------- ------ Utilities -- (0.4%) Other Securities................... 11,429,517 0.5% -------------- ------ TOTAL COMMON STOCKS...................... 2,488,894,536 99.3% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (13.2%) (S)@ DFA Short Term Investment Fund..... 32,591,293 377,081,264 15.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,741,341,199)................ $2,865,975,800 114.4% ============== ======
253 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $ 4,646,036 $ 507,244,072 -- $ 511,890,108 Consumer Staples............ 803,849 218,306,918 -- 219,110,767 Energy...................... -- 25,847,200 -- 25,847,200 Financials.................. 10,448,978 282,149,842 -- 292,598,820 Health Care................. -- 122,558,383 -- 122,558,383 Industrials................. -- 738,154,022 -- 738,154,022 Information Technology...... -- 286,688,764 -- 286,688,764 Materials................... -- 276,307,546 -- 276,307,546 Telecommunication Services.. -- 4,309,409 -- 4,309,409 Utilities................... -- 11,429,517 -- 11,429,517 Securities Lending Collateral. -- 377,081,264 -- 377,081,264 ----------- -------------- -- -------------- TOTAL......................... $15,898,863 $2,850,076,937 -- $2,865,975,800 =========== ============== == ==============
See accompanying Notes to Financial Statements. 254 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (78.7%) AUSTRALIA -- (41.6%) # Adelaide Brighton, Ltd................ 3,634,701 $ 10,838,815 0.8% Ansell, Ltd........................... 544,496 9,550,805 0.7% # Aristocrat Leisure, Ltd............... 3,124,863 17,765,461 1.2% # Beach Energy, Ltd..................... 9,353,942 9,675,702 0.7% * BlueScope Steel, Ltd.................. 1,945,699 9,070,776 0.6% # carsales.com, Ltd..................... 1,736,291 16,384,267 1.1% CSR, Ltd.............................. 3,291,003 10,072,540 0.7% # Downer EDI, Ltd....................... 2,989,518 12,624,250 0.9% DuluxGroup, Ltd....................... 3,082,903 14,569,397 1.0% # Echo Entertainment Group, Ltd......... 4,331,523 14,543,934 1.0% Fairfax Media, Ltd.................... 14,676,907 10,549,342 0.7% # GrainCorp, Ltd. Class A............... 1,240,760 9,596,665 0.7% # iiNET, Ltd............................ 1,110,524 7,836,764 0.5% Independence Group NL................. 1,827,105 7,316,662 0.5% # Invocare, Ltd......................... 894,310 9,542,450 0.7% # IOOF Holdings, Ltd.................... 1,906,008 15,203,012 1.1% # Iress, Ltd............................ 1,080,718 9,403,408 0.7% # JB Hi-Fi, Ltd......................... 860,733 11,852,634 0.8% # M2 Group, Ltd......................... 1,270,142 8,813,121 0.6% # Metcash, Ltd.......................... 4,422,950 11,046,633 0.8% # Mineral Resources, Ltd................ 1,202,488 9,013,856 0.6% # Monadelphous Group, Ltd............... 707,732 7,849,897 0.5% # Myer Holdings, Ltd.................... 4,168,808 7,079,608 0.5% # NIB Holdings, Ltd..................... 2,712,998 7,818,566 0.5% # OZ Minerals, Ltd...................... 2,263,016 7,776,456 0.5% # Perpetual, Ltd........................ 359,597 14,703,016 1.0% Primary Health Care, Ltd.............. 3,240,864 13,281,170 0.9% * Qantas Airways, Ltd................... 4,914,897 7,343,406 0.5% Reece Australia, Ltd.................. 238,257 6,983,909 0.5% # Sims Metal Management, Ltd............ 1,378,490 13,761,961 1.0% # Sirtex Medical, Ltd................... 409,434 9,401,832 0.7% Spark Infrastructure Group............ 10,691,774 17,972,704 1.2% # Super Retail Group, Ltd............... 1,291,875 8,382,739 0.6% Tabcorp Holdings, Ltd................. 2,426,529 8,716,499 0.6% # TPG Telecom, Ltd...................... 1,231,044 7,970,965 0.6% # Transpacific Industries Group, Ltd.... 9,657,560 7,675,573 0.5% #* UGL, Ltd.............................. 1,220,877 7,551,660 0.5% Other Securities...................... 376,339,345 25.7% --------------- ----- TOTAL AUSTRALIA........................... 765,879,800 52.7% --------------- ----- BERMUDA -- (0.0%) Other Securities...................... 26,808 0.0% --------------- ----- CHINA -- (0.2%) Other Securities...................... 3,119,336 0.2% --------------- ----- HONG KONG -- (20.7%) Dah Sing Financial Holdings, Ltd...... 1,208,544 7,525,263 0.5% # Esprit Holdings, Ltd.................. 13,739,550 17,211,169 1.2% Hopewell Holdings, Ltd................ 2,973,000 10,569,755 0.7% # Luk Fook Holdings International, Ltd.. 2,792,000 8,306,888 0.6% Melco International Development, Ltd.. 3,620,000 9,838,366 0.7% Xinyi Glass Holdings, Ltd............. 16,212,000 9,536,952 0.7% Other Securities...................... 317,754,477 21.8% --------------- ----- TOTAL HONG KONG...................................... 380,742,870 26.2% --------------- -----
255 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- NEW ZEALAND -- (7.1%) # Fisher & Paykel Healthcare Corp., Ltd.. 4,076,344 $ 17,813,660 1.2% # Infratil, Ltd.......................... 3,206,161 7,206,718 0.5% # Ryman Healthcare, Ltd.................. 2,312,512 13,691,535 0.9% # Sky Network Television, Ltd............ 2,017,881 10,019,430 0.7% # SKYCITY Entertainment Group, Ltd....... 4,308,638 13,173,223 0.9% Other Securities....................... 68,677,900 4.8% --------------- ------ TOTAL NEW ZEALAND............................ 130,582,466 9.0% --------------- ------ SINGAPORE -- (9.1%) Singapore Post, Ltd.................... 6,765,120 10,383,577 0.7% Venture Corp., Ltd..................... 1,694,000 10,203,641 0.7% Other Securities....................... 146,437,456 10.1% --------------- ------ TOTAL SINGAPORE.............................. 167,024,674 11.5% --------------- ------ TOTAL COMMON STOCKS.......................... 1,447,375,954 99.6% --------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities....................... -- 0.0% --------------- ------ HONG KONG -- (0.0%) Other Securities....................... 87,216 0.0% --------------- ------ SINGAPORE -- (0.0%) Other Securities....................... 2,095 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS........................ 89,311 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (21.3%) (S)@ DFA Short Term Investment Fund......... 33,782,209 390,860,156 26.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,833,068,732).................... $ 1,838,325,421 126.5% =============== ======
Summary of the Series' investments as of October 31, 2014, 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..................... $12,261,409 $ 753,618,391 -- $ 765,879,800 Bermuda....................... -- 26,808 -- 26,808 China......................... -- 3,119,336 -- 3,119,336 Hong Kong..................... 1,079,370 379,663,500 -- 380,742,870 New Zealand................... 396,491 130,185,975 -- 130,582,466 Singapore..................... 485,216 166,539,458 -- 167,024,674 Rights/Warrants Australia..................... -- -- -- -- Hong Kong..................... -- 87,216 -- 87,216 Singapore..................... -- 2,095 -- 2,095 Securities Lending Collateral. -- 390,860,156 -- 390,860,156 ----------- -------------- -- -------------- TOTAL........................... $14,222,486 $1,824,102,935 -- $1,838,325,421 =========== ============== == ==============
See accompanying Notes to Financial Statements. 256 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (97.3%) Consumer Discretionary -- (25.2%) Barratt Developments P.L.C........ 3,291,665 $ 22,127,812 1.1% Bellway P.L.C..................... 652,849 18,313,143 0.9% Berkeley Group Holdings P.L.C..... 687,947 25,159,106 1.3% Daily Mail & General Trust P.L.C.. 1,422,483 17,999,359 0.9% Dixons Carphone P.L.C............. 2,319,507 14,728,353 0.7% Greene King P.L.C................. 1,421,372 18,273,797 0.9% Howden Joinery Group P.L.C........ 3,423,456 18,783,244 0.9% Inchcape P.L.C.................... 2,330,419 25,961,589 1.3% Informa P.L.C..................... 3,256,622 25,106,456 1.3% Rightmove P.L.C................... 492,413 16,655,156 0.8% Taylor Wimpey P.L.C............... 14,989,056 28,472,629 1.4% * Thomas Cook Group P.L.C........... 7,517,966 14,978,554 0.8% WH Smith P.L.C.................... 711,405 12,844,258 0.6% William Hill P.L.C................ 4,494,667 25,956,438 1.3% Other Securities.................. 228,230,551 11.5% ------------ ----- Total Consumer Discretionary.......... 513,590,445 25.7% ------------ ----- Consumer Staples -- (4.5%) Booker Group P.L.C................ 7,511,637 16,881,209 0.8% Britvic P.L.C..................... 1,277,429 13,927,819 0.7% Tate & Lyle P.L.C................. 1,515,587 14,667,991 0.7% Other Securities.................. 46,852,034 2.4% ------------ ----- Total Consumer Staples................ 92,329,053 4.6% ------------ ----- Energy -- (4.6%) AMEC P.L.C........................ 1,114,094 18,576,553 0.9% John Wood Group P.L.C............. 1,961,228 20,808,838 1.0% Other Securities.................. 54,101,541 2.8% ------------ ----- Total Energy.......................... 93,486,932 4.7% ------------ ----- Financials -- (14.7%) Amlin P.L.C....................... 2,654,495 19,373,906 1.0% Catlin Group, Ltd................. 1,883,388 16,179,782 0.8% Close Brothers Group P.L.C........ 788,970 18,514,828 0.9% Henderson Group P.L.C............. 5,677,167 19,118,900 1.0% Hiscox, Ltd....................... 1,674,250 18,260,643 0.9% ICAP P.L.C........................ 2,893,657 19,427,173 1.0% IG Group Holdings P.L.C........... 1,931,185 18,611,712 0.9% Man Group P.L.C................... 9,800,117 19,431,406 1.0% Other Securities.................. 151,018,176 7.5% ------------ ----- Total Financials...................... 299,936,526 15.0% ------------ ----- Health Care -- (3.7%) * BTG P.L.C......................... 1,781,080 21,529,272 1.1% Hikma Pharmaceuticals P.L.C....... 713,706 21,647,047 1.1% Other Securities.................. 32,975,002 1.6% ------------ ----- Total Health Care..................... 76,151,321 3.8% ------------ ----- Industrials -- (24.2%) Ashtead Group P.L.C............... 1,347,260 22,572,306 1.1% BBA Aviation P.L.C................ 2,792,163 15,805,781 0.8% Berendsen P.L.C................... 852,867 13,810,534 0.7% Cobham P.L.C...................... 5,618,202 26,207,126 1.3%
257 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) DCC P.L.C....................... 447,754 $ 25,092,474 1.3% Hays P.L.C...................... 7,359,440 14,534,905 0.7% Melrose Industries P.L.C........ 4,127,987 16,966,362 0.9% Rentokil Initial P.L.C.......... 9,576,875 18,886,873 1.0% Rotork P.L.C.................... 446,606 18,307,009 0.9% Spirax-Sarco Engineering P.L.C.. 399,105 18,236,514 0.9% Stagecoach Group P.L.C.......... 2,248,039 13,934,215 0.7% Other Securities................ 289,288,480 14.5% -------------- ------ Total Industrials...................... 493,642,579 24.8% -------------- ------ Information Technology -- (8.5%) Halma P.L.C..................... 2,008,362 20,039,284 1.0% Spectris P.L.C.................. 601,319 17,368,409 0.9% # Telecity Group P.L.C............ 1,018,433 12,576,541 0.6% Other Securities................ 121,983,693 6.1% -------------- ------ Total Information Technology........... 171,967,927 8.6% -------------- ------ Materials -- (6.6%) Croda International P.L.C....... 463,619 17,045,566 0.9% DS Smith P.L.C.................. 4,875,734 20,708,475 1.0% Essentra P.L.C.................. 1,229,761 13,539,887 0.7% Other Securities................ 83,503,314 4.2% -------------- ------ Total Materials........................ 134,797,242 6.8% -------------- ------ Telecommunication Services -- (2.7%) Inmarsat P.L.C.................. 2,296,017 25,210,004 1.3% TalkTalk Telecom Group P.L.C.... 2,703,937 13,013,957 0.6% Other Securities................ 17,470,514 0.9% -------------- ------ Total Telecommunication Services....... 55,694,475 2.8% -------------- ------ Utilities -- (2.6%) Drax Group P.L.C................ 2,103,725 20,016,929 1.0% Pennon Group P.L.C.............. 2,061,341 27,507,186 1.4% Other Securities................ 4,895,586 0.2% -------------- ------ Total Utilities........................ 52,419,701 2.6% -------------- ------ TOTAL COMMON STOCKS.................... 1,984,016,201 99.4% -------------- ------ RIGHTS/WARRANTS -- (0.1%) Other Securities................ 1,128,981 0.1% -------------- ------ SECURITIES LENDING COLLATERAL -- (2.6%) (S)@ DFA Short Term Investment Fund.. 4,557,215 52,726,974 2.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,533,323,942).............. $2,037,872,156 102.1% ============== ======
258 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $1,705,687 $ 511,884,758 -- $ 513,590,445 Consumer Staples............ -- 92,329,053 -- 92,329,053 Energy...................... -- 93,486,932 -- 93,486,932 Financials.................. -- 299,936,526 -- 299,936,526 Health Care................. 413,391 75,737,930 -- 76,151,321 Industrials................. -- 493,642,579 -- 493,642,579 Information Technology...... 36,400 171,931,527 -- 171,967,927 Materials................... 41,172 134,756,070 -- 134,797,242 Telecommunication Services.. -- 55,694,475 -- 55,694,475 Utilities................... -- 52,419,701 -- 52,419,701 Rights/Warrants............... 1,083,818 45,163 -- 1,128,981 Securities Lending Collateral. -- 52,726,974 -- 52,726,974 ---------- -------------- -- -------------- TOTAL......................... $3,280,468 $2,034,591,688 -- $2,037,872,156 ========== ============== == ==============
See accompanying Notes to Financial Statements. 259 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.6%) AUSTRIA -- (2.0%) Other Securities........... $ 71,759,411 2.3% ------------ ------ BELGIUM -- (2.9%) Ackermans & van Haaren NV.. 121,561 15,159,547 0.5% Other Securities........... 90,389,162 2.8% ------------ ------ TOTAL BELGIUM.................. 105,548,709 3.3% ------------ ------ DENMARK -- (4.6%) GN Store Nord A.S.......... 772,340 17,970,374 0.6% * Jyske Bank A.S............. 267,531 14,424,929 0.5% * Topdanmark A.S............. 507,925 16,167,201 0.5% * Vestas Wind Systems A.S.... 531,291 17,731,821 0.6% Other Securities........... 99,264,289 3.1% ------------ ------ TOTAL DENMARK.................. 165,558,614 5.3% ------------ ------ FINLAND -- (6.0%) Elisa Oyj.................. 702,558 19,299,483 0.6% Huhtamaki Oyj.............. 452,365 11,478,833 0.4% Kesko Oyj Class B.......... 315,046 11,948,285 0.4% Metso Oyj.................. 469,957 15,354,503 0.5% # Neste Oil Oyj.............. 609,759 13,158,259 0.4% Orion Oyj Class B.......... 401,178 13,644,702 0.4% Other Securities........... 130,365,473 4.1% ------------ ------ TOTAL FINLAND.................. 215,249,538 6.8% ------------ ------ FRANCE -- (10.4%) # Ingenico................... 171,744 17,109,701 0.6% Lagardere SCA.............. 585,070 14,238,458 0.5% # Neopost SA................. 171,272 11,886,247 0.4% Teleperformance............ 289,816 18,262,629 0.6% Other Securities........... 309,485,159 9.7% ------------ ------ TOTAL FRANCE................... 370,982,194 11.8% ------------ ------ GERMANY -- (13.1%) Aareal Bank AG............. 423,110 18,179,030 0.6% Deutsche Wohnen AG......... 885,948 19,997,303 0.6% Freenet AG................. 631,511 16,569,366 0.5% MTU Aero Engines AG........ 248,035 21,753,942 0.7% Rhoen Klinikum AG.......... 500,406 14,899,557 0.5% Stada Arzneimittel AG...... 298,237 11,491,332 0.4% TUI AG..................... 883,403 13,528,431 0.4% Other Securities........... 352,370,875 11.2% ------------ ------ TOTAL GERMANY.................. 468,789,836 14.9% ------------ ------ GREECE -- (0.0%) Other Securities........... 846 0.0% ------------ ------ IRELAND -- (1.9%) Paddy Power P.L.C.......... 175,221 12,788,109 0.4% Smurfit Kappa Group P.L.C.. 564,905 11,671,917 0.4% Other Securities........... 43,098,054 1.3% ------------ ------ TOTAL IRELAND.................. 67,558,080 2.1% ------------ ------
260 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (2.3%) Other Securities...................... $ 81,625,599 2.6% -------------- ------ ITALY -- (8.6%) Azimut Holding SpA.................... 526,953 12,333,896 0.4% * Banca Popolare dell'Emilia Romagna SC. 2,452,950 18,717,677 0.6% * Banca Popolare di Milano Scarl........ 21,335,561 16,081,112 0.5% * Finmeccanica SpA...................... 1,840,364 16,630,273 0.5% Prysmian SpA.......................... 930,455 16,125,875 0.5% Other Securities...................... 229,452,418 7.3% -------------- ------ TOTAL ITALY............................... 309,341,251 9.8% -------------- ------ NETHERLANDS -- (5.2%) Aalberts Industries NV................ 507,343 13,523,613 0.4% Delta Lloyd NV........................ 1,074,736 24,496,720 0.8% Nutreco NV............................ 360,777 18,070,377 0.6% #* SBM Offshore NV....................... 962,257 12,044,543 0.4% TNT Express NV........................ 2,283,752 13,274,323 0.4% Other Securities...................... 104,658,516 3.3% -------------- ------ TOTAL NETHERLANDS......................... 186,068,092 5.9% -------------- ------ NORWAY -- (2.7%) Other Securities...................... 97,515,854 3.1% -------------- ------ PORTUGAL -- (1.4%) * Banco Comercial Portugues SA.......... 116,756,305 13,196,571 0.4% Other Securities...................... 37,431,451 1.2% -------------- ------ TOTAL PORTUGAL............................ 50,628,022 1.6% -------------- ------ SPAIN -- (5.6%) # Bolsas y Mercados Espanoles SA........ 387,022 14,724,818 0.5% * Gamesa Corp. Tecnologica SA........... 1,146,125 11,315,727 0.4% * Jazztel P.L.C......................... 1,097,205 17,541,651 0.6% # Viscofan SA........................... 224,736 13,214,604 0.4% Other Securities...................... 142,936,668 4.4% -------------- ------ TOTAL SPAIN............................... 199,733,468 6.3% -------------- ------ SWEDEN -- (9.2%) Castellum AB.......................... 752,681 11,542,461 0.4% JM AB................................. 372,482 12,039,459 0.4% Other Securities...................... 306,117,751 9.7% -------------- ------ TOTAL SWEDEN.............................. 329,699,671 10.5% -------------- ------ SWITZERLAND -- (11.7%) ams AG................................ 305,882 10,968,617 0.4% * Dufry AG.............................. 105,189 15,165,112 0.5% Flughafen Zuerich AG.................. 19,754 12,587,599 0.4% GAM Holding AG........................ 828,863 14,155,213 0.5% Georg Fischer AG...................... 20,425 11,796,958 0.4% Helvetia Holding AG................... 32,824 15,608,324 0.5% Lonza Group AG........................ 216,869 23,896,040 0.8% PSP Swiss Property AG................. 148,327 12,730,412 0.4% Straumann Holding AG.................. 47,712 11,746,936 0.4% Other Securities...................... 289,849,302 9.0% -------------- ------ TOTAL SWITZERLAND......................... 418,504,513 13.3% -------------- ------ TOTAL COMMON STOCKS....................... 3,138,563,698 99.6% -------------- ------
261 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- RIGHTS/WARRANTS -- (0.1%) AUSTRIA -- (0.0%) Other Securities................ $ 430 0.0% -------------- ------ FRANCE -- (0.1%) Other Securities................ 735,420 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities................ 421,400 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................ 172,545 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 152,032 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 1,481,827 0.0% -------------- ------ Value+ ------ SECURITIES LENDING COLLATERAL -- (12.3%) (S)@ DFA Short Term Investment Fund.. 38,146,040 441,349,686 14.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,059,179,623)............... $3,581,395,211 113.6% ============== ======
262 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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..................... -- $ 71,759,411 -- $ 71,759,411 Belgium..................... -- 105,548,709 -- 105,548,709 Denmark..................... -- 165,558,614 -- 165,558,614 Finland..................... -- 215,249,538 -- 215,249,538 France...................... $ 577,107 370,405,087 -- 370,982,194 Germany..................... 1,506,397 467,283,439 -- 468,789,836 Greece...................... -- 846 -- 846 Ireland..................... -- 67,558,080 -- 67,558,080 Israel...................... -- 81,625,599 -- 81,625,599 Italy....................... -- 309,341,251 -- 309,341,251 Netherlands................. -- 186,068,092 -- 186,068,092 Norway...................... -- 97,515,854 -- 97,515,854 Portugal.................... -- 50,628,022 -- 50,628,022 Spain....................... 34,154 199,699,314 -- 199,733,468 Sweden...................... 377,647 329,322,024 -- 329,699,671 Switzerland................. -- 418,504,513 -- 418,504,513 Rights/Warrants Austria..................... -- 430 -- 430 France...................... -- 735,420 -- 735,420 Germany..................... -- 421,400 -- 421,400 Italy....................... -- 172,545 -- 172,545 Portugal.................... -- -- -- -- Spain....................... -- 152,032 -- 152,032 Securities Lending Collateral. -- 441,349,686 -- 441,349,686 ---------- -------------- -- -------------- TOTAL......................... $2,495,305 $3,578,899,906 -- $3,581,395,211 ========== ============== == ==============
See accompanying Notes to Financial Statements. 263 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (78.8%) Consumer Discretionary -- (8.5%) # Cineplex, Inc............................... 290,435 $ 10,941,724 1.3% # Corus Entertainment, Inc. Class B........... 414,416 7,626,093 0.9% * Great Canadian Gaming Corp.................. 302,800 5,491,533 0.7% #* Imax Corp................................... 252,317 7,430,372 0.9% Linamar Corp................................ 238,706 12,193,163 1.4% RONA, Inc................................... 681,945 8,319,723 1.0% Other Securities............................ 39,355,775 4.6% ------------ ------ Total Consumer Discretionary.................... 91,358,383 10.8% ------------ ------ Consumer Staples -- (3.0%) # Maple Leaf Foods, Inc....................... 536,764 9,286,986 1.1% Other Securities............................ 22,403,255 2.6% ------------ ------ Total Consumer Staples.......................... 31,690,241 3.7% ------------ ------ Energy -- (21.2%) * Bankers Petroleum, Ltd...................... 1,411,399 5,422,437 0.6% # Bonavista Energy Corp....................... 572,444 5,378,805 0.6% # Bonterra Energy Corp........................ 138,595 6,230,965 0.7% # Canadian Energy Services & Technology Corp.. 950,642 7,338,259 0.9% # Enbridge Income Fund Holdings, Inc.......... 246,855 6,505,118 0.8% * Gran Tierra Energy, Inc..................... 1,393,412 6,354,765 0.7% # Mullen Group, Ltd........................... 483,025 9,385,784 1.1% * NuVista Energy, Ltd......................... 678,709 6,244,809 0.7% # Parkland Fuel Corp.......................... 400,877 7,842,898 0.9% # Pason Systems, Inc.......................... 368,652 8,821,742 1.0% Secure Energy Services, Inc................. 558,354 10,339,247 1.2% ShawCor, Ltd................................ 125,996 5,550,509 0.7% # Surge Energy, Inc........................... 1,179,583 6,541,319 0.8% Trican Well Service, Ltd.................... 817,696 7,327,740 0.9% # Whitecap Resources, Inc..................... 848,168 10,979,788 1.3% Other Securities............................ 117,421,885 13.9% ------------ ------ Total Energy.................................... 227,686,070 26.8% ------------ ------ Financials -- (6.8%) Canadian Western Bank....................... 300,957 10,080,411 1.2% FirstService Corp........................... 152,248 8,045,687 0.9% # Genworth MI Canada, Inc..................... 149,254 5,217,699 0.6% Home Capital Group, Inc..................... 241,200 11,560,822 1.4% Laurentian Bank of Canada................... 163,720 7,202,198 0.8% Other Securities............................ 30,958,654 3.7% ------------ ------ Total Financials................................ 73,065,471 8.6% ------------ ------ Health Care -- (1.4%) * Endo International P.L.C.................... 82,099 5,485,893 0.7% Other Securities............................ 9,961,226 1.1% ------------ ------ Total Health Care............................... 15,447,119 1.8% ------------ ------ Industrials -- (13.1%) * ATS Automation Tooling Systems, Inc......... 500,030 6,255,643 0.7% Badger Daylighting, Ltd..................... 212,981 5,232,637 0.6% MacDonald Dettwiler & Associates, Ltd....... 112,170 8,553,205 1.0% # Ritchie Bros Auctioneers, Inc............... 378,801 9,259,543 1.1% # Russel Metals, Inc.......................... 332,255 9,684,199 1.1%
264 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Stantec, Inc......................... 228,285 $ 14,464,160 1.7% Toromont Industries, Ltd............. 262,225 6,261,013 0.7% TransForce, Inc...................... 442,709 10,825,660 1.3% # Westshore Terminals Investment Corp.. 274,032 8,351,891 1.0% # WSP Global, Inc...................... 234,492 7,138,477 0.8% Other Securities..................... 55,234,526 6.6% -------------- ------ Total Industrials.......................... 141,260,954 16.6% -------------- ------ Information Technology -- (5.1%) * Celestica, Inc....................... 949,607 10,430,890 1.2% DH Corp.............................. 438,495 14,006,317 1.6% Other Securities..................... 29,917,238 3.6% -------------- ------ Total Information Technology............... 54,354,445 6.4% -------------- ------ Materials -- (14.9%) CCL Industries, Inc. Class B......... 111,467 11,268,843 1.3% * Dominion Diamond Corp................ 385,640 5,395,983 0.6% HudBay Minerals, Inc................. 1,202,315 9,206,316 1.1% * Interfor Corp........................ 373,031 5,672,997 0.7% Pan American Silver Corp............. 711,104 6,574,423 0.8% Stella-Jones, Inc.................... 180,100 5,230,179 0.6% Other Securities..................... 116,725,872 13.8% -------------- ------ Total Materials............................ 160,074,613 18.9% -------------- ------ Telecommunication Services -- (0.4%) Other Securities..................... 4,162,391 0.5% -------------- ------ Utilities -- (4.4%) Algonquin Power & Utilities Corp..... 930,215 7,593,255 0.9% Capital Power Corp................... 459,109 10,420,131 1.2% # Northland Power, Inc................. 517,996 7,707,549 0.9% # Superior Plus Corp................... 668,843 7,245,972 0.9% Other Securities..................... 14,834,337 1.7% -------------- ------ Total Utilities............................ 47,801,244 5.6% -------------- ------ TOTAL COMMON STOCKS........................ 846,900,931 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities..................... 26,252 0.0% -------------- ------ SECURITIES LENDING COLLATERAL -- (21.2%) (S)@ DFA Short Term Investment Fund....... 19,706,531 228,004,569 26.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,214,058,509).................. $1,074,931,752 126.5% ============== ======
265 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $ 91,358,383 -- -- $ 91,358,383 Consumer Staples............ 31,690,241 -- -- 31,690,241 Energy...................... 227,685,821 $ 249 -- 227,686,070 Financials.................. 73,065,471 -- -- 73,065,471 Health Care................. 15,439,083 8,036 -- 15,447,119 Industrials................. 141,260,954 -- -- 141,260,954 Information Technology...... 54,354,445 -- -- 54,354,445 Materials................... 160,037,600 37,013 -- 160,074,613 Telecommunication Services.. 4,162,391 -- -- 4,162,391 Utilities................... 47,801,244 -- -- 47,801,244 Rights/Warrants............... -- 26,252 -- 26,252 Securities Lending Collateral. -- 228,004,569 -- 228,004,569 ------------ ------------ -- -------------- TOTAL......................... $846,855,633 $228,076,119 -- $1,074,931,752 ============ ============ == ==============
See accompanying Notes to Financial Statements. 266 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.3%) BRAZIL -- (6.2%) # AMBEV SA ADR........................................ 4,395,524 $ 29,362,100 0.7% BRF SA ADR.......................................... 539,479 14,053,428 0.3% # Petroleo Brasileiro SA ADR.......................... 1,308,418 15,308,491 0.4% Other Securities.................................... 218,287,452 5.2% ------------ ----- TOTAL BRAZIL............................................ 277,011,471 6.6% ------------ ----- CHILE -- (1.4%) Other Securities.................................... 64,072,471 1.5% ------------ ----- CHINA -- (14.2%) Bank of China, Ltd. Class H......................... 64,409,100 30,829,478 0.7% China Construction Bank Corp. Class H............... 60,826,590 45,382,653 1.1% # China Life Insurance Co., Ltd. ADR.................. 321,472 14,385,872 0.4% China Mobile, Ltd. Sponsored ADR.................... 926,803 57,545,198 1.4% # CNOOC, Ltd. ADR..................................... 127,716 19,970,951 0.5% Industrial & Commercial Bank of China, Ltd. Class H. 70,069,185 46,432,446 1.1% # PetroChina Co., Ltd. ADR............................ 141,297 17,732,773 0.4% Tencent Holdings, Ltd............................... 4,238,200 68,117,466 1.6% Other Securities.................................... 335,139,774 8.0% ------------ ----- TOTAL CHINA............................................. 635,536,611 15.2% ------------ ----- COLOMBIA -- (0.6%) Other Securities.................................... 27,696,617 0.7% ------------ ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 10,267,693 0.2% ------------ ----- EGYPT -- (0.1%) Other Securities.................................... 5,504,432 0.1% ------------ ----- GREECE -- (0.5%) Other Securities.................................... 21,268,474 0.5% ------------ ----- HUNGARY -- (0.2%) Other Securities.................................... 10,085,929 0.2% ------------ ----- INDIA -- (8.5%) HDFC Bank, Ltd...................................... 1,530,953 22,816,462 0.6% Infosys, Ltd........................................ 246,907 16,378,721 0.4% # Infosys, Ltd. Sponsored ADR......................... 211,972 14,172,448 0.3% ITC, Ltd............................................ 2,345,449 13,543,182 0.3% Reliance Industries, Ltd............................ 1,386,691 22,471,396 0.5% Tata Consultancy Services, Ltd...................... 504,640 21,528,073 0.5% Other Securities.................................... 271,621,769 6.5% ------------ ----- TOTAL INDIA............................................. 382,532,051 9.1% ------------ ----- INDONESIA -- (3.0%) Bank Central Asia Tbk PT............................ 12,941,000 13,970,328 0.3% Other Securities.................................... 118,273,805 2.9% ------------ ----- TOTAL INDONESIA......................................... 132,244,133 3.2% ------------ -----
267 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.3%) # Malayan Banking Bhd....................... 5,072,736 $ 14,965,200 0.4% Other Securities.......................... 177,724,955 4.2% ------------ ----- TOTAL MALAYSIA................................ 192,690,155 4.6% ------------ ----- MEXICO -- (5.4%) # America Movil S.A.B. de C.V. Series L..... 37,750,669 46,171,244 1.1% #* Cemex S.A.B. de C.V. Sponsored ADR........ 1,449,200 17,825,160 0.4% # Fomento Economico Mexicano S.A.B. de C.V.. 1,793,669 17,279,694 0.4% Grupo Financiero Banorte S.A.B. de C.V.... 2,706,211 17,343,062 0.4% # Grupo Mexico S.A.B. de C.V. Series B...... 4,225,397 14,543,555 0.3% Grupo Televisa S.A.B. Series CPO.......... 2,556,698 18,522,711 0.4% Other Securities.......................... 110,176,180 2.8% ------------ ----- TOTAL MEXICO.................................. 241,861,606 5.8% ------------ ----- PERU -- (0.3%) Other Securities.......................... 12,716,077 0.3% ------------ ----- PHILIPPINES -- (1.3%) Other Securities.......................... 57,906,686 1.4% ------------ ----- POLAND -- (1.7%) Other Securities.......................... 75,493,710 1.8% ------------ ----- RUSSIA -- (2.4%) Gazprom OAO Sponsored ADR................. 5,965,736 39,527,845 1.0% Other Securities.......................... 68,471,968 1.6% ------------ ----- TOTAL RUSSIA.................................. 107,999,813 2.6% ------------ ----- SOUTH AFRICA -- (7.4%) FirstRand, Ltd............................ 3,475,911 14,888,452 0.4% MTN Group, Ltd............................ 1,869,995 41,407,390 1.0% Naspers, Ltd. Class N..................... 330,032 41,164,606 1.0% Sanlam, Ltd............................... 2,156,341 13,626,005 0.3% Sasol, Ltd. Sponsored ADR................. 609,116 30,571,532 0.7% Standard Bank Group, Ltd.................. 1,470,731 18,520,581 0.4% Other Securities.......................... 171,748,520 4.1% ------------ ----- TOTAL SOUTH AFRICA............................ 331,927,086 7.9% ------------ ----- SOUTH KOREA -- (13.5%) Hana Financial Group, Inc................. 408,553 14,148,126 0.3% Hyundai Mobis Co., Ltd.................... 67,404 15,770,151 0.4% Hyundai Motor Co.......................... 153,078 24,290,657 0.6% Naver Corp................................ 28,421 20,111,321 0.5% POSCO..................................... 47,828 13,814,499 0.3% Samsung Electronics Co., Ltd.............. 82,858 96,624,233 2.3% Samsung Electronics Co., Ltd. GDR......... 49,372 28,491,043 0.7% Shinhan Financial Group Co., Ltd.......... 356,215 16,765,534 0.4% * SK Hynix, Inc............................. 591,090 26,359,238 0.6% Other Securities.......................... 349,561,403 8.4% ------------ ----- TOTAL SOUTH KOREA............................. 605,936,205 14.5% ------------ ----- SPAIN -- (0.1%) Other Securities.......................... 2,648,146 0.1% ------------ -----
268 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (13.7%) Fubon Financial Holding Co., Ltd............. 7,900,233 $ 13,374,482 0.3% Hon Hai Precision Industry Co., Ltd.......... 13,621,302 43,111,377 1.0% # MediaTek, Inc................................ 1,280,995 18,296,396 0.4% Taiwan Semiconductor Manufacturing Co., Ltd.. 25,188,808 109,190,220 2.6% Other Securities............................. 429,338,339 10.4% -------------- ------ TOTAL TAIWAN....................................... 613,310,814 14.7% -------------- ------ THAILAND -- (2.6%) PTT PCL...................................... 1,203,800 13,601,425 0.3% Other Securities............................. 101,548,797 2.5% -------------- ------ TOTAL THAILAND..................................... 115,150,222 2.8% -------------- ------ TURKEY -- (1.7%) Other Securities............................. 75,903,106 1.8% -------------- ------ TOTAL COMMON STOCKS................................ 3,999,763,508 95.6% -------------- ------ PREFERRED STOCKS -- (3.7%) BRAZIL -- (3.6%) Banco Bradesco SA............................ 2,233,995 33,650,617 0.8% Itau Unibanco Holding SA..................... 2,825,064 41,923,253 1.0% Petroleo Brasileiro SA Sponsored ADR......... 1,884,456 23,046,897 0.6% Vale SA...................................... 1,529,491 13,308,584 0.3% Other Securities............................. 47,986,045 1.1% -------------- ------ TOTAL BRAZIL....................................... 159,915,396 3.8% -------------- ------ CHILE -- (0.0%) Other Securities............................. 29,097 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities............................. 5,631,663 0.1% -------------- ------ TOTAL PREFERRED STOCKS............................. 165,576,156 3.9% -------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities............................. 79,567 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities............................. -- 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................. 79,567 0.0% -------------- ------ Value+ ------ SECURITIES LENDING COLLATERAL -- (7.0%) (S)@ DFA Short Term Investment Fund............... 27,038,515 312,835,617 7.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,254,198,535).......................... $4,478,254,848 107.0% ============== ======
269 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...................... $112,939,346 $ 164,072,125 -- $ 277,011,471 Chile....................... 29,542,788 34,529,683 -- 64,072,471 China....................... 137,498,699 498,037,912 -- 635,536,611 Colombia.................... 27,696,617 -- -- 27,696,617 Czech Republic.............. -- 10,267,693 -- 10,267,693 Egypt....................... -- 5,504,432 -- 5,504,432 Greece...................... -- 21,268,474 -- 21,268,474 Hungary..................... -- 10,085,929 -- 10,085,929 India....................... 43,191,897 339,340,154 -- 382,532,051 Indonesia................... 825,627 131,418,506 -- 132,244,133 Malaysia.................... -- 192,690,155 -- 192,690,155 Mexico...................... 241,861,606 -- -- 241,861,606 Peru........................ 12,716,077 -- -- 12,716,077 Philippines................. 776,129 57,130,557 -- 57,906,686 Poland...................... -- 75,493,710 -- 75,493,710 Russia...................... 2,510,820 105,488,993 -- 107,999,813 South Africa................ 40,617,243 291,309,843 -- 331,927,086 South Korea................. 23,107,675 582,828,530 -- 605,936,205 Spain....................... 2,648,146 -- -- 2,648,146 Taiwan...................... 14,619,258 598,691,556 -- 613,310,814 Thailand.................... 115,150,222 -- -- 115,150,222 Turkey...................... 1,080,250 74,822,856 -- 75,903,106 Preferred Stocks Brazil...................... 29,186,093 130,729,303 -- 159,915,396 Chile....................... -- 29,097 -- 29,097 Colombia.................... 5,631,663 -- -- 5,631,663 Rights/Warrants Hong Kong................... -- 79,567 -- 79,567 Thailand.................... -- -- -- -- Securities Lending Collateral. -- 312,835,617 -- 312,835,617 ------------ -------------- -- -------------- TOTAL......................... $841,600,156 $3,636,654,692 -- $4,478,254,848 ============ ============== == ==============
See accompanying Notes to Financial Statements. 270 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.4%) ARGENTINA -- (0.0%) Other Securities........................................ $ 1 0.0% ------------ ------ BRAZIL -- (6.5%) * B2W Cia Digital......................................... 1,010,922 13,179,115 0.3% Cia Hering.............................................. 1,170,190 11,805,299 0.2% Cyrela Brazil Realty SA Empreendimentos e Participacoes. 1,928,800 9,584,339 0.2% EDP -- Energias do Brasil SA............................ 2,710,808 10,583,122 0.2% Equatorial Energia SA................................... 1,644,794 16,780,731 0.3% Estacio Participacoes SA................................ 1,461,804 16,922,055 0.4% Kroton Educacional SA................................... 2,457,240 17,508,535 0.4% MRV Engenharia e Participacoes SA....................... 3,395,133 11,229,446 0.2% Odontoprev SA........................................... 3,083,796 11,141,528 0.2% Raia Drogasil SA........................................ 1,124,075 10,193,104 0.2% Sul America SA.......................................... 1,801,909 9,564,666 0.2% Totvs SA................................................ 976,100 14,226,921 0.3% Other Securities........................................ 210,140,000 4.3% ------------ ------ TOTAL BRAZIL................................................ 362,858,861 7.4% ------------ ------ CAYMAN ISLANDS -- (0.0%) Other Securities........................................ 173,949 0.0% ------------ ------ CHILE -- (1.2%) Parque Arauco SA........................................ 5,929,777 12,167,289 0.3% Other Securities........................................ 55,087,000 1.1% ------------ ------ TOTAL CHILE................................................. 67,254,289 1.4% ------------ ------ CHINA -- (13.0%) # China Medical System Holdings, Ltd...................... 5,090,500 9,385,336 0.2% # Geely Automobile Holdings, Ltd.......................... 26,870,000 11,993,642 0.3% # Hanergy Thin Film Power Group, Ltd...................... 42,960,000 9,801,792 0.2% #* Semiconductor Manufacturing International Corp.......... 113,913,000 11,810,133 0.2% Sino Biopharmaceutical, Ltd............................. 13,536,000 13,610,428 0.3% Other Securities........................................ 669,516,693 13.6% ------------ ------ TOTAL CHINA................................................. 726,118,024 14.8% ------------ ------ COLOMBIA -- (0.1%) Other Securities........................................ 3,754,432 0.1% ------------ ------ GREECE -- (0.5%) Other Securities........................................ 29,197,746 0.6% ------------ ------ HONG KONG -- (0.0%) Other Securities........................................ 366,856 0.0% ------------ ------ HUNGARY -- (0.0%) Other Securities........................................ 755,325 0.0% ------------ ------ INDIA -- (10.7%) Aurobindo Pharma, Ltd................................... 1,129,123 17,834,037 0.4% Bharat Forge, Ltd....................................... 737,890 9,746,080 0.2% Eicher Motors, Ltd...................................... 44,217 9,154,615 0.2%
271 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) UPL, Ltd................................................ 2,016,992 $ 11,377,374 0.2% Other Securities........................................ 547,895,680 11.1% ------------ ------ TOTAL INDIA................................................. 596,007,786 12.1% ------------ ------ INDONESIA -- (3.0%) Other Securities........................................ 167,649,231 3.4% ------------ ------ ISRAEL -- (0.0%) Other Securities........................................ 11,979 0.0% ------------ ------ MALAYSIA -- (5.1%) Other Securities........................................ 283,665,087 5.8% ------------ ------ MEXICO -- (4.3%) #* Alsea S.A.B. de C.V..................................... 4,466,994 14,001,806 0.3% # Banregio Grupo Financiero S.A.B. de C.V................. 1,587,291 9,194,000 0.2% #* Genomma Lab Internacional S.A.B. de C.V. Class B........ 7,354,004 18,627,686 0.4% #* Gruma S.A.B. de C.V. Class B............................ 1,606,949 17,652,722 0.4% # Grupo Aeroportuario del Centro Norte S.A.B. de C.V...... 1,896,020 9,405,301 0.2% # Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 2,116,469 14,454,778 0.3% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR...... 100,208 13,496,013 0.3% # Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B.. 724,790 9,771,512 0.2% #* Industrias CH S.A.B. de C.V. Series B................... 1,696,510 9,294,979 0.2% * Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,454,679 20,065,469 0.4% Other Securities........................................ 106,482,210 2.0% ------------ ------ TOTAL MEXICO................................................ 242,446,476 4.9% ------------ ------ PHILIPPINES -- (1.3%) Other Securities........................................ 74,779,382 1.5% ------------ ------ POLAND -- (1.8%) Asseco Poland SA........................................ 656,782 9,749,693 0.2% Lubelski Wegiel Bogdanka SA............................. 274,756 9,120,473 0.2% Other Securities........................................ 82,706,939 1.7% ------------ ------ TOTAL POLAND................................................ 101,577,105 2.1% ------------ ------ SOUTH AFRICA -- (7.3%) Aeci, Ltd............................................... 874,500 9,805,655 0.2% AVI, Ltd................................................ 2,864,947 18,683,109 0.4% Barloworld, Ltd......................................... 1,322,234 11,486,919 0.2% # Clicks Group, Ltd....................................... 2,503,733 17,074,770 0.4% Coronation Fund Managers, Ltd........................... 1,346,747 11,660,676 0.2% # Foschini Group, Ltd. (The).............................. 1,278,900 14,457,346 0.3% Nampak, Ltd............................................. 2,719,764 11,091,128 0.2% Omnia Holdings, Ltd..................................... 586,831 11,713,180 0.2% PPC, Ltd................................................ 4,672,984 12,536,595 0.3% * Sappi, Ltd.............................................. 4,863,405 19,262,207 0.4% # Spar Group, Ltd. (The).................................. 1,304,149 15,258,631 0.3% Sun International, Ltd.................................. 901,369 10,096,536 0.2% * Telkom SA SOC, Ltd...................................... 2,411,246 12,813,649 0.3% Tongaat Hulett, Ltd..................................... 819,141 10,808,964 0.2% Other Securities........................................ 223,472,489 4.5% ------------ ------ TOTAL SOUTH AFRICA.......................................... 410,221,854 8.3% ------------ ------
272 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (12.7%) DGB Financial Group, Inc............ 721,377 $ 10,286,948 0.2% Macquarie Korea Infrastructure Fund. 1,514,061 10,111,962 0.2% Other Securities.................... 690,451,661 14.0% -------------- ------ TOTAL SOUTH KOREA....................... 710,850,571 14.4% -------------- ------ TAIWAN -- (12.6%) Other Securities.................... 706,354,207 14.4% -------------- ------ THAILAND -- (3.9%) Other Securities.................... 216,046,356 4.4% -------------- ------ TURKEY -- (2.4%) Other Securities.................... 135,178,601 2.7% -------------- ------ TOTAL COMMON STOCKS..................... 4,835,268,118 98.3% -------------- ------ PREFERRED STOCKS -- (1.1%) BRAZIL -- (1.0%) Other Securities.................... 57,412,096 1.1% -------------- ------ CHILE -- (0.0%) Other Securities.................... 14,136 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities.................... 3,466,398 0.1% -------------- ------ MALAYSIA -- (0.0%) Other Securities.................... 29,710 0.0% -------------- ------ TOTAL PREFERRED STOCKS.................. 60,922,340 1.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities.................... 954 0.0% -------------- ------ CHINA -- (0.0%) Other Securities.................... 16,652 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities.................... 442,290 0.0% -------------- ------ INDONESIA -- (0.0%) Other Securities.................... 2,968 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities.................... -- 0.0% -------------- ------ POLAND -- (0.0%) Other Securities.................... 2,864 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities.................... 23,142 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities.................... 1,123 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities.................... 12,789 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 502,782 0.0% -------------- ------
273 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund.. 60,395,887 $ 698,780,414 14.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,112,385,384)............... $5,595,473,654 113.7% ============== ======
Summary of the Series' investments as of October 31, 2014, 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...................... 10,395,875 $ 352,462,986 -- 362,858,861 Cayman Islands.............. 173,949 -- -- 173,949 Chile....................... 3,448,774 63,805,515 -- 67,254,289 China....................... 442,049 725,675,975 -- 726,118,024 Colombia.................... 3,754,432 -- -- 3,754,432 Greece...................... -- 29,197,746 -- 29,197,746 Hong Kong................... -- 366,856 -- 366,856 Hungary..................... -- 755,325 -- 755,325 India....................... 527,424 595,480,362 -- 596,007,786 Indonesia................... 2,642,819 165,006,412 -- 167,649,231 Israel...................... -- 11,979 -- 11,979 Malaysia.................... 97,116 283,567,971 -- 283,665,087 Mexico...................... 242,291,101 155,375 -- 242,446,476 Philippines................. -- 74,779,382 -- 74,779,382 Poland...................... -- 101,577,105 -- 101,577,105 South Africa................ 11,844,483 398,377,371 -- 410,221,854 South Korea................. 7,659,035 703,191,536 -- 710,850,571 Taiwan...................... 831,572 705,522,635 -- 706,354,207 Thailand.................... 216,046,356 -- -- 216,046,356 Turkey...................... 1,922,379 133,256,222 -- 135,178,601 Preferred Stocks Brazil...................... -- 57,412,096 -- 57,412,096 Chile....................... -- 14,136 -- 14,136 Colombia.................... 3,466,398 -- -- 3,466,398 Malaysia.................... -- 29,710 -- 29,710 Rights/Warrants Brazil...................... -- 954 -- 954 China....................... -- 16,652 -- 16,652 Hong Kong................... -- 442,290 -- 442,290 Indonesia................... -- 2,968 -- 2,968 Malaysia.................... -- -- -- -- Poland...................... -- 2,864 -- 2,864 South Korea................. -- 23,142 -- 23,142 Taiwan...................... -- 1,123 -- 1,123 Thailand.................... -- 12,789 -- 12,789 Securities Lending Collateral. -- 698,780,414 -- 698,780,414 ------------ -------------- -- -------------- TOTAL......................... $505,543,763 $5,089,929,891 -- $5,595,473,654 ============ ============== == ==============
See accompanying Notes to Financial Statements. 274 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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 $879,034, $520,229, $354,425 and $358,051 of securities on loan, respectively)........... $18,311,884 $9,287,538 $2,488,895 $1,447,465 Temporary Cash Investments at Value & Cost................... 87,103 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................ 859,318 539,366 377,081 390,860 Foreign Currencies at Value.................................. -- 17,690 1,486 2,507 Cash......................................................... 13,825 5,422 1,528 3,441 Receivables: Investment Securities Sold................................. 20,227 24,359 2,766 1,118 Dividends, Interest and Tax Reclaims....................... 21,253 23,482 13,265 1,317 Securities Lending Income.................................. 283 296 376 328 ----------- ---------- ---------- ---------- Total Assets............................................ 19,313,893 9,898,153 2,885,397 1,847,036 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned........................... 859,318 539,366 377,081 390,860 Investment Securities Purchased............................ 75,770 13,093 2,549 2,179 Due to Advisor............................................. 1,485 1,536 207 121 Unrealized Loss on Foreign Currency Contracts................ -- 8 -- 3 Accrued Expenses and Other Liabilities....................... 638 484 151 87 ----------- ---------- ---------- ---------- Total Liabilities....................................... 937,211 554,487 379,988 393,250 ----------- ---------- ---------- ---------- NET ASSETS................................................... $18,376,682 $9,343,666 $2,505,409 $1,453,786 =========== ========== ========== ========== Investments at Cost.......................................... $11,646,135 $8,230,505 $2,364,260 $1,442,209 =========== ========== ========== ========== Foreign Currencies at Cost................................... $ -- $ 17,831 $ 1,505 $ 2,520 =========== ========== ========== ==========
---------- * 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, 2014 (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 $48,155, $405,924, $243,562, $432,917 and $871,848 of securities on loan, respectively).............................. $1,985,145 $3,140,046 $ 846,927 $4,165,419 $4,896,693 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 52,727 441,350 228,005 312,836 698,780 Foreign Currencies at Value................. 4,826 10,243 251 11,976 10,393 Cash........................................ 2,460 338 2,616 6,150 8,696 Receivables: Investment Securities Sold................ 82 4,135 95 7,772 4,844 Dividends, Interest and Tax Reclaims...... 5,936 1,554 779 3,360 4,367 Securities Lending Income................. 30 572 227 421 2,258 ---------- ---------- ---------- ---------- ---------- Total Assets........................... 2,051,206 3,598,238 1,078,900 4,507,934 5,626,031 ---------- ---------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 55,064 441,350 228,005 312,836 698,780 Investment Securities Purchased........... -- 4,177 1,341 8,960 4,576 Due to Advisor............................ 164 262 74 346 826 Unrealized Loss on Foreign Currency Contracts.................................. -- -- 9 1 5 Accrued Expenses and Other Liabilities...... 80 172 42 340 406 ---------- ---------- ---------- ---------- ---------- Total Liabilities...................... 55,308 445,961 229,471 322,483 704,593 ---------- ---------- ---------- ---------- ---------- NET ASSETS.................................. $1,995,898 $3,152,277 $ 849,429 $4,185,451 $4,921,438 ========== ========== ========== ========== ========== Investments at Cost......................... $1,480,597 $2,617,830 $ 986,054 $2,941,363 $4,413,605 ========== ========== ========== ========== ========== Foreign Currencies at Cost.................. $ 4,863 $ 10,332 $ 251 $ 12,030 $ 10,444 ========== ========== ========== ========== ==========
---------- * 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, 2014 (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 $0, $24,564, $4,408 and $1,164, respectively)......................... $ 334,109 $ 429,413 $ 39,733 $ 52,945 Interest.................................................. 25 1 -- -- Income from Securities Lending............................ 3,070 10,716 3,412 3,989 ---------- --------- -------- --------- Total Investment Income................................ 337,204 440,130 43,145 56,934 ---------- --------- -------- --------- Expenses Investment Advisory Services Fees......................... 16,749 18,658 2,353 1,392 Accounting & Transfer Agent Fees.......................... 840 479 123 81 Custodian Fees............................................ 177 807 445 313 Shareholders' Reports..................................... 24 14 4 2 Directors'/Trustees' Fees & Expenses...................... 118 66 17 10 Professional Fees......................................... 320 255 56 33 Other..................................................... 71 82 23 14 ---------- --------- -------- --------- Total Expenses......................................... 18,299 20,361 3,021 1,845 ---------- --------- -------- --------- Fees Paid Indirectly...................................... -- (12) (4) (5) ---------- --------- -------- --------- Net Expenses.............................................. 18,299 20,349 3,017 1,840 ---------- --------- -------- --------- Net Investment Income (Loss).............................. 318,905 419,781 40,128 55,094 ---------- --------- -------- --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.............................. 755,725 173,096 97,004 882 Foreign Currency Transactions........................... -- (1,763) (567) (18) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............. 1,319,300 (672,491) (82,784) (101,865) Translation of Foreign Currency Denominated Amounts..... -- (1,379) (535) (11) ---------- --------- -------- --------- Net Realized and Unrealized Gain (Loss)................... 2,075,025 (502,537) 13,118 (101,012) ---------- --------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $2,393,930 $ (82,756) $ 53,246 $ (45,918) ========== ========= ======== =========
See accompanying Notes to Financial Statements. 277 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $73, $11,265, $3,135, $13,268 and $11,147, respectively)........................................ $ 64,648 $ 75,169 $ 18,660 $100,897 $102,507 Interest.............................................. -- 21 -- 5 5 Income from Securities Lending........................ 297 10,965 3,089 4,838 20,018 --------- --------- -------- -------- -------- Total Investment Income............................ 64,945 86,155 21,749 105,740 122,530 --------- --------- -------- -------- -------- Expenses Investment Advisory Services Fees..................... 2,100 3,415 857 3,968 8,929 Accounting & Transfer Agent Fees...................... 110 182 44 210 235 Custodian Fees........................................ 105 563 75 1,577 2,347 Shareholders' Reports................................. 3 5 1 6 7 Directors'/Trustees' Fees & Expenses.................. 15 24 6 28 31 Professional Fees..................................... 51 110 19 146 219 Other................................................. 18 31 6 37 46 --------- --------- -------- -------- -------- Total Expenses..................................... 2,402 4,330 1,008 5,972 11,814 --------- --------- -------- -------- -------- Fees Paid Indirectly.................................. (1) (2) (4) (12) (12) --------- --------- -------- -------- -------- Net Expenses.......................................... 2,401 4,328 1,004 5,960 11,802 --------- --------- -------- -------- -------- Net Investment Income (Loss).......................... 62,544 81,827 20,745 99,780 110,728 --------- --------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*......................... 111,297 116,406 (2,865) (24,811) 101,054 Futures............................................. -- (1,000) -- -- -- Foreign Currency Transactions....................... (238) (321) 86 (653) (980) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... (148,584) (269,561) (64,673) 12,344 20,955 Translation of Foreign Currency Denominated Amounts............................................ (41) (151) 5 (12) (139) --------- --------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)............... (37,566) (154,627) (67,447) (13,132) 120,890 --------- --------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................ $ 24,978 $ (72,800) $(46,702) $ 86,648 $231,618 ========= ========= ======== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $1,375, 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, 2014 2013 2014 2013 2014 2013 ----------- ----------- ---------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........... $ 318,905 $ 250,494 $ 419,781 $ 252,489 $ 40,128 $ 37,996 Net Realized Gain (Loss) on: Investment Securities Sold*.......... 755,725 1,042,669 173,096 394,216 97,004 94,606 Futures.............................. -- -- -- (1,587) -- -- Foreign Currency Transactions........ -- -- (1,763) (2,158) (567) (2,405) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 1,319,300 2,531,751 (672,491) 1,329,657 (82,784) 403,911 Translation of Foreign Currency Denominated Amounts................. -- -- (1,379) 544 (535) 393 ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 2,393,930 3,824,914 (82,756) 1,973,161 53,246 534,501 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions.......................... 1,721,914 1,639,135 1,022,273 1,055,913 296,221 268,246 Withdrawals............................ (578,150) (1,214,213) (387,981) (1,475,193) (125,682) (207,854) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 1,143,764 424,922 634,292 (419,280) 170,539 60,392 ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... 3,537,694 4,249,836 551,536 1,553,881 223,785 594,893 Net Assets Beginning of Year...................... 14,838,988 10,589,152 8,792,130 7,238,249 2,281,624 1,686,731 ----------- ----------- ---------- ----------- ---------- ---------- End of Year............................ $18,376,682 $14,838,988 $9,343,666 $ 8,792,130 $2,505,409 $2,281,624 =========== =========== ========== =========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $3, $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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 55,094 $ 51,800 $ 62,544 $ 55,266 $ 81,827 $ 70,319 Net Realized Gain (Loss) on: Investment Securities Sold*........... 882 2,045 111,297 110,830 116,406 61,594 Futures............................... -- -- -- -- (1,000) -- Foreign Currency Transactions......... (18) 32 (238) 8 (321) (97) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. (101,865) 64,761 (148,584) 377,497 (269,561) 843,629 Translation of Foreign Currency Denominated Amounts.................. (11) (13) (41) (22) (151) 123 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... (45,918) 118,625 24,978 543,579 (72,800) 975,568 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 315,024 243,954 17,172 20,921 106,051 97,213 Withdrawals............................. (80,818) (100,941) (34,539) (41,051) (98,740) (100,194) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 234,206 143,013 (17,367) (20,130) 7,311 (2,981) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 188,288 261,638 7,611 523,449 (65,489) 972,587 Net Assets Beginning of Year....................... 1,265,498 1,003,860 1,988,287 1,464,838 3,217,766 2,245,179 ---------- ---------- ---------- ---------- ---------- ---------- End of Year............................. $1,453,786 $1,265,498 $1,995,898 $1,988,287 $3,152,277 $3,217,766 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $14, $0 and $14, 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, 2014 2013 2014 2013 2014 2013 -------- -------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 20,745 $ 20,407 $ 99,780 $ 77,332 $ 110,728 $ 87,786 Net Realized Gain (Loss) on: Investment Securities Sold*................ (2,865) 5,104 (24,811) 24,456 101,054 69,227 Futures.................................... -- -- -- -- -- 463 Foreign Currency Transactions.............. 86 (36) (653) (130) (980) (1,240) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. (64,673) 14,601 12,344 145,893 20,955 144,458 Translation of Foreign Currency Denominated Amounts....................... 5 (11) (12) (8) (139) (41) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ (46,702) 40,065 86,648 247,543 231,618 300,653 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions................................ 159,436 42,578 527,157 937,021 773,201 1,276,889 Withdrawals.................................. (4,509) (30,525) (194,514) (331,711) (174,904) (439,369) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. 154,927 12,053 332,643 605,310 598,297 837,520 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 108,225 52,118 419,291 852,853 829,915 1,138,173 Net Assets Beginning of Year............................ 741,204 689,086 3,766,160 2,913,307 4,091,523 2,953,350 -------- -------- ---------- ---------- ---------- ---------- End of Year.................................. $849,429 $741,204 $4,185,451 $3,766,160 $4,921,438 $4,091,523 ======== ======== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1,375 and $1, 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------- Total Return......................................... 15.67% 35.68% 18.31% 5.69% 19.96% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $18,376,682 $14,838,988 $10,589,152 $9,335,107 $8,816,400 Ratio of Expenses to Average Net Assets.............. 0.11% 0.11% 0.12% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets. 1.90% 1.98% 2.15% 1.79% 2.02% Portfolio Turnover Rate.............................. 15% 15% 10% 14% 28% --------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Total Return................................................. (0.72)% 28.18% 3.17% (8.04)% 11.13% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,343,666 $8,792,130 $7,238,249 $6,955,907 $6,919,633 Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.24% 0.23% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.22% 0.22% 0.24% 0.23% 0.24% Ratio of Net Investment Income to Average Net Assets......... 4.50% 3.20% 3.75% 3.47% 2.55% Portfolio Turnover Rate...................................... 17% 15% 14% 9% 20% ---------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 2.46% 30.62% 0.54% 10.07% 0.72% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,505,409 $2,281,624 $1,686,731 $1,502,815 $1,211,600 Ratio of Expenses to Average Net Assets...................... 0.13% 0.14% 0.15% 0.14% 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.14% 0.15% 0.14% 0.14% Ratio of Net Investment Income to Average Net Assets......... 1.71% 1.87% 2.17% 2.07% 1.95% Portfolio Turnover Rate...................................... 9% 16% 7% 5% 10% -------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------------- Total Return................................................. (3.46)% 10.97% 7.48% (5.15)% 28.91% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,453,786 $1,265,498 $1,003,860 $906,734 $935,138 Ratio of Expenses to Average Net Assets...................... 0.13% 0.15% 0.16% 0.16% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.15% 0.16% 0.16% 0.17% Ratio of Net Investment Income to Average Net Assets......... 3.96% 4.64% 4.26% 3.78% 3.64% Portfolio Turnover Rate...................................... 7% 9% 18% 17% 18% -----------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 1.22% 37.42% 23.41% 0.20% 25.94% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,995,898 $1,988,287 $1,464,838 $1,133,845 $1,036,694 Ratio of Expenses to Average Net Assets...................... 0.11% 0.12% 0.13% 0.13% 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.11% 0.12% 0.13% 0.13% 0.13% Ratio of Net Investment Income to Average Net Assets......... 2.98% 3.29% 3.37% 3.76% 2.86% Portfolio Turnover Rate...................................... 8% 17% 6% 7% 15% -------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Total Return................................................. (2.25)% 43.67% 2.29% (10.75)% 15.37% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,152,277 $3,217,766 $2,245,179 $2,001,763 $2,072,484 Ratio of Expenses to Average Net Assets...................... 0.13% 0.14% 0.16% 0.15% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.14% 0.16% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets......... 2.40% 2.67% 3.15% 2.72% 2.24% Portfolio Turnover Rate...................................... 13% 13% 9% 10% 12% ---------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------------------- Total Return............................................................. (3.83)% 5.71% (2.51)% 0.27% 43.17% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)...................................... $849,429 $741,204 $689,086 $736,262 $663,722 Ratio of Expenses to Average Net Assets.................................. 0.12% 0.13% 0.15% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.12% 0.13% 0.15% 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets..................... 2.42% 2.99% 2.29% 1.72% 1.05% Portfolio Turnover Rate.................................................. 5% 14% 22% 24% 10% -----------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 1.74% 6.99% 4.55% (6.44)% 27.04% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,185,451 $3,766,160 $2,913,307 $2,439,981 $2,529,493 Ratio of Expenses to Average Net Assets...................... 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Net Investment Income to Average Net Assets......... 2.51% 2.38% 2.55% 2.48% 2.18% Portfolio Turnover Rate...................................... 5% 4% 5% 16% 12% --------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 5.60% 9.41% 7.19% (12.94)% 41.96% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,921,438 $4,091,523 $2,953,350 $1,874,926 $1,881,356 Ratio of Expenses to Average Net Assets...................... 0.26% 0.29% 0.36% 0.33% 0.32% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.26% 0.29% 0.36% 0.33% 0.32% Ratio of Net Investment Income to Average Net Assets......... 2.48% 2.37% 2.48% 2.32% 2.16% Portfolio Turnover Rate...................................... 9% 11% 13% 18% 15% --------------------------------------------------------------------------------------------------------------------------
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 ask prices which approximates 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 287 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of 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. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Series. 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 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, 288 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, 2014, 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, 2014, 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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- The DFA International Value Series...... $12 The Japanese Small Company Series....... 4 The Asia Pacific Small Company Series... 5 The United Kingdom Small Company Series. 1 The Continental Small Company Series.... 2 The Canadian Small Company Series....... 4 The Emerging Markets Series............. 12 The Emerging Markets Small Cap Series... 12
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, 2014, the total related amounts paid by the Trust to the CCO were $83 (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, 2014, 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......... $399 The DFA International Value Series...... 284 The Japanese Small Company Series....... 64 The Asia Pacific Small Company Series... 33 The United Kingdom Small Company Series. 43 The Continental Small Company Series.... 79 The Canadian Small Company Series....... 20 The Emerging Markets Series............. 104 The Emerging Markets Small Cap Series... 77
290 E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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......... $3,909,998 $2,450,419 The DFA International Value Series...... 2,543,963 1,602,168 The Japanese Small Company Series....... 428,650 219,413 The Asia Pacific Small Company Series... 393,635 91,705 The United Kingdom Small Company Series. 243,468 177,009 The Continental Small Company Series.... 518,636 430,628 The Canadian Small Company Series....... 223,575 38,347 The Emerging Markets Series............. 637,475 196,321 The Emerging Markets Small Cap Series... 1,109,150 389,098
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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- The U.S. Large Cap Value Series......... $12,592,751 $6,828,954 $(163,400) $6,665,554 The DFA International Value Series...... 8,784,721 1,642,679 (600,496) 1,042,183 The Japanese Small Company Series....... 2,771,115 381,781 (286,920) 94,861 The Asia Pacific Small Company Series... 1,866,856 288,322 (316,853) (28,531) The United Kingdom Small Company Series. 1,553,580 625,581 (141,289) 484,292 The Continental Small Company Series.... 3,065,469 949,996 (434,069) 515,927 The Canadian Small Company Series....... 1,216,657 137,372 (279,097) (141,725) The Emerging Markets Series............. 3,268,179 1,476,765 (266,689) 1,210,076 The Emerging Markets Small Cap Series... 5,156,701 1,119,729 (680,957) 438,772
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 remain subject to examination by the Internal Revenue Service. 291 G. Financial Instruments: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Series may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Series. 2. Futures Contracts: The Series 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 location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the year ended October 31, 2014 (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 Total Contracts --------- ------------- The Continental Small Company Series*. $(1,000) $(1,000)
* As of October 31, 2014, there were no futures contracts outstanding. During the year ended October 31, 2014, the Series had limited activity in futures contracts. H. 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 292 credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 2, 2015. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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 Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- The U.S. Large Cap Value Series....... 0.85% $11,241 11 $ 3 $32,996 The DFA International Value Series.... 0.83% 8,088 9 2 16,208 The Japanese Small Company Series..... 0.83% 5,915 9 1 9,696 The Asia Pacific Small Company Series. 0.83% 1,461 9 -- 3,398 The United Kingdom Small Company Series.............................. 0.83% 407 11 -- 798 The Continental Small Company Series.. 0.83% 447 31 -- 1,730 The Emerging Markets Series........... 0.84% 3,432 17 1 10,644 The Emerging Markets Small Cap Series. 0.83% 4,374 27 3 9,078
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, 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, 2014. I. Securities Lending: As of October 31, 2014, 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 Uninvested Value Cash Collateral -------- --------------- The U.S. Large Cap Value Series......... $ 27,105 -- The DFA International Value Series...... 7,009 -- The Asia Pacific Small Company Series... 3,288 -- The United Kingdom Small Company Series. -- $2,337 The Canadian Small Company Series....... 29,346 -- The Emerging Markets Series............. 149,153 -- The Emerging Markets Small Cap Series... 273,571 --
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 293 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. In the event of the bankruptcy of the borrower, a Series could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. 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. 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, described below, 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. 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. Oral argument on the appeal was held on November 5, 2014, and the parties await the Second Circuit's ruling. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. 294 Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery 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 quantify the cost of the Lawsuits that could potentially be 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. 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. 295 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees of The DFA Investment Trust Company and Shareholders of the Series, as defined: 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, 2014, 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, 2014 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 19, 2014 296 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- DIMENSIONAL EMERGING MARKETS VALUE FUND VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Dimensional Emerging MSCI Emerging Markets Markets Value Fund Index (net div.) -------------------- -------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,081 10,926 12/31/2004 11,800 11,450 1/31/2005 11,998 11,480 2/28/2005 13,093 12,481 3/31/2005 12,142 11,656 4/30/2005 11,711 11,343 5/31/2005 11,889 11,738 6/30/2005 12,285 12,137 7/31/2005 13,177 12,985 8/31/2005 13,395 13,097 9/30/2005 14,473 14,316 10/31/2005 13,571 13,380 11/30/2005 14,578 14,487 12/31/2005 15,498 15,343 1/31/2006 16,986 17,057 2/28/2006 17,055 17,037 3/31/2006 17,639 17,187 4/30/2006 19,180 18,411 5/31/2006 17,111 16,482 6/30/2006 16,959 16,442 7/31/2006 17,368 16,677 8/31/2006 17,684 17,102 9/30/2006 18,050 17,244 10/31/2006 19,310 18,063 11/30/2006 20,727 19,406 12/31/2006 21,461 20,280 1/31/2007 21,799 20,061 2/28/2007 21,929 19,942 3/31/2007 23,078 20,737 4/30/2007 24,925 21,697 5/31/2007 26,828 22,771 6/30/2007 27,598 23,839 7/31/2007 28,915 25,096 8/31/2007 27,992 24,563 9/30/2007 30,519 27,276 10/31/2007 33,879 30,317 11/30/2007 31,421 28,168 12/31/2007 31,381 28,267 1/31/2008 28,270 24,740 2/29/2008 29,407 26,566 3/31/2008 28,424 25,160 4/30/2008 30,625 27,202 5/31/2008 30,900 27,706 6/30/2008 27,315 24,943 7/31/2008 26,786 24,002 8/31/2008 24,505 22,085 9/30/2008 20,280 18,220 10/31/2008 13,988 13,234 11/30/2008 12,932 12,237 12/31/2008 14,528 13,192 1/31/2009 13,223 12,340 2/28/2009 12,099 11,644 3/31/2009 14,199 13,317 4/30/2009 16,993 15,533 5/31/2009 20,827 18,187 6/30/2009 20,574 17,942 7/31/2009 23,343 19,960 8/31/2009 23,527 19,888 9/30/2009 25,706 21,694 10/31/2009 25,102 21,720 11/30/2009 26,712 22,654 12/31/2009 28,047 23,548 1/31/2010 26,459 22,235 2/28/2010 26,673 22,313 3/31/2010 29,025 24,114 4/30/2010 29,223 24,407 5/31/2010 26,173 22,260 6/30/2010 26,338 22,096 7/31/2010 28,789 23,936 8/31/2010 28,272 23,471 9/30/2010 31,678 26,080 10/31/2010 32,772 26,837 11/30/2010 31,722 26,129 12/31/2010 34,371 27,993 1/31/2011 33,299 27,234 2/28/2011 32,761 26,980 3/31/2011 34,651 28,566 4/30/2011 35,898 29,452 5/31/2011 34,541 28,680 6/30/2011 33,838 28,238 7/31/2011 33,568 28,113 8/31/2011 30,173 25,601 9/30/2011 24,767 21,868 10/31/2011 28,030 24,765 11/30/2011 26,618 23,114 12/31/2011 25,673 22,836 1/31/2012 29,245 25,426 2/29/2012 31,030 26,949 3/31/2012 29,706 26,049 4/30/2012 28,750 25,738 5/31/2012 25,575 22,852 6/30/2012 26,739 23,734 7/31/2012 26,580 24,197 8/31/2012 26,959 24,116 9/30/2012 28,701 25,571 10/31/2012 28,338 25,416 11/30/2012 28,662 25,739 12/31/2012 30,761 26,997 1/31/2013 31,266 27,369 2/28/2013 30,755 27,026 3/31/2013 30,503 26,560 4/30/2013 30,777 26,760 5/31/2013 29,909 26,074 6/30/2013 27,399 24,414 7/31/2013 27,943 24,669 8/31/2013 27,360 24,245 9/30/2013 29,387 25,822 10/31/2013 30,728 27,076 11/30/2013 30,003 26,681 12/31/2013 29,712 26,295 1/31/2014 27,646 24,587 2/28/2014 28,267 25,402 3/31/2014 29,536 26,182 4/30/2014 29,739 26,269 5/31/2014 30,959 27,186 6/30/2014 31,777 27,908 7/31/2014 32,387 28,448 8/31/2014 33,118 29,089 9/30/2014 30,420 26,933 10/31/2014 30,393 27,250 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------ MSCI data copyright MSCI 2014, all -1.09% 3.90% 11.76% rights reserved.
-------------------------------------------------------------------------------- 297 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) International Equity Market Review 12 Months Ended October 31, 2014 Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars ------------------------------------------ ------------ ---------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Dimensional Emerging Markets Value Fund The Dimensional Emerging Markets Value Fund is designed 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, 2014, 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, 2014, total returns were -1.09% for the Fund and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Fund's diversified investment approach, performance was generally determined by broad trends in emerging markets rather than the behavior of a limited number of stocks. The Fund invests primarily in value stocks while the Index is neutral with regard to value stocks. Emerging markets value stocks generally underperformed during the period, which was the primary driver of the Fund's relative underperformance. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Dimensional Emerging Markets Value Fund --------------------------------------- Actual Fund Return...................... $1,000.00 $1,022.00 0.15% $0.76 Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77
---------- * 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 29, 2014. 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....................... 6.6% Consumer Staples............................. 5.0% Energy....................................... 12.4% Financials................................... 35.8% Health Care.................................. 0.3% Industrials.................................. 11.9% Information Technology....................... 7.6% Materials.................................... 16.6% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.3% Utilities.................................... 2.4% ----- 100.0%
300 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.7%) BRAZIL -- (5.4%) Banco do Brasil SA.................................. 10,290,573 $ 115,161,060 0.6% Banco Santander Brasil SA ADR....................... 17,807,476 97,584,968 0.5% BM&FBovespa SA...................................... 16,976,687 74,703,226 0.4% JBS SA.............................................. 18,033,940 80,378,469 0.4% # Petroleo Brasileiro SA ADR.......................... 18,327,471 214,431,411 1.1% # Vale SA Sponsored ADR............................... 13,734,107 138,577,140 0.7% Other Securities.................................... 361,906,896 2.0% -------------- ----- TOTAL BRAZIL............................................ 1,082,743,170 5.7% -------------- ----- CHILE -- (1.4%) Enersis SA Sponsored ADR............................ 5,733,186 90,527,007 0.5% Other Securities.................................... 202,439,738 1.1% -------------- ----- TOTAL CHILE............................................. 292,966,745 1.6% -------------- ----- CHINA -- (14.2%) Agricultural Bank of China, Ltd. Class H............ 255,464,000 118,712,368 0.6% Bank of China, Ltd. Class H......................... 763,167,331 365,290,776 1.9% Bank of Communications Co., Ltd. Class H............ 96,624,574 72,200,559 0.4% China Construction Bank Corp. Class H............... 542,030,940 404,408,696 2.2% # China Petroleum & Chemical Corp. ADR................ 1,223,161 106,390,526 0.6% China Petroleum & Chemical Corp. Class H............ 106,787,575 92,607,409 0.5% # China Unicom Hong Kong, Ltd. ADR.................... 7,285,774 109,140,894 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 302,174,996 200,241,009 1.1% Other Securities.................................... 1,410,991,276 7.3% -------------- ----- TOTAL CHINA............................................. 2,879,983,513 15.2% -------------- ----- COLOMBIA -- (0.1%) Other Securities.................................... 26,308,586 0.1% -------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 41,573,273 0.2% -------------- ----- GREECE -- (0.1%) Other Securities.................................... 20,612,791 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 209,454 0.0% -------------- ----- HUNGARY -- (0.4%) Other Securities.................................... 74,137,391 0.4% -------------- ----- INDIA -- (8.6%) ICICI Bank, Ltd. Sponsored ADR...................... 3,344,526 188,497,485 1.0% Reliance Industries, Ltd............................ 21,131,225 342,432,538 1.8% State Bank of India................................. 2,134,196 93,821,600 0.5% Other Securities.................................... 1,110,527,170 5.9% -------------- ----- TOTAL INDIA............................................. 1,735,278,793 9.2% -------------- ----- INDONESIA -- (2.6%) Other Securities.................................... 522,620,783 2.8% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 19,227 0.0% -------------- -----
301 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.0%) Other Securities.................................... $ 801,617,645 4.2% -------------- ----- MEXICO -- (7.0%) Alfa S.A.B. de C.V. Class A......................... 45,897,748 146,525,141 0.8% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 17,909,306 220,284,464 1.2% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,578,915 248,194,779 1.3% Grupo Financiero Banorte S.A.B. de C.V.............. 23,817,280 152,635,757 0.8% Other Securities.................................... 652,631,147 3.4% -------------- ----- TOTAL MEXICO............................................ 1,420,271,288 7.5% -------------- ----- PHILIPPINES -- (1.1%) Other Securities.................................... 213,846,255 1.1% -------------- ----- POLAND -- (1.8%) PGE SA.............................................. 14,453,314 94,828,904 0.5% Other Securities.................................... 272,919,980 1.4% -------------- ----- TOTAL POLAND............................................ 367,748,884 1.9% -------------- ----- RUSSIA -- (2.4%) Gazprom OAO Sponsored ADR........................... 67,242,144 445,533,804 2.4% Other Securities.................................... 47,366,599 0.2% -------------- ----- TOTAL RUSSIA............................................ 492,900,403 2.6% -------------- ----- SOUTH AFRICA -- (7.0%) Barclays Africa Group, Ltd.......................... 6,214,975 98,223,014 0.5% # Nedbank Group, Ltd.................................. 3,800,421 82,877,562 0.4% Sanlam, Ltd......................................... 19,211,956 121,401,118 0.7% Standard Bank Group, Ltd............................ 19,894,413 250,525,816 1.3% # Steinhoff International Holdings, Ltd............... 27,917,185 142,824,599 0.8% Other Securities.................................... 710,199,670 3.7% -------------- ----- TOTAL SOUTH AFRICA...................................... 1,406,051,779 7.4% -------------- ----- SOUTH KOREA -- (13.9%) Hana Financial Group, Inc........................... 3,815,029 132,113,835 0.7% Hyundai Motor Co.................................... 604,826 95,974,737 0.5% KB Financial Group, Inc............................. 2,611,033 102,351,844 0.6% KB Financial Group, Inc. ADR........................ 3,171,116 122,722,189 0.7% # LG Electronics, Inc................................. 1,776,548 108,496,732 0.6% POSCO............................................... 644,929 186,279,391 1.0% # POSCO ADR........................................... 1,589,142 113,719,001 0.6% Samsung C&T Corp.................................... 1,386,322 93,780,439 0.5% Shinhan Financial Group Co., Ltd.................... 4,987,169 234,724,964 1.3% # Shinhan Financial Group Co., Ltd. ADR............... 1,618,408 76,178,464 0.4% SK Holdings Co., Ltd................................ 513,323 80,462,792 0.4% Other Securities.................................... 1,452,665,991 7.5% -------------- ----- TOTAL SOUTH KOREA....................................... 2,799,470,379 14.8% -------------- ----- SPAIN -- (0.1%) Other Securities.................................... 18,609,563 0.1% -------------- ----- TAIWAN -- (14.3%) First Financial Holding Co., Ltd.................... 132,059,630 81,305,836 0.4% Fubon Financial Holding Co., Ltd.................... 90,414,471 153,064,692 0.8% Mega Financial Holding Co., Ltd..................... 136,903,915 113,547,756 0.6%
302 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) # United Microelectronics Corp......... 217,150,681 $ 96,414,681 0.5% # Yuanta Financial Holding Co., Ltd.... 143,586,770 72,328,347 0.4% Other Securities..................... 2,382,184,536 12.6% --------------- ----- TOTAL TAIWAN............................. 2,898,845,848 15.3% --------------- ----- THAILAND -- (2.8%) PTT PCL.............................. 15,934,500 180,039,791 1.0% Other Securities..................... 379,751,315 2.0% --------------- ----- TOTAL THAILAND........................... 559,791,106 3.0% --------------- ----- TURKEY -- (2.3%) Turkiye Is Bankasi................... 33,315,167 83,301,332 0.5% Other Securities..................... 386,687,608 2.0% --------------- ----- TOTAL TURKEY............................. 469,988,940 2.5% --------------- ----- TOTAL COMMON STOCKS...................... 18,125,595,816 95.7% --------------- ----- PREFERRED STOCKS -- (3.4%) BRAZIL -- (3.3%) Petroleo Brasileiro SA............... 18,238,804 112,184,242 0.6% Petroleo Brasileiro SA Sponsored ADR. 21,196,251 259,230,150 1.4% Vale SA.............................. 14,877,158 129,450,847 0.7% Other Securities..................... 161,734,299 0.8% --------------- ----- TOTAL BRAZIL............................. 662,599,538 3.5% --------------- ----- COLOMBIA -- (0.1%) Other Securities..................... 17,278,985 0.1% --------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 11,301 0.0% --------------- ----- TOTAL PREFERRED STOCKS................... 679,889,824 3.6% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities..................... 867 0.0% --------------- ----- CHINA -- (0.0%) Other Securities..................... 2,981 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... 229,616 0.0% --------------- ----- INDONESIA -- (0.0%) Other Securities..................... 1,310 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- TAIWAN -- (0.0%) Other Securities..................... 3,306 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................... 238,080 0.0% --------------- -----
303 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (6.9%) (S)@ DFA Short Term Investment Fund.. 120,842,149 $ 1,398,143,668 7.4% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $19,905,306,971)............. $20,203,867,388 106.7% =============== ======
Summary of the Fund's investments as of October 31, 2014, 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...................... $ 592,943,637 $ 489,799,533 -- $ 1,082,743,170 Chile....................... 97,250,791 195,715,954 -- 292,966,745 China....................... 235,314,230 2,644,669,283 -- 2,879,983,513 Colombia.................... 26,308,586 -- -- 26,308,586 Czech Republic.............. -- 41,573,273 -- 41,573,273 Greece...................... 450,318 20,162,473 -- 20,612,791 Hong Kong................... -- 209,454 -- 209,454 Hungary..................... -- 74,137,391 -- 74,137,391 India....................... 232,489,675 1,502,789,118 -- 1,735,278,793 Indonesia................... 9,326,399 513,294,384 -- 522,620,783 Israel...................... -- 19,227 -- 19,227 Malaysia.................... 933,008 800,684,637 -- 801,617,645 Mexico...................... 1,419,694,498 576,790 -- 1,420,271,288 Philippines................. -- 213,846,255 -- 213,846,255 Poland...................... -- 367,748,884 -- 367,748,884 Russia...................... 410,701 492,489,702 -- 492,900,403 South Africa................ 140,329,828 1,265,721,951 -- 1,406,051,779 South Korea................. 372,923,779 2,426,546,600 -- 2,799,470,379 Spain....................... 18,609,563 -- -- 18,609,563 Taiwan...................... 47,122,723 2,851,723,125 -- 2,898,845,848 Thailand.................... 559,791,106 -- -- 559,791,106 Turkey...................... 2,907,604 467,081,336 -- 469,988,940 Preferred Stocks Brazil...................... 311,770,373 350,829,165 -- 662,599,538 Colombia.................... 17,278,985 -- -- 17,278,985 Malaysia.................... -- 11,301 -- 11,301 Rights/Warrants Brazil...................... -- 867 -- 867 China....................... -- 2,981 -- 2,981 Hong Kong................... -- 229,616 -- 229,616 Indonesia................... -- 1,310 -- 1,310 Malaysia.................... -- -- -- -- Taiwan...................... -- 3,306 -- 3,306 Securities Lending Collateral. -- 1,398,143,668 -- 1,398,143,668 -------------- --------------- -- --------------- TOTAL......................... $4,085,855,804 $16,118,011,584 -- $20,203,867,388 ============== =============== == ===============
See accompanying Notes to Financial Statements. 304 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands) ASSETS: Investments at Value (including $1,749,796 of securities on loan)*....... $18,805,724 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,398,144 Foreign Currencies at Value.............................................. 26,688 Cash..................................................................... 88,873 Receivables: Investment Securities Sold............................................. 22,282 Dividends, Interest and Tax Reclaims................................... 12,761 Securities Lending Income.............................................. 2,296 Unrealized Gain on Foreign Currency Contracts............................ 1 ----------- Total Assets........................................................ 20,356,769 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 1,398,144 Investment Securities Purchased........................................ 27,896 Due to Advisor......................................................... 1,585 Unrealized Loss on Foreign Currency Contracts............................ 1 Accrued Expenses and Other Liabilities................................... 1,626 ----------- Total Liabilities................................................... 1,429,252 ----------- NET ASSETS............................................................... $18,927,517 =========== Investments at Cost...................................................... $18,507,163 =========== Foreign Currencies at Cost............................................... $ 26,572 ===========
---------- * 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, 2014 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $70,268).......... $ 533,318 Interest...................................................... 9 Income from Securities Lending................................ 24,872 --------- Total Investment Income.................................... 558,199 --------- Expenses Investment Advisory Services Fees............................. 19,212 Accounting & Transfer Agent Fees.............................. 1,031 Custodian Fees................................................ 7,208 Shareholders' Reports......................................... 32 Directors'/Trustees' Fees & Expenses.......................... 136 Professional Fees............................................. 627 Other......................................................... 341 --------- Total Expenses............................................. 28,587 --------- Fees Paid Indirectly.......................................... (55) --------- Net Expenses.................................................. 28,532 --------- Net Investment Income (Loss).................................. 529,667 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. (524,001) Futures..................................................... 504 Foreign Currency Transactions............................... (4,551) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. (181,244) Translation of Foreign Currency Denominated Amounts......... (31) --------- Net Realized and Unrealized Gain (Loss)....................... (709,323) --------- Net Increase (Decrease) in Net Assets Resulting from Operations. $(179,656) =========
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, 2014 2013 ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................................. $ 529,667 $ 419,407 Net Realized Gain (Loss) on: Investment Securities Sold.............................................. (524,001) 304,248 Futures................................................................. 504 -- Foreign Currency Transactions........................................... (4,551) (2,833) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. (181,244) 724,674 Translation of Foreign Currency Denominated Amounts..................... (31) 7 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...... (179,656) 1,445,503 ----------- ----------- Transactions in Interest: Contributions............................................................. 1,596,852 2,894,722 Withdrawals............................................................... (1,916,965) (1,797,261) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. (320,113) 1,097,461 ----------- ----------- Total Increase (Decrease) in Net Assets................................ (499,769) 2,542,964 Net Assets Beginning of Year......................................................... 19,427,286 16,884,322 ----------- ----------- End of Year............................................................... $18,927,517 $19,427,286 =========== ===========
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Total Return............................................ (1.09)% 8.43% 1.10% (14.47)% 30.55% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)..................... $18,927,517 $19,427,286 $16,884,322 $14,003,579 $11,917,955 Ratio of Expenses to Average Net Assets................. 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Net Investment Income to Average Net Assets.... 2.76% 2.32% 2.43% 2.29% 1.81% Portfolio Turnover Rate................................. 12% 6% 8% 5% 15% ---------------------------------------------------------------------------------------------------------------------------
+ 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 Fund maintains 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 ask prices which approximates 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 309 securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The Fund will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time 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. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Fund. 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 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, 2014, 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 $441 (in thousands). 310 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, 2014, 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, 2014, 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, 2014, expenses reduced were $55 (amount in thousands). Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2014, the total related amounts paid by the Fund to the CCO were $23 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. 311 D. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $2,507,752 $2,276,542
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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Dimensional Emerging Markets Value Fund. $20,078,984 $3,350,428 $(3,225,544) $124,884
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. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities held by the Fund may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Funds. 2. Forward Currency Contracts: The Fund 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 Fund's currency exposure with respect to a foreign market will be based primarily on the Fund's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Fund as an unrealized gain or loss, which is presented in the Statements of Operations as the 312 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 Fund 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. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S.dollar. 3. Futures Contracts: The Fund may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Funds 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 Funds as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Funds 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 Funds could lose more than the initial margin requirements. The Funds 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 location on the Fund's Statement of Operations of realized and change in unrealized gains and losses from Fund's derivative instrument holdings through the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Fund's direct investment in derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Foreign Exchange Equity Total Contracts Contracts ----- --------- --------- Dimensional Emerging Markets Value Fund*. $499 $(5) $504
* As of October 31, 2014, there were no futures contracts outstanding. During the year ended October 31, 2014, the Fund had limited activity in futures contracts. G. 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 agreement for the line of credit expires on March 2, 2015. 313 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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. 0.84% $35,523 42 $35 $143,884
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, 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, 2014. H. Securities Lending: As of October 31, 2014, 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 $510,952 (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 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. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment 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. 314 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. 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. 315 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors and Shareholders 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, 2014, 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, 2014 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 19, 2014 316 FUND MANAGEMENT (Unaudited) Trustees/Directors Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/ Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment Strategy Committee (the "Strategy Committee"). The Audit Committee is 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, 2014. 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, 2014. Each Board's Strategy Committee consists of both interested and disinterested Trustees/Directors. The Strategy Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Strategy Committee 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 Strategy Committee was formed on December 17, 2010, and there were two Strategy Committee meetings held during the fiscal year ended October 31, 2014. 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. 317
Name, Position Portfolios within the DFA Principal Occupation(s) During Past 5 with the Fund, Address and Term of Office/1/ and Fund Complex/2/ Years and Other Directorships of Public Year of Birth Length of Service Overseen Companies Held ------------------------------------------------------------------------------------------------------------------------ Disinterested Trustees/Directors ------------------------------------------------------------------------------------------------------------------------ George M. Constantinides DFAIDG-Since 1983 108 portfolios in 4 Leo Melamed Professor of Finance, Director of DFAIDG and DIG. DIG-Since 1993 investment companies University of Chicago Booth School of Trustee of DFAITC and DEM. DFAITC-Since 1992 Business. The University of Chicago DEM-Since 1993 Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 ------------------------------------------------------------------------------------------------------------------------ John P. Gould DFAIDG-Since 1986 108 portfolios in 4 Steven G. Rothmeier Professor and Director of DFAIDG and DIG. DIG-Since 1993 investment companies Distinguished Service Professor of Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth The University of Chicago DEM-Since 1993 School of Business (since 1965). Member Booth School of Business and Chair, Competitive Markets Advisory 5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange Chicago, IL 60637 (futures trading exchange) (since 1939 2004). Trustee, Harbor Fund (registered investment company) (29 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Insurance Company (1997-2010). ------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAIDG-Since 1981 108 portfolios in 4 Professor in Practice of Finance, Yale Director of DFAIDG and DIG. DIG-Since 1993 investment companies School of Management (since 1984). Trustee of DFAITC and DEM. DFAITC-Since 1992 Chairman, CIO and Partner, Zebra Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and P.O. Box 208200 asset manager) (since 2001). Consultant New Haven, CT 06520-8200 to Morningstar Inc. (since 2006). 1943 Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). ------------------------------------------------------------------------------------------------------------------------ Edward P. Lazear DFAIDG-Since 2010 108 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Trustee of DFAITC and DEM. DFAITC-Since 2010 Parker Professor of Human Resources Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate School of Business School of Business, Stanford University 518 Memorial Way (since 1995). Cornerstone Research Stanford, CA 94305-5015 (expert testimony and economic and 1948 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 DFAIDG-Since 1981 108 portfolios in 4 Chief Investment Strategist, Janus Director of DFAIDG and DIG. DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank Trustee of DFAITC and DEM. DFAITC-Since 1992 E. Buck Professor of Finance Emeritus, c/o Dimensional Fund DEM-Since 1993 Graduate School of Business, Stanford Advisors, LP University (since 1981). Chairman, 6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly, Building 1 Chairman, Platinum Grove Asset Austin, TX 78746 Management, L.P. (hedge fund) 1941 (formerly, Oak Hill Platinum Partners) (1999-2009). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). ------------------------------------------------------------------------------------------------------------------------ Abbie J. Smith DFAIDG-Since 2000 108 portfolios in 4 Boris and Irene Stern Distinguished Director of DFAIDG and DIG. DIG-Since 2000 investment companies Service Professor of Accounting, Trustee of DFAITC and DEM. DFAITC-Since 2000 University of Chicago Booth School of The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI Booth School of Business Corporation (formerly known as HON 5807 S. Woodlawn Industries Inc.) (office furniture) Avenue Chicago, IL 60637 (since 2000). Director, Ryder System 1953 Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (33 portfolios) (since 2009). Formerly, Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (2008-2011). ------------------------------------------------------------------------------------------------------------------------
318
Name, Position Portfolios within the with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held -------------------------------------------------------------------------------------------------------------------------------- Interested Trustees/Directors* -------------------------------------------------------------------------------------------------------------------------------- David G. Booth DFAIDG-Since 1981 108 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies: Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund 6300 Bee Cave Road, Advisors LP, DFA Securities LLC, DEM, DFAIDG, Building One DIG and DFAITC (collectively, the "DFA Entities"). Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and 1946 formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009-2014). Formerly, Limited Partner, Oak Hill Partners (2001- 2010). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co- Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). -------------------------------------------------------------------------------------------------------------------------------- Eduardo A. Repetto DFAIDG-Since 2009 108 portfolios in 4 Co-Chief Executive Officer (beginning January Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007 - June 2014) of the 6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer Building One and Chief Investment Officer (since 2010) of Austin, TX 78746 Dimensional Cayman Commodity Fund I Ltd. 1967 Director, Co-Chief Executive Officer, President and Co-Chief Investment Officer of Dimensional Fund Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director and Chief Investment Officer (since December 2012) of Dimensional Japan Ltd.
/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 DFAIDG, DIG; DFAITC and DEM. Each disinterested Trustee/Director also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by an affiliate of Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors Canada ULC. * 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 the Advisor. 319 Officers Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation(s) During Past 5 Years ---------------------------------------------------------------------------------------------------------------------- Officers ---------------------------------------------------------------------------------------------------------------------- April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities. 1963 ---------------------------------------------------------------------------------------------------------------------- Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice 1974 President, Business Development at Capson Physicians Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). ---------------------------------------------------------------------------------------------------------------------- Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities. 1966 ---------------------------------------------------------------------------------------------------------------------- Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and 1955 Managing Director of Dimensional Fund Advisors Ltd (since September 2013). ---------------------------------------------------------------------------------------------------------------------- Peter Bergan Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Senior Infrastructure Manager for Dimensional Fund Advisors LP (January 2011-January 2014); Partner at Stonehouse Consulting (2010). ---------------------------------------------------------------------------------------------------------------------- Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Client Service Manager for Dimensional Fund Advisors LP (February 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1970 Senior Research Associate (January 2012-January 2014) and Research Associate (2006-2011) for Dimensional Fund Advisors LP ---------------------------------------------------------------------------------------------------------------------- Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director for Dimensional Fund Advisors LP (April 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities. 1968 ---------------------------------------------------------------------------------------------------------------------- Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the 1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. and Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. ---------------------------------------------------------------------------------------------------------------------- David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of 1964 Global Financial Services for Dimensional Fund Advisors LP (since 2008). ---------------------------------------------------------------------------------------------------------------------- Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1970 Regional Director for Dimensional Fund Advisors LP (December 2010-January 2012); Regional Director at Russell Investments (April 2006-December 2010). ---------------------------------------------------------------------------------------------------------------------- Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director (January 2010-January 2014) and Senior Associate (July 2008-December 2009) for Dimensional Fund Advisors LP. ---------------------------------------------------------------------------------------------------------------------- James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1956 Regional Director for Dimensional Fund Advisors LP (2008-2010). ----------------------------------------------------------------------------------------------------------------------
320
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of 1966 Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (October 2005 to January 2012). ------------------------------------------------------------------------------------------------------------------------- Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Counsel for Dimensional Fund Advisors LP (April 2012 - January 2014); Vice President and Counsel for AllianceBernstein L.P. (2006-2012). ------------------------------------------------------------------------------------------------------------------------- Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA Australia 1972 Limited and Dimensional Fund Advisors Canada ULC. Head of Global Institutional Services for Dimensional Fund Advisors LP (since January 2014). Formerly, Head of Institutional, North America (March 2012 to December 2013) and Head of Portfolio Management (January 2006 to March 2012) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (September 2011-March 2013); Vice President at MullinTBG (2005-2011). ------------------------------------------------------------------------------------------------------------------------- Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (August 2010-March 2014); Vice President, Sales and Business Development at AdvisorsIG (PPMG) (2009-2010); Vice President at Credit Suisse (2007- 2009). ------------------------------------------------------------------------------------------------------------------------- Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (2003-March 2014). ------------------------------------------------------------------------------------------------------------------------- Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2002-January 2012). ------------------------------------------------------------------------------------------------------------------------- Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities. 1949 ------------------------------------------------------------------------------------------------------------------------- George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1955 Senior Vice President and Managing Director at State Street Bank & Trust Company (2007-2008). ------------------------------------------------------------------------------------------------------------------------- Christopher S. Crossan Vice President and Since 2004 Vice President and Chief Compliance Officer of all 1965 Global Chief the DFA Entities, DFA Australia Limited, and Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance Officer of Dimensional Fund Advisors Canada. Formerly, Vice President and Chief Compliance Officer for Dimensional SmartNest (US) LLC (October 2010- 2014). ------------------------------------------------------------------------------------------------------------------------- James L. Davis Vice President Since 1999 Vice President of all the DFA Entities. 1956 ------------------------------------------------------------------------------------------------------------------------- Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia 1957 Limited and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------------- Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director (January 2012-January 2014) and Senior Associate (August 2010-December 2011) for Dimensional Fund Advisors LP; MBA and MPA at the University of Texas at Austin (August 2007-May 2010). ------------------------------------------------------------------------------------------------------------------------- Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1972 Research Associate (August 2008-March 2010) and Research Assistant (April 2006-August 2008) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------------
321
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ----------------------------------------------------------------------------------------------------------------------- Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities. 1970 ----------------------------------------------------------------------------------------------------------------------- Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of 1979 Marketing for Dimensional Fund Advisors LP (since February 2013). Formerly, Senior Manager of Research and Marketing for Dimensional Fund Advisors LP (June 2012-January 2013); Director of Mutual Fund Analysis at Morningstar (January 2008- May 2012). ----------------------------------------------------------------------------------------------------------------------- Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the 1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief Operating Officer for Dimensional Fund Advisors Pte. Ltd. (since April 2013). Formerly, Chief Operating Officer for Dimensional Fund Advisors Ltd. (July 2008-March 2013). ----------------------------------------------------------------------------------------------------------------------- Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities. 1971 ----------------------------------------------------------------------------------------------------------------------- Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of 1974 Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (September 2004-January 2012). ----------------------------------------------------------------------------------------------------------------------- Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2011-January 2014); Senior Vice President of First Trust Advisors L.P. (2007-July 2011). ----------------------------------------------------------------------------------------------------------------------- Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities. 1970 ----------------------------------------------------------------------------------------------------------------------- Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Managing Director at BlackRock (2004-January 2012). ----------------------------------------------------------------------------------------------------------------------- Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- John T. Gray Vice President Since 2007 Vice President of all the DFA Entities. 1974 ----------------------------------------------------------------------------------------------------------------------- Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader 1975 for Dimensional Fund Advisors LP (since 2012). Formerly, Senior Trader (2009-2012). ----------------------------------------------------------------------------------------------------------------------- Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Counsel for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President and Senior Counsel for State Street Global Advisors (November 2008-January 2011). ----------------------------------------------------------------------------------------------------------------------- Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Julie C. Henderson Vice President and Since 2005 Vice President and Fund Controller of all the DFA 1974 Fund Controller Entities, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd. ----------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1960 Managing Director, Co-Head Global Consultant Relations at BlackRock (2004-2011). -----------------------------------------------------------------------------------------------------------------------
322
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years --------------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and 1973 Dimensional Cayman Commodity Fund I Ltd. --------------------------------------------------------------------------------------------------------------------------- Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Manager of Sales and Marketing Systems (January 2011-January 2014) and Project Manager (2007- 2010) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Facilities Manager for Dimensional Fund Advisors LP (October 2008-January 2012). --------------------------------------------------------------------------------------------------------------------------- David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of 1978 Operations for Financial Advisor Services for Dimensional Fund Advisors LP (since July 2014). Formerly, Counsel of Dimensional Fund Advisors LP (August 2011-January 2014); Associate at Andrews Kurth LLP (2006-2011). --------------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Vice President and Since 2003 Vice President of all the DFA Entities, Dimensional 1954 Chief Operating Officer Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chief Operating Officer of Dimensional Holdings Inc., DFA Securities LLC, Dimensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. And Dimensional Fund Advisors Pte. Ltd. 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 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (October 2004-January 2013). --------------------------------------------------------------------------------------------------------------------------- Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1948 Regional Director for Dimensional Fund Advisors LP (April 2006-January 2012). --------------------------------------------------------------------------------------------------------------------------- David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio 1971 Manager for Dimensional Fund Advisors LP (since June 2004). --------------------------------------------------------------------------------------------------------------------------- Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Creative Director for Dimensional Fund Advisors LP (September 2012-January 2014); Vice President and Global Creative Director at Morgan Stanley (2007-2012); Visiting Assistant Professor, Graduate Communications Design at Pratt Institute (2004-2012). --------------------------------------------------------------------------------------------------------------------------- Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of 1971 Defined Contribution Sales for Dimensional Fund Advisors LP (since August 2010). --------------------------------------------------------------------------------------------------------------------------- Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior 1971 Portfolio Manager of Dimensional Fund Advisors LP (since January 2012). Formerly, Portfolio Manager for Dimensional (April 2001-January 2012). --------------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1981 Senior Associate, Investment Analytics and Data (January 2012-December 2012) and Systems Developer (June 2007-December 2011) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1966 Regional Director (May 2010-January 2014) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Regional Director for Dimensional Fund Advisors LP (2007-2010). ---------------------------------------------------------------------------------------------------------------------------
323
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, 1967 Chief Executive Officer for Dimensional SmartNest (US) LLC (July 2012-November 2014). ------------------------------------------------------------------------------------------------------------------------- Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice 1969 President - Global Operations at Janus Capital Group (2005-2011). ------------------------------------------------------------------------------------------------------------------------- David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1978 Senior Trader (January 2010-December 2012) and Trader (2000-2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1980 Research Associate for Dimensional Fund Advisors LP (July 2008-2010). ------------------------------------------------------------------------------------------------------------------------- John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1960 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2013). ------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities. 1969 ------------------------------------------------------------------------------------------------------------------------- Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1969 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at Columbia Management (2004-2010). ------------------------------------------------------------------------------------------------------------------------- Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and 1972 Dimensional Cayman Commodity Fund I Ltd. Formerly, Counsel for Dimensional Fund Advisors LP (September 2006-January 2010). ------------------------------------------------------------------------------------------------------------------------- Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of 1970 Global Human Resources for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and Treasurer 1956 Financial Officer and of all the DFA Entities. Director, Vice President, Treasurer Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Pte. Ltd., Dimensional Hong Kong Limited, Dimensional Fund Advisors Canada ULC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds plc and Dimensional Funds II plc. Statutory Auditor of Dimensional Japan Ltd. Formerly, Chief Financial Officer, Treasurer and Vice President of Dimensional SmartNest (US) LLC (October 2010-November 2014). ------------------------------------------------------------------------------------------------------------------------- Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1975 Regional Director of Dimensional Fund Advisors LP (January 2009-January 2014). ------------------------------------------------------------------------------------------------------------------------- Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1984 Regional Director (January 2009-January 2014) and Senior Associate (2011) for Dimensional Fund Advisors LP; Investment Consultant (March 2010- December 2010) and Investment Analyst (December 2007-March 2010) at Towers Watson. ------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Manager, Investment Systems (2011-January 2013) and Project Manager (2007-2010) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------------
324
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ----------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities. 1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional 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). Director of 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). Formerly, Vice President and Secretary of Dimensional SmartNest (US) LLC (October 2010- November 2014). ----------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1964 Portfolio Manager for Dimensional Fund Advisors LP (2008-2010). ----------------------------------------------------------------------------------------------------------------------------- Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy Chief 1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors Compliance Officer LP (since December 2012). Formerly, Chief Compliance Officer of Wellington Management Company, LLP (2004-2011). ----------------------------------------------------------------------------------------------------------------------------- Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and 1974 Dimensional Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011). Formerly, Counsel for Dimensional Fund Advisors LP (2007- 2010). ----------------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all 1976 Chief Investment and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors Officer Officer since 2014 Canada ULC. Director of Dimensional Funds plc and Dimensional Fund II plc. ----------------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1973 Manager for Dimensional Fund Advisors LP (since July 2005). ----------------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1978 Senior Compliance Officer (January 2008-January 2010) and Compliance Officer (February 2006- December 2007) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (2012-January 2013); Senior Consultant (June 2011- December 2011) and Senior Investment Analyst and Consultant (July 2008-June 2011) at Hewitt EnnisKnupp. ----------------------------------------------------------------------------------------------------------------------------- David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia 1961 Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. ----------------------------------------------------------------------------------------------------------------------------- Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2006). ----------------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Vice President Since 2008 Vice President of all the DFA Entities. Formerly, 1973 Research Associate for Dimensional Fund Advisors LP (2006 to 2008). ----------------------------------------------------------------------------------------------------------------------------- David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1967 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at BlackRock (2009-2010). ----------------------------------------------------------------------------------------------------------------------------- Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1969 Planning and Analysis Manager for Dimensional Fund Advisors LP (July 2007-January 2014). -----------------------------------------------------------------------------------------------------------------------------
325
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------ Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1981 Research Associate (June 2011-January 2012) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------ Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1960 Senior Manager, Human Resources for Dimensional Fund Advisors LP (January 2012-January 2014); Director of Human Resources at Spansion, Inc. (March 2009-December 2011). ------------------------------------------------------------------------------------------------------------------ Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1959 Client Systems Manager for Dimensional Fund Advisors LP (July 2008-January 2010); Senior Manager at Vanguard (November 1997-July 2008). ------------------------------------------------------------------------------------------------------------------ Walid A. Shinnawi Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1961 Regional Director for Dimensional Fund Advisors LP (March 2006-January 2010). ------------------------------------------------------------------------------------------------------------------ Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly, 1965 Investment Operations Manager for Dimensional Fund Advisors LP (May 2007-January 2009). ------------------------------------------------------------------------------------------------------------------ Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities. 1968 ------------------------------------------------------------------------------------------------------------------ Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1981 Manager for Dimensional Fund Advisors LP (since January 2012). Formerly, Investment Associate for Dimensional Fund Advisors LP (August 2010- December 2011). ------------------------------------------------------------------------------------------------------------------ Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities. 1975 ------------------------------------------------------------------------------------------------------------------ Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1977 Manager of Dimensional Fund Advisors LP (since January 2010). ------------------------------------------------------------------------------------------------------------------ Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Project Manager for Dimensional Fund Advisors LP (2007-2010). ------------------------------------------------------------------------------------------------------------------ Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and 1956 Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------ Carl G. Snyder Vice President Since 2000 Vice President of all the DFA Entities. 1963 ------------------------------------------------------------------------------------------------------------------ Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities. 1947 ------------------------------------------------------------------------------------------------------------------ Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (April 2010-January 2013). ------------------------------------------------------------------------------------------------------------------ Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1973 Manager, Investment Analytics and Data (2012- January 2013) and Research Assistant (2002-2011) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1980 Regional Director (2010-January 2013) and Senior Associate (2007-2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2012). ------------------------------------------------------------------------------------------------------------------ Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities. 1958 ------------------------------------------------------------------------------------------------------------------ Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia 1966 Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------
326
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ---------------------------------------------------------------------------------------------------------------- Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (September 2008-January 2014). ---------------------------------------------------------------------------------------------------------------- Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2004). ---------------------------------------------------------------------------------------------------------------- Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities. 1951 ---------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities. 1976 ---------------------------------------------------------------------------------------------------------------- Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities. 1955 ---------------------------------------------------------------------------------------------------------------- Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (2005-2010). ----------------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the Board of Directors and until his or her successor is elected and qualified. 327 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://us.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 328 NOTICE TO SHAREHOLDERS (Unaudited) For shareholders that do not have an October 31, 2014 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2014 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2013 to October 31, 2014, 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.......................... 28% 28% 44% -- -- 100% -- US Large Cap Equity Portfolio....... 99% 1% -- -- -- 100% 100% U.S. Large Cap Value Portfolio...... 99% -- 1% -- -- 100% 100% U.S. Targeted Value Portfolio....... 13% 5% 82% -- -- 100% 100% U.S. Small Cap Value Portfolio...... 13% -- 87% -- -- 100% 100% U.S. Core Equity 1 Portfolio........ 79% -- 21% -- -- 100% 100% U.S. Core Equity 2 Portfolio........ 62% 2% 36% -- -- 100% 100% U.S. Vector Equity Portfolio........ 46% 2% 52% -- -- 100% 100% U.S. Small Cap Portfolio............ 22% 6% 72% -- -- 100% 100% U.S. Micro Cap Portfolio............ 13% 5% 82% -- -- 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.......................... 44% 7% 49% -- -- 100% 100% Japanese Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% United Kingdom Small Company Portfolio.......................... 64% -- 36% -- -- 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.......................... -- 11% -- -- 100% 100% US 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% -- 3% 100% 100% 100% International Core Equity Portfolio.......................... 100% -- 4% 100% 100% 100% International Small Company Portfolio.......................... 100% -- 4% 100% 100% 100% Japanese Small Company Portfolio.......................... 100% -- 9% 100% 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- 1% 100% 100% 100% United Kingdom Small Company Portfolio.......................... 100% -- -- 100% 100% 100% Continental Small Company Portfolio.......................... 100% -- 7% 100% 100% 100%
329 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.......................... 55% 10% 35% -- -- 100% 100% International Vector Equity Portfolio.......................... 80% 1% 19% -- -- 100% 100% World ex U.S. Value Portfolio....... 100% -- -- -- -- 100% 100% World ex U.S. Targeted Value Portfolio.......................... 68% 1% 31% -- -- 100% 100% World ex U.S. Core Equity Portfolio.......................... 99% 1% -- -- -- 100% 100% World Core Equity Portfolio (formerly Dimensional Retirement Equity Fund II).................... 93% 3% 4% -- -- 100% 100% Selectively Hedged Global Equity Portfolio.......................... 69% 10% 21% -- -- 100% 100% Emerging Markets Portfolio.......... 79% -- 21% -- -- 100% 100% Emerging Markets Small Cap Portfolio.......................... 57% -- 43% -- -- 100% 100% Emerging Markets Value Portfolio.......................... 61% 2% 37% -- -- 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% DFA Commodity Strategy Portfolio.......................... 84% 7% 9% -- -- 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% 78% 100% 100% DFA Global Real Estate Securities Portfolio.......................... 100% -- 2% 50% 100% 100% DFA International Small Cap Value Portfolio.......................... 100% -- 5% 100% 100% 100% International Vector Equity Portfolio.......................... 100% -- 4% 100% 100% 100% World ex U.S. Value Portfolio....... 100% -- 3% 100% 100% 100% World ex U.S. Targeted Value Portfolio.......................... 100% -- 6% 100% 100% 100% World ex U.S. Core Equity Portfolio.......................... 100% -- 5% 100% 100% 100% World Core Equity Portfolio (formerly Dimensional Retirement Equity Fund II).................... 100% -- 3% 100% 100% 100% Selectively Hedged Global Equity Portfolio.......................... 100% -- 2% 36% 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% -- 6% 100% 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- 5% 100% 100% 100% DFA Commodity Strategy Portfolio.......................... 100% 5% -- -- 100% 100% Dimensional Investment Group Inc. DFA International Value Portfolio... 100% -- 2% 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). 330 NOTICE TO SHAREHOLDERS (Unaudited) (2)The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. (3)"U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. (4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income. (5)"Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (6)The percentage in this column represents the amount of "Qualifying Interest Income" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). (7)The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 331 [LOGO] DFA103114-001A [LOGO] ANNUAL REPORT year ended: October 31, 2014 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 2014 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 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.................................................. 10 Disclosure of Portfolio Holdings............................................. 12 Schedule of Investments/Summary Schedules of Portfolio Holdings Tax-Managed U.S. Marketwide Value Portfolio.............................. 14 Tax-Managed U.S. Equity Portfolio........................................ 15 Tax-Managed U.S. Targeted Value Portfolio................................ 18 Tax-Managed U.S. Small Cap Portfolio..................................... 21 T.A. U.S. Core Equity 2 Portfolio........................................ 24 Tax-Managed DFA International Value Portfolio............................ 27 T.A. World ex U.S. Core Equity Portfolio................................. 31 Statements of Assets and Liabilities......................................... 37 Statements of Operations..................................................... 39 Statements of Changes in Net Assets.......................................... 41 Financial Highlights......................................................... 43 Notes to Financial Statements................................................ 47 Report of Independent Registered Public Accounting Firm...................... 59 The DFA Investment Trust Company - The Tax-Managed U.S. Marketwide Value Series Performance Chart............................................................ 60 Management's Discussion and Analysis......................................... 61 Disclosure of Fund Expenses.................................................. 62 Disclosure of Portfolio Holdings............................................. 63 Summary Schedule of Portfolio Holdings....................................... 64 Statement of Assets and Liabilities.......................................... 67 Statement of Operations...................................................... 68 Statements of Changes in Net Assets.......................................... 69 Financial Highlights......................................................... 70 Notes to Financial Statements................................................ 71 Report of Independent Registered Public Accounting Firm...................... 76 Fund Management................................................................. 77 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 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. (C) Non-Annualized (D) Annualized 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, 2004-October 31, 2014 [CHART] Tax-Managed U.S. Marketwide Russell 3000(R) Value Portfolio Value Index --------------------------- ---------------- 10/31/04 10,000 10,000 11/30/04 10,676 10,538 12/31/04 11,024 10,882 1/31/05 10,782 10,668 2/28/05 11,194 11,010 3/31/05 11,079 10,852 4/30/05 10,675 10,628 5/31/05 11,136 10,915 6/30/05 11,414 11,066 7/31/05 12,030 11,413 8/31/05 12,014 11,344 9/30/05 12,233 11,488 10/31/05 11,932 11,196 11/30/05 12,412 11,570 12/31/05 12,465 11,625 1/31/06 13,160 12,121 2/28/06 13,120 12,189 3/31/06 13,434 12,392 4/30/06 13,762 12,680 5/31/06 13,376 12,342 6/30/06 13,462 12,427 7/31/06 13,379 12,685 8/31/06 13,445 12,912 9/30/06 13,704 13,158 10/31/06 14,232 13,610 11/30/06 14,579 13,928 12/31/06 14,860 14,223 1/31/07 15,242 14,407 2/28/07 15,051 14,187 3/31/07 15,219 14,402 4/30/07 15,760 14,900 5/31/07 16,499 15,438 6/30/07 16,146 15,077 7/31/07 15,262 14,330 8/31/07 15,179 14,501 9/30/07 15,562 14,964 10/31/07 15,570 14,978 11/30/07 14,658 14,215 12/31/07 14,592 14,079 1/31/08 14,012 13,514 2/29/08 13,499 12,950 3/31/08 13,260 12,875 4/30/08 14,005 13,485 5/31/08 14,314 13,501 6/30/08 12,733 12,209 7/31/08 12,630 12,217 8/31/08 12,888 12,455 9/30/08 11,793 11,567 10/31/08 9,156 9,538 11/30/08 8,248 8,820 12/31/08 8,524 8,975 1/31/09 7,413 7,923 2/28/09 6,415 6,861 3/31/09 7,089 7,449 4/30/09 8,312 8,279 5/31/09 8,937 8,763 6/30/09 8,819 8,701 7/31/09 9,713 9,436 8/31/09 10,358 9,926 9/30/09 10,828 10,319 10/31/09 10,304 9,973 11/30/09 10,784 10,516 12/31/09 11,173 10,749 1/31/10 10,861 10,445 2/28/10 11,360 10,788 3/31/10 12,255 11,506 4/30/10 12,729 11,847 5/31/10 11,639 10,870 6/30/10 10,748 10,230 7/31/10 11,608 10,926 8/31/10 10,847 10,430 9/30/10 11,924 11,263 10/31/10 12,382 11,609 11/30/10 12,409 11,576 12/31/10 13,583 12,493 1/31/11 13,917 12,753 2/28/11 14,703 13,238 3/31/11 14,794 13,301 4/30/11 15,138 13,644 5/31/11 14,903 13,491 6/30/11 14,642 13,210 7/31/11 14,015 12,772 8/31/11 12,844 11,948 9/30/11 11,539 11,013 10/31/11 13,143 12,299 11/30/11 13,043 12,238 12/31/11 13,166 12,480 1/31/12 13,854 12,981 2/29/12 14,588 13,472 3/31/12 14,894 13,873 4/30/12 14,618 13,727 5/31/12 13,588 12,919 6/30/12 14,302 13,559 7/31/12 14,422 13,678 8/31/12 14,967 13,984 9/30/12 15,507 14,432 10/31/12 15,553 14,353 11/30/12 15,646 14,351 12/31/12 16,093 14,670 1/31/13 17,159 15,618 2/28/13 17,421 15,839 3/31/13 18,286 16,468 4/30/13 18,408 16,697 5/31/13 19,009 17,131 6/30/13 18,891 16,986 7/31/13 20,039 17,917 8/31/13 19,446 17,228 9/30/13 20,154 17,704 10/31/13 21,108 18,463 11/30/13 21,977 18,995 12/31/13 22,579 19,466 1/31/14 21,688 18,770 2/28/14 22,485 19,585 3/31/14 22,807 20,035 4/30/14 22,864 20,168 5/31/14 23,397 20,451 6/30/14 24,001 21,014 7/31/14 23,619 20,582 Past performance is not predictive of 8/31/14 24,488 21,349 future performance. 9/30/14 23,858 20,831 The returns shown do not reflect the 10/31/14 24,270 21,373 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 Russell data copyright (C) Russell ---------------------------------------------------- Investment Group 1995-2014, all rights 14.98% 18.69% 9.27% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TAX-MANAGED U.S. EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX October 31, 2004-October 31, 2014 [CHART] Tax-Managed U.S.Equity Russell 3000(R) Portfolio Index --------------------------- ---------------- 10/31/04 10,000 10,000 11/30/04 10,462 10,465 12/31/04 10,823 10,838 1/31/05 10,565 10,549 2/28/05 10,789 10,781 3/31/05 10,607 10,599 4/30/05 10,357 10,369 5/31/05 10,754 10,762 6/30/05 10,821 10,837 7/31/05 11,280 11,282 8/31/05 11,193 11,174 9/30/05 11,288 11,272 10/31/05 11,071 11,061 11/30/05 11,505 11,491 12/31/05 11,501 11,501 1/31/06 11,858 11,885 2/28/06 11,884 11,906 3/31/06 12,075 12,112 4/30/06 12,206 12,243 5/31/06 11,813 11,851 6/30/06 11,812 11,872 7/31/06 11,795 11,861 8/31/06 12,067 12,151 9/30/06 12,340 12,423 10/31/06 12,736 12,870 11/30/06 12,982 13,151 12/31/06 13,155 13,308 1/31/07 13,386 13,561 2/28/07 13,173 13,339 3/31/07 13,326 13,478 4/30/07 13,858 14,016 5/31/07 14,364 14,527 6/30/07 14,126 14,255 7/31/07 13,645 13,769 8/31/07 13,832 13,966 9/30/07 14,323 14,476 10/31/07 14,564 14,741 11/30/07 13,921 14,077 12/31/07 13,846 13,992 1/31/08 13,010 13,144 2/29/08 12,633 12,736 3/31/08 12,565 12,661 4/30/08 13,187 13,294 5/31/08 13,458 13,566 6/30/08 12,395 12,447 7/31/08 12,323 12,348 8/31/08 12,513 12,539 9/30/08 11,371 11,360 10/31/08 9,425 9,345 11/30/08 8,770 8,607 12/31/08 8,927 8,772 1/31/09 8,182 8,036 2/28/09 7,355 7,194 3/31/09 7,958 7,824 4/30/09 8,614 8,648 5/31/09 9,030 9,109 6/30/09 9,077 9,140 7/31/09 9,756 9,852 8/31/09 10,044 10,204 9/30/09 10,450 10,631 10/31/09 10,207 10,358 11/30/09 10,776 10,946 12/31/09 11,083 11,258 1/31/10 10,679 10,852 2/28/10 11,036 11,220 3/31/10 11,725 11,927 4/30/10 11,960 12,185 5/31/10 11,019 11,222 6/30/10 10,394 10,577 7/31/10 11,121 11,311 8/31/10 10,583 10,779 9/30/10 11,589 11,797 10/31/10 12,054 12,258 11/30/10 12,130 12,328 12/31/10 12,944 13,164 1/31/11 13,221 13,452 2/28/11 13,699 13,941 3/31/11 13,761 14,004 4/30/11 14,172 14,421 5/31/11 14,000 14,257 6/30/11 13,768 14,001 7/31/11 13,450 13,680 8/31/11 12,643 12,859 9/30/11 11,706 11,861 10/31/11 13,009 13,227 11/30/11 12,999 13,191 12/31/11 13,097 13,299 1/31/12 13,729 13,970 2/29/12 14,331 14,561 3/31/12 14,759 15,010 4/30/12 14,651 14,912 5/31/12 13,736 13,990 6/30/12 14,262 14,538 7/31/12 14,418 14,682 8/31/12 14,780 15,049 9/30/12 15,179 15,444 10/31/12 14,904 15,177 11/30/12 15,022 15,295 12/31/12 15,191 15,482 1/31/13 16,023 16,332 2/28/13 16,232 16,548 3/31/13 16,867 17,197 4/30/13 17,126 17,478 5/31/13 17,583 17,891 6/30/13 17,368 17,658 7/31/13 18,326 18,626 8/31/13 17,807 18,106 9/30/13 18,456 18,779 10/31/13 19,248 19,577 11/30/13 19,860 20,145 12/31/13 20,381 20,677 1/31/14 19,686 20,024 2/28/14 20,603 20,973 3/31/14 20,733 21,085 4/30/14 20,743 21,110 5/31/14 21,198 21,571 6/30/14 21,718 22,112 7/31/14 21,292 21,676 Past performance is not predictive of 8/31/14 22,175 22,585 future performance. 9/30/14 21,757 22,114 The returns shown do not reflect the 10/31/14 22,307 22,723 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 Russell data copyright (C) Russell ---------------------------------------------------- Investment Group 1995-2014, all rights 15.89% 16.93% 8.35% 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, 2004-October 31, 2014 [CHART] Tax-Managed U.S. Targeted Russell 2000(R) Value Portfolio Value Index --------------------------- ---------------- 10/31/04 10,000 10,000 11/30/04 10,969 10,887 12/31/04 11,388 11,147 1/31/05 11,038 10,716 2/28/05 11,311 10,929 3/31/05 11,053 10,704 4/30/05 10,295 10,152 5/31/05 10,913 10,771 6/30/05 11,350 11,247 7/31/05 12,156 11,887 8/31/05 12,012 11,614 9/30/05 12,088 11,595 10/31/05 11,757 11,304 11/30/05 12,295 11,762 12/31/05 12,319 11,672 1/31/06 13,385 12,637 2/28/06 13,296 12,636 3/31/06 14,017 13,248 4/30/06 14,175 13,284 5/31/06 13,528 12,734 6/30/06 13,533 12,890 7/31/06 13,032 12,711 8/31/06 13,285 13,091 9/30/06 13,420 13,219 10/31/06 14,106 13,892 11/30/06 14,471 14,288 12/31/06 14,641 14,412 1/31/07 14,943 14,628 2/28/07 14,868 14,449 3/31/07 15,048 14,623 4/30/07 15,339 14,775 5/31/07 15,926 15,316 6/30/07 15,686 14,959 7/31/07 14,543 13,686 8/31/07 14,525 13,960 9/30/07 14,531 14,023 10/31/07 14,660 14,176 11/30/07 13,518 13,114 12/31/07 13,390 13,003 1/31/08 12,751 12,470 2/29/08 12,407 11,974 3/31/08 12,519 12,155 4/30/08 12,896 12,539 5/31/08 13,428 12,968 6/30/08 12,163 11,724 7/31/08 12,245 12,325 8/31/08 12,666 12,910 9/30/08 11,584 12,305 10/31/08 9,077 9,847 11/30/08 7,899 8,707 12/31/08 8,334 9,242 1/31/09 7,202 7,922 2/28/09 6,204 6,822 3/31/09 6,768 7,427 4/30/09 8,036 8,606 5/31/09 8,361 8,792 6/30/09 8,325 8,764 7/31/09 9,302 9,778 8/31/09 9,748 10,240 9/30/09 10,265 10,754 10/31/09 9,568 10,040 11/30/09 9,887 10,359 12/31/09 10,637 11,144 1/31/10 10,374 10,817 2/28/10 10,971 11,319 3/31/10 11,860 12,260 4/30/10 12,739 13,118 5/31/10 11,655 12,010 6/30/10 10,600 10,961 7/31/10 11,429 11,744 8/31/10 10,530 10,861 9/30/10 11,773 12,027 10/31/10 12,288 12,493 11/30/10 12,764 12,810 12/31/10 13,874 13,875 1/31/11 13,932 13,882 2/28/11 14,721 14,587 3/31/11 14,992 14,790 4/30/11 15,257 15,030 5/31/11 14,895 14,761 6/30/11 14,599 14,398 7/31/11 14,140 13,922 8/31/11 12,717 12,692 9/30/11 11,204 11,306 10/31/11 12,973 12,935 11/30/11 12,947 12,909 12/31/11 13,074 13,111 1/31/12 13,913 13,983 2/29/12 14,434 14,191 3/31/12 14,729 14,631 4/30/12 14,488 14,419 5/31/12 13,427 13,538 6/30/12 13,958 14,191 7/31/12 13,906 14,046 8/31/12 14,533 14,479 9/30/12 15,003 14,995 10/31/12 14,970 14,807 11/30/12 15,258 14,852 12/31/12 15,805 15,478 1/31/13 16,879 16,401 2/28/13 17,183 16,588 3/31/13 18,013 17,278 4/30/13 17,871 17,262 5/31/13 18,736 17,777 6/30/13 18,604 17,705 7/31/13 19,923 18,843 8/31/13 19,186 18,010 9/30/13 20,262 19,049 10/31/13 21,048 19,669 11/30/13 22,105 20,436 12/31/13 22,738 20,821 1/31/14 21,628 20,016 2/28/14 22,703 20,932 3/31/14 23,012 21,191 4/30/14 22,600 20,646 5/31/14 22,914 20,777 6/30/14 23,851 21,696 7/31/14 22,682 20,384 Past performance is not predictive of 8/31/14 23,872 21,270 future performance. 9/30/14 22,507 19,835 The returns shown do not reflect the 10/31/14 23,384 21,221 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 Russell data copyright (C) Russell ---------------------------------------------------- Investment Group 1995-2014, all rights 11.10% 19.57% 8.87% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX October 31, 2004-October 31, 2014 [CHART] Tax-Managed U.S. Small Russell 2000(R) Cap Portfolio Index --------------------------- ---------------- 10/31/04 10,000 10,000 11/30/04 10,851 10,867 12/31/04 11,295 11,189 1/31/05 10,898 10,722 2/28/05 11,109 10,903 3/31/05 10,792 10,591 4/30/05 10,126 9,985 5/31/05 10,813 10,638 6/30/05 11,198 11,048 7/31/05 11,986 11,748 8/31/05 11,849 11,531 9/30/05 11,960 11,567 10/31/05 11,595 11,208 11/30/05 12,151 11,752 12/31/05 12,158 11,698 1/31/06 13,250 12,747 2/28/06 13,176 12,712 3/31/06 13,782 13,329 4/30/06 13,851 13,326 5/31/06 13,066 12,578 6/30/06 13,009 12,659 7/31/06 12,489 12,247 8/31/06 12,770 12,610 9/30/06 12,858 12,715 10/31/06 13,554 13,447 11/30/06 13,958 13,800 12/31/06 14,040 13,847 1/31/07 14,296 14,078 2/28/07 14,264 13,967 3/31/07 14,459 14,116 4/30/07 14,789 14,370 5/31/07 15,407 14,959 6/30/07 15,249 14,740 7/31/07 14,337 13,732 8/31/07 14,438 14,043 9/30/07 14,677 14,284 10/31/07 14,992 14,694 11/30/07 13,827 13,639 12/31/07 13,811 13,630 1/31/08 12,804 12,701 2/29/08 12,470 12,230 3/31/08 12,471 12,281 4/30/08 12,864 12,796 5/31/08 13,457 13,383 6/30/08 12,395 12,353 7/31/08 12,701 12,810 8/31/08 13,012 13,273 9/30/08 11,815 12,215 10/31/08 9,329 9,674 11/30/08 8,150 8,530 12/31/08 8,503 9,025 1/31/09 7,506 8,021 2/28/09 6,585 7,046 3/31/09 7,225 7,675 4/30/09 8,408 8,862 5/31/09 8,664 9,129 6/30/09 8,877 9,263 7/31/09 9,717 10,155 8/31/09 9,896 10,446 9/30/09 10,428 11,049 10/31/09 9,700 10,299 11/30/09 9,927 10,622 12/31/09 10,736 11,477 1/31/10 10,383 11,054 2/28/10 10,844 11,552 3/31/10 11,712 12,493 4/30/10 12,478 13,200 5/31/10 11,508 12,198 6/30/10 10,624 11,253 7/31/10 11,379 12,026 8/31/10 10,481 11,136 9/30/10 11,783 12,524 10/31/10 12,281 13,036 11/30/10 12,809 13,488 12/31/10 13,807 14,559 1/31/11 13,795 14,522 2/28/11 14,583 15,318 3/31/11 15,036 15,715 4/30/11 15,349 16,130 5/31/11 15,030 15,828 6/30/11 14,788 15,463 7/31/11 14,324 14,904 8/31/11 13,016 13,607 9/30/11 11,568 12,082 10/31/11 13,325 13,910 11/30/11 13,277 13,860 12/31/11 13,387 13,951 1/31/12 14,291 14,937 2/29/12 14,642 15,294 3/31/12 15,061 15,686 4/30/12 14,855 15,444 5/31/12 13,897 14,422 6/30/12 14,504 15,141 7/31/12 14,400 14,932 8/31/12 14,893 15,430 9/30/12 15,409 15,937 10/31/12 15,183 15,591 11/30/12 15,348 15,674 12/31/12 15,870 16,232 1/31/13 16,831 17,248 2/28/13 17,034 17,438 3/31/13 17,828 18,244 4/30/13 17,686 18,177 5/31/13 18,579 18,903 6/30/13 18,587 18,806 7/31/13 19,974 20,123 8/31/13 19,339 19,483 9/30/13 20,565 20,726 10/31/13 21,189 21,248 11/30/13 22,288 22,099 12/31/13 22,754 22,534 1/31/14 21,775 21,910 2/28/14 22,735 22,942 3/31/14 22,891 22,786 4/30/14 22,171 21,902 5/31/14 22,283 22,078 6/30/14 23,235 23,252 7/31/14 21,862 21,845 Past performance is not predictive of 8/31/14 22,918 22,928 future performance. 9/30/14 21,695 21,541 The returns shown do not reflect the 10/31/14 23,008 22,961 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 Russell data copyright (C) Russell --------------------------------------------------- Investment Group 1995-2014, all rights 8.58% 18.86% 8.69% 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, 2014 [CHART] T.A U.S. Core Equity Russell 3000(R) 2 Portfolio Index ------------------------------- ---------------- 10/04/07 10,000 10,000 10/31/07 9,950 10,057 11/30/07 9,400 9,604 12/31/07 9,305 9,546 1/31/08 8,874 8,968 2/29/08 8,613 8,689 3/31/08 8,525 8,638 4/30/08 8,937 9,070 5/31/08 9,189 9,255 6/30/08 8,339 8,492 7/31/08 8,420 8,424 8/31/08 8,642 8,555 9/30/08 7,905 7,750 10/31/08 6,377 6,376 11/30/08 5,810 5,872 12/31/08 5,991 5,985 1/31/09 5,370 5,482 2/28/09 4,748 4,908 3/31/09 5,221 5,338 4/30/09 5,927 5,900 5/31/09 6,183 6,215 6/30/09 6,188 6,236 7/31/09 6,743 6,721 8/31/09 7,021 6,961 9/30/09 7,363 7,253 10/31/09 7,043 7,066 11/30/09 7,363 7,468 12/31/09 7,710 7,681 1/31/10 7,461 7,404 2/28/10 7,772 7,655 3/31/10 8,327 8,137 4/30/10 8,638 8,313 5/31/10 7,942 7,656 6/30/10 7,384 7,216 7/31/10 7,936 7,717 8/31/10 7,457 7,354 9/30/10 8,243 8,048 10/31/10 8,557 8,363 11/30/10 8,703 8,411 12/31/10 9,380 8,981 1/31/11 9,570 9,177 2/28/11 10,001 9,511 3/31/11 10,123 9,554 4/30/11 10,365 9,839 5/31/11 10,197 9,726 6/30/11 9,658 9,333 8/31/11 8,929 8,773 9/30/11 8,082 8,092 10/31/11 9,154 9,024 11/30/11 9,122 8,999 12/31/11 9,197 9,073 1/31/12 9,698 9,531 2/29/12 10,125 9,934 3/31/12 10,367 10,241 4/30/12 10,261 10,174 5/31/12 9,555 9,545 6/30/12 9,933 9,918 7/31/12 9,976 10,017 8/31/12 10,298 10,267 9/30/12 10,607 10,536 10/31/12 10,510 10,355 11/30/12 10,618 10,435 12/31/12 10,846 10,563 1/31/13 11,542 11,142 2/28/13 11,673 11,290 3/31/13 12,166 11,732 4/30/13 12,264 11,924 5/31/13 12,711 12,206 6/30/13 12,596 12,047 7/31/13 13,351 12,708 8/31/13 12,935 12,353 9/30/13 13,490 12,812 10/31/13 14,039 13,356 11/30/13 14,512 13,744 12/31/13 14,919 14,107 1/31/14 14,373 13,661 2/28/14 15,052 14,309 3/31/14 15,214 14,385 4/30/14 15,136 14,402 5/31/14 15,415 14,717 6/30/14 15,896 15,086 7/31/14 15,448 14,788 Past performance is not predictive of 8/31/14 16,098 15,409 future performance. 9/30/14 15,583 15,087 The returns shown do not reflect the 10/31/14 15,988 15,502 deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years inception Russell data copyright (C) Russell ------------------------------------------------------- Investment Group 1995-2014, all rights 13.88% 17.82% 6.86% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Tax-Managed DFA International MSCI World ex USA Value Portfolio Index (net dividends) ----------------------------- --------------------- 10/31/04 10,000 10,000 11/30/04 10,741 10,665 12/31/04 11,297 11,116 1/31/05 11,233 10,897 2/28/05 11,686 11,382 3/31/05 11,400 11,123 4/30/05 11,059 10,840 5/31/05 11,075 10,859 6/30/05 11,261 11,037 7/31/05 11,751 11,393 8/31/05 12,169 11,708 9/30/05 12,543 12,242 10/31/05 12,325 11,847 11/30/05 12,527 12,160 12/31/05 13,167 12,724 1/31/06 14,074 13,529 2/28/06 14,215 13,483 3/31/06 14,759 13,911 4/30/06 15,517 14,576 5/31/06 14,882 14,022 6/30/06 14,757 14,004 7/31/06 14,992 14,136 8/31/06 15,487 14,537 9/30/06 15,667 14,526 10/31/06 16,362 15,100 11/30/06 16,913 15,549 12/31/06 17,564 15,995 1/31/07 17,902 16,093 2/28/07 17,875 16,222 3/31/07 18,472 16,637 4/30/07 19,379 17,394 5/31/07 20,028 17,781 6/30/07 19,868 17,798 7/31/07 19,335 17,552 8/31/07 19,109 17,298 9/30/07 20,129 18,281 10/31/07 21,108 19,076 11/30/07 19,875 18,330 12/31/07 19,460 17,985 1/31/08 17,837 16,364 2/29/08 17,578 16,660 3/31/08 17,829 16,422 4/30/08 18,607 17,335 5/31/08 18,617 17,598 6/30/08 16,812 16,230 7/31/08 16,374 15,652 8/31/08 15,680 15,047 9/30/08 13,994 12,874 10/31/08 10,816 10,196 11/30/08 10,108 9,643 12/31/08 10,823 10,152 1/31/09 9,379 9,204 2/28/09 8,195 8,273 3/31/09 9,011 8,818 4/30/09 10,635 9,955 5/31/09 12,216 11,214 6/30/09 12,052 11,098 7/31/09 13,457 12,140 8/31/09 14,186 12,722 9/30/09 14,878 13,247 10/31/09 14,305 13,034 11/30/09 14,730 13,356 12/31/09 14,913 13,569 1/31/10 14,029 12,933 2/28/10 14,071 12,920 3/31/10 15,135 13,752 4/30/10 14,879 13,547 5/31/10 13,140 12,052 6/30/10 12,917 11,878 7/31/10 14,455 12,976 8/31/10 13,762 12,588 9/30/10 15,231 13,795 10/31/10 15,785 14,287 11/30/10 15,035 13,682 12/31/10 16,435 14,783 1/31/11 17,134 15,102 2/28/11 17,702 15,662 3/31/11 17,233 15,348 4/30/11 18,131 16,184 5/31/11 17,441 15,704 6/30/11 17,153 15,480 7/31/11 16,608 15,225 8/31/11 14,849 13,938 9/30/11 13,241 12,538 10/31/11 14,551 13,758 11/30/11 14,092 13,122 12/31/11 13,689 12,979 1/31/12 14,604 13,679 2/29/12 15,407 14,431 3/31/12 15,276 14,325 4/30/12 14,710 14,081 5/31/12 12,875 12,476 6/30/12 13,791 13,294 7/31/12 13,721 13,459 8/31/12 14,286 13,843 9/30/12 14,781 14,263 10/31/12 14,955 14,363 11/30/12 15,175 14,665 12/31/12 15,926 15,109 1/31/13 16,708 15,852 2/28/13 16,183 15,694 3/31/13 16,210 15,818 4/30/13 16,993 16,539 5/31/13 16,759 16,168 6/30/13 16,160 15,563 7/31/13 17,239 16,391 8/31/13 17,121 16,180 9/30/13 18,431 17,323 10/31/13 19,051 17,904 11/30/13 19,123 18,014 12/31/13 19,533 18,285 1/31/14 18,815 17,547 2/28/14 19,868 18,505 3/31/14 19,733 18,422 4/30/14 20,025 18,712 5/31/14 20,244 19,002 6/30/14 20,495 19,272 7/31/14 20,026 18,928 Past performance is not predictive of 8/31/14 20,013 18,943 future performance. 9/30/14 19,115 18,165 The returns shown do not reflect the 10/31/14 18,806 17,877 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.29% 5.62% 6.52% rights reserved.
-------------------------------------------------------------------------------- 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) March 6, 2008-October 31, 2014 [CHART] T.A World ex U.S. Core MSCI ALL Country World ex Equity Portfolio USA Index (net dividends) --------------------------- ------------------------- 3/06/08 10,000 10,000 3/31/08 10,160 9,940 4/30/08 10,630 10,541 5/31/08 10,750 10,708 6/30/08 9,681 9,828 7/31/08 9,357 9,474 8/31/08 8,942 9,031 9/30/08 7,757 7,674 10/31/08 5,929 5,985 11/30/08 5,584 5,638 12/31/08 6,015 5,960 1/31/09 5,382 5,433 2/28/09 4,841 4,926 3/31/09 5,344 5,321 4/30/09 6,193 6,046 5/31/09 7,186 6,865 6/30/09 7,119 6,789 7/31/09 7,884 7,453 8/31/09 8,205 7,729 9/30/09 8,681 8,126 10/31/09 8,442 8,025 11/30/09 8,743 8,255 12/31/09 8,924 8,430 1/31/10 8,486 8,018 2/28/10 8,528 8,018 3/31/10 9,183 8,563 4/30/10 9,152 8,488 5/31/10 8,129 7,595 6/30/10 8,051 7,497 7/31/10 8,874 8,174 8/31/10 8,579 7,950 9/30/10 9,531 8,741 10/31/10 9,859 9,038 11/30/10 9,488 8,689 12/31/10 10,314 9,370 1/31/11 10,431 9,462 2/28/11 10,644 9,711 3/31/11 10,649 9,689 4/30/11 11,182 10,162 5/31/11 10,851 9,869 6/30/11 10,663 9,726 7/31/11 10,490 9,593 8/31/11 9,530 8,771 9/30/11 8,278 7,795 10/31/11 9,115 8,617 11/30/11 8,799 8,177 12/31/11 8,560 8,086 1/31/12 9,294 8,634 2/29/12 9,809 9,119 3/31/12 9,721 8,994 4/30/12 9,502 8,852 5/31/12 8,405 7,847 6/30/12 8,878 8,309 7/31/12 8,867 8,427 8/31/12 9,123 8,603 9/30/12 9,494 8,925 10/31/12 9,561 8,959 11/30/12 9,729 9,130 12/31/12 10,221 9,446 1/31/13 10,581 9,830 2/28/13 10,480 9,726 3/31/13 10,548 9,746 4/30/13 10,886 10,104 5/31/13 10,638 9,870 6/30/13 10,191 9,442 7/31/13 10,704 9,856 8/31/13 10,556 9,720 9/30/13 11,347 10,395 10/31/13 11,749 10,777 11/30/13 11,760 10,795 12/31/13 11,919 10,890 1/31/14 11,433 10,396 2/28/14 12,058 10,918 3/31/14 12,110 10,946 4/30/14 12,238 11,090 5/31/14 12,412 11,306 6/30/14 12,634 11,496 7/31/14 12,399 11,382 8/31/14 12,517 11,445 Past performance is not predictive of 9/30/14 11,837 10,891 future performance. 10/31/14 11,719 10,783 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.25% 6.78% 2.41% rights reserved.
-------------------------------------------------------------------------------- 5 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index/SM/......... 20.69%
Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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 invests in a broadly diversified group 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 tax management strategies employed by the Master Fund are designed to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Master Fund held approximately 1,150 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, 2014, total returns were 14.98% for the Portfolio and 15.76% for the Russell 3000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was 6 determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. Lower book to market stocks outperformed higher book to market stocks within the index. The Tax-Managed U.S. Marketwide Value Portfolio had less weight than the index in lower book to market stocks, which detracted from relative performance. The Master Fund excludes real estate investment trusts (REITs) and highly regulated utilities from eligibility while the Index holds stocks in these sectors. REITs and utilities generally outperformed other sectors during the period, which detracted from the Portfolio's relative performance. 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 tax management strategies employed by the Portfolio are designed to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,470 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, 2014, total returns were 15.89% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's exclusion of real estate investment trusts ("REITs") detracted from the Portfolio's relative performance as REITs outperformed during the period. Tax-Managed U.S. Targeted Value Portfolio The Tax-Managed U.S. Targeted Value Portfolio invests in a broadly diversified group of U.S. small- and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The tax management strategies employed by the Portfolio are designed to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, 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, 2014, total returns were 11.10% for the Portfolio and 7.89% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. Mid-cap value stocks significantly outperformed small cap value stocks during the period. The portfolio had a greater weight than the Index in mid-cap value stocks and less weight in small cap value stocks, and these differences were the primary driver of the Portfolio's relative outperformance. Tax-Managed U.S. Small Cap Portfolio The Tax-Managed U.S. Small Cap Portfolio invests in U.S. small company stocks. The tax management strategies employed by the Portfolio are designed to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 1,860 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, 2014, total returns were 8.58% for the Portfolio and 8.06% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio excluded certain stocks with low profitability that were held by the Index. These stocks generally underperformed during the period and the exclusion detracted from the Portfolio's relative performance. T.A. U.S. Core Equity 2 Portfolio The T.A. U.S. Core Equity 2 Portfolio invests in a broadly diversified group of U.S. equity securities, with increased exposure to smaller company stocks and value stocks relative to the market while considering federal tax implications of investment decisions. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,680 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. 7 For the 12 months ended October 31, 2014, total returns were 13.88% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The Portfolio's exclusion of REITs also detracted from the Portfolio's relative performance as REITs outperformed most other sectors during the period. International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-U.S. developed markets was generally negative for the period. Only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-U.S. securities in developed markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
8 During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollar ------------------------------------------ ------------ --------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. International Equity Portfolios' Performance Overview Tax-Managed DFA International Value Portfolio The Tax-Managed DFA International Value Portfolio invests in a broadly diversified group of international large company value stocks. Value is measured primarily by book-to-market ratio. The tax managed strategies employed by the Portfolio are designed to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 530 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, 2014, total returns were -1.29% for the Portfolio and -0.15% 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 trends in international equity markets rather than the behavior of a limited number of stocks. The Portfolio had significantly greater exposure than the Index to value stocks. Value stocks, particularly those in Canada, generally underperformed the Index, which detracted from the Portfolio's relative performance. T.A. World ex U.S. Core Equity Portfolio The T.A. World ex U.S. Core Equity Portfolio invests in a broadly diversified group of international stocks in developed and emerging markets, with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio, while considering potential federal tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, 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, 2014, total returns were -0.25% for the Portfolio and 0.06% 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 trends in the international and emerging equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests across all size categories while the Index primarily holds large and mid-cap stocks. Small cap stocks generally underperformed during the period, and the Portfolio's exposure to small cap stocks, particularly in Canada, detracted from the Portfolio's relative performance. The Portfolio's greater exposure than the Index to value stocks (as measured by book-to-market ratio) detracted from the Portfolio's relative performance as value stocks underperformed during the period. 9 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Tax-Managed U.S. Marketwide Value Portfolio** --------------------------------------------- Actual Fund Return............................ $1,000.00 $1,061.50 0.37% $1.92 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 $1,075.40 0.22% $1.15 Hypothetical 5% Annual Return................. $1,000.00 $1,024.10 0.22% $1.12
10 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Tax-Managed U.S. Targeted Value Portfolio ----------------------------------------- Actual Fund Return............................ $1,000.00 $1,034.70 0.43% $2.21 Hypothetical 5% Annual Return................. $1,000.00 $1,023.04 0.43% $2.19 Tax-Managed U.S. Small Cap Portfolio ------------------------------------ Actual Fund Return............................ $1,000.00 $1,037.70 0.52% $2.67 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 $1,056.30 0.24% $1.24 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 $ 939.10 0.53% $2.59 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 $ 957.70 0.45% $2.22 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). 11 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 29, 2014. 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 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....................... 12.9% Consumer Staples............................. 8.8% Energy....................................... 8.9% Financials................................... 14.6% Health Care.................................. 14.2% Industrials.................................. 11.7% Information Technology....................... 19.6% Materials.................................... 3.8% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.2% Utilities.................................... 3.3% ----- 100.0%
Tax-Managed U.S. Targeted Value Portfolio Consumer Discretionary....................... 15.8% Consumer Staples............................. 3.3% Energy....................................... 8.3% Financials................................... 25.9% Health Care.................................. 6.3% Industrials.................................. 17.0% Information Technology....................... 13.6% Materials.................................... 8.4% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 0.9% Utilities.................................... 0.5% ----- 100.0%
Tax-Managed U.S. Small Cap Portfolio Consumer Discretionary....................... 16.2% Consumer Staples............................. 4.3% Energy....................................... 4.8% Financials................................... 19.8% Health Care.................................. 9.5% Industrials.................................. 18.2% Information Technology....................... 17.5% Materials.................................... 5.6% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 0.9% Utilities.................................... 3.2% ----- 100.0%
12 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED T.A. U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 14.6% Consumer Staples............................. 6.0% Energy....................................... 10.7% Financials................................... 17.7% Health Care.................................. 10.9% Industrials.................................. 14.5% Information Technology....................... 15.8% Materials.................................... 5.2% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.7% Utilities.................................... 1.9% ----- 100.0%
Tax-Managed DFA International Value Portfolio Consumer Discretionary....................... 10.5% Consumer Staples............................. 4.2% Energy....................................... 12.9% Financials................................... 35.8% Health Care.................................. 4.1% Industrials.................................. 9.6% Information Technology....................... 3.2% Materials.................................... 11.2% Other........................................ -- Telecommunication Services................... 5.0% Utilities.................................... 3.5% ----- 100.0%
T.A. World ex U.S. Core Equity Portfolio Consumer Discretionary....................... 13.9% Consumer Staples............................. 7.6% Energy....................................... 8.2% Financials................................... 22.7% Health Care.................................. 5.6% Industrials.................................. 15.7% Information Technology....................... 8.1% Materials.................................... 11.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.7% Utilities.................................... 3.4% ----- 100.0%
13 TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company............................ $3,663,379,468 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,984,418,632).................................... $3,663,379,468 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 14 TAX-MANAGED U.S. EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (91.8%) Consumer Discretionary -- (11.8%) * Amazon.com, Inc................... 39,712 $ 12,130,428 0.5% Comcast Corp. Class A............. 227,903 12,614,431 0.6% Home Depot, Inc. (The)............ 148,640 14,495,373 0.6% McDonald's Corp................... 107,641 10,089,191 0.4% Walt Disney Co. (The)............. 183,316 16,751,416 0.7% Other Securities.................. 230,028,259 10.0% ------------ ----- Total Consumer Discretionary.......... 296,109,098 12.8% ------------ ----- Consumer Staples -- (8.1%) Altria Group, Inc................. 214,752 10,381,112 0.5% Coca-Cola Co. (The)............... 435,710 18,247,535 0.8% CVS Health Corp................... 132,004 11,327,263 0.5% PepsiCo, Inc...................... 166,178 15,981,338 0.7% Philip Morris International, Inc.. 172,168 15,324,674 0.7% Procter & Gamble Co. (The)........ 296,869 25,907,758 1.1% Wal-Mart Stores, Inc.............. 175,993 13,422,986 0.6% Other Securities.................. 92,423,832 3.9% ------------ ----- Total Consumer Staples................ 203,016,498 8.8% ------------ ----- Energy -- (8.1%) Chevron Corp...................... 209,586 25,139,841 1.1% ConocoPhillips.................... 132,812 9,582,386 0.4% Exxon Mobil Corp.................. 470,724 45,523,718 2.0% Schlumberger, Ltd................. 143,494 14,157,118 0.6% Other Securities.................. 110,252,507 4.8% ------------ ----- Total Energy.......................... 204,655,570 8.9% ------------ ----- Financials -- (13.4%) American Express Co............... 103,359 9,297,142 0.4% Bank of America Corp.............. 1,160,707 19,917,732 0.9% * Berkshire Hathaway, Inc. Class B.. 201,569 28,251,911 1.2% Citigroup, Inc.................... 334,942 17,929,445 0.8% JPMorgan Chase & Co............... 417,021 25,221,430 1.1% Wells Fargo & Co.................. 550,965 29,250,732 1.3% Other Securities.................. 205,589,563 8.8% ------------ ----- Total Financials...................... 335,457,955 14.5% ------------ ----- Health Care -- (13.1%) AbbVie, Inc....................... 172,168 10,925,781 0.5% Amgen, Inc........................ 82,518 13,382,769 0.6% Bristol-Myers Squibb Co........... 181,943 10,587,263 0.5% * Celgene Corp...................... 87,214 9,339,747 0.4% * Gilead Sciences, Inc.............. 166,797 18,681,264 0.8% Johnson & Johnson................. 312,626 33,694,830 1.5% Merck & Co., Inc.................. 322,370 18,678,118 0.8% Pfizer, Inc....................... 696,727 20,866,974 0.9% UnitedHealth Group, Inc........... 108,703 10,327,872 0.5% Other Securities.................. 181,659,814 7.7% ------------ ----- Total Health Care..................... 328,144,432 14.2% ------------ ----- Industrials -- (10.7%) 3M Co............................. 67,855 10,434,063 0.5% Boeing Co. (The).................. 75,085 9,378,867 0.4%
15 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 1,108,872 $ 28,619,986 1.3% Union Pacific Corp................................. 100,032 11,648,726 0.5% United Technologies Corp........................... 95,229 10,189,503 0.5% Other Securities................................... 198,305,242 8.4% -------------- ------ Total Industrials........................................ 268,576,387 11.6% -------------- ------ Information Technology -- (18.0%) Apple, Inc......................................... 677,523 73,172,484 3.2% Cisco Systems, Inc................................. 568,169 13,903,095 0.6% * Facebook, Inc. Class A............................. 222,482 16,683,925 0.7% * Google, Inc. Class A............................... 30,123 17,105,948 0.8% * Google, Inc. Class C............................... 30,123 16,841,167 0.7% Intel Corp......................................... 549,375 18,684,244 0.8% International Business Machines Corp............... 105,694 17,376,094 0.8% MasterCard, Inc. Class A........................... 108,420 9,080,175 0.4% Microsoft Corp..................................... 867,308 40,720,111 1.8% Oracle Corp........................................ 400,229 15,628,942 0.7% QUALCOMM, Inc...................................... 184,713 14,501,818 0.6% Visa, Inc. Class A................................. 53,984 13,033,357 0.6% Other Securities................................... 185,667,698 7.9% -------------- ------ Total Information Technology............................. 452,399,058 19.6% -------------- ------ Materials -- (3.5%) Other Securities................................... 87,575,466 3.8% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 10,390 0.0% -------------- ------ Telecommunication Services -- (2.1%) AT&T, Inc.......................................... 570,785 19,886,149 0.9% Verizon Communications, Inc........................ 448,711 22,547,728 1.0% Other Securities................................... 9,305,165 0.3% -------------- ------ Total Telecommunication Services......................... 51,739,042 2.2% -------------- ------ Utilities -- (3.0%) Other Securities................................... 75,893,948 3.3% -------------- ------ TOTAL COMMON STOCKS...................................... 2,303,577,844 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 18,621 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077%. 10,354,688 10,354,688 0.4% -------------- ------ SECURITIES LENDING COLLATERAL -- (7.8%) (S)@ DFA Short Term Investment Fund..................... 17,011,396 196,821,854 8.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,301,704,150)................................ $2,510,773,007 108.6% ============== ======
16 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 296,109,098 -- -- $ 296,109,098 Consumer Staples.............. 203,016,498 -- -- 203,016,498 Energy........................ 204,655,570 -- -- 204,655,570 Financials.................... 335,457,307 $ 648 -- 335,457,955 Health Care................... 328,136,294 8,138 -- 328,144,432 Industrials................... 268,576,387 -- -- 268,576,387 Information Technology........ 452,399,058 -- -- 452,399,058 Materials..................... 87,575,466 -- -- 87,575,466 Other......................... -- -- -- -- Real Estate Investment Trusts. 10,390 -- -- 10,390 Telecommunication Services.... 51,739,042 -- -- 51,739,042 Utilities..................... 75,893,948 -- -- 75,893,948 Rights/Warrants................. -- 18,621 -- 18,621 Temporary Cash Investments...... 10,354,688 -- -- 10,354,688 Securities Lending Collateral... -- 196,821,854 -- 196,821,854 -------------- ------------ -- -------------- TOTAL........................... $2,313,923,746 $196,849,261 -- $2,510,773,007 ============== ============ == ==============
See accompanying Notes to Financial Statements. 17 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.3%) Consumer Discretionary -- (13.3%) # Dillard's, Inc. Class A................ 254,247 $ 26,889,163 0.8% Foot Locker, Inc....................... 242,147 13,562,653 0.4% # GameStop Corp. Class A................. 431,501 18,450,983 0.5% Gannett Co., Inc....................... 412,001 12,978,031 0.4% #* Iconix Brand Group, Inc................ 330,870 13,238,109 0.4% Other Securities....................... 475,952,207 13.2% ------------ ----- Total Consumer Discretionary............... 561,071,146 15.7% ------------ ----- Consumer Staples -- (2.8%) #* Hain Celestial Group, Inc. (The)....... 130,526 14,129,439 0.4% Other Securities....................... 101,937,460 2.9% ------------ ----- Total Consumer Staples..................... 116,066,899 3.3% ------------ ----- Energy -- (7.0%) Bristow Group, Inc..................... 174,943 12,928,288 0.4% # Exterran Holdings, Inc................. 320,367 12,600,034 0.4% * Helix Energy Solutions Group, Inc...... 562,740 14,991,394 0.4% Tesoro Corp............................ 419,582 29,962,351 0.8% Western Refining, Inc.................. 378,467 17,254,311 0.5% Other Securities....................... 205,940,601 5.7% ------------ ----- Total Energy............................... 293,676,979 8.2% ------------ ----- Financials -- (21.8%) Allied World Assurance Co. Holdings AG. 466,524 17,727,912 0.5% American Financial Group, Inc.......... 370,385 22,160,135 0.6% Assurant, Inc.......................... 331,133 22,589,893 0.6% Axis Capital Holdings, Ltd............. 302,382 14,556,669 0.4% CNO Financial Group, Inc............... 1,264,042 22,917,081 0.6% * E*TRADE Financial Corp................. 618,552 13,793,710 0.4% Endurance Specialty Holdings, Ltd...... 206,632 11,974,324 0.3% Everest Re Group, Ltd.................. 104,016 17,750,330 0.5% * Genworth Financial, Inc. Class A....... 923,584 12,920,940 0.4% Legg Mason, Inc........................ 349,011 18,148,572 0.5% # NASDAQ OMX Group, Inc. (The)........... 416,712 18,026,961 0.5% PartnerRe, Ltd......................... 163,753 18,944,585 0.5% Protective Life Corp................... 263,755 18,378,448 0.5% Reinsurance Group of America, Inc...... 235,808 19,866,824 0.6% Other Securities....................... 668,927,868 18.8% ------------ ----- Total Financials........................... 918,684,252 25.7% ------------ ----- Health Care -- (5.3%) #* Community Health Systems, Inc.......... 235,709 12,956,924 0.4% * LifePoint Hospitals, Inc............... 217,249 15,207,430 0.4% Omnicare, Inc.......................... 317,727 21,157,441 0.6% Other Securities....................... 175,208,246 4.9% ------------ ----- Total Health Care.......................... 224,530,041 6.3% ------------ ----- Industrials -- (14.3%) AMERCO................................. 88,302 23,940,438 0.7% * Avis Budget Group, Inc................. 549,560 30,637,970 0.9% Curtiss-Wright Corp.................... 193,210 13,372,064 0.4% * Esterline Technologies Corp............ 124,499 14,580,078 0.4% GATX Corp.............................. 210,848 13,367,763 0.4%
18 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) #* JetBlue Airways Corp............................... 1,383,605 $ 15,966,802 0.5% Owens Corning...................................... 367,806 11,791,860 0.3% Ryder System, Inc.................................. 233,530 20,660,399 0.6% # Trinity Industries, Inc............................ 554,828 19,812,908 0.6% Other Securities................................... 437,652,859 12.0% -------------- ------ Total Industrials........................................ 601,783,141 16.8% -------------- ------ Information Technology -- (11.5%) * ARRIS Group, Inc................................... 449,224 13,485,704 0.4% * Arrow Electronics, Inc............................. 351,633 19,993,852 0.6% Avnet, Inc......................................... 313,439 13,556,237 0.4% #* First Solar, Inc................................... 251,802 14,831,138 0.4% * Ingram Micro, Inc. Class A......................... 553,452 14,854,652 0.4% # SYNNEX Corp........................................ 188,595 13,047,002 0.4% * TriQuint Semiconductor, Inc........................ 711,347 15,386,436 0.4% #* Virtusa Corp....................................... 319,624 13,098,192 0.4% Other Securities................................... 365,890,271 10.2% -------------- ------ Total Information Technology............................. 484,143,484 13.6% -------------- ------ Materials -- (7.1%) * Century Aluminum Co................................ 414,244 12,129,064 0.3% MeadWestvaco Corp.................................. 386,074 17,052,889 0.5% Reliance Steel & Aluminum Co....................... 202,824 13,686,563 0.4% Rock-Tenn Co. Class A.............................. 299,934 15,341,624 0.4% Westlake Chemical Corp............................. 191,836 13,534,030 0.4% Other Securities................................... 225,053,507 6.3% -------------- ------ Total Materials.......................................... 296,797,677 8.3% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 94,065 0.0% -------------- ------ Telecommunication Services -- (0.8%) Other Securities................................... 32,961,604 0.9% -------------- ------ Utilities -- (0.4%) Other Securities................................... 18,318,540 0.5% -------------- ------ TOTAL COMMON STOCKS...................................... 3,548,127,828 99.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 270,568 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 25,153,854 25,153,854 0.7% -------------- ------ SECURITIES LENDING COLLATERAL -- (15.1%) (S)@ DFA Short Term Investment Fund..................... 55,038,894 636,800,004 17.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,703,041,710)................................ $4,210,352,254 117.9% ============== ======
19 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 561,071,146 -- -- $ 561,071,146 Consumer Staples.............. 116,066,899 -- -- 116,066,899 Energy........................ 293,676,979 -- -- 293,676,979 Financials.................... 918,572,674 $ 111,578 -- 918,684,252 Health Care................... 224,451,559 78,482 -- 224,530,041 Industrials................... 601,781,204 1,937 -- 601,783,141 Information Technology........ 484,143,484 -- -- 484,143,484 Materials..................... 296,797,677 -- -- 296,797,677 Other......................... -- -- -- -- Real Estate Investment Trusts. 94,065 -- -- 94,065 Telecommunication Services.... 32,961,604 -- -- 32,961,604 Utilities..................... 18,318,540 -- -- 18,318,540 Rights/Warrants................. -- 270,568 -- 270,568 Temporary Cash Investments...... 25,153,854 -- -- 25,153,854 Securities Lending Collateral... -- 636,800,004 -- 636,800,004 -------------- ------------ -- -------------- TOTAL........................... $3,573,089,685 $637,262,569 -- $4,210,352,254 ============== ============ == ==============
See accompanying Notes to Financial Statements. 20 TAX-MANAGED U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (79.6%) Consumer Discretionary -- (12.9%) Big Lots, Inc.................................. 87,036 $ 3,973,193 0.2% #* Iconix Brand Group, Inc........................ 102,033 4,082,340 0.2% Lithia Motors, Inc. Class A.................... 51,735 4,015,671 0.2% #* Office Depot, Inc.............................. 836,472 4,366,384 0.2% Other Securities............................... 317,969,211 15.2% ------------ ----- Total Consumer Discretionary....................... 334,406,799 16.0% ------------ ----- Consumer Staples -- (3.4%) #* Pilgrim's Pride Corp........................... 173,140 4,918,907 0.2% Spectrum Brands Holdings, Inc.................. 41,553 3,764,286 0.2% Other Securities............................... 80,664,620 3.9% ------------ ----- Total Consumer Staples............................. 89,347,813 4.3% ------------ ----- Energy -- (3.8%) # Bristow Group, Inc............................. 53,346 3,942,269 0.2% # Exterran Holdings, Inc......................... 96,024 3,776,624 0.2% Western Refining, Inc.......................... 181,222 8,261,911 0.4% Other Securities............................... 83,702,768 4.0% ------------ ----- Total Energy....................................... 99,683,572 4.8% ------------ ----- Financials -- (15.7%) Cathay General Bancorp......................... 161,692 4,270,286 0.2% CNO Financial Group, Inc....................... 336,171 6,094,780 0.3% # First American Financial Corp.................. 128,060 3,882,779 0.2% Hanover Insurance Group, Inc. (The)............ 60,958 4,080,529 0.2% # Investors Bancorp, Inc......................... 415,530 4,466,947 0.2% PacWest Bancorp................................ 131,887 5,626,299 0.3% Primerica, Inc................................. 80,041 4,094,097 0.2% # Radian Group, Inc.............................. 324,032 5,459,939 0.3% StanCorp Financial Group, Inc.................. 59,107 4,111,483 0.2% TCF Financial Corp............................. 255,885 3,953,423 0.2% Webster Financial Corp......................... 144,207 4,519,447 0.2% * Western Alliance Bancorp....................... 158,880 4,229,386 0.2% Other Securities............................... 354,638,956 16.9% ------------ ----- Total Financials................................... 409,428,351 19.6% ------------ ----- Health Care -- (7.6%) * Charles River Laboratories International, Inc.. 70,800 4,471,728 0.2% * Health Net, Inc................................ 96,107 4,566,044 0.2% #* Lannett Co., Inc............................... 69,926 3,966,203 0.2% #* PAREXEL International Corp..................... 71,310 3,872,846 0.2% #* Prestige Brands Holdings, Inc.................. 110,081 3,899,069 0.2% STERIS Corp.................................... 61,168 3,780,182 0.2% * VCA, Inc....................................... 94,753 4,317,894 0.2% Other Securities............................... 168,441,466 8.0% ------------ ----- Total Health Care.................................. 197,315,432 9.4% ------------ ----- Industrials -- (14.5%) Alaska Air Group, Inc.......................... 71,514 3,806,690 0.2% AMERCO......................................... 25,259 6,848,220 0.3% * Avis Budget Group, Inc......................... 130,275 7,262,831 0.4% Curtiss-Wright Corp............................ 61,113 4,229,631 0.2% # EnerSys........................................ 63,999 4,019,137 0.2%
21 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * Esterline Technologies Corp........................ 48,126 $ 5,636,036 0.3% # Greenbrier Cos., Inc. (The)........................ 60,056 3,755,902 0.2% * Middleby Corp. (The)............................... 49,527 4,383,139 0.2% Other Securities................................... 335,783,888 15.9% -------------- ------ Total Industrials........................................ 375,725,474 17.9% -------------- ------ Information Technology -- (14.0%) * ARRIS Group, Inc................................... 170,706 5,124,594 0.2% * International Rectifier Corp....................... 110,063 4,377,206 0.2% # Lexmark International, Inc. Class A................ 90,382 3,900,887 0.2% * Manhattan Associates, Inc.......................... 103,202 4,139,432 0.2% Mentor Graphics Corp............................... 201,941 4,279,130 0.2% Methode Electronics, Inc........................... 97,435 3,836,990 0.2% #* RF Micro Devices, Inc.............................. 337,172 4,386,608 0.2% # SYNNEX Corp........................................ 63,951 4,424,130 0.2% * TriQuint Semiconductor, Inc........................ 253,709 5,487,726 0.3% #* Tyler Technologies, Inc............................ 34,175 3,824,866 0.2% Other Securities................................... 319,406,813 15.2% -------------- ------ Total Information Technology............................. 363,188,382 17.3% -------------- ------ Materials -- (4.4%) * Century Aluminum Co................................ 151,500 4,435,920 0.2% * KapStone Paper and Packaging Corp.................. 152,404 4,687,947 0.2% PolyOne Corp....................................... 131,230 4,856,822 0.2% Other Securities................................... 101,509,112 4.9% -------------- ------ Total Materials.......................................... 115,489,801 5.5% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 237,128 0.0% -------------- ------ Telecommunication Services -- (0.7%) Other Securities................................... 17,968,748 0.9% -------------- ------ Utilities -- (2.6%) IDACORP, Inc....................................... 64,563 4,082,318 0.2% Other Securities................................... 62,324,813 3.0% -------------- ------ Total Utilities.......................................... 66,407,131 3.2% -------------- ------ TOTAL COMMON STOCKS...................................... 2,069,198,631 98.9% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 5,669 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional Liquid Reserves, 0.077%. 26,654,455 26,654,455 1.3% -------------- ------ SECURITIES LENDING COLLATERAL -- (19.4%) (S)@ DFA Short Term Investment Fund..................... 43,500,592 503,301,846 24.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,648,995,120)................................ $2,599,160,601 124.2% ============== ======
22 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 334,406,799 -- -- $ 334,406,799 Consumer Staples.............. 89,347,813 -- -- 89,347,813 Energy........................ 99,683,572 -- -- 99,683,572 Financials.................... 409,391,357 $ 36,994 -- 409,428,351 Health Care................... 197,228,586 86,846 -- 197,315,432 Industrials................... 375,725,236 238 -- 375,725,474 Information Technology........ 363,188,382 -- -- 363,188,382 Materials..................... 115,489,801 -- -- 115,489,801 Other......................... -- -- -- -- Real Estate Investment Trusts. 237,128 -- -- 237,128 Telecommunication Services.... 17,968,748 -- -- 17,968,748 Utilities..................... 66,407,131 -- -- 66,407,131 Rights/Warrants................. -- 5,669 -- 5,669 Temporary Cash Investments...... 26,654,455 -- -- 26,654,455 Securities Lending Collateral... -- 503,301,846 -- 503,301,846 -------------- ------------ -- -------------- TOTAL........................... $2,095,729,008 $503,431,593 -- $2,599,160,601 ============== ============ == ==============
See accompanying Notes to Financial Statements. 23 T.A. U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (89.6%) Consumer Discretionary -- (13.1%) Comcast Corp. Class A.............. 590,048 $ 32,659,157 0.7% Ford Motor Co...................... 991,239 13,966,558 0.3% Lowe's Cos., Inc................... 218,761 12,513,129 0.3% Time Warner Cable, Inc............. 88,298 12,998,349 0.3% Time Warner, Inc................... 218,287 17,347,268 0.4% Walt Disney Co. (The).............. 365,590 33,407,614 0.7% Other Securities................... 615,333,399 11.9% ------------ ----- Total Consumer Discretionary........... 738,225,474 14.6% ------------ ----- Consumer Staples -- (5.4%) Coca-Cola Co. (The)................ 322,507 13,506,593 0.3% CVS Health Corp.................... 278,252 23,876,804 0.5% PepsiCo, Inc....................... 148,327 14,264,608 0.3% Procter & Gamble Co. (The)......... 274,994 23,998,726 0.5% Wal-Mart Stores, Inc............... 278,096 21,210,382 0.4% Other Securities................... 206,273,038 4.0% ------------ ----- Total Consumer Staples................. 303,130,151 6.0% ------------ ----- Energy -- (9.6%) Anadarko Petroleum Corp............ 156,692 14,381,192 0.3% Chevron Corp....................... 423,827 50,838,049 1.0% ConocoPhillips..................... 334,394 24,126,527 0.5% EOG Resources, Inc................. 200,013 19,011,236 0.4% Exxon Mobil Corp................... 1,180,695 114,185,013 2.3% Occidental Petroleum Corp.......... 233,538 20,768,534 0.4% Schlumberger, Ltd.................. 159,494 15,735,678 0.3% Other Securities................... 281,533,550 5.5% ------------ ----- Total Energy........................... 540,579,779 10.7% ------------ ----- Financials -- (15.9%) American International Group, Inc.. 306,497 16,419,044 0.3% Bank of America Corp............... 1,929,912 33,117,290 0.7% * Berkshire Hathaway, Inc. Class B... 115,079 16,129,473 0.3% Citigroup, Inc..................... 672,133 35,979,279 0.7% Goldman Sachs Group, Inc. (The).... 78,303 14,876,787 0.3% JPMorgan Chase & Co................ 899,243 54,386,217 1.1% Travelers Cos., Inc. (The)......... 112,519 11,341,915 0.2% U.S. Bancorp....................... 381,670 16,259,142 0.3% Wells Fargo & Co................... 1,199,886 63,701,948 1.3% Other Securities................... 632,014,031 12.5% ------------ ----- Total Financials....................... 894,225,126 17.7% ------------ ----- Health Care -- (9.7%) Amgen, Inc......................... 85,813 13,917,152 0.3% * Express Scripts Holding Co......... 163,258 12,541,480 0.3% * Gilead Sciences, Inc............... 109,368 12,249,216 0.3% Johnson & Johnson.................. 332,083 35,791,906 0.7% Merck & Co., Inc................... 572,640 33,178,762 0.7% Pfizer, Inc........................ 1,225,094 36,691,565 0.7% UnitedHealth Group, Inc............ 220,408 20,940,964 0.4% Other Securities................... 383,544,455 7.4% ------------ ----- Total Health Care...................... 548,855,500 10.8% ------------ -----
24 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (13.0%) FedEx Corp......................................... 75,208 $ 12,589,819 0.3% General Electric Co................................ 2,045,306 52,789,348 1.1% Union Pacific Corp................................. 219,888 25,605,958 0.5% Other Securities................................... 639,395,476 12.5% -------------- ------ Total Industrials........................................ 730,380,601 14.4% -------------- ------ Information Technology -- (14.1%) Apple, Inc......................................... 845,964 91,364,112 1.8% Cisco Systems, Inc................................. 1,023,846 25,053,512 0.5% Hewlett-Packard Co................................. 633,851 22,742,574 0.5% Intel Corp......................................... 1,402,548 47,700,657 1.0% International Business Machines Corp............... 72,831 11,973,416 0.3% * Micron Technology, Inc............................. 431,051 14,263,478 0.3% Microsoft Corp..................................... 675,654 31,721,955 0.6% Oracle Corp........................................ 401,851 15,692,282 0.3% QUALCOMM, Inc...................................... 145,409 11,416,061 0.2% Visa, Inc. Class A................................. 71,331 17,221,443 0.4% Other Securities................................... 506,714,815 9.8% -------------- ------ Total Information Technology............................. 795,864,305 15.7% -------------- ------ Materials -- (4.6%) Dow Chemical Co. (The)............................. 287,493 14,202,154 0.3% Other Securities................................... 247,951,988 4.9% -------------- ------ Total Materials.......................................... 262,154,142 5.2% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 241,569 0.0% -------------- ------ Telecommunication Services -- (2.5%) AT&T, Inc.......................................... 1,975,593 68,829,660 1.4% Verizon Communications, Inc........................ 740,077 37,188,869 0.8% Other Securities................................... 33,328,805 0.6% -------------- ------ Total Telecommunication Services......................... 139,347,334 2.8% -------------- ------ Utilities -- (1.7%) Other Securities................................... 94,162,676 1.9% -------------- ------ TOTAL COMMON STOCKS...................................... 5,047,166,657 99.8% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 110,929 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.1%) State Street Institutional Liquid Reserves, 0.077%. 6,534,172 6,534,172 0.1% -------------- ------ SECURITIES LENDING COLLATERAL -- (10.3%) (S)@ DFA Short Term Investment Fund..................... 50,125,050 579,946,827 11.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,585,029,602)................................... $5,633,758,585 111.4% ============== ======
25 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 738,225,474 -- -- $ 738,225,474 Consumer Staples.............. 303,130,151 -- -- 303,130,151 Energy........................ 540,579,779 -- -- 540,579,779 Financials.................... 894,220,473 $ 4,653 -- 894,225,126 Health Care................... 548,799,186 56,314 -- 548,855,500 Industrials................... 730,380,375 226 -- 730,380,601 Information Technology........ 795,864,305 -- -- 795,864,305 Materials..................... 262,154,142 -- -- 262,154,142 Other......................... -- -- -- -- Real Estate Investment Trusts. 241,569 -- -- 241,569 Telecommunication Services.... 139,347,334 -- -- 139,347,334 Utilities..................... 94,162,676 -- -- 94,162,676 Rights/Warrants................. -- 110,929 -- 110,929 Temporary Cash Investments...... 6,534,172 -- -- 6,534,172 Securities Lending Collateral... -- 579,946,827 -- 579,946,827 -------------- ------------ -- -------------- TOTAL........................... $5,053,639,636 $580,118,949 -- $5,633,758,585 ============== ============ == ==============
See accompanying Notes to Financial Statements. 26 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (99.5%) AUSTRALIA -- (6.3%) Macquarie Group, Ltd.......................... 362,135 $ 19,571,223 0.7% Santos, Ltd................................... 1,402,673 16,073,580 0.5% Wesfarmers, Ltd............................... 786,520 30,609,540 1.0% Other Securities.............................. 121,193,446 4.1% ------------ ---- TOTAL AUSTRALIA................................... 187,447,789 6.3% ------------ ---- AUSTRIA -- (0.2%) Other Securities.............................. 4,577,836 0.2% ------------ ---- BELGIUM -- (1.5%) Other Securities.............................. 45,389,954 1.5% ------------ ---- CANADA -- (8.3%) Manulife Financial Corp....................... 1,149,080 21,808,102 0.7% Suncor Energy, Inc............................ 1,078,999 38,313,775 1.3% Other Securities.............................. 185,036,411 6.2% ------------ ---- TOTAL CANADA...................................... 245,158,288 8.2% ------------ ---- CHINA -- (0.0%) Other Securities.............................. 10,188 0.0% ------------ ---- DENMARK -- (1.4%) Other Securities.............................. 40,342,565 1.4% ------------ ---- FINLAND -- (0.9%) Other Securities.............................. 25,249,042 0.9% ------------ ---- FRANCE -- (8.8%) AXA SA........................................ 987,329 22,805,842 0.8% BNP Paribas SA................................ 534,480 33,587,822 1.1% Cie de St-Gobain.............................. 365,627 15,716,421 0.5% GDF Suez...................................... 1,112,207 27,004,297 0.9% Orange SA..................................... 1,431,646 22,792,336 0.8% Renault SA.................................... 255,508 19,006,284 0.6% Societe Generale SA........................... 437,609 21,088,828 0.7% Vivendi SA.................................... 1,017,849 24,865,321 0.8% Other Securities.............................. 75,933,730 2.6% ------------ ---- TOTAL FRANCE...................................... 262,800,881 8.8% ------------ ---- GERMANY -- (7.3%) Allianz SE.................................... 180,892 28,765,830 1.0% Bayerische Motoren Werke AG................... 238,670 25,594,423 0.9% Daimler AG.................................... 735,745 57,365,284 1.9% Muenchener Rueckversicherungs-Gesellschaft AG. 112,068 22,064,821 0.8% Other Securities.............................. 84,040,688 2.7% ------------ ---- TOTAL GERMANY..................................... 217,831,046 7.3% ------------ ---- HONG KONG -- (3.0%) Hutchison Whampoa, Ltd........................ 1,722,000 21,880,345 0.7% Other Securities.............................. 67,147,089 2.3% ------------ ---- TOTAL HONG KONG................................... 89,027,434 3.0% ------------ ----
27 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.1%) Other Securities........................ $ 3,744,029 0.1% ------------ ----- ISRAEL -- (0.4%) Other Securities........................ 11,389,617 0.4% ------------ ----- ITALY -- (1.7%) UniCredit SpA........................... 2,217,358 16,059,706 0.5% Other Securities........................ 35,237,805 1.2% ------------ ----- TOTAL ITALY................................. 51,297,511 1.7% ------------ ----- JAPAN -- (22.4%) Honda Motor Co., Ltd.................... 587,400 18,778,726 0.6% Mitsubishi Corp......................... 810,300 15,888,646 0.5% Mitsubishi UFJ Financial Group, Inc..... 7,211,034 42,034,655 1.4% Mizuho Financial Group, Inc............. 16,423,800 29,929,347 1.0% Nippon Steel & Sumitomo Metal Corp...... 6,147,000 16,220,973 0.6% Nissan Motor Co., Ltd................... 1,881,900 17,166,125 0.6% NTT DOCOMO, Inc......................... 1,212,400 20,448,196 0.7% Sumitomo Mitsui Financial Group, Inc.... 901,727 36,775,046 1.2% Other Securities........................ 469,167,987 15.8% ------------ ----- TOTAL JAPAN................................. 666,409,701 22.4% ------------ ----- NETHERLANDS -- (3.1%) ArcelorMittal........................... 1,173,996 15,421,815 0.5% * ING Groep NV............................ 1,669,297 23,904,937 0.8% Other Securities........................ 52,403,011 1.8% ------------ ----- TOTAL NETHERLANDS........................... 91,729,763 3.1% ------------ ----- NEW ZEALAND -- (0.1%) Other Securities........................ 2,524,023 0.1% ------------ ----- NORWAY -- (0.8%) Other Securities........................ 23,635,292 0.8% ------------ ----- PORTUGAL -- (0.0%) Other Securities........................ 1,147,881 0.0% ------------ ----- SINGAPORE -- (1.2%) Other Securities........................ 34,883,879 1.2% ------------ ----- SPAIN -- (2.4%) Iberdrola SA............................ 3,507,164 24,826,918 0.8% Other Securities........................ 47,596,283 1.6% ------------ ----- TOTAL SPAIN................................. 72,423,201 2.4% ------------ ----- SWEDEN -- (3.2%) Nordea Bank AB.......................... 1,822,627 23,442,178 0.8% Telefonaktiebolaget LM Ericsson Class B. 1,816,273 21,461,801 0.7% Other Securities........................ 50,460,345 1.7% ------------ ----- TOTAL SWEDEN................................ 95,364,324 3.2% ------------ ----- SWITZERLAND -- (10.4%) ABB, Ltd................................ 727,335 15,956,762 0.5% Credit Suisse Group AG.................. 734,673 19,574,478 0.7% Holcim, Ltd............................. 241,079 17,110,467 0.6%
28 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Novartis AG............................. 811,428 $ 75,302,834 2.5% Novartis AG ADR......................... 189,650 17,578,658 0.6% Swiss Re AG............................. 505,064 40,839,887 1.4% UBS AG.................................. 1,447,678 25,172,419 0.8% Zurich Insurance Group AG............... 108,603 32,866,358 1.1% Other Securities........................ 63,626,811 2.2% -------------- ----- TOTAL SWITZERLAND............................. 308,028,674 10.4% -------------- ----- UNITED KINGDOM -- (16.0%) Anglo American P.L.C.................... 988,425 20,869,160 0.7% Barclays P.L.C.......................... 4,242,534 16,316,440 0.6% Barclays P.L.C. Sponsored ADR........... 1,082,649 16,672,794 0.6% BP P.L.C. Sponsored ADR................. 2,472,795 107,467,670 3.6% HSBC Holdings P.L.C. Sponsored ADR...... 800,394 40,836,102 1.4% * Lloyds Banking Group P.L.C.............. 20,203,383 24,948,932 0.8% Royal Dutch Shell P.L.C. ADR(780259107). 943,951 70,484,821 2.4% Royal Dutch Shell P.L.C. ADR(780259206). 417,249 29,954,306 1.0% Vodafone Group P.L.C.................... 9,498,849 31,587,986 1.1% Vodafone Group P.L.C. Sponsored ADR..... 465,674 15,469,678 0.5% Other Securities........................ 99,821,015 3.2% -------------- ----- TOTAL UNITED KINGDOM.......................... 474,428,904 15.9% -------------- ----- TOTAL COMMON STOCKS........................... 2,954,841,822 99.3% -------------- ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities........................ 3,797,856 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 149,763 0.0% -------------- ----- SPAIN -- (0.0%) Other Securities........................ 205,735 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS......................... 355,498 0.0% -------------- ----- SECURITIES LENDING COLLATERAL -- (0.4%) (S)@ DFA Short Term Investment Fund.......... 1,014,502 11,737,790 0.4% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,747,730,594)..................... $2,970,732,966 99.8% ============== =====
29 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................... $ 4,071,113 $ 183,376,676 -- $ 187,447,789 Austria..................... -- 4,577,836 -- 4,577,836 Belgium..................... 722,496 44,667,458 -- 45,389,954 Canada...................... 245,158,288 -- -- 245,158,288 China....................... -- 10,188 -- 10,188 Denmark..................... -- 40,342,565 -- 40,342,565 Finland..................... -- 25,249,042 -- 25,249,042 France...................... 9,331,186 253,469,695 -- 262,800,881 Germany..................... 17,237,838 200,593,208 -- 217,831,046 Hong Kong................... -- 89,027,434 -- 89,027,434 Ireland..................... 1,149,717 2,594,312 -- 3,744,029 Israel...................... 1,764,423 9,625,194 -- 11,389,617 Italy....................... 2,173,566 49,123,945 -- 51,297,511 Japan....................... 25,127,798 641,281,903 -- 666,409,701 Netherlands................. 5,646,687 86,083,076 -- 91,729,763 New Zealand................. -- 2,524,023 -- 2,524,023 Norway...................... -- 23,635,292 -- 23,635,292 Portugal.................... -- 1,147,881 -- 1,147,881 Singapore................... -- 34,883,879 -- 34,883,879 Spain....................... 16,856 72,406,345 -- 72,423,201 Sweden...................... 1,602,390 93,761,934 -- 95,364,324 Switzerland................. 23,563,232 284,465,442 -- 308,028,674 United Kingdom.............. 292,980,459 181,448,445 -- 474,428,904 Preferred Stocks Germany..................... -- 3,797,856 -- 3,797,856 Rights/Warrants France...................... -- 149,763 -- 149,763 Spain....................... -- 205,735 -- 205,735 Securities Lending Collateral -- 11,737,790 -- 11,737,790 ------------ -------------- -- -------------- TOTAL......................... $630,546,049 $2,340,186,917 -- $2,970,732,966 ============ ============== == ==============
See accompanying Notes to Financial Statements. 30 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (97.2%) AUSTRALIA -- (5.2%) AMP, Ltd............................................ 635,522 $ 3,277,401 0.2% Australia & New Zealand Banking Group, Ltd.......... 185,705 5,495,117 0.3% BHP Billiton, Ltd................................... 186,080 5,566,923 0.3% Commonwealth Bank of Australia...................... 56,425 4,012,349 0.2% National Australia Bank, Ltd........................ 168,696 5,218,738 0.3% Westpac Banking Corp................................ 140,736 4,319,787 0.2% Woodside Petroleum, Ltd............................. 118,758 4,218,325 0.2% Other Securities.................................... 72,501,357 3.5% ------------ ---- TOTAL AUSTRALIA......................................... 104,609,997 5.2% ------------ ---- AUSTRIA -- (0.4%) Other Securities.................................... 7,133,866 0.4% ------------ ---- BELGIUM -- (1.0%) Other Securities.................................... 19,732,718 1.0% ------------ ---- BRAZIL -- (1.6%) Other Securities.................................... 31,683,895 1.6% ------------ ---- CANADA -- (7.0%) Magna International, Inc............................ 33,072 3,264,211 0.2% Royal Bank of Canada................................ 55,774 3,959,432 0.2% Suncor Energy, Inc.................................. 108,988 3,870,014 0.2% Toronto-Dominion Bank (The)......................... 104,500 5,143,175 0.3% Other Securities.................................... 125,171,979 6.2% ------------ ---- TOTAL CANADA............................................ 141,408,811 7.1% ------------ ---- CHILE -- (0.3%) Other Securities.................................... 5,675,946 0.3% ------------ ---- CHINA -- (4.7%) China Construction Bank Corp. Class H............... 6,752,200 5,037,809 0.3% China Mobile, Ltd. Sponsored ADR.................... 55,427 3,441,462 0.2% Industrial & Commercial Bank of China, Ltd. Class H. 8,236,460 5,458,020 0.3% Other Securities.................................... 81,066,460 4.0% ------------ ---- TOTAL CHINA............................................. 95,003,751 4.8% ------------ ---- COLOMBIA -- (0.1%) Other Securities.................................... 1,968,719 0.1% ------------ ---- CZECH REPUBLIC -- (0.0%) Other Securities.................................... 813,052 0.0% ------------ ---- DENMARK -- (1.1%) Other Securities.................................... 21,951,049 1.1% ------------ ---- EGYPT -- (0.0%) Other Securities.................................... 99,779 0.0% ------------ ---- FINLAND -- (1.2%) Nokia Oyj........................................... 461,679 3,857,741 0.2% Other Securities.................................... 20,522,772 1.0% ------------ ---- TOTAL FINLAND........................................... 24,380,513 1.2% ------------ ----
31 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- FRANCE -- (5.6%) BNP Paribas SA..................................... 66,145 $ 4,156,688 0.2% GDF Suez........................................... 160,499 3,896,903 0.2% Orange SA.......................................... 252,114 4,013,748 0.2% Sanofi............................................. 41,470 3,762,989 0.2% Total SA........................................... 167,313 9,989,131 0.5% Total SA Sponsored ADR............................. 85,482 5,119,517 0.3% Other Securities................................... 81,930,583 4.1% ------------ ----- TOTAL FRANCE........................................... 112,869,559 5.7% ------------ ----- GERMANY -- (4.9%) Allianz SE......................................... 26,904 4,278,331 0.2% BASF SE............................................ 42,091 3,719,167 0.2% Bayer AG........................................... 22,361 3,198,110 0.2% Bayerische Motoren Werke AG........................ 39,698 4,257,122 0.2% Daimler AG......................................... 86,917 6,776,829 0.4% Deutsche Telekom AG................................ 227,966 3,436,204 0.2% Fresenius SE & Co. KGaA............................ 65,014 3,345,361 0.2% RWE AG............................................. 106,628 3,783,350 0.2% Other Securities................................... 67,005,750 3.2% ------------ ----- TOTAL GERMANY.......................................... 99,800,224 5.0% ------------ ----- GREECE -- (0.1%) Other Securities................................... 2,382,506 0.1% ------------ ----- HONG KONG -- (2.1%) Other Securities................................... 43,244,641 2.2% ------------ ----- HUNGARY -- (0.0%) Other Securities................................... 619,809 0.0% ------------ ----- INDIA -- (2.0%) Other Securities................................... 39,999,109 2.0% ------------ ----- INDONESIA -- (0.6%) Other Securities................................... 12,490,588 0.6% ------------ ----- IRELAND -- (0.3%) Other Securities................................... 6,964,676 0.3% ------------ ----- ISRAEL -- (0.5%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 67,449 3,808,845 0.2% Other Securities................................... 7,047,265 0.3% ------------ ----- TOTAL ISRAEL........................................... 10,856,110 0.5% ------------ ----- ITALY -- (1.9%) Other Securities................................... 37,493,880 1.9% ------------ ----- JAPAN -- (15.5%) Hitachi, Ltd....................................... 419,000 3,292,280 0.2% Honda Motor Co., Ltd............................... 104,000 3,324,800 0.2% Mizuho Financial Group, Inc........................ 1,822,055 3,320,359 0.2% Sumitomo Mitsui Financial Group, Inc............... 110,183 4,493,583 0.3% Toyota Motor Corp. Sponsored ADR................... 41,028 4,978,748 0.3% Other Securities................................... 293,915,348 14.5% ------------ ----- TOTAL JAPAN............................................ 313,325,118 15.7% ------------ -----
32 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (1.0%) Other Securities.............. $19,566,123 1.0% ----------- ---- MEXICO -- (1.2%) Other Securities.............. 24,253,737 1.2% ----------- ---- NETHERLANDS -- (1.9%) * ING Groep NV Sponsored ADR.... 240,205 3,439,736 0.2% Other Securities.............. 35,884,388 1.8% ----------- ---- TOTAL NETHERLANDS................. 39,324,124 2.0% ----------- ---- NEW ZEALAND -- (0.3%) Other Securities.............. 5,297,476 0.3% ----------- ---- NORWAY -- (0.7%) Other Securities.............. 14,879,465 0.7% ----------- ---- PERU -- (0.0%) Other Securities.............. 584,385 0.0% ----------- ---- PHILIPPINES -- (0.3%) Other Securities.............. 7,008,746 0.3% ----------- ---- POLAND -- (0.4%) Other Securities.............. 8,105,082 0.4% ----------- ---- PORTUGAL -- (0.2%) Other Securities.............. 4,560,851 0.2% ----------- ---- RUSSIA -- (0.4%) Other Securities.............. 7,669,598 0.4% ----------- ---- SINGAPORE -- (1.0%) Other Securities.............. 21,134,474 1.1% ----------- ---- SOUTH AFRICA -- (1.8%) Other Securities.............. 36,975,854 1.9% ----------- ---- SOUTH KOREA -- (3.8%) Samsung Electronics Co., Ltd.. 6,639 7,742,011 0.4% Other Securities.............. 68,227,614 3.4% ----------- ---- TOTAL SOUTH KOREA................. 75,969,625 3.8% ----------- ---- SPAIN -- (2.0%) Banco Santander SA............ 446,607 3,946,007 0.2% Iberdrola SA.................. 528,216 3,739,197 0.2% Other Securities.............. 33,350,637 1.7% ----------- ---- TOTAL SPAIN....................... 41,035,841 2.1% ----------- ---- SWEDEN -- (2.3%) Other Securities.............. 47,488,452 2.4% ----------- ---- SWITZERLAND -- (5.2%) Nestle SA..................... 281,158 20,618,468 1.0% Novartis AG ADR............... 117,451 10,886,533 0.6% Roche Holding AG.............. 19,398 5,724,376 0.3%
33 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Swiss Re AG......................... 46,425 $ 3,753,963 0.2% Other Securities.................... 63,315,729 3.1% -------------- ----- TOTAL SWITZERLAND....................... 104,299,069 5.2% -------------- ----- TAIWAN -- (3.7%) Other Securities.................... 75,623,531 3.8% -------------- ----- THAILAND -- (0.7%) Other Securities.................... 14,780,771 0.7% -------------- ----- TURKEY -- (0.5%) Other Securities.................... 9,340,904 0.5% -------------- ----- UNITED KINGDOM -- (13.7%) AstraZeneca P.L.C. Sponsored ADR.... 53,810 3,924,901 0.2% BG Group P.L.C...................... 331,326 5,521,890 0.3% BP P.L.C. Sponsored ADR............. 239,210 10,396,067 0.5% HSBC Holdings P.L.C. Sponsored ADR.. 144,142 7,354,125 0.4% # Rio Tinto P.L.C. Sponsored ADR...... 89,653 4,300,654 0.2% Royal Dutch Shell P.L.C. ADR........ 167,001 12,469,965 0.6% Vodafone Group P.L.C. Sponsored ADR. 137,812 4,578,130 0.2% Other Securities.................... 228,387,642 11.5% -------------- ----- TOTAL UNITED KINGDOM.................... 276,933,374 13.9% -------------- ----- UNITED STATES -- (0.0%) Other Securities.................... 136,004 0.0% -------------- ----- TOTAL COMMON STOCKS..................... 1,969,475,802 98.7% -------------- ----- PREFERRED STOCKS -- (0.7%) BRAZIL -- (0.6%) Other Securities.................... 12,303,542 0.6% -------------- ----- CHILE -- (0.0%) Other Securities.................... 56,225 0.0% -------------- ----- COLOMBIA -- (0.0%) Other Securities.................... 365,740 0.0% -------------- ----- GERMANY -- (0.1%) Other Securities.................... 731,046 0.1% -------------- ----- MALAYSIA -- (0.0%) Other Securities.................... 1,799 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities.................... 18,387 0.0% -------------- ----- TOTAL PREFERRED STOCKS.................. 13,476,739 0.7% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) Other Securities.................... -- 0.0% -------------- ----- BRAZIL -- (0.0%) Other Securities.................... 29 0.0% -------------- ----- CHINA -- (0.0%) Other Securities.................... 1,168 0.0% -------------- -----
34 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- FRANCE -- (0.0%) Other Securities................ $ 75,252 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities................ 20,817 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities................ 24,334 0.0% -------------- ------ INDONESIA -- (0.0%) Other Securities................ 833 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................ 19,932 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities................ -- 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 92,949 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities................ 50 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities................ 467 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 47,947 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................. 283,778 0.0% -------------- ------ SECURITIES LENDING COLLATERAL -- (2.1%) (S)@ DFA Short Term Investment Fund.. 3,630,495 42,004,824 2.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,708,921,106)................. $2,025,241,143 101.5% ============== ======
Summary of the Portfolio's investments as of October 31, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Australia...... $ 3,752,046 $100,857,951 -- $104,609,997 Austria........ -- 7,133,866 -- 7,133,866 Belgium........ 2,290,471 17,442,247 -- 19,732,718 Brazil......... 8,943,244 22,740,651 -- 31,683,895 Canada......... 141,402,697 6,114 -- 141,408,811 Chile.......... 1,662,859 4,013,087 -- 5,675,946 China.......... 10,234,086 84,769,665 -- 95,003,751 Colombia....... 1,968,719 -- -- 1,968,719 Czech Republic. -- 813,052 -- 813,052 Denmark........ 940,648 21,010,401 -- 21,951,049 Egypt.......... -- 99,779 -- 99,779 Finland........ 50,183 24,330,330 -- 24,380,513
35 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks (Continued) France...................... $ 9,589,480 $ 103,280,079 -- $ 112,869,559 Germany..................... 6,221,513 93,578,711 -- 99,800,224 Greece...................... -- 2,382,506 -- 2,382,506 Hong Kong................... 232,984 43,011,657 -- 43,244,641 Hungary..................... 28,369 591,440 -- 619,809 India....................... 2,536,948 37,462,161 -- 39,999,109 Indonesia................... 286,225 12,204,363 -- 12,490,588 Ireland..................... 1,248,594 5,716,082 -- 6,964,676 Israel...................... 4,202,617 6,653,493 -- 10,856,110 Italy....................... 2,479,458 35,014,422 -- 37,493,880 Japan....................... 15,910,776 297,414,342 -- 313,325,118 Malaysia.................... -- 19,566,123 -- 19,566,123 Mexico...................... 24,252,911 826 -- 24,253,737 Netherlands................. 10,134,359 29,189,765 -- 39,324,124 New Zealand................. 17,944 5,279,532 -- 5,297,476 Norway...................... 1,506,869 13,372,596 -- 14,879,465 Peru........................ 584,385 -- -- 584,385 Philippines................. 70,130 6,938,616 -- 7,008,746 Poland...................... -- 8,105,082 -- 8,105,082 Portugal.................... -- 4,560,851 -- 4,560,851 Russia...................... 108,421 7,561,177 -- 7,669,598 Singapore................... -- 21,134,474 -- 21,134,474 South Africa................ 3,984,184 32,991,670 -- 36,975,854 South Korea................. 5,080,562 70,889,063 -- 75,969,625 Spain....................... 5,081,226 35,954,615 -- 41,035,841 Sweden...................... 1,085,332 46,403,120 -- 47,488,452 Switzerland................. 17,754,627 86,544,442 -- 104,299,069 Taiwan...................... 3,032,570 72,590,961 -- 75,623,531 Thailand.................... 14,780,771 -- -- 14,780,771 Turkey...................... 176,325 9,164,579 -- 9,340,904 United Kingdom.............. 66,475,382 210,457,992 -- 276,933,374 United States............... 119,026 16,978 -- 136,004 Preferred Stocks Brazil...................... 4,574,656 7,728,886 -- 12,303,542 Chile....................... -- 56,225 -- 56,225 Colombia.................... 365,740 -- -- 365,740 Germany..................... -- 731,046 -- 731,046 Malaysia.................... -- 1,799 -- 1,799 United Kingdom.............. -- 18,387 -- 18,387 Rights/Warrants Austria..................... -- -- -- -- Brazil...................... -- 29 -- 29 China....................... -- 1,168 -- 1,168 France...................... -- 75,252 -- 75,252 Germany..................... -- 20,817 -- 20,817 Hong Kong................... -- 24,334 -- 24,334 Indonesia................... -- 833 -- 833 Italy....................... -- 19,932 -- 19,932 Malaysia.................... -- -- -- -- Portugal.................... -- -- -- -- Spain....................... -- 92,949 -- 92,949 Taiwan...................... -- 50 -- 50 Thailand.................... -- 467 -- 467 United Kingdom.............. 45,713 2,234 -- 47,947 Securities Lending Collateral. -- 42,004,824 -- 42,004,824 ------------ -------------- -- -------------- TOTAL......................... $373,213,050 $1,652,028,093 -- $2,025,241,143 ============ ============== == ==============
See accompanying Notes to Financial Statements. 36 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts)
Tax-Managed Tax-Managed U.S. Tax-Managed U.S. Targeted Tax-Managed Marketwide U.S. Equity Value U.S. Small Value Portfolio Portfolio* Portfolio* Cap Portfolio* --------------- ------------ ------------- -------------- ASSETS: Investments in Affiliated Investment Company at Value....... $ 3,663,379 -- -- -- Investments at Value (including $0, $201,616, $642,659 and $498,753 of securities on loan, respectively).......... -- $ 2,303,596 $ 3,548,398 $ 2,069,204 Temporary Cash Investments at Value & Cost.................. -- 10,355 25,154 26,654 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... -- 196,822 636,800 503,302 Cash........................................................ -- 356 8,973 65 Receivables: Investment Securities/Affiliated Investment Company Sold..................................................... -- -- 7,332 2,954 Dividends, Interest and Tax Reclaims...................... -- 1,986 1,074 685 Securities Lending Income................................. -- 54 163 223 Fund Shares Sold.......................................... 2,787 2,214 3,229 2,848 Prepaid Expenses and Other Assets........................... 37 18 39 27 ------------ ------------ ------------ ------------ Total Assets........................................... 3,666,203 2,515,401 4,231,162 2,605,962 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... -- 196,822 636,800 503,302 Investment Securities/Affiliated Investment Company Purchased................................................ -- 5,918 19,791 8,572 Fund Shares Redeemed...................................... 1,444 670 896 597 Due to Advisor............................................ 444 395 1,195 828 Accrued Expenses and Other Liabilities...................... 141 145 173 105 ------------ ------------ ------------ ------------ Total Liabilities...................................... 2,029 203,950 658,855 513,404 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 3,664,174 $ 2,311,451 $ 3,572,307 $ 2,092,558 ============ ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 144,668,343 105,614,976 107,143,887 56,566,252 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................................ $ 25.33 $ 21.89 $ 33.34 $ 36.99 ============ ============ ============ ============ Investments in Affiliated Investment Company at Cost........ $ 1,984,419 $ -- $ -- $ -- ------------ ------------ ------------ ------------ Investments at Cost......................................... $ -- $ 1,094,528 $ 2,041,088 $ 1,119,039 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 2,078,285 $ 1,463,955 $ 1,936,848 $ 1,102,477 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 7,038 4,691 2,763 1,238 Accumulated Net Realized Gain (Loss)........................ (100,109) (366,263) 125,386 38,678 Net Unrealized Appreciation (Depreciation).................. 1,678,960 1,209,068 1,507,310 950,165 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 3,664,174 $ 2,311,451 $ 3,572,307 $ 2,092,558 ============ ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED............................. 700,000,000 500,000,000 700,000,000 500,000,000 ============ ============ ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 37 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts)
Tax-Managed DFA T.A. World ex T.A. U.S. Core International U.S. Core Equity 2 Value Equity Portfolio* Portfolio* Portfolio* -------------- ------------- ------------- ASSETS: Investments at Value (including $601,837, $11,388 and $48,727 of securities on loan, respectively)..................................................... $ 5,047,278 $ 2,958,995 $ 1,983,236 Temporary Cash Investments at Value & Cost.................................. 6,534 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost.... 579,947 11,738 42,005 Foreign Currencies at Value................................................. -- 4,794 2,225 Cash........................................................................ 2,203 4,963 7,766 Receivables: Investment Securities Sold................................................ 228 -- 82 Dividends, Interest and Tax Reclaims...................................... 3,887 8,313 3,939 Securities Lending Income................................................. 229 50 90 Fund Shares Sold.......................................................... 4,239 2,405 2,020 Prepaid Expenses and Other Assets........................................... 59 42 23 -------------- ------------ ------------ Total Assets........................................................... 5,644,604 2,991,300 2,041,386 -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................................... 579,947 11,738 42,005 Investment Securities Purchased........................................... 4,842 10 1,635 Fund Shares Redeemed...................................................... 2,471 845 1,382 Due to Advisor............................................................ 901 1,232 661 Accrued Expenses and Other Liabilities...................................... 232 218 203 -------------- ------------ ------------ Total Liabilities...................................................... 588,393 14,043 45,886 -------------- ------------ ------------ NET ASSETS.................................................................. $ 5,056,211 $ 2,977,257 $ 1,995,500 ============== ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................................... 355,930,533 196,259,197 200,776,691 ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................................................... $ 14.21 $ 15.17 $ 9.94 ============== ============ ============ Investments at Cost......................................................... $ 2,998,549 $ 2,735,993 $ 1,666,916 ============== ============ ============ Foreign Currencies at Cost.................................................. $ -- $ 4,872 $ 2,245 ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................. $ 2,936,558 $ 2,750,729 $ 1,680,359 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................................... 7,977 5,745 7,102 Accumulated Net Realized Gain (Loss)........................................ 62,947 (1,858) (8,139) Net Unrealized Foreign Exchange Gain (Loss)................................. -- (283) (122) Net Unrealized Appreciation (Depreciation).................................. 2,048,729 222,924 316,300 -------------- ------------ ------------ NET ASSETS.................................................................. $ 5,056,211 $ 2,977,257 $ 1,995,500 ============== ============ ============ (1) NUMBER OF SHARES AUTHORIZED............................................. 1,000,000,000 700,000,000 500,000,000 ============== ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 38 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands)
Tax-Managed U.S. Tax-Managed Marketwide Tax-Managed U.S. Targeted Value U.S. Equity Value Portfolio* Portfolio Portfolio ----------- ----------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $5, $0 and $0, respectively). $ 61,516 -- -- Interest................................................................. 5 -- -- Income from Securities Lending........................................... 595 -- -- Expenses Allocated from Affiliated Investment Company.................... (7,155) -- -- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company.............................................................. 54,961 -- -- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $7 and $5, respectively). -- $ 40,068 $ 40,380 Interest................................................................. -- 3 6 Income from Securities Lending........................................... -- 487 1,638 -------- -------- -------- Total Investment Income............................................... -- 40,558 42,024 -------- -------- -------- Fund Expenses Investment Advisory Services Fees........................................ -- 1,078 14,335 Administrative Services Fees............................................. 5,116 3,235 -- Accounting & Transfer Agent Fees......................................... 44 125 196 Custodian Fees........................................................... -- 34 48 Filing Fees.............................................................. 71 58 74 Shareholders' Reports.................................................... 46 25 45 Directors'/Trustees' Fees & Expenses..................................... 24 15 24 Professional Fees........................................................ 21 48 76 Other.................................................................... 20 28 31 -------- -------- -------- Total Expenses........................................................ 5,342 4,646 14,829 -------- -------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................... -- 99 -- -------- -------- -------- Net Expenses............................................................. 5,342 4,745 14,829 -------- -------- -------- Net Investment Income (Loss)............................................. 49,619 35,813 27,195 -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................. 13,291 27,514 131,281 Futures................................................................ -- -- (690) Change in Unrealized Appreciation (Depreciation) of: Investment Securities.................................................. 407,407 253,351 194,442 -------- -------- -------- Net Realized and Unrealized Gain (Loss).................................. 420,698 280,865 325,033 -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............ $470,317 $316,678 $352,228 ======== ======== ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 39 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands)
Tax-Managed DFA T.A. World ex Tax-Managed T.A. U.S. Core International U.S. Core U.S. Small Equity 2 Value Equity Cap Portfolio Portfolio Portfolio Portfolio ------------- -------------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $4, $9, $8,095 and $4,964, respectively).................................. $ 22,095 $ 78,174 $ 137,931 $ 59,591 Interest.................................................... 3 6 1 -- Income from Securities Lending.............................. 2,201 2,272 1,207 1,171 -------- -------- --------- -------- Total Investment Income.................................. 24,299 80,452 139,139 60,762 -------- -------- --------- -------- Fund Expenses Investment Advisory Services Fees........................... 9,976 10,157 14,928 7,688 Accounting & Transfer Agent Fees............................ 116 263 182 121 Custodian Fees.............................................. 35 70 302 587 Filing Fees................................................. 56 171 124 110 Shareholders' Reports....................................... 31 45 50 28 Directors'/Trustees' Fees & Expenses........................ 14 33 21 13 Professional Fees........................................... 46 98 94 86 Other....................................................... 24 48 39 37 -------- -------- --------- -------- Total Expenses........................................... 10,298 10,885 15,740 8,670 -------- -------- --------- -------- Fees Paid Indirectly........................................ -- -- (5) (4) -------- -------- --------- -------- Net Expenses................................................ 10,298 10,885 15,735 8,666 -------- -------- --------- -------- Net Investment Income (Loss)................................ 14,001 69,567 123,404 52,096 -------- -------- --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................................ 42,026 67,738 11,012 (3,177) Foreign Currency Transactions............................. -- -- (985) (438) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 105,851 447,786 (180,297) (61,190) Translation of Foreign Currency Denominated Amounts....... -- -- (361) (161) -------- -------- --------- -------- Net Realized and Unrealized Gain (Loss)..................... 147,877 515,524 (170,631) (64,966) -------- -------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... $161,878 $585,091 $ (47,227) $(12,870) ======== ======== ========= ========
See accompanying Notes to Financial Statements. 40 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Tax-Managed U.S. Tax-Managed U.S. Equity Tax-Managed U.S. Targeted Marketwide Value Portfolio Portfolio Value Portfolio ------------------------- ---------------------- ------------------------ Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................... $ 49,619 $ 45,063 $ 35,813 $ 33,279 $ 27,195 $ 34,184 Net Realized Gain (Loss) on: Investment Securities Sold/ Affiliated Investment Company Sold.................... 13,291 28,282 27,514 31,573 131,281 90,493 Futures.......................... -- -- -- -- (690) (469) Change in Unrealized Appreciation (Depreciation) of: Investment Securities/ Affiliated Investment Company......................... 407,407 749,568 253,351 385,510 194,442 808,724 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 470,317 822,913 316,678 450,362 352,228 932,932 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income............. (49,288) (45,918) (35,329) (33,403) (28,250) (34,487) Net Long-Term Gains............... -- -- -- -- (83,909) (51,974) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............. (49,288) (45,918) (35,329) (33,403) (112,159) (86,461) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued..................... 485,118 413,061 243,147 292,819 421,700 351,960 Shares Issued in Lieu of Cash Distributions.................... 48,347 44,666 33,504 31,525 110,967 85,408 Shares Redeemed................... (400,756) (469,582) (238,010) (272,253) (401,482) (461,353) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions................... 132,709 (11,855) 38,641 52,091 131,185 (23,985) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.................. 553,738 765,140 319,990 469,050 371,254 822,486 Net Assets Beginning of Year................. 3,110,436 2,345,296 1,991,461 1,522,411 3,201,053 2,378,567 ---------- ---------- ---------- ---------- ---------- ---------- End of Year....................... $3,664,174 $3,110,436 $2,311,451 $1,991,461 $3,572,307 $3,201,053 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued..................... 20,163 21,510 11,836 17,525 13,051 13,343 Shares Issued in Lieu of Cash Distributions.................... 1,996 2,374 1,626 1,885 3,550 3,664 Shares Redeemed................... (16,683) (24,667) (11,547) (16,115) (12,503) (17,890) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 5,476 (783) 1,915 3,295 4,098 (883) ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 7,038 $ 6,707 $ 4,691 $ 4,207 $ 2,763 $ 4,769
Tax-Managed U.S. Small Cap Portfolio ---------------------- Year Year Ended Ended Oct. 31, Oct. 31, 2014 2013 ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................... $ 14,001 $ 18,958 Net Realized Gain (Loss) on: Investment Securities Sold/ Affiliated Investment Company Sold.................... 42,026 66,451 Futures.......................... -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities/ Affiliated Investment Company......................... 105,851 440,389 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 161,878 525,798 ---------- ---------- Distributions From: Net Investment Income............. (14,279) (19,758) Net Long-Term Gains............... -- -- ---------- ---------- Total Distributions............. (14,279) (19,758) ---------- ---------- Capital Share Transactions (1): Shares Issued..................... 293,195 265,581 Shares Issued in Lieu of Cash Distributions.................... 14,005 19,249 Shares Redeemed................... (235,176) (249,201) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions................... 72,024 35,629 ---------- ---------- Total Increase (Decrease) in Net Assets.................. 219,623 541,669 Net Assets Beginning of Year................. 1,872,935 1,331,266 ---------- ---------- End of Year....................... $2,092,558 $1,872,935 ========== ========== (1) Shares Issued and Redeemed: Shares Issued..................... 8,159 9,157 Shares Issued in Lieu of Cash Distributions.................... 389 725 Shares Redeemed................... (6,577) (8,677) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 1,971 1,205 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 1,238 $ 2,335
See accompanying Notes to Financial Statements. 41 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
T.A. U.S. Core Equity 2 Tax-Managed DFA T.A. World ex U.S. Core Portfolio International Value Portfolio Equity Portfolio ---------------------- ---------------------------- ---------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 69,567 $ 59,525 $ 123,404 $ 62,438 $ 52,096 $ 36,104 Net Realized Gain (Loss) on: Investment Securities Sold................. 67,738 40,753 11,012 21,533 (3,177) 4,345 Foreign Currency Transactions.............. -- -- (985) (449) (438) (309) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 447,786 894,300 (180,297) 480,686 (61,190) 263,265 Translation of Foreign Currency Denominated Amounts....................... -- -- (361) 267 (161) 82 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 585,091 994,578 (47,227) 564,475 (12,870) 303,487 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income........................ (66,232) (58,615) (120,029) (64,636) (50,359) (37,052) Net Long-Term Gains.......................... (39,638) (3,496) -- -- (4,097) (436) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions....................... (105,870) (62,111) (120,029) (64,636) (54,456) (37,488) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................ 947,444 772,713 644,899 540,616 573,754 401,186 Shares Issued in Lieu of Cash Distributions............................... 105,601 61,302 118,507 63,075 54,321 36,576 Shares Redeemed.............................. (579,808) (515,963) (377,277) (316,534) (291,144) (218,473) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 473,237 318,052 386,129 287,157 336,931 219,289 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 952,458 1,250,519 218,873 786,996 269,605 485,288 Net Assets Beginning of Year............................ 4,103,753 2,853,234 2,758,384 1,971,388 1,725,895 1,240,607 ---------- ---------- ---------- ---------- ---------- ---------- End of Year.................................. $5,056,211 $4,103,753 $2,977,257 $2,758,384 $1,995,500 $1,725,895 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................ 69,846 70,037 40,390 37,954 55,671 42,914 Shares Issued in Lieu of Cash Distributions............................... 7,944 5,642 7,273 4,452 5,218 3,951 Shares Redeemed.............................. (43,069) (47,040) (23,934) (22,556) (28,483) (23,452) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 34,721 28,639 23,729 19,850 32,406 23,413 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 7,977 $ 6,548 $ 5,745 $ 5,574 $ 7,102 $ 4,139
See accompanying Notes to Financial Statements. 42 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio ---------------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............ $ 22.35 $ 16.76 $ 14.42 $ 13.78 $ 11.61 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.35 0.32 0.28 0.22 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 2.98 5.60 2.33 0.63 2.17 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 3.33 5.92 2.61 0.85 2.33 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.35) (0.33) (0.27) (0.21) (0.16) Total Distributions........................ (0.35) (0.33) (0.27) (0.21) (0.16) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................. $ 25.33 $ 22.35 $ 16.76 $ 14.42 $ 13.78 ============================================== ========== ========== ========== ========== ========== Total Return.................................. 14.98% 35.71% 18.34% 6.15% 20.17% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........... $3,664,174 $3,110,436 $2,345,296 $2,063,119 $1,896,941 Ratio of Expenses to Average Net Assets....... 0.37%(B) 0.37%(B) 0.38%(B) 0.38%(B) 0.38%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........................ 0.37%(B) 0.37%(B) 0.38%(B) 0.38%(B) 0.38%(B) Ratio of Net Investment Income to Average Net Assets....................................... 1.45% 1.66% 1.83% 1.45% 1.24% 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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............ $ 19.20 $ 15.16 $ 13.48 $ 12.70 $ 10.94 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.34 0.32 0.27 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 2.69 4.05 1.67 0.77 1.76 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 3.03 4.37 1.94 1.00 1.96 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.34) (0.33) (0.26) (0.22) (0.20) Total Distributions........................ (0.34) (0.33) (0.26) (0.22) (0.20) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................. $ 21.89 $ 19.20 $ 15.16 $ 13.48 $ 12.70 ============================================== ========== ========== ========== ========== ========== Total Return.................................. 15.89% 29.15% 14.57% 7.92% 18.10% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........... $2,311,451 $1,991,461 $1,522,411 $1,364,068 $1,286,236 Ratio of Expenses to Average Net Assets....... 0.22% 0.22% 0.22% 0.22%** 0.22%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........................ 0.22% 0.22% 0.22% 0.23%** 0.23%(B) Ratio of Net Investment Income to Average Net Assets....................................... 1.66% 1.89% 1.87% 1.65% 1.70% Portfolio Turnover Rate....................... 2% 3% 7% 11%* 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. 43 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Tax-Managed U.S. Targeted Value Portfolio ---------------------------------------------------------- ----------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2014 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................ $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 14.96 $ 34.31 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.26 0.33 0.21 0.14 0.11 0.25 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 3.11 8.69 2.85 0.93 4.13 2.69 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 3.37 9.02 3.06 1.07 4.24 2.94 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.27) (0.34) (0.19) (0.14) (0.11) (0.26) Net Realized Gains.............................. (0.82) (0.51) -- -- -- -- Total Distributions............................ (1.09) (0.85) (0.19) (0.14) (0.11) (0.26) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year...................... $ 33.34 $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 36.99 ================================================= ========== ========== ========== ========== ========== ========== Total Return...................................... 11.10% 40.60% 15.39% 5.58% 28.43% 8.58% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............... $3,572,307 $3,201,053 $2,378,567 $2,191,055 $2,145,546 $2,092,558 Ratio of Expenses to Average Net Assets........... 0.43% 0.44% 0.44% 0.44% 0.45% 0.52% Ratio of Net Investment Income to Average Net Assets........................................... 0.80% 1.24% 0.98% 0.66% 0.63% 0.70% Portfolio Turnover Rate........................... 7% 6% 12% 21% 26% 7% ---------------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Small Cap 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................ $ 24.93 $ 22.07 $ 20.47 $ 16.26 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.35 0.21 0.15 0.11 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 9.40 2.85 1.59 4.20 ---------- ---------- ---------- ---------- Total from Investment Operations............... 9.75 3.06 1.74 4.31 -------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.37) (0.20) (0.14) (0.10) Net Realized Gains.............................. -- -- -- -- Total Distributions............................ (0.37) (0.20) (0.14) (0.10) -------------------------------------------------------------------------------------------------- Net Asset Value, End of Year...................... $ 34.31 $ 24.93 $ 22.07 $ 20.47 ================================================= ========== ========== ========== ========== Total Return...................................... 39.55% 13.95% 8.50% 26.61% -------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............... $1,872,935 $1,331,266 $1,212,285 $1,141,494 Ratio of Expenses to Average Net Assets........... 0.52% 0.53% 0.53% 0.53% Ratio of Net Investment Income to Average Net Assets........................................... 1.20% 0.90% 0.64% 0.58% Portfolio Turnover Rate........................... 7% 17% 22% 27% --------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 44 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
T.A. U.S. Core Equity 2 Portfolio ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 12.78 $ 9.75 $ 8.63 $ 8.18 $ 6.83 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.20 0.19 0.16 0.12 0.11 Net Gains (Losses) on Securities (Realized and Unrealized). 1.55 3.04 1.11 0.45 1.35 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.75 3.23 1.27 0.57 1.46 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.19) (0.15) (0.12) (0.11) Net Realized Gains......................................... (0.12) (0.01) -- -- -- Total Distributions....................................... (0.32) (0.20) (0.15) (0.12) (0.11) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 14.21 $ 12.78 $ 9.75 $ 8.63 $ 8.18 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 13.88% 33.58% 14.82% 6.97% 21.49% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $5,056,211 $4,103,753 $2,853,234 $2,432,872 $2,014,584 Ratio of Expenses to Average Net Assets...................... 0.24% 0.24% 0.24% 0.24% 0.25% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.24% 0.24% 0.24% 0.24% 0.25% Ratio of Net Investment Income to Average Net Assets......... 1.51% 1.72% 1.71% 1.39% 1.45% Portfolio Turnover Rate...................................... 7% 2% 6% 6% 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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 15.99 $ 12.91 $ 12.99 $ 14.53 $ 13.49 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.66 0.39 0.42 0.46 0.31 Net Gains (Losses) on Securities (Realized and Unrealized). (0.83) 3.09 (0.10) (1.55) 1.03 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... (0.17) 3.48 0.32 (1.09) 1.34 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.65) (0.40) (0.40) (0.45) (0.30) Net Realized Gains......................................... -- -- -- -- -- Total Distributions....................................... (0.65) (0.40) (0.40) (0.45) (0.30) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 15.17 $ 15.99 $ 12.91 $ 12.99 $ 14.53 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. (1.29)% 27.39% 2.77% (7.81)% 10.34% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,977,257 $2,758,384 $1,971,388 $1,843,496 $1,834,003 Ratio of Expenses to Average Net Assets...................... 0.53% 0.53% 0.55% 0.55% 0.55% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.53% 0.53% 0.55% 0.55% 0.55% Ratio of Net Investment Income to Average Net Assets......... 4.13% 2.70% 3.32% 3.16% 2.29% Portfolio Turnover Rate...................................... 13% 12% 18% 16% 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. 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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 10.25 $ 8.56 $ 8.39 $ 9.31 $ 8.13 ---------- ---------- ---------- ---------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)......................... 0.28 0.23 0.23 0.25 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)................. (0.30) 1.70 0.16 (0.93) 1.17 ---------- ---------- ---------- ---------- -------- Total from Investment Operations................. (0.02) 1.93 0.39 (0.68) 1.34 ---------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.27) (0.24) (0.22) (0.24) (0.16) Net Realized Gains............ (0.02) -- -- -- -- ---------- ---------- ---------- ---------- -------- Total Distributions......... (0.29) (0.24) (0.22) (0.24) (0.16) ---------------------------------------------------------------------------------------------- Net Asset Value, End of Year... $ 9.94 $ 10.25 $ 8.56 $ 8.39 $ 9.31 ============================= ========== ========== ========== ========== ======== Total Return................... (0.25)%(C) 22.88% 4.90% (7.55)% 16.78% ---------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $1,995,500 $1,725,895 $1,240,607 $1,042,981 $966,999 Ratio of Expenses to Average Net Assets.................... 0.45%(D) 0.46% 0.49% 0.48% 0.48% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.45%(D) 0.46% 0.49% 0.48% 0.48% Ratio of Net Investment Income to Average Net Assets.. 2.71%(D) 2.45% 2.77% 2.63% 2.00% Portfolio Turnover Rate........ 8%(C) 2% 3% 5% 2% ----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 46 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-seven operational portfolios, seven of which (the "Portfolios"), are included in this section of the report. The remaining seventy 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, 2014, 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 47 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 ask prices which approximates 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of 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. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolios. 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. 48 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, 2014, 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 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. 49 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, 2014, 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%
* Prior to February 28, 2014, the Portfolio was provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for the Portfolio was combined into an investment management agreement that provides for an investment management fee, equal to the Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive certain fees and in certain instances, assume certain expenses of the Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A. World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2014, 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% $99 $109 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 management 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 expenses when its total operating expenses exceed 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 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 50 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, certain Portfolios have entered into arrangements with their 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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Tax-Managed DFA International Value Portfolio. $5 T.A. World ex U.S. Core Equity Portfolio...... 4
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, 2014, the total related amounts paid to the CCO by the Fund were $262 (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, 2014, 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... $86 Tax-Managed U.S. Equity Portfolio............. 98 Tax-Managed U.S. Targeted Value Portfolio..... 89 Tax-Managed U.S. Small Cap Portfolio.......... 52 T.A. U.S. Core Equity 2 Portfolio............. 87 Tax-Managed DFA International Value Portfolio. 78 T.A. World ex U.S. Core Equity Portfolio...... 38
51 E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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............. $ 82,865 $ 35,552 Tax-Managed U.S. Targeted Value Portfolio..... 333,589 253,566 Tax-Managed U.S. Small Cap Portfolio.......... 247,642 136,448 T.A. U.S. Core Equity 2 Portfolio............. 802,222 323,423 Tax-Managed DFA International Value Portfolio. 731,036 381,824 T.A. World ex U.S. Core Equity Portfolio...... 488,497 160,440
There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2014, primarily attributable to net foreign currency gains/losses, realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, foreign capital gains tax, tax equalization, were reclassified to the 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... -- -- -- Tax-Managed U.S. Equity Portfolio............. -- -- -- Tax-Managed U.S. Targeted Value Portfolio..... $5,510 $ (951) $(4,559) Tax-Managed U.S. Small Cap Portfolio.......... 2,293 (819) (1,474) T.A. U.S. Core Equity 2 Portfolio............. 3,792 (1,906) (1,887) Tax-Managed DFA International Value Portfolio. 2,291 (3,204) 913 T.A. World ex U.S. Core Equity Portfolio...... 846 1,226 (2,072)
The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 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 2013........................................ $45,918 -- $45,918 2014........................................ 49,288 -- 49,288
52
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Tax-Managed U.S. Equity Portfolio 2013.......................................... $ 33,403 -- $ 33,403 2014.......................................... 35,329 -- 35,329 Tax-Managed U.S. Targeted Value Portfolio 2013.......................................... 34,487 $51,974 86,461 2014.......................................... 28,250 83,909 112,159 Tax-Managed U.S. Small Cap Portfolio 2013.......................................... 19,758 -- 19,758 2014.......................................... 14,279 -- 14,279 T.A. U.S. Core Equity 2 Portfolio 2013.......................................... 58,615 3,496 62,111 2014.......................................... 66,232 39,638 105,870 Tax-Managed DFA International Value Portfolio 2013.......................................... 64,636 -- 64,636 2014.......................................... 120,029 -- 120,029 T.A. World ex U.S. Core Equity Portfolio 2013.......................................... 37,052 436 37,488 2014.......................................... 50,468 3,988 54,456
At October 31, 2014, 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..... $ 953 $4,557 $5,510 Tax-Managed U.S. Small Cap Portfolio.......... 499 1,464 1,963 T.A. U.S. Core Equity 2 Portfolio............. 1,921 1,871 3,792 Tax-Managed DFA International Value Portfolio. 895 18 913 T.A. World ex U.S. Core Equity Portfolio...... 846 -- 846
At October 31, 2014, 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 Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- Tax-Managed U.S. Marketwide Value Portfolio......................... $7,175 -- $ (99,663) $1,678,512 $1,586,024 Tax-Managed U.S. Equity Portfolio... 4,787 -- (365,482) 1,208,288 847,593 Tax-Managed U.S. Targeted Value Portfolio......................... 2,928 $125,781 -- 1,506,840 1,635,549 Tax-Managed U.S. Small Cap Portfolio......................... 1,290 38,979 -- 949,863 990,132 T.A. U.S. Core Equity 2 Portfolio... 8,064 65,622 -- 2,046,055 2,119,741 Tax-Managed DFA International Value Portfolio......................... 7,474 2,411 -- 216,722 226,607 T.A. World ex U.S. Core Equity Portfolio......................... 9,110 -- (5,535) 311,604 315,179
53 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, 2014, 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 Unlimited Total ------- -------- --------- -------- Tax-Managed U.S. Marketwide Value Portfolio... -- $ 99,663 -- $ 99,663 Tax-Managed U.S. Equity Portfolio............. $78,916 286,566 -- 365,482 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...... -- -- $5,535 5,535
During the year ended October 31, 2014, 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... $13,254 Tax-Managed U.S. Equity Portfolio............. 27,306 Tax-Managed U.S. Small Cap Portfolio.......... 1,518 Tax-Managed DFA International Value Portfolio. 8,800
At October 31, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio... $1,984,867 $1,678,555 $ (43) $1,678,512 Tax-Managed U.S. Equity Portfolio............. 1,302,485 1,225,472 (17,184) 1,208,288 Tax-Managed U.S. Targeted Value Portfolio..... 2,703,512 1,619,846 (113,006) 1,506,840 Tax-Managed U.S. Small Cap Portfolio.......... 1,649,297 981,948 (32,085) 949,863 T.A. U.S. Core Equity 2 Portfolio............. 3,587,704 2,090,001 (43,946) 2,046,055 Tax-Managed DFA International Value Portfolio. 2,753,650 437,179 (220,096) 217,083 T.A. World ex U.S. Core Equity Portfolio...... 1,713,495 472,576 (160,830) 311,746
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. 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 Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 54 G. Financial Instruments: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. 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 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 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 the location on the Portfolios' Statements of Operations of realized gains and losses from the Portfolios' derivative instrument holdings through the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ----- --------- --------- Tax-Managed U.S. Targeted Value Portfolio*. $(690) -- $(690) T.A. World ex U.S. Core Equity Portfolio*.. 1 $ 1 --
* As of October 31, 2014, there were no futures or forward currency contracts outstanding. During the year ended October 31, 2014, the Portfolios had limited activity in futures and forward currency contracts. 55 H. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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% $9,080 6 $ 1 $10,784 Tax-Managed U.S. Targeted Value Portfolio........................ 0.85% 6,533 3 -- 6,533 T.A. U.S. Core Equity 2 Portfolio........ 0.85% 4,430 9 1 8,261 Tax-Managed DFA International Value Portfolio........................ 0.84% 5,025 27 3 15,261 T.A. World ex U.S. Core Equity Portfolio. 0.84% 9,950 20 5 14,463
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, 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, 2014. I. Securities Lending: As of October 31, 2014, 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 ------- Tax-Managed U.S. Equity Portfolio............. $ 6,656 Tax-Managed U.S. Targeted Value Portfolio..... 12,079 Tax-Managed U.S. Small Cap Portfolio.......... 415 T.A. U.S. Core Equity 2 Portfolio............. 26,713 Tax-Managed DFA International Value Portfolio. 672 T.A. World ex U.S. Core Equity Portfolio...... 16,104
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 56 securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, 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. Other: At October 31, 2014, 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 91% Tax-Managed U.S. Equity Portfolio............. 3 86% Tax-Managed U.S. Targeted Value Portfolio..... 3 96% Tax-Managed U.S. Small Cap Portfolio.......... 3 93% T.A. U.S. Core Equity 2 Portfolio............. 3 92% Tax-Managed DFA International Value Portfolio. 3 93% T.A. World ex U.S. Core Equity Portfolio...... 3 90%
On December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the Tax-Managed U.S. Equity Portfolio. The Investment Management Agreement became effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement are the same as under the Previous Agreements. As of February 28, 2014, the Portfolio 57 pays the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by the Portfolio to the Advisor under the Previous Agreements. 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, described below, 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. The Tax-Managed U.S. Marketwide Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the "Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including the Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought by a court-appointed trustee 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. Oral argument on the appeal was held on November 5, 2014, and the parties await the Second Circuit's ruling. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no reduction of the net asset value of The Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of The Tax-Managed U.S. Marketwide Value Series' net asset value at this time. The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may be, a price based on the net asset value of The Tax-Managed U.S. Marketwide Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to any other expense incurred by The Tax-Managed U.S. Marketwide Value Series. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 58 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of the Portfolios, as defined: 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, 2014, 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, 2014 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 19, 2014 59 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS. RUSSELL 3000(R) VALUE INDEX October 31, 2004-October 31, 2014 [CHART] The Tax-Managed U.S. Marketwide Russell 3000(R) Value Series Value Index --------------------------- ------------------- 10/31/2004 10,000 10,000 11/30/2004 10,670 10,538 12/31/2004 11,017 10,882 1/31/2005 10,783 10,668 2/28/2005 11,197 11,010 3/31/2005 11,084 10,852 4/30/2005 10,678 10,628 5/31/2005 11,145 10,915 6/30/2005 11,423 11,066 7/31/2005 12,041 11,413 8/31/2005 12,026 11,344 9/30/2005 12,244 11,488 10/31/2005 11,950 11,196 11/30/2005 12,425 11,570 12/31/2005 12,485 11,625 1/31/2006 13,178 12,121 2/28/2006 13,148 12,189 3/31/2006 13,456 12,392 4/30/2006 13,795 12,680 5/31/2006 13,404 12,342 6/30/2006 13,494 12,427 7/31/2006 13,411 12,685 8/31/2006 13,479 12,912 9/30/2006 13,742 13,158 10/31/2006 14,270 13,610 11/30/2006 14,623 13,928 12/31/2006 14,902 14,223 1/31/2007 15,294 14,407 2/28/2007 15,098 14,187 3/31/2007 15,271 14,402 4/30/2007 15,813 14,900 5/31/2007 16,559 15,438 6/30/2007 16,205 15,077 7/31/2007 15,324 14,330 8/31/2007 15,241 14,501 9/30/2007 15,625 14,964 10/31/2007 15,640 14,978 11/30/2007 14,721 14,215 12/31/2007 14,661 14,079 1/31/2008 14,081 13,514 2/29/2008 13,569 12,950 3/31/2008 13,321 12,875 4/30/2008 14,074 13,485 5/31/2008 14,390 13,501 6/30/2008 12,801 12,209 7/31/2008 12,703 12,217 8/31/2008 12,959 12,455 9/30/2008 11,860 11,567 10/31/2008 9,209 9,538 11/30/2008 8,298 8,820 12/31/2008 8,577 8,975 1/31/2009 7,462 7,923 2/28/2009 6,461 6,861 3/31/2009 7,139 7,449 4/30/2009 8,373 8,279 5/31/2009 9,006 8,763 6/30/2009 8,878 8,701 7/31/2009 9,789 9,436 8/31/2009 10,437 9,926 9/30/2009 10,904 10,319 10/31/2009 10,384 9,973 11/30/2009 10,866 10,516 12/31/2009 11,265 10,749 1/31/2010 10,949 10,445 2/28/2010 11,453 10,788 3/31/2010 12,357 11,506 4/30/2010 12,839 11,847 5/31/2010 11,739 10,870 6/30/2010 10,843 10,230 7/31/2010 11,709 10,926 8/31/2010 10,941 10,430 9/30/2010 12,033 11,263 10/31/2010 12,500 11,609 11/30/2010 12,530 11,576 12/31/2010 13,712 12,493 1/31/2011 14,051 12,753 2/28/2011 14,842 13,238 3/31/2011 14,940 13,301 4/30/2011 15,294 13,644 5/31/2011 15,053 13,491 6/30/2011 14,789 13,210 7/31/2011 14,164 12,772 8/31/2011 12,982 11,948 9/30/2011 11,664 11,013 10/31/2011 13,291 12,299 11/30/2011 13,185 12,238 12/31/2011 13,321 12,480 1/31/2012 14,014 12,981 2/29/2012 14,752 13,472 3/31/2012 15,068 13,873 4/30/2012 14,789 13,727 5/31/2012 13,750 12,919 6/30/2012 14,473 13,559 7/31/2012 14,601 13,678 8/31/2012 15,151 13,984 9/30/2012 15,693 14,432 10/31/2012 15,745 14,353 11/30/2012 15,843 14,351 12/31/2012 16,303 14,670 1/31/2013 17,380 15,618 2/28/2013 17,651 15,839 3/31/2013 18,524 16,468 4/30/2013 18,652 16,697 5/31/2013 19,262 17,131 6/30/2013 19,149 16,986 7/31/2013 20,316 17,917 8/31/2013 19,714 17,228 9/30/2013 20,437 17,704 10/31/2013 21,401 18,463 11/30/2013 22,289 18,995 12/31/2013 22,907 19,466 1/31/2014 22,003 18,770 2/28/2014 22,809 19,585 3/31/2014 23,148 20,035 4/30/2014 23,200 20,168 5/31/2014 23,750 20,451 6/30/2014 24,360 21,014 7/31/2014 23,983 20,582 Past performance is not predictive of 8/31/2014 24,864 21,349 future performance. 9/30/2014 24,232 20,831 The returns shown do not reflect the 10/31/2014 24,646 21,373 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 Russell data copyright (C) Russell -------------------------------------------------------- Investment Group 1995-2014, all rights 15.17% 18.87% 9.44% reserved.
-------------------------------------------------------------------------------- 60 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index /SM/........ 20.69%
Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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 Tax-Managed U.S. Marketwide Value Series The Tax-Managed U.S. Marketwide Value Series invests in a broadly diversified group 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, 2014, the Series held approximately 1,150 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, 2014, total returns were 15.17% for the Series and 15.76% for the Russell 3000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. Lower book to market stocks outperformed higher book to market stocks within the index. The Tax-Managed U.S. Marketwide Value Series had less weight than the index in lower book to market stocks, which detracted from relative performance. The Series excludes real estate investment trusts (REITs) and highly regulated utilities from eligibility while the Index holds stocks in these sectors. REITs and utilities generally outperformed other sectors during the period, which detracted from the Series' relative performance. 61 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- The Tax-Managed U.S. Marketwide Value Series -------------------------------------------- Actual Fund Return........................... $1,000.00 $1,062.30 0.21% $1.09 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. 62 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 29, 2014. 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 EQUITY PORTFOLIO The Tax-Managed U.S. Marketwide Value Series Consumer Discretionary....................... 18.0% Consumer Staples............................. 7.2% Energy....................................... 16.1% Financials................................... 19.3% Health Care.................................. 10.2% Industrials.................................. 14.4% Information Technology....................... 7.1% Materials.................................... 3.2% Other........................................ -- Telecommunication Services................... 4.2% Utilities.................................... 0.3% ----- 100.0%
63 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (96.4%) Consumer Discretionary -- (17.3%) Comcast Corp. Class A.................. 3,446,875 $190,784,531 3.7% Comcast Corp. Special Class A.......... 1,088,341 60,011,123 1.2% General Motors Co...................... 751,200 23,587,680 0.5% * Liberty Interactive Corp. Class A...... 882,463 23,067,583 0.5% Time Warner Cable, Inc................. 693,942 102,155,202 2.0% Time Warner, Inc....................... 1,534,860 121,975,324 2.4% Twenty-First Century Fox, Inc. Class A. 1,287,383 44,388,966 0.9% Other Securities....................... 354,467,982 6.7% ------------ ----- Total Consumer Discretionary............... 920,438,391 17.9% ------------ ----- Consumer Staples -- (7.0%) Archer-Daniels-Midland Co.............. 813,476 38,233,372 0.8% * Constellation Brands, Inc. Class A..... 249,042 22,797,305 0.5% CVS Health Corp........................ 1,510,745 129,637,028 2.5% Mondelez International, Inc. Class A... 2,081,099 73,379,551 1.4% Other Securities....................... 106,508,573 2.0% ------------ ----- Total Consumer Staples..................... 370,555,829 7.2% ------------ ----- Energy -- (15.5%) Anadarko Petroleum Corp................ 845,068 77,560,341 1.5% Chevron Corp........................... 1,026,536 123,132,993 2.4% ConocoPhillips......................... 1,766,829 127,476,712 2.5% Exxon Mobil Corp....................... 719,910 69,622,496 1.4% Hess Corp.............................. 378,130 32,069,205 0.6% Marathon Oil Corp...................... 903,937 31,999,370 0.6% Marathon Petroleum Corp................ 451,968 41,083,891 0.8% Phillips 66............................ 883,414 69,347,999 1.4% Valero Energy Corp..................... 605,899 30,349,481 0.6% Other Securities....................... 219,822,492 4.2% ------------ ----- Total Energy............................... 822,464,980 16.0% ------------ ----- Financials -- (18.6%) American International Group, Inc...... 899,581 48,190,554 1.0% Bank of America Corp................... 6,542,656 112,271,977 2.2% Capital One Financial Corp............. 356,632 29,518,431 0.6% Citigroup, Inc......................... 2,248,344 120,353,854 2.4% CME Group, Inc......................... 414,385 34,729,607 0.7% Goldman Sachs Group, Inc. (The)........ 154,508 29,354,975 0.6% JPMorgan Chase & Co.................... 1,785,675 107,997,624 2.1% MetLife, Inc........................... 1,125,923 61,070,064 1.2% Morgan Stanley......................... 1,476,248 51,594,868 1.0% Prudential Financial, Inc.............. 497,625 44,059,717 0.9% Other Securities....................... 350,805,532 6.5% ------------ ----- Total Financials........................... 989,947,203 19.2% ------------ ----- Health Care -- (9.9%) Aetna, Inc............................. 558,462 46,078,700 0.9% * Express Scripts Holding Co............. 493,239 37,890,620 0.8% Humana, Inc............................ 236,814 32,881,624 0.7% Pfizer, Inc............................ 4,178,729 125,152,934 2.4% Thermo Fisher Scientific, Inc.......... 499,520 58,728,566 1.2% # WellPoint, Inc......................... 504,640 63,932,842 1.3% Zoetis, Inc............................ 805,208 29,921,529 0.6%
64 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- Health Care -- (Continued) Other Securities................................... $ 130,278,997 2.3% -------------- ------ Total Health Care........................................ 524,865,812 10.2% -------------- ------ Industrials -- (13.9%) CSX Corp........................................... 1,242,950 44,286,308 0.9% FedEx Corp......................................... 142,324 23,825,038 0.5% General Electric Co................................ 5,207,993 134,418,299 2.6% Norfolk Southern Corp.............................. 545,229 60,324,137 1.2% Northrop Grumman Corp.............................. 337,038 46,497,762 0.9% Union Pacific Corp................................. 888,128 103,422,506 2.0% Other Securities................................... 326,691,336 6.3% -------------- ------ Total Industrials........................................ 739,465,386 14.4% -------------- ------ Information Technology -- (6.9%) Corning, Inc....................................... 1,201,485 24,546,339 0.5% Hewlett-Packard Co................................. 759,615 27,254,986 0.5% * Micron Technology, Inc............................. 758,908 25,112,266 0.5% * Yahoo!, Inc........................................ 1,048,770 48,295,858 1.0% Other Securities................................... 240,376,067 4.6% -------------- ------ Total Information Technology............................. 365,585,516 7.1% -------------- ------ Materials -- (3.0%) International Paper Co............................. 493,615 24,986,791 0.5% Other Securities................................... 137,737,875 2.7% -------------- ------ Total Materials.......................................... 162,724,666 3.2% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (4.0%) # AT&T, Inc.......................................... 4,073,875 141,933,805 2.8% Verizon Communications, Inc........................ 644,888 32,405,622 0.6% Other Securities................................... 40,703,493 0.8% -------------- ------ Total Telecommunication Services......................... 215,042,920 4.2% -------------- ------ Utilities -- (0.3%) Other Securities................................... 16,312,159 0.3% -------------- ------ TOTAL COMMON STOCKS...................................... 5,127,402,862 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 21,755 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077%. 20,061,382 20,061,382 0.4% -------------- ------ SECURITIES LENDING COLLATERAL -- (3.2%) (S)@ DFA Short Term Investment Fund..................... 14,553,369 168,382,482 3.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,951,388,341)................................... $5,315,868,481 103.3% ============== ======
65 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $ 920,438,391 -- -- $ 920,438,391 Consumer Staples............ 370,555,829 -- -- 370,555,829 Energy...................... 822,464,980 -- -- 822,464,980 Financials.................. 989,919,534 $ 27,669 -- 989,947,203 Health Care................. 524,865,812 -- -- 524,865,812 Industrials................. 739,465,174 212 -- 739,465,386 Information Technology...... 365,585,516 -- -- 365,585,516 Materials................... 162,724,666 -- -- 162,724,666 Other....................... -- -- -- -- Telecommunication Services.. 215,042,920 -- -- 215,042,920 Utilities................... 16,312,159 -- -- 16,312,159 Rights/Warrants............... -- 21,755 -- 21,755 Temporary Cash Investments.... 20,061,382 -- -- 20,061,382 Securities Lending Collateral. -- 168,382,482 -- 168,382,482 -------------- ------------ -- -------------- TOTAL......................... $5,147,436,363 $168,432,118 -- $5,315,868,481 ============== ============ == ==============
See accompanying Notes to Financial Statements. 66 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands) ASSETS: Investments at Value (including $280,786 of securities on loan)*......... $5,127,425 Temporary Cash Investments at Value & Cost............................... 20,061 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 168,382 Cash..................................................................... 3,639 Receivables: Investment Securities Sold............................................. 457 Dividends, Interest and Tax Reclaims................................... 5,035 Securities Lending Income.............................................. 67 ---------- Total Assets........................................................ 5,325,066 ---------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 168,382 Investment Securities Purchased........................................ 11,679 Due to Advisor......................................................... 833 Accrued Expenses and Other Liabilities................................... 195 Total Liabilities................................................... 181,089 ---------- NET ASSETS............................................................... $5,143,977 ========== Investments at Cost...................................................... $2,762,944 ==========
---------- * See Note G in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 67 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $8)............... $ 86,754 Interest...................................................... 7 Income from Securities Lending................................ 840 -------- Total Investment Income.................................... 87,601 -------- Expenses Investment Advisory Services Fees............................. 9,619 Accounting & Transfer Agent Fees.............................. 242 Custodian Fees................................................ 54 Shareholders' Reports......................................... 20 Directors'/Trustees' Fees & Expenses.......................... 34 Professional Fees............................................. 99 Other......................................................... 22 -------- Total Expenses............................................. 10,090 -------- Net Expenses.................................................. 10,090 -------- Net Investment Income (Loss).................................. 77,511 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 18,712 Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................... 573,756 -------- Net Realized and Unrealized Gain (Loss)....................... 592,468 -------- Net Increase (Decrease) in Net Assets Resulting from Operations. $669,979 ========
See accompanying Notes to Financial Statements. 68 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, 2014 2013 - ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................................... $ 77,511 $ 69,562 Net Realized Gain (Loss) on: Investment Securities Sold.......................................... 18,712 39,747 Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................... 573,756 1,056,586 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.... 669,979 1,165,895 ---------- ---------- Transactions in Interest: Contributions......................................................... 209,662 285,068 Withdrawals........................................................... (125,419) (367,684) ---------- ---------- Net Increase (Decrease) from Transactions in Interest.............. 84,243 (82,616) ---------- ---------- Total Increase (Decrease) in Net Assets............................ 754,222 1,083,279 Net Assets Beginning of Year..................................................... 4,389,755 3,306,476 ---------- ---------- End of Year........................................................... $5,143,977 $4,389,755 ========== ==========
See accompanying Notes to Financial Statements. 69 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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------- Total Return......................................... 15.17% 35.92% 18.47% 6.33% 20.38% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $5,143,977 $4,389,755 $3,306,476 $2,901,325 $2,670,673 Ratio of Expenses to Average Net Assets.............. 0.21% 0.21% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets. 1.61% 1.82% 1.99% 1.61% 1.40% Portfolio Turnover Rate.............................. 2% 5% 10% 20% 25% -----------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 70 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 ask prices which approximates 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. 71 For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant 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, 2014, 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 $120 (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, 2014, 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, 2014, 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, 2014, the total related amounts paid to the CCO by the Trust were $83 (in thousands). The total related amounts paid by the Series is included in Other Expenses on the Statement of Operations. 72 D. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $260,060 $71,982
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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- The Tax-Managed U.S. Marketwide Value Series. $2,951,992 $2,397,559 $(33,683) $2,363,876
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. 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 agreement for the line of credit expires on March 2, 2015. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. There were no borrowings by the Series under the lines of credit during the year ended October 31, 2014. 73 G. Securities Lending: As of October 31, 2014, the Series had securities on loan to brokers/dealers, for which the Series received cash collateral. In addition, the Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $114,381 (in thousands). 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. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policies, the Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Series will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. H. 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. I. 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, described below, 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. The Tax-Managed U.S. Marketwide Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the "Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including the Tax- 74 Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought by a court-appointed trustee 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. Oral argument on the appeal was held on November 5, 2014, and the parties await the Second Circuit's ruling. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no reduction of the net asset value of The Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of The Tax-Managed U.S. Marketwide Value Series' net asset value at this time. The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may be, a price based on the net asset value of The Tax-Managed U.S. Marketwide Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to any other expense incurred by The Tax-Managed U.S. Marketwide Value Series. J. 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. 75 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees of The DFA Investment Trust Company and Shareholders of The Tax-Managed U.S. Marketwide Value Series: 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, 2014, 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 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, 2014 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 19, 2014 76 FUND MANAGEMENT (Unaudited) Trustees/Directors Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/ Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment Strategy Committee (the "Strategy Committee"). The Audit Committee is 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, 2014. 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, 2014. Each Board's Strategy Committee consists of both interested and disinterested Trustees/Directors. The Strategy Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Strategy Committee 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 Strategy Committee was formed on December 17, 2010, and there were two Strategy Committee meetings held during the fiscal year ended October 31, 2014. 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. 77
Name, Position Portfolios within the DFA Principal Occupation(s) During Past 5 with the Fund, Address and Term of Office/1/ and Fund Complex/2/ Years and Other Directorships of Public Year of Birth Length of Service Overseen Companies Held ------------------------------------------------------------------------------------------------------------------------ Disinterested Trustees/Directors ------------------------------------------------------------------------------------------------------------------------ George M. Constantinides DFAIDG-Since 1983 108 portfolios in 4 Leo Melamed Professor of Finance, Director of DFAIDG and DIG. DIG-Since 1993 investment companies University of Chicago Booth School of Trustee of DFAITC and DEM. DFAITC-Since 1992 Business. The University of Chicago DEM-Since 1993 Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 ------------------------------------------------------------------------------------------------------------------------ John P. Gould DFAIDG-Since 1986 108 portfolios in 4 Steven G. Rothmeier Professor and Director of DFAIDG and DIG. DIG-Since 1993 investment companies Distinguished Service Professor of Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth The University of Chicago DEM-Since 1993 School of Business (since 1965). Member Booth School of Business and Chair, Competitive Markets Advisory 5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange Chicago, IL 60637 (futures trading exchange) (since 1939 2004). Trustee, Harbor Fund (registered investment company) (29 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Insurance Company (1997-2010). ------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAIDG-Since 1981 108 portfolios in 4 Professor in Practice of Finance, Yale Director of DFAIDG and DIG. DIG-Since 1993 investment companies School of Management (since 1984). Trustee of DFAITC and DEM. DFAITC-Since 1992 Chairman, CIO and Partner, Zebra Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and P.O. Box 208200 asset manager) (since 2001). Consultant New Haven, CT 06520-8200 to Morningstar Inc. (since 2006). 1943 Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). ------------------------------------------------------------------------------------------------------------------------ Edward P. Lazear DFAIDG-Since 2010 108 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Trustee of DFAITC and DEM. DFAITC-Since 2010 Parker Professor of Human Resources Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate School of Business School of Business, Stanford University 518 Memorial Way (since 1995). Cornerstone Research Stanford, CA 94305-5015 (expert testimony and economic and 1948 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 DFAIDG-Since 1981 108 portfolios in 4 Chief Investment Strategist, Janus Director of DFAIDG and DIG. DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank Trustee of DFAITC and DEM. DFAITC-Since 1992 E. Buck Professor of Finance Emeritus, c/o Dimensional Fund DEM-Since 1993 Graduate School of Business, Stanford Advisors, LP University (since 1981). Chairman, 6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly, Building 1 Chairman, Platinum Grove Asset Austin, TX 78746 Management, L.P. (hedge fund) 1941 (formerly, Oak Hill Platinum Partners) (1999-2009). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). ------------------------------------------------------------------------------------------------------------------------ Abbie J. Smith DFAIDG-Since 2000 108 portfolios in 4 Boris and Irene Stern Distinguished Director of DFAIDG and DIG. DIG-Since 2000 investment companies Service Professor of Accounting, Trustee of DFAITC and DEM. DFAITC-Since 2000 University of Chicago Booth School of The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI Booth School of Business Corporation (formerly known as HON 5807 S. Woodlawn Industries Inc.) (office furniture) Avenue Chicago, IL 60637 (since 2000). Director, Ryder System 1953 Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (33 portfolios) (since 2009). Formerly, Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (2008-2011). ------------------------------------------------------------------------------------------------------------------------
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Name, Position Portfolios within the with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held -------------------------------------------------------------------------------------------------------------------------------- Interested Trustees/Directors* -------------------------------------------------------------------------------------------------------------------------------- David G. Booth DFAIDG-Since 1981 108 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies: Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund 6300 Bee Cave Road, Advisors LP, DFA Securities LLC, DEM, DFAIDG, Building One DIG and DFAITC (collectively, the "DFA Entities"). Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and 1946 formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009-2014). Formerly, Limited Partner, Oak Hill Partners (2001- 2010). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co- Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). -------------------------------------------------------------------------------------------------------------------------------- Eduardo A. Repetto DFAIDG-Since 2009 108 portfolios in 4 Co-Chief Executive Officer (beginning January Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007 - June 2014) of the 6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer Building One and Chief Investment Officer (since 2010) of Austin, TX 78746 Dimensional Cayman Commodity Fund I Ltd. 1967 Director, Co-Chief Executive Officer, President and Co-Chief Investment Officer of Dimensional Fund Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director and Chief Investment Officer (since December 2012) of Dimensional Japan Ltd.
/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 DFAIDG, DIG; DFAITC and DEM. Each disinterested Trustee/Director also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by an affiliate of Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors Canada ULC. * 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 the Advisor. 79 Officers Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation(s) During Past 5 Years ---------------------------------------------------------------------------------------------------------------------- Officers ---------------------------------------------------------------------------------------------------------------------- April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities. 1963 ---------------------------------------------------------------------------------------------------------------------- Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice 1974 President, Business Development at Capson Physicians Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). ---------------------------------------------------------------------------------------------------------------------- Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities. 1966 ---------------------------------------------------------------------------------------------------------------------- Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and 1955 Managing Director of Dimensional Fund Advisors Ltd (since September 2013). ---------------------------------------------------------------------------------------------------------------------- Peter Bergan Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Senior Infrastructure Manager for Dimensional Fund Advisors LP (January 2011-January 2014); Partner at Stonehouse Consulting (2010). ---------------------------------------------------------------------------------------------------------------------- Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Client Service Manager for Dimensional Fund Advisors LP (February 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1970 Senior Research Associate (January 2012-January 2014) and Research Associate (2006-2011) for Dimensional Fund Advisors LP ---------------------------------------------------------------------------------------------------------------------- Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director for Dimensional Fund Advisors LP (April 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities. 1968 ---------------------------------------------------------------------------------------------------------------------- Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the 1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. and Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. ---------------------------------------------------------------------------------------------------------------------- David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of 1964 Global Financial Services for Dimensional Fund Advisors LP (since 2008). ---------------------------------------------------------------------------------------------------------------------- Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1970 Regional Director for Dimensional Fund Advisors LP (December 2010-January 2012); Regional Director at Russell Investments (April 2006-December 2010). ---------------------------------------------------------------------------------------------------------------------- Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director (January 2010-January 2014) and Senior Associate (July 2008-December 2009) for Dimensional Fund Advisors LP. ---------------------------------------------------------------------------------------------------------------------- James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1956 Regional Director for Dimensional Fund Advisors LP (2008-2010). ----------------------------------------------------------------------------------------------------------------------
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Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of 1966 Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (October 2005 to January 2012). ------------------------------------------------------------------------------------------------------------------------- Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Counsel for Dimensional Fund Advisors LP (April 2012 - January 2014); Vice President and Counsel for AllianceBernstein L.P. (2006-2012). ------------------------------------------------------------------------------------------------------------------------- Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA Australia 1972 Limited and Dimensional Fund Advisors Canada ULC. Head of Global Institutional Services for Dimensional Fund Advisors LP (since January 2014). Formerly, Head of Institutional, North America (March 2012 to December 2013) and Head of Portfolio Management (January 2006 to March 2012) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (September 2011-March 2013); Vice President at MullinTBG (2005-2011). ------------------------------------------------------------------------------------------------------------------------- Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (August 2010-March 2014); Vice President, Sales and Business Development at AdvisorsIG (PPMG) (2009-2010); Vice President at Credit Suisse (2007- 2009). ------------------------------------------------------------------------------------------------------------------------- Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (2003-March 2014). ------------------------------------------------------------------------------------------------------------------------- Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2002-January 2012). ------------------------------------------------------------------------------------------------------------------------- Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities. 1949 ------------------------------------------------------------------------------------------------------------------------- George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1955 Senior Vice President and Managing Director at State Street Bank & Trust Company (2007-2008). ------------------------------------------------------------------------------------------------------------------------- Christopher S. Crossan Vice President and Since 2004 Vice President and Chief Compliance Officer of all 1965 Global Chief the DFA Entities, DFA Australia Limited, and Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance Officer of Dimensional Fund Advisors Canada. Formerly, Vice President and Chief Compliance Officer for Dimensional SmartNest (US) LLC (October 2010- 2014). ------------------------------------------------------------------------------------------------------------------------- James L. Davis Vice President Since 1999 Vice President of all the DFA Entities. 1956 ------------------------------------------------------------------------------------------------------------------------- Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia 1957 Limited and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------------- Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director (January 2012-January 2014) and Senior Associate (August 2010-December 2011) for Dimensional Fund Advisors LP; MBA and MPA at the University of Texas at Austin (August 2007-May 2010). ------------------------------------------------------------------------------------------------------------------------- Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1972 Research Associate (August 2008-March 2010) and Research Assistant (April 2006-August 2008) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------------
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Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ----------------------------------------------------------------------------------------------------------------------- Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities. 1970 ----------------------------------------------------------------------------------------------------------------------- Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of 1979 Marketing for Dimensional Fund Advisors LP (since February 2013). Formerly, Senior Manager of Research and Marketing for Dimensional Fund Advisors LP (June 2012-January 2013); Director of Mutual Fund Analysis at Morningstar (January 2008- May 2012). ----------------------------------------------------------------------------------------------------------------------- Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the 1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief Operating Officer for Dimensional Fund Advisors Pte. Ltd. (since April 2013). Formerly, Chief Operating Officer for Dimensional Fund Advisors Ltd. (July 2008-March 2013). ----------------------------------------------------------------------------------------------------------------------- Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities. 1971 ----------------------------------------------------------------------------------------------------------------------- Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of 1974 Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (September 2004-January 2012). ----------------------------------------------------------------------------------------------------------------------- Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2011-January 2014); Senior Vice President of First Trust Advisors L.P. (2007-July 2011). ----------------------------------------------------------------------------------------------------------------------- Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities. 1970 ----------------------------------------------------------------------------------------------------------------------- Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Managing Director at BlackRock (2004-January 2012). ----------------------------------------------------------------------------------------------------------------------- Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- John T. Gray Vice President Since 2007 Vice President of all the DFA Entities. 1974 ----------------------------------------------------------------------------------------------------------------------- Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader 1975 for Dimensional Fund Advisors LP (since 2012). Formerly, Senior Trader (2009-2012). ----------------------------------------------------------------------------------------------------------------------- Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Counsel for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President and Senior Counsel for State Street Global Advisors (November 2008-January 2011). ----------------------------------------------------------------------------------------------------------------------- Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Julie C. Henderson Vice President and Since 2005 Vice President and Fund Controller of all the DFA 1974 Fund Controller Entities, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd. ----------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1960 Managing Director, Co-Head Global Consultant Relations at BlackRock (2004-2011). -----------------------------------------------------------------------------------------------------------------------
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Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years --------------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and 1973 Dimensional Cayman Commodity Fund I Ltd. --------------------------------------------------------------------------------------------------------------------------- Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Manager of Sales and Marketing Systems (January 2011-January 2014) and Project Manager (2007- 2010) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Facilities Manager for Dimensional Fund Advisors LP (October 2008-January 2012). --------------------------------------------------------------------------------------------------------------------------- David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of 1978 Operations for Financial Advisor Services for Dimensional Fund Advisors LP (since July 2014). Formerly, Counsel of Dimensional Fund Advisors LP (August 2011-January 2014); Associate at Andrews Kurth LLP (2006-2011). --------------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Vice President and Since 2003 Vice President of all the DFA Entities, Dimensional 1954 Chief Operating Officer Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chief Operating Officer of Dimensional Holdings Inc., DFA Securities LLC, Dimensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. And Dimensional Fund Advisors Pte. Ltd. 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 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (October 2004-January 2013). --------------------------------------------------------------------------------------------------------------------------- Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1948 Regional Director for Dimensional Fund Advisors LP (April 2006-January 2012). --------------------------------------------------------------------------------------------------------------------------- David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio 1971 Manager for Dimensional Fund Advisors LP (since June 2004). --------------------------------------------------------------------------------------------------------------------------- Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Creative Director for Dimensional Fund Advisors LP (September 2012-January 2014); Vice President and Global Creative Director at Morgan Stanley (2007-2012); Visiting Assistant Professor, Graduate Communications Design at Pratt Institute (2004-2012). --------------------------------------------------------------------------------------------------------------------------- Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of 1971 Defined Contribution Sales for Dimensional Fund Advisors LP (since August 2010). --------------------------------------------------------------------------------------------------------------------------- Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior 1971 Portfolio Manager of Dimensional Fund Advisors LP (since January 2012). Formerly, Portfolio Manager for Dimensional (April 2001-January 2012). --------------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1981 Senior Associate, Investment Analytics and Data (January 2012-December 2012) and Systems Developer (June 2007-December 2011) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1966 Regional Director (May 2010-January 2014) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Regional Director for Dimensional Fund Advisors LP (2007-2010). ---------------------------------------------------------------------------------------------------------------------------
83
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, 1967 Chief Executive Officer for Dimensional SmartNest (US) LLC (July 2012-November 2014). ------------------------------------------------------------------------------------------------------------------------- Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice 1969 President - Global Operations at Janus Capital Group (2005-2011). ------------------------------------------------------------------------------------------------------------------------- David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1978 Senior Trader (January 2010-December 2012) and Trader (2000-2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1980 Research Associate for Dimensional Fund Advisors LP (July 2008-2010). ------------------------------------------------------------------------------------------------------------------------- John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1960 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2013). ------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities. 1969 ------------------------------------------------------------------------------------------------------------------------- Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1969 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at Columbia Management (2004-2010). ------------------------------------------------------------------------------------------------------------------------- Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and 1972 Dimensional Cayman Commodity Fund I Ltd. Formerly, Counsel for Dimensional Fund Advisors LP (September 2006-January 2010). ------------------------------------------------------------------------------------------------------------------------- Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of 1970 Global Human Resources for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and Treasurer 1956 Financial Officer and of all the DFA Entities. Director, Vice President, Treasurer Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Pte. Ltd., Dimensional Hong Kong Limited, Dimensional Fund Advisors Canada ULC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds plc and Dimensional Funds II plc. Statutory Auditor of Dimensional Japan Ltd. Formerly, Chief Financial Officer, Treasurer and Vice President of Dimensional SmartNest (US) LLC (October 2010-November 2014). ------------------------------------------------------------------------------------------------------------------------- Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1975 Regional Director of Dimensional Fund Advisors LP (January 2009-January 2014). ------------------------------------------------------------------------------------------------------------------------- Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1984 Regional Director (January 2009-January 2014) and Senior Associate (2011) for Dimensional Fund Advisors LP; Investment Consultant (March 2010- December 2010) and Investment Analyst (December 2007-March 2010) at Towers Watson. ------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Manager, Investment Systems (2011-January 2013) and Project Manager (2007-2010) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------------
84
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ----------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities. 1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional 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). Director of 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). Formerly, Vice President and Secretary of Dimensional SmartNest (US) LLC (October 2010- November 2014). ----------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1964 Portfolio Manager for Dimensional Fund Advisors LP (2008-2010). ----------------------------------------------------------------------------------------------------------------------------- Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy Chief 1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors Compliance Officer LP (since December 2012). Formerly, Chief Compliance Officer of Wellington Management Company, LLP (2004-2011). ----------------------------------------------------------------------------------------------------------------------------- Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and 1974 Dimensional Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011). Formerly, Counsel for Dimensional Fund Advisors LP (2007- 2010). ----------------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all 1976 Chief Investment and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors Officer Officer since 2014 Canada ULC. Director of Dimensional Funds plc and Dimensional Fund II plc. ----------------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1973 Manager for Dimensional Fund Advisors LP (since July 2005). ----------------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1978 Senior Compliance Officer (January 2008-January 2010) and Compliance Officer (February 2006- December 2007) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (2012-January 2013); Senior Consultant (June 2011- December 2011) and Senior Investment Analyst and Consultant (July 2008-June 2011) at Hewitt EnnisKnupp. ----------------------------------------------------------------------------------------------------------------------------- David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia 1961 Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. ----------------------------------------------------------------------------------------------------------------------------- Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2006). ----------------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Vice President Since 2008 Vice President of all the DFA Entities. Formerly, 1973 Research Associate for Dimensional Fund Advisors LP (2006 to 2008). ----------------------------------------------------------------------------------------------------------------------------- David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1967 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at BlackRock (2009-2010). ----------------------------------------------------------------------------------------------------------------------------- Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1969 Planning and Analysis Manager for Dimensional Fund Advisors LP (July 2007-January 2014). -----------------------------------------------------------------------------------------------------------------------------
85
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------ Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1981 Research Associate (June 2011-January 2012) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------ Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1960 Senior Manager, Human Resources for Dimensional Fund Advisors LP (January 2012-January 2014); Director of Human Resources at Spansion, Inc. (March 2009-December 2011). ------------------------------------------------------------------------------------------------------------------ Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1959 Client Systems Manager for Dimensional Fund Advisors LP (July 2008-January 2010); Senior Manager at Vanguard (November 1997-July 2008). ------------------------------------------------------------------------------------------------------------------ Walid A. Shinnawi Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1961 Regional Director for Dimensional Fund Advisors LP (March 2006-January 2010). ------------------------------------------------------------------------------------------------------------------ Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly, 1965 Investment Operations Manager for Dimensional Fund Advisors LP (May 2007-January 2009). ------------------------------------------------------------------------------------------------------------------ Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities. 1968 ------------------------------------------------------------------------------------------------------------------ Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1981 Manager for Dimensional Fund Advisors LP (since January 2012). Formerly, Investment Associate for Dimensional Fund Advisors LP (August 2010- December 2011). ------------------------------------------------------------------------------------------------------------------ Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities. 1975 ------------------------------------------------------------------------------------------------------------------ Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1977 Manager of Dimensional Fund Advisors LP (since January 2010). ------------------------------------------------------------------------------------------------------------------ Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Project Manager for Dimensional Fund Advisors LP (2007-2010). ------------------------------------------------------------------------------------------------------------------ Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and 1956 Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------ Carl G. Snyder Vice President Since 2000 Vice President of all the DFA Entities. 1963 ------------------------------------------------------------------------------------------------------------------ Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities. 1947 ------------------------------------------------------------------------------------------------------------------ Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (April 2010-January 2013). ------------------------------------------------------------------------------------------------------------------ Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1973 Manager, Investment Analytics and Data (2012- January 2013) and Research Assistant (2002-2011) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1980 Regional Director (2010-January 2013) and Senior Associate (2007-2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2012). ------------------------------------------------------------------------------------------------------------------ Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities. 1958 ------------------------------------------------------------------------------------------------------------------ Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia 1966 Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------
86
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ---------------------------------------------------------------------------------------------------------------- Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (September 2008-January 2014). ---------------------------------------------------------------------------------------------------------------- Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2004). ---------------------------------------------------------------------------------------------------------------- Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities. 1951 ---------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities. 1976 ---------------------------------------------------------------------------------------------------------------- Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities. 1955 ---------------------------------------------------------------------------------------------------------------- Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (2005-2010). ----------------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the Board of Directors and until his or her successor is elected and qualified. 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://us.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, 2014 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2014 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2013 to October 31, 2014, 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 Dividends Qualifying Income Capital Gain Capital Gain Total Received Dividend DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) ------------------------------------ ------------- ------------- ------------- ------------- ------------ ---------- Tax-Managed U.S. Marketwide Value Portfolio... 100% -- -- 100% 100% 100% Tax-Managed U.S. Equity Portfolio............. 100% -- -- 100% 100% 100% Tax-Managed U.S. Targeted Value Portfolio..... 25% -- 75% 100% 100% 100% Tax-Managed U.S. Small Cap Portfolio.......... 91% -- 9% 100% 100% 100% T.A. U.S. Core Equity 2 Portfolio............. 62% -- 38% 100% 100% 100% Tax-Managed DFA International Value Portfolio. 100% -- -- 100% 100% 100% T.A. World ex U.S. Core Equity Portfolio...... 93% -- 7% 100% 100% 100%
Qualifying Short- Foreign Foreign Qualifying Term Tax Source Interest Capital DFA Investment Dimensions Group Inc. Credit(3) Income(4) Income(5) Gain(6) ------------------------------------ --------- --------- ---------- ---------- Tax-Managed U.S. Marketwide Value Portfolio... -- 1% 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. 6% 100% 100% 100% T.A. World ex U.S. Core Equity Portfolio...... 7% 100% 100% 100%
---------- (1)Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). (2)The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. (3)"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] DFA103114-002A THE DFA SHORT TERM INVESTMENT FUND ANNUAL REPORT YEAR ENDED OCTOBER 31, 2014 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 21 FUND MANAGEMENT 22 INVESTMENT SUMMARY CUMULATIVE PERFORMANCE OF $10,000 LOGO 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 10/31/14
1 YEAR SINCE INCEPTION 7-DAY YIELD ------ --------------- ----------- THE DFA SHORT TERM INVESTMENT FUND 0.08% 0.16% 0.07% CITIGROUP ONE-MONTH U.S. TREASURY BILL INDEX 0.03% 0.06% --
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. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments October 31, 2014 -------------------------------------------------------------------------------- The following table indicates the allocation of investments among the asset classes in the Fund as of October 31, 2014: PERCENT OF SECURITY ALLOCATION INVESTMENTS ------------------- ----------- Commercial Paper.................. 55.8% U.S. Government Agency Securities. 14.0 Yankee Certificates of Deposit.... 12.7 Repurchase Agreements............. 9.1 U.S. Treasury Obligations......... 3.9 Yankee Bonds...................... 2.2 Corporate Bonds................... 1.9 Government Bonds.................. 0.4 ----- TOTAL INVESTMENTS................. 100.0% See Notes to Financial Statements. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments October 31, 2014 --------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------ CORPORATE BONDS - 1.9% (r)General Electric Capital Corp........... 1.09% 05/28/15 100,000,000 100,487,700 (r)Toronto Dominion Bank NY................ 0.42% 05/01/15 130,527,000 130,648,521 (r)Toyota Motor Credit Corp................ 0.23% 01/14/15 90,000,000 90,004,770 (r)Toyota Motor Credit Corp................ 0.38% 03/10/15 9,164,000 9,166,373 (r)Toyota Motor Credit Corp................ 0.23% 10/29/15 100,000,000 99,979,900 ----------- ----------- TOTAL CORPORATE BONDS (Cost $430,311,669).. 429,691,000 430,287,264 ----------- ----------- YANKEE BONDS - 2.2% (r)Bank of Montreal........................ 0.70% 09/11/15 58,622,000 58,845,760 (r)Commonwealth Bank of Australia.......... 1.03% 09/18/15 150,000,000 151,059,001 National Australia Bank Ltd................ 3.75% 03/02/15 50,000,000 50,541,700 (r)National Australia Bank Ltd............. 1.37% 08/07/15 61,650,000 62,147,700 (r)Royal Bank of Canada NY................. 0.46% 01/06/15 141,450,000 141,521,432 (r)Westpac Banking Corp.................... 0.99% 09/25/15 48,284,000 48,597,894 ----------- ----------- TOTAL YANKEE BONDS (Cost $512,767,096)..... 510,006,000 512,713,487 ----------- ----------- COMMERCIAL PAPER - 55.8% (y)++ANZ National International Ltd........ 0.20% 11/07/14 49,450,000 49,449,713 (y)++ANZ National International Ltd........ 0.19% 11/26/14 95,250,000 95,245,076 (y)++ANZ National International Ltd........ 0.21% 01/07/15 93,000,000 92,974,890 (y)++ANZ National International Ltd........ 0.20% 01/20/15 80,000,000 79,973,544 (y)++ANZ National International Ltd........ 0.20% 02/09/15 100,000,000 99,956,790 (y)++ANZ National International Ltd........ 0.22% 03/09/15 160,000,000 159,908,271 (y)++ANZ National International Ltd........ 0.20% 04/17/15 85,000,000 84,934,151 (y)++Apple, Inc............................ 0.11% 11/18/14 5,000,000 4,999,788 (y)++Archer-Daniels-Midland Co............. 0.08% 11/19/14 110,400,000 110,393,188 (y)++Archer-Daniels-Midland Co............. 0.08% 11/20/14 73,500,000 73,495,178 (y)++Archer-Daniels-Midland Co............. 0.07% 12/10/14 100,000,000 99,984,110 (y)++Archer-Daniels-Midland Co............. 0.07% 12/11/14 85,000,000 84,985,967 (y)++Archer-Daniels-Midland Co............. 0.08% 12/12/14 50,000,000 49,991,485 (y)++ASB Finance Ltd. London............... 0.21% 02/12/15 50,000,000 49,974,145 (y)++ASB Finance Ltd. London............... 0.20% 02/25/15 50,000,000 49,968,150 (y)++AstraZeneca PLC....................... 0.08% 01/20/15 11,700,000 11,695,946 (y)++Australia & New Zealand Banking Group. 0.19% 04/23/15 50,000,000 49,950,700 (y)++Bank Nederlandse Gemeenten NV......... 0.17% 11/10/14 185,000,000 184,997,409 (y)++Bank Nederlandse Gemeenten NV......... 0.25% 11/21/14 50,000,000 49,997,960 (y)++Bank Nederlandse Gemeenten NV......... 0.19% 12/10/14 100,000,000 99,987,000 (y)++Bank Nederlandse Gemeenten NV......... 0.20% 02/27/15 144,000,000 143,909,712 (y)Banque et Caisse d'Epargne de I'Etat.... 0.14% 11/04/14 37,000,000 36,999,752 (y)Banque et Caisse d'Epargne de I'Etat.... 0.14% 11/07/14 15,000,000 14,999,825 (y)Banque et Caisse d'Epargne de I'Etat.... 0.13% 11/10/14 50,000,000 49,999,055 (y)Banque et Caisse d'Epargne de I'Etat.... 0.18% 11/24/14 54,000,000 53,996,652 (y)Banque et Caisse d'Epargne de I'Etat.... 0.21% 12/02/14 50,000,000 49,995,420 (y)Banque et Caisse d'Epargne de I'Etat.... 0.19% 01/08/15 15,000,000 14,995,803 (y)Banque et Caisse d'Epargne de I'Etat.... 0.16% 02/02/15 115,000,000 114,950,458 (y)Banque et Caisse d'Epargne de I'Etat.... 0.15% 02/06/15 100,000,000 99,953,450 (y)Banque et Caisse d'Epargne de I'Etat.... 0.16% 02/24/15 150,000,000 149,905,755 (y)Banque et Caisse d'Epargne de I'Etat.... 0.15% 02/27/15 50,000,000 49,967,110 (y)++Basin Electric Power Cooperative...... 0.12% 11/17/14 10,000,000 9,999,466 (y)++Basin Electric Power Cooperative...... 0.17% 12/02/14 10,000,000 9,998,818 (y)++Basin Electric Power Cooperative...... 0.14% 12/18/14 10,000,000 9,997,947 (y)++Basin Electric Power Cooperative...... 0.12% 01/02/15 10,000,000 9,996,990 (y)++Basin Electric Power Cooperative...... 0.12% 01/15/15 12,000,000 11,995,415 (y)++Caisse des Depots et Consignations.... 0.16% 12/12/14 170,000,000 169,973,020 (y)++Caisse des Depots et Consignations.... 0.14% 01/27/15 60,000,000 59,973,744 (y)++Caisse des Depots et Consignations.... 0.22% 02/17/15 176,000,000 175,900,876 (y)++Caisse des Depots et Consignations.... 0.20% 03/02/15 45,000,000 44,970,921 (y)++Caisse des Depots et Consignations.... 0.22% 03/09/15 100,000,000 99,930,840 (y)++Caisse des Depots et Consignations.... 0.20% 04/23/15 125,000,000 124,874,338
See Notes to Financial Statements. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2014 --------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------ COMMERCIAL PAPER - 55.8% (CONTINUED) (y)++Coca-Cola Co..................................... 0.15% 11/19/14 80,000,000 79,997,760 (y)++Coca-Cola Co..................................... 0.14% 12/04/14 18,000,000 17,998,929 (y)++Coca-Cola Co..................................... 0.12% 02/06/15 35,300,000 35,290,102 (y)++Coca-Cola Co..................................... 0.13% 02/20/15 25,000,000 24,991,678 (y)++Coca-Cola Co..................................... 0.20% 02/27/15 65,000,000 64,976,366 (y)++Coca-Cola Co..................................... 0.18% 03/24/15 75,000,000 74,962,200 (y)++Commonwealth Bank of Australia................... 0.10% 12/03/14 75,000,000 74,994,360 (y)++CPPIB Capital, Inc............................... 0.14% 11/04/14 50,000,000 49,999,665 (y)++CPPIB Capital, Inc............................... 0.17% 11/05/14 50,000,000 49,999,585 (y)++CPPIB Capital, Inc............................... 0.14% 11/06/14 125,000,000 124,998,750 (y)++CPPIB Capital, Inc............................... 0.14% 11/10/14 100,000,000 99,998,220 (y)++CPPIB Capital, Inc............................... 0.14% 12/03/14 50,000,000 49,994,590 (y)++CPPIB Capital, Inc............................... 0.14% 12/08/14 45,000,000 44,993,745 (y)++CPPIB Capital, Inc............................... 0.14% 12/09/14 35,000,000 34,994,918 (y)++CPPIB Capital, Inc............................... 0.14% 02/10/15 70,000,000 69,963,509 (y)++CPPIB Capital, Inc............................... 0.14% 02/11/15 30,000,000 29,984,208 (y)++CPPIB Capital, Inc............................... 0.17% 02/13/15 28,000,000 27,984,891 (y)++CPPIB Capital, Inc............................... 0.18% 02/17/15 10,000,000 9,994,368 (y)++CPPIB Capital, Inc............................... 0.14% 02/19/15 67,500,000 67,461,080 (y)++CPPIB Capital, Inc............................... 0.14% 02/24/15 28,000,000 27,982,948 (y)++CPPIB Capital, Inc............................... 0.17% 04/13/15 18,000,000 17,983,573 (y)++CPPIB Capital, Inc............................... 0.17% 04/24/15 15,000,000 14,985,441 (y)++DBS Bank Ltd..................................... 0.23% 01/15/15 16,465,000 16,459,751 (y)++DBS Bank Ltd..................................... 0.23% 01/29/15 50,000,000 49,980,000 (y)++DBS Bank Ltd..................................... 0.21% 02/23/15 70,000,000 69,956,845 (y)++DBS Bank Ltd..................................... 0.23% 03/10/15 100,000,000 99,924,170 (y)++DBS Bank Ltd..................................... 0.23% 03/25/15 50,000,000 49,954,690 (y)++DuPont Ei de Nemours Co.......................... 0.06% 11/04/14 15,000,000 14,999,883 (y)++DuPont Ei de Nemours Co.......................... 0.07% 11/12/14 40,000,000 39,999,068 (y)++DuPont Ei de Nemours Co.......................... 0.07% 11/18/14 30,000,000 29,998,875 (y)++DuPont Ei de Nemours Co.......................... 0.07% 11/24/14 25,000,000 24,998,668 (y)++Emerson Electric Co.............................. 0.09% 01/06/15 13,000,000 12,997,774 (y)++Emerson Electric Co.............................. 0.11% 01/14/15 12,000,000 11,997,625 (y)++Emerson Electric Co.............................. 0.10% 01/20/15 26,876,000 26,870,136 (y)++Emerson Electric Co.............................. 0.11% 01/22/15 49,000,000 48,988,931 (y)European Investment Bank........................... 0.03% 11/05/14 100,000,000 99,999,170 (y)General Electric Capital Corp...................... 0.20% 02/05/15 50,000,000 49,987,200 (y)General Electric Capital Corp...................... 0.20% 02/12/15 150,000,000 149,957,099 (y)General Electric Capital Corp...................... 0.17% 02/18/15 100,000,000 99,968,530 (y)General Electric Capital Corp...................... 0.20% 03/09/15 175,000,000 174,925,379 (y)General Electric Capital Corp...................... 0.20% 04/27/15 100,000,000 99,907,540 (y)++Hydro-Quebec..................................... 0.10% 12/03/14 50,000,000 49,995,235 (y)++John Deere Capital Corp.......................... 0.09% 12/08/14 18,000,000 17,998,177 (y)++John Deere Capital Corp.......................... 0.08% 12/10/14 50,000,000 49,994,445 (y)++Koch Resources LLC............................... 0.07% 11/05/14 25,000,000 24,999,793 (y)++Kreditanstalt Fur Wiederaufbau................... 0.10% 11/03/14 200,000,000 199,999,339 (y)++Kreditanstalt Fur Wiederaufbau................... 0.11% 12/17/14 96,000,000 95,992,272 (y)++Kreditanstalt Fur Wiederaufbau................... 0.11% 12/18/14 100,000,000 99,991,730 (y)++Kreditanstalt Fur Wiederaufbau................... 0.09% 01/06/15 58,000,000 57,991,979 (y)++L'Oreal USA, Inc................................. 0.07% 11/13/14 8,800,000 8,799,762 (y)++L'Oreal USA, Inc................................. 0.06% 12/04/14 18,000,000 17,998,214 (y)++L'Oreal USA, Inc................................. 0.11% 12/09/14 13,000,000 12,998,423 (y)++Microsoft Corp................................... 0.06% 11/05/14 30,000,000 29,999,958 (y)++National Australia Funding....................... 0.04% 11/03/14 135,000,000 134,999,325 (y)++National Australia Funding....................... 0.16% 11/20/14 75,000,000 74,996,738 (y)++National Australia Funding....................... 0.10% 12/09/14 150,000,000 149,983,424 (y)++National Australia Funding....................... 0.11% 12/17/14 50,000,000 49,992,625 (y)++National Australia Funding....................... 0.20% 01/09/15 50,000,000 49,987,005 (y)++National Australia Funding....................... 0.21% 03/03/15 100,000,000 99,944,650 (y)National Rural Utilities Cooperative Finance Corp.. 0.08% 11/04/14 35,000,000 34,999,650 (y)National Rural Utilities Cooperative Finance Corp.. 0.09% 11/18/14 10,000,000 9,999,425
See Notes to Financial Statements. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2014 --------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------ COMMERCIAL PAPER - 55.8% (CONTINUED) (y)National Rural Utilities Cooperative Finance Corp.. 0.09% 11/20/14 40,000,000 39,997,376 (y)++Nederlandse Waterschaps.......................... 0.17% 11/21/14 15,000,000 14,999,388 (y)++Nederlandse Waterschaps.......................... 0.15% 02/02/15 210,000,000 209,906,969 (y)++Nestle Capital Corp.............................. 0.08% 12/01/14 50,000,000 49,998,665 (y)++Nestle Capital Corp.............................. 0.08% 12/04/14 50,000,000 49,998,440 (y)++Nestle Capital Corp.............................. 0.10% 12/18/14 100,000,000 99,994,130 (y)Nestle Finance International Ltd................... 0.08% 11/05/14 100,000,000 99,999,310 (y)Nestle Finance International Ltd................... 0.04% 11/07/14 45,000,000 44,999,564 (y)Nestle Finance International Ltd................... 0.17% 02/09/15 100,000,000 99,974,660 (y)Nestle Finance International Ltd................... 0.18% 02/20/15 100,000,000 99,972,100 (y)++NetJets, Inc..................................... 0.04% 11/04/14 40,000,000 39,999,732 (y)++Nordea North America, Inc........................ 0.22% 11/03/14 50,000,000 49,999,710 (y)++Nordea North America, Inc........................ 0.16% 11/18/14 50,000,000 49,997,875 (y)++Nordea North America, Inc........................ 0.21% 12/01/14 5,000,000 4,999,565 (y)++Nordea North America, Inc........................ 0.18% 01/15/15 100,000,000 99,968,120 (y)++Nordea North America, Inc........................ 0.21% 01/21/15 100,000,000 99,964,690 (y)++Nordea North America, Inc........................ 0.21% 03/11/15 100,000,000 99,931,830 (y)++Nordea North America, Inc........................ 0.23% 03/17/15 50,000,000 49,963,595 (y)++Nordea North America, Inc........................ 0.22% 04/27/15 100,000,000 99,887,430 (y)++NRW Bank AG...................................... 0.17% 11/05/14 100,000,000 99,999,170 (y)++NRW Bank AG...................................... 0.05% 11/06/14 93,000,000 92,999,070 (y)++NRW Bank AG...................................... 0.10% 11/07/14 30,000,000 29,999,649 (y)++NRW Bank AG...................................... 0.12% 11/10/14 100,000,000 99,998,110 (y)++NRW Bank AG...................................... 0.11% 11/20/14 200,000,000 199,990,219 (y)++NRW Bank AG...................................... 0.06% 12/10/14 100,000,000 99,987,440 (y)++NRW Bank AG...................................... 0.18% 12/15/14 100,000,000 99,985,000 (y)Oesterreich Kontrollbank AG........................ 0.10% 12/05/14 4,090,000 4,089,575 (y)Oesterreich Kontrollbank AG........................ 0.10% 01/22/15 111,000,000 110,960,329 (y)Oesterreich Kontrollbank AG........................ 0.13% 01/29/15 100,000,000 99,960,000 (y)++Old Line Funding LLC............................. 0.15% 11/10/14 60,000,000 59,998,368 (y)++Old Line Funding LLC............................. 0.15% 11/12/14 50,000,000 49,998,285 (y)++Old Line Funding LLC............................. 0.15% 01/13/15 50,000,000 49,982,630 (y)++Old Line Funding LLC............................. 0.15% 01/14/15 36,955,000 36,941,911 (y)Oversea-Chinese Banking Corp. Ltd.................. 0.19% 11/13/14 50,000,000 49,998,060 (y)Oversea-Chinese Banking Corp. Ltd.................. 0.19% 02/10/15 100,000,000 99,949,570 (y)Oversea-Chinese Banking Corp. Ltd.................. 0.19% 02/23/15 100,000,000 99,940,480 (y)Oversea-Chinese Banking Corp. Ltd.................. 0.23% 03/04/15 100,000,000 99,933,640 (y)PACCAR Financial Corp.............................. 0.08% 11/17/14 14,346,000 14,345,234 (y)PACCAR Financial Corp.............................. 0.11% 01/14/15 25,000,000 24,990,625 (y)++Parker Hannifin Corp............................. 0.09% 11/07/14 37,000,000 36,999,353 (y)++PepsiCo, Inc..................................... 0.07% 12/11/14 61,500,000 61,495,308 (y)++Precision Castparts Corp......................... 0.09% 11/18/14 30,000,000 29,998,275 (y)++Precision Castparts Corp......................... 0.09% 11/20/14 32,500,000 32,497,868 (y)++Precision Castparts Corp......................... 0.10% 12/08/14 20,000,000 19,997,024 (y)++Procter & Gamble Co.............................. 0.12% 11/12/14 50,000,000 49,999,835 (y)++Procter & Gamble Co.............................. 0.14% 01/15/15 100,000,000 99,986,280 (y)++Procter & Gamble Co.............................. 0.08% 01/22/15 100,000,000 99,984,320 (y)++Procter & Gamble Co.............................. 0.10% 02/05/15 72,000,000 71,986,032 (y)Province of Ontario................................ 0.10% 11/14/14 100,000,000 99,998,430 (y)Province of Ontario................................ 0.10% 11/17/14 100,000,000 99,997,810 (y)Province of Ontario................................ 0.09% 12/11/14 100,000,000 99,990,850 (y)Province of Ontario................................ 0.09% 12/15/14 75,000,000 74,992,500 (y)++Province of Quebec............................... 0.10% 11/03/14 100,000,000 99,999,500 (y)++Province of Quebec............................... 0.10% 11/04/14 100,000,000 99,999,330 (y)++Province of Quebec............................... 0.10% 11/18/14 100,000,000 99,995,750 (y)++Province of Quebec............................... 0.11% 12/12/14 100,000,000 99,986,470 (y)++Roche Holdings, Inc.............................. 0.10% 11/03/14 29,000,000 28,999,855 (y)++Roche Holdings, Inc.............................. 0.08% 11/25/14 14,000,000 13,999,086 (y)++Roche Holdings, Inc.............................. 0.08% 12/10/14 40,000,000 39,994,976 (y)++Sanofi-Aventis................................... 0.08% 11/07/14 75,000,000 74,999,858 (y)++Siemens Capital Co. LLC.......................... 0.07% 11/18/14 14,000,000 13,999,405
See Notes to Financial Statements. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2014 --------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- -------------- -------------- COMMERCIAL PAPER - 55.8% (CONTINUED) (y)++Siemens Capital Co. LLC.................. 0.09% 12/17/14 80,000,000 79,987,152 (y)++Siemens Capital Co. LLC.................. 0.09% 12/18/14 100,000,000 99,983,470 (y)++Standard Chartered Bank PLC.............. 0.18% 11/03/14 24,500,000 24,499,878 (y)++Standard Chartered Bank PLC.............. 0.18% 11/05/14 50,000,000 49,999,585 (y)++Standard Chartered Bank PLC.............. 0.18% 11/12/14 25,000,000 24,999,393 (y)++Standard Chartered Bank PLC.............. 0.18% 11/18/14 50,000,000 49,998,000 (y)++Standard Chartered Bank PLC.............. 0.19% 11/20/14 130,000,000 129,994,241 (y)++Standard Chartered Bank PLC.............. 0.16% 12/04/14 100,000,000 99,990,080 (y)++Standard Chartered Bank PLC.............. 0.17% 01/20/15 100,000,000 99,960,850 (y)++Standard Chartered Bank PLC.............. 0.17% 01/21/15 100,000,000 99,960,140 (y)++Svenska Handelsbanken, Inc............... 0.20% 12/12/14 43,800,000 43,793,049 (y)++Svenska Handelsbanken, Inc............... 0.20% 01/15/15 25,000,000 24,992,030 (y)Target Corp................................ 0.07% 11/03/14 40,000,000 39,999,700 (y)++Toronto Dominion Holdings................ 0.19% 11/07/14 10,000,000 9,999,922 (y)++Toronto Dominion Holdings................ 0.19% 04/23/15 50,000,000 49,953,115 (y)++Total Capital Canada Ltd................. 0.11% 11/24/14 36,550,000 36,547,734 (y)Toyota Motor Credit Corp................... 0.14% 12/02/14 50,000,000 49,997,275 (y)Toyota Motor Credit Corp................... 0.16% 12/11/14 25,000,000 24,998,083 (y)Toyota Motor Credit Corp................... 0.21% 01/21/15 150,000,000 149,964,119 (y)Toyota Motor Credit Corp................... 0.21% 02/10/15 140,000,000 139,956,362 (y)++United Overseas Bank..................... 0.16% 11/12/14 81,700,000 81,698,015 (y)++United Overseas Bank..................... 0.19% 12/10/14 49,000,000 48,993,846 (y)++United Overseas Bank..................... 0.22% 01/22/15 50,000,000 49,982,130 (y)++United Overseas Bank..................... 0.20% 03/13/15 6,000,000 5,995,279 (y)++United Overseas Bank..................... 0.22% 04/08/15 100,000,000 99,893,120 (y)++United Overseas Bank..................... 0.22% 04/14/15 100,000,000 99,885,420 (y)++Wal-Mart Stores, Inc..................... 0.08% 12/02/14 12,775,000 12,774,647 (y)++Westpac Securities NZ Ltd................ 0.20% 11/12/14 50,000,000 49,998,835 (y)++Westpac Securities NZ Ltd................ 0.17% 12/18/14 75,000,000 74,991,803 (y)++Westpac Securities NZ Ltd................ 0.20% 01/12/15 100,000,000 99,980,060 -------------- -------------- TOTAL COMMERCIAL PAPER (Cost $12,960,008,739). 12,963,957,000 12,960,479,179 -------------- -------------- YANKEE CERTIFICATES OF DEPOSIT - 12.7% (r)Australia & New Zealand Banking Group...... 0.48% 01/29/15 2,000,000 2,001,530 (r)Bank of Montreal........................... 0.23% 07/14/15 10,000,000 9,998,600 (r)Bank of Nova Scotia Houston................ 0.67% 09/11/15 7,700,000 7,724,640 (r)Canadian Imperial Bank of Commerce NY...... 0.33% 11/13/15 5,000,000 5,002,540 (y)Canadian Imperial Holdings................. 0.19% 04/20/15 100,000,000 99,933,600 (r)Nordea Bank Finland NY..................... 0.35% 07/17/15 17,750,000 17,752,769 (r)Nordea Bank Finland NY..................... 0.34% 11/09/15 148,000,000 148,089,392 (r)Rabobank Nederland NV NY................... 0.27% 03/16/15 100,000,000 99,996,100 (r)Rabobank Nederland NV NY................... 0.29% 05/06/15 75,000,000 74,992,500 (r)Rabobank Nederland NV NY................... 0.28% 06/12/15 100,000,000 99,987,700 (r)Rabobank Nederland NV NY................... 0.28% 07/06/15 125,000,000 124,983,125 (r)Rabobank Nederland NV NY................... 0.31% 08/12/15 55,000,000 54,991,530 (r)Rabobank Nederland NV NY................... 0.27% 09/04/15 50,000,000 49,991,600 (r)Rabobank Nederland NV NY................... 0.27% 09/16/15 75,000,000 74,986,875 (r)Rabobank Nederland NV NY................... 0.27% 10/09/15 75,000,000 74,985,825 (r)Rabobank Nederland NV NY................... 0.36% 10/23/15 44,200,000 44,195,536 (r)Royal Bank of Canada NY.................... 0.24% 02/20/15 100,000,000 99,996,800 (r)Royal Bank of Canada NY.................... 0.23% 02/23/15 100,000,000 99,997,200 (r)Royal Bank of Canada NY.................... 0.23% 03/27/15 20,000,000 19,999,140 (r)Royal Bank of Canada NY.................... 0.22% 06/10/15 65,000,000 64,992,200 (r)Royal Bank of Canada NY.................... 0.23% 06/18/15 100,000,000 99,987,400 (r)Royal Bank of Canada NY.................... 0.22% 06/26/15 100,000,000 99,993,200 (r)Royal Bank of Canada NY.................... 0.25% 09/10/15 60,000,000 59,989,800 (r)Royal Bank of Canada NY.................... 0.53% 10/09/15 29,000,000 28,994,519 Svenska Handelsbanken NY...................... 0.18% 11/12/14 75,000,000 75,000,870 Svenska Handelsbanken NY...................... 0.19% 12/01/14 75,000,000 75,001,605 Svenska Handelsbanken NY...................... 0.19% 02/06/15 100,000,000 99,997,270 Svenska Handelsbanken NY...................... 0.22% 03/12/15 100,000,000 99,999,970 Svenska Handelsbanken NY...................... 0.22% 04/21/15 100,000,000 99,992,840
See Notes to Financial Statements. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2014 --------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------- YANKEE CERTIFICATES OF DEPOSIT - 12.7% (CONTINUED) (r)Toronto Dominion Bank NY................................................... 0.22% 11/18/14 100,000,000 100,000,900 (r)Toronto Dominion Bank NY................................................... 0.22% 06/08/15 100,000,000 99,988,200 (r)Toronto Dominion Bank NY................................................... 0.22% 06/16/15 100,000,000 99,987,500 (r)Toronto Dominion Bank NY................................................... 0.24% 08/24/15 50,000,000 49,991,950 (r)Toronto Dominion Bank NY................................................... 0.24% 09/04/15 100,000,000 99,983,400 (r)Toronto Dominion Bank NY................................................... 0.24% 10/06/15 50,000,000 49,990,800 (r)Westpac Banking Corp....................................................... 0.23% 03/19/15 200,000,000 200,036,800 (r)Westpac Banking Corp....................................................... 0.24% 04/02/15 100,000,000 99,991,500 (r)Westpac Banking Corp....................................................... 0.24% 10/27/15 70,000,000 69,986,000 (r)Westpac Banking Corp....................................................... 0.26% 11/03/15 60,000,000 59,988,060 ------------- ------------- TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $2,944,010,053)....................................................... 2,943,650,000 2,943,501,786 ------------- ------------- GOVERNMENT BONDS - 0.4% Province of Ontario........................................................... 4.50% 02/03/15 39,727,000 40,143,736 Province of Ontario........................................................... 2.95% 02/05/15 46,100,000 46,412,420 ------------- ------------- TOTAL GOVERNMENT BONDS (Cost $86,598,192)..................................... 85,827,000 86,556,156 ------------- ------------- U.S. GOVERNMENT AGENCY SECURITIES - 14.0% (y)Federal Farm Credit Bank................................................... 0.02% 11/03/14 25,000,000 25,000,000 (y)Federal Farm Credit Bank................................................... 0.04% 11/18/14 40,000,000 39,999,600 (y)Federal Home Loan Bank..................................................... 0.04% 11/05/14 111,200,000 111,199,889 (y)Federal Home Loan Bank..................................................... 0.06% 11/12/14 214,000,000 213,998,716 (y)Federal Home Loan Bank..................................................... 0.04% 11/14/14 214,210,000 214,208,501 (y)Federal Home Loan Bank..................................................... 0.05% 11/18/14 9,446,000 9,445,906 (y)Federal Home Loan Bank..................................................... 0.06% 11/19/14 393,000,000 392,996,069 (y)Federal Home Loan Bank..................................................... 0.03% 11/21/14 600,000,000 599,992,799 (y)Federal Home Loan Bank..................................................... 0.03% 11/26/14 200,000,000 199,997,000 (y)Federal Home Loan Bank..................................................... 0.05% 12/03/14 32,745,000 32,744,312 (y)Federal Home Loan Bank..................................................... 0.04% 12/05/14 200,000,000 199,995,600 (y)Federal Home Loan Bank..................................................... 0.05% 12/10/14 100,000,000 99,997,400 (y)Federal Home Loan Bank..................................................... 0.06% 12/12/14 233,963,000 233,956,683 (y)Federal Home Loan Bank..................................................... 0.06% 12/17/14 233,137,000 233,129,773 (y)Federal Home Loan Bank..................................................... 0.05% 12/19/14 212,600,000 212,593,197 (y)Federal Home Loan Bank..................................................... 0.04% 01/05/15 100,000,000 99,994,800 (y)Federal Home Loan Bank..................................................... 0.06% 01/21/15 100,000,000 99,993,400 (y)Federal Home Loan Bank..................................................... 0.06% 01/28/15 100,000,000 99,992,800 (y)Federal Home Loan Bank..................................................... 0.07% 02/20/15 120,200,000 120,185,456 (y)Federal Home Loan Mortgage Corp............................................ 0.05% 01/13/15 28,900,000 28,898,295 ------------- ------------- TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $3,268,243,415)....................................................... 3,268,401,000 3,268,320,196 ------------- ------------- REPURCHASE AGREEMENTS - 9.1% Bank of America Corp. (Purchased on 10/31/14, Proceeds at maturity $150,001,250 collateralized by U.S. Treasury Securities, 0.38% - 8.00%, 6/30/15 - 5/15/23, market value $153,000,108)............................... 0.10% 11/03/14 150,000,000 150,000,000 Barclays Capital Group LLC (Purchased on 10/31/14, Proceeds at maturity $650,004,333 collateralized by U.S. Treasury Securities, 0.63% - 2.50%, 5/31/15 - 8/15/23, market value $663,000,055)............................... 0.08% 11/03/14 650,000,000 650,000,000 Goldman Sachs & Co. (Purchased on 10/31/14, Proceeds at maturity $200,001,500 collateralized by U.S. Government Agency Backed Securities, 2.50% - 7.00%, 7/15/27 - 10/20/44, market value $204,000,000)............... 0.09% 11/03/14 200,000,000 200,000,000 HSBC Securities (USA), Inc. (Purchased on 10/31/14, Proceeds at maturity $300,002,000 collateralized by U.S. Treasury Securities, 1.13% - 2.50%, 7/15/16 - 1/15/21, market value $306,002,179)............................... 0.08% 11/03/14 300,000,000 300,000,000 JPMorgan Securities (Purchased on 10/31/14, Proceeds at maturity $100,000,833 collateralized by U.S. Government Agency Backed Securities, 0.00% - 6.25%, 12/15/16 - 8/27/24, market value $102,004,638).............................. 0.10% 11/03/14 100,000,000 100,000,000
See Notes to Financial Statements. -------------------------------------------------------------------------------- THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (concluded) October 31, 2014 --------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- --------------- REPURCHASE AGREEMENTS - 9.1% (CONTINUED) RBC Capital Markets LLC (Purchased on 10/31/14, Proceeds at maturity $150,001,000 collateralized by U.S. Treasury Securities, 1.50% - 3.50%, 6/30/16 - 5/15/20, market value $153,000,074)................................ 0.08% 11/03/14 150,000,000 150,000,000 Toronto Dominion Bank NY (Purchased on 10/31/14, Proceeds at maturity $550,004,125 collateralized by U.S. Government Agency Backed Securities and U.S. Treasury Securities, 0.00% - 5.13%, 1/15/15 - 9/13/24, market value $561,000,082)................................................................ 0.09% 11/03/14 550,000,000 550,000,000 ------------- --------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,100,000,000).............................. 2,100,000,000 2,100,000,000 ------------- --------------- U.S. TREASURY OBLIGATIONS - 3.9% (y)U.S. Treasury Bill.......................................................... 0.01% 12/04/14 100,000,000 99,999,600 (y)U.S. Treasury Bill.......................................................... 0.01% 12/11/14 100,000,000 99,998,900 (y)U.S. Treasury Bill.......................................................... 0.01% 12/18/14 300,000,000 299,994,300 (y)U.S. Treasury Bill.......................................................... 0.00% 02/05/15 100,000,000 99,994,800 (y)U.S. Treasury Bill.......................................................... 0.05% 02/12/15 100,000,000 99,994,400 (y)U.S. Treasury Bill.......................................................... 0.04% 02/26/15 100,000,000 99,992,000 (y)U.S. Treasury Bill.......................................................... 0.04% 03/12/15 100,000,000 99,985,700 ------------- --------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $899,952,211)............................ 900,000,000 899,959,700 ------------- --------------- TOTAL INVESTMENTS (Cost $23,201,891,375) - 100.0%.............................. $23,201,817,768 ===============
AG--Aktiengesellschaft (German & Swiss stock corporation) LLC--Limited Liability Co. NY--New York Shares PLC--Public Limited Company ++ 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, 2014 was $9,835,966,254 which represented 42.4% of the total investments of the Fund. (r)The adjustable/variable rate shown is effective as of 10/31/14. (y)The rate shown is the effective yield. See Notes to Financial Statements. THE DFA SHORT TERM INVESTMENT FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2014 ASSETS: Investments, at value............................................................... $21,101,817,768 Repurchase agreements, at value..................................................... 2,100,000,000 --------------- Total Investments............................................................ 23,201,817,768 --------------- Cash................................................................................ 1,181,475,390 Interest receivable................................................................. 2,670,473 Receivable for investments sold..................................................... 109,991,030 --------------- Total Assets................................................................. 24,495,954,661 --------------- LIABILITIES: Payable for investments purchased................................................... 149,272,529 Distributions payable............................................................... 1,507,954 Accrued expenses and other payables: Investment Advisory Fees......................................................... 1,008,070 Director/Trustee Fees............................................................ 354,542 Administration Fees.............................................................. 88,599 Professional Fees................................................................ 32,262 CCO Fees......................................................................... 1,977 Other Expenses................................................................... 22,571 --------------- Total Liabilities............................................................ 152,288,504 --------------- Net Assets.......................................................................... $24,343,666,157 =============== NET ASSETS CONSIST OF: Capital............................................................................. $24,343,412,402 Undistributed Net Investment Income................................................. 55,466 Accumulated Net Realized Gains from Investment Transactions......................... 271,896 Net Unrealized Depreciation on Investments.......................................... (73,607) --------------- NET ASSETS.......................................................................... $24,343,666,157 =============== Shares of Beneficial Interest (Unlimited Number of Shares Authorized, No Par value). 2,104,011,443 =============== Net Asset Value (Offering and Redemption Price Per Share)........................... $ 11.57 =============== Investments at cost................................................................. $23,201,891,375
See Notes to Financial Statements. THE DFA SHORT TERM INVESTMENT FUND STATEMENT OF OPERATIONS OCTOBER 31, 2014 INVESTMENT INCOME: Interest.......................................................... $29,681,291 ----------- Total Investment Income........................................ 29,681,291 ----------- EXPENSES: Investment Advisory Fees.......................................... 11,089,103 Administration Fees............................................... 1,552,588 Professional Fees................................................. 96,445 Director/Trustee Fees............................................. 156,786 CCO Fees.......................................................... 24,517 Other Expenses.................................................... 101,185 ----------- Total Expenses Before Fee Reductions........................... 13,020,624 ----------- Fees Paid Indirectly.............................................. (503,853) ----------- Net Expenses................................................... 12,516,771 ----------- Net Investment Income............................................. 17,164,520 ----------- REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS: Net Realized Gains from Investment Transactions................... 273,009 Change in Unrealized Appreciation on Investments.................. (310,483) ----------- Net Realized/Unrealized Gains (Losses) from Investments........... (37,474) ----------- CHANGE IN NET ASSETS RESULTING FROM OPERATIONS.................... $17,127,046 ===========
See Notes to Financial Statements. THE DFA SHORT TERM INVESTMENT FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR FOR THE YEAR ENDED ENDED OCTOBER 31, 2014 OCTOBER 31, 2013 ---------------- ---------------- FROM INVESTMENT ACTIVITIES: OPERATIONS: Net Investment Income............................................. $ 17,164,520 $ 18,770,688 Net Realized Gains from Investment Transactions................... 273,009 140,936 Net Change in Unrealized Appreciation/Depreciation on Investments. (310,483) (977,445) ---------------- ---------------- Change in net assets resulting from operations.................... 17,127,046 17,934,179 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income............................................. (17,165,353) (18,714,389) Net Realized Gain................................................. (141,343) (449,921) ---------------- ---------------- Change in Net Assets from Distributions to Shareholders........... (17,306,696) (19,164,310) ---------------- ---------------- CAPITAL TRANSACTIONS: Proceeds from Shares Issued....................................... 90,276,127,859 74,923,851,815 Dividends Reinvested.............................................. -- 11,708 Cost of Shares Redeemed........................................... (85,424,738,245) (69,873,964,028) ---------------- ---------------- Change in Net Assets from Capital Transactions....................... 4,851,389,614 5,049,899,495 ---------------- ---------------- Change in Net Assets................................................. 4,851,209,964 5,048,669,364 NET ASSETS: Beginning of Period.................................................. 19,492,456,193 14,443,786,829 ---------------- ---------------- End of Period........................................................ $ 24,343,666,157 $ 19,492,456,193 ================ ================ Accumulated Net Investment Income.................................... $ 55,466 $ 56,299 ================ ================ SHARES TRANSACTIONS: Shares Issued..................................................... 7,802,603,963 6,475,700,245 Reinvested........................................................ -- 1,012 Shares Redeemed................................................... (7,383,296,305) (6,039,236,304) ---------------- ---------------- Change in Shares..................................................... 419,307,658 436,464,953 ================ ================
See Notes to Financial Statements. THE DFA SHORT TERM INVESTMENT FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE PERIOD YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, 2014 2013 2012+ 2011+ 2010*+ ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, BEGINNING OF PERIOD.. $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57 ----------- ----------- ----------- ----------- ----------- INVESTMENT ACTIVITIES: Net Investment Income.............. 0.01 0.01 0.02 0.02 0.02 Net Realized and Unrealized Gain/(Losses) on Investments..... -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ ----------- ----------- ----------- ----------- ----------- Total from Investment Activities...... 0.01 0.01 0.02 0.02 0.02 ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (0.01) (0.01) (0.02) (0.02) (0.02) Net Realized Gains................. -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ ----------- ----------- ----------- ----------- ----------- TOTAL DISTRIBUTIONS................... (0.01) (0.01) (0.02) (0.02) (0.02) ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period........ $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57 =========== =========== =========== =========== =========== Total Return.......................... 0.08% 0.13% 0.21% 0.18% 0.17%/(b)/ SUPPLEMENTAL DATA: NET ASSETS, END OF PERIOD (000'S)..... $24,343,666 $19,492,456 $14,443,787 $15,219,622 $13,815,049 Ratios to Average Net Assets: Net Investment Income/(c)/............ 0.08% 0.12% 0.21% 0.18% 0.23% Gross Expenses/(c)/................... 0.06% 0.06% 0.06% 0.06% 0.06% Net Expenses/(c)(d)/.................. 0.06% 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 H, 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. THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements October 31, 2014 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) 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, 2014, only securities classified as Level 2 in the fair value hierarchy were held by the Fund. THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2014 For the year ended October 31, 2014, 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, 2014:
LEVEL 1 LEVEL 2 LEVEL 3 INVESTMENTS IN INVESTMENTS IN INVESTMENTS IN SECURITIES SECURITIES SECURITIES -------------- --------------- -------------- THE DFA SHORT TERM INVESTMENT FUND Corporate Bonds................... $-- $ 430,287,264 $-- Yankee Bonds...................... -- 512,713,487 -- Commercial Paper.................. -- 12,960,479,179 -- Yankee Certificates of Deposit.... -- 2,943,501,786 -- Government Bonds.................. -- 86,556,156 -- U.S. Government Agency Securities. -- 3,268,320,196 -- Repurchase Agreements............. -- 2,100,000,000 -- U.S. Treasury Obligations......... -- 899,959,700 -- --- --------------- --- Total Investments............. $-- $23,201,817,768 $-- === =============== ===
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and collectively, the "Trustees") of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Director/Trustee Fees. Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Trustee shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Trustee's deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Trustee's first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of October 31, 2014, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. At October 31, 2014, the Fund's total liability of $303,203 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 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2014 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, 2014 attributable to distribution redesignations. As of October 31, 2014, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were equal to the amounts reported for financial reporting purposes. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the Fund's financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. The tax character of distributions paid to shareholders during the years ended October 31, 2014 and October 31, 2013 were as follows:
Distributions Paid From ------------------------- Net Investment Tax-Exempt Total Distributions Income Income Paid -------------- ---------- ------------------- The DFA Short Term Investment Fund 2014............................... $17,306,696 $-- $17,306,696 2013............................... $19,164,310 $-- $19,164,310
THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2014 As of October 31, 2014, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ----------------- Total Tax- Accumulated Unrealized Accumulated Ordinary Exempt Distributions Capital and Appreciation Earnings Income Income Accumulated Earnings Payable Other Losses (Depreciation) (Deficit) ---------- ------ -------------------- ------------- ------------ -------------- ----------- The DFA Short Term Investment Fund........................ $2,190,232 $-- $2,190,232 $(1,507,954) $-- $(73,607) $608,671
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 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. Repurchase Agreements ("RA") permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the RA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the RA counterparty's bankruptcy or insolvency. Pursuant to the terms of the RA, the Fund receives securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the RA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund's obligation under bankruptcy law to return the excess to the counterparty. E. RELATED PARTY TRANSACTIONS INVESTMENT MANAGER - Dimensional Fund Advisors LP (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". THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2014 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, has entered into a $500 million unsecured line of credit with Citibank, N.A. 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 9, 2015. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2014. H. 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. I. MONEY MARKET REFORM On July 23, 2014, the Securities and Exchange Commission ("SEC") approved significant reforms to the regulations governing money market funds under the 1940 Act. The rulemaking is designed to address money market funds' susceptibility to heavy redemptions during periods of market stress, improve their THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2014 ability to manage and mitigate potential contagion from such redemptions and increase the transparency of their risks, while preserving their benefits as much as possible. The new rules, with compliance dates ranging from nine months to two years from the effective date, will replace much of the current Rule 2a-7 under the 1940 Act and add new Rule 30b1-8 ("Form N-CR"). Additionally, Forms N-MFP and PF, along with the instructions to Form N-1A, have been revised as part of this reform. At this time, there are no changes being made to the way the Fund is managed or the way it operates, as the rules have a lengthy implementation period. Management of the Fund is reviewing and assessing the effect of the new rules. Additional information regarding the money market fund regulatory changes may be found at the SEC's website, www.sec.gov. 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. OTHER FEDERAL INCOME TAX INFORMATION For the year ended October 31, 2014, 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 2014 Form 1099-DIV. For the year ended October 31, 2014, the Fund paid qualified interest income for purposes of a reduced individual federal income tax rate of: Percentage ---------- The DFA Short Term Investment Fund. 94.48% For the year ended October 31, 2014, the Fund paid qualified short-term capital gains for purposes of a reduced individual federal income tax rate of: Percentage ---------- The DFA Short Term Investment Fund. 100% For the year ended October 31, 2014, the Fund designated the following amount as a short term capital gain distribution in accordance with Sections 871 (k) (2) and 881 (a) of the Internal Revenue Code: Amount -------- The DFA Short Term Investment Fund. $141,343 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, 2014 to October 31, 2014. Actual Expenses --------------- The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
ANNUALIZED BEGINNING ENDING EXPENSES PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD 5/1/14 10/31/14 5/1/14-10/31/14 5/1/14-10/31/14 ------------- ------------- --------------- --------------- The DFA Short Term Investment Fund. $1,000.00 $1,000.40 $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, 2014 to October 31, 2014 divided by the number of days in the fiscal year. Hypothetical Example for Comparison Purposes -------------------------------------------- The table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED BEGINNING ENDING EXPENSES PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD 5/1/14 10/31/14 5/1/14-10/31/14 5/1/14-10/31/14 ------------- ------------- --------------- --------------- 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, 2014 to October 31, 2014 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 the Advisor's website at http://www.us.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. PORTFOLIO HOLDINGS INFORMATION The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For the Trust or the Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The Trust filed its most recent Form N-Q with the SEC on September 29, 2014. 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.gov, or the Schedule 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). REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees of The DFA Investment Trust Company and Shareholders of The DFA Short Term Investment Fund: 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, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 19, 2014 FUND MANAGEMENT (UNAUDITED) TRUSTEES/DIRECTORS Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/ Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment Strategy Committee (the "Strategy Committee"). The Audit Committee is 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, 2014. 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, 2014. Each Board's Strategy Committee consists of both interested and disinterested Trustees/Directors. The Strategy Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Strategy Committee 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 Strategy Committee was formed on December 17, 2010, and there were two Strategy Committee meetings held during the fiscal year ended October 31, 2014. 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.
NAME, POSITION PRINCIPAL OCCUPATION(S) DURING PAST 5 WITH THE FUND, ADDRESS AND TERM OF OFFICE/1/ AND PORTFOLIOS WITHIN THE DFA YEARS AND OTHER DIRECTORSHIPS OF PUBLIC YEAR OF BIRTH LENGTH OF SERVICE FUND COMPLEX/2/ OVERSEEN COMPANIES HELD -------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS -------------------------------------------------------------------------------------------------------------------------- George M. Constantinides DFAIDG-Since 1983 108 portfolios in 4 Leo Melamed Professor of Finance, Director of DFAIDG and DIG. DIG-Since 1993 investment companies University of Chicago Booth School of Trustee of DFAITC and DEM. DFAITC-Since 1992 Business. The University of Chicago DEM-Since 1993 Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 -------------------------------------------------------------------------------------------------------------------------- John P. Gould DFAIDG-Since 1986 108 portfolios in 4 Steven G. Rothmeier Professor and Director of DFAIDG and DIG. DIG-Since 1993 investment companies Distinguished Service Professor of Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth The University of Chicago DEM-Since 1993 School of Business (since 1965). Member Booth School of Business and Chair, Competitive Markets Advisory 5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange Chicago, IL 60637 (futures trading exchange) (since 1939 2004). Trustee, Harbor Fund (registered investment company) (29 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Insurance Company (1997-2010). -------------------------------------------------------------------------------------------------------------------------- Roger G. Ibbotson DFAIDG-Since 1981 108 portfolios in 4 Professor in Practice of Finance, Yale Director of DFAIDG and DIG. DIG-Since 1993 investment companies School of Management (since 1984). Trustee of DFAITC and DEM. DFAITC-Since 1992 Chairman, CIO and Partner, Zebra Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and P.O. Box 208200 asset manager) (since 2001). Consultant New Haven, CT 06520-8200 to Morningstar Inc. (since 2006). 1943 Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). -------------------------------------------------------------------------------------------------------------------------- Edward P. Lazear DFAIDG-Since 2010 108 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Trustee of DFAITC and DEM. DFAITC-Since 2010 Parker Professor of Human Resources Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate School of Business School of Business, Stanford University 518 Memorial Way (since 1995). Cornerstone Research Stanford, CA 94305-5015 (expert testimony and economic and 1948 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 DFAIDG-Since 1981 108 portfolios in 4 Chief Investment Strategist, Janus Director of DFAIDG and DIG. DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank Trustee of DFAITC and DEM. DFAITC-Since 1992 E. Buck Professor of Finance Emeritus, c/o Dimensional Fund Advisors, DEM-Since 1993 Graduate School of Business, Stanford LP University (since 1981). Chairman, 6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly, Building 1 Chairman, Platinum Grove Asset Austin, TX 78746 Management, L.P. (hedge fund) 1941 (formerly, Oak Hill Platinum Partners) (1999-2009). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). -------------------------------------------------------------------------------------------------------------------------- Abbie J. Smith DFAIDG-Since 2000 108 portfolios in 4 Boris and Irene Stern Distinguished Director of DFAIDG and DIG. DIG-Since 2000 investment companies Service Professor of Accounting, Trustee of DFAITC and DEM. DFAITC-Since 2000 University of Chicago Booth School of The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI Booth School of Business Corporation (formerly known as HON 5807 S. Woodlawn Industries Inc.) (office furniture) Avenue Chicago, IL 60637 (since 2000). Director, Ryder System 1953 Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (33 portfolios) (since 2009). Formerly, Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (2008-2011). --------------------------------------------------------------------------------------------------------------------------
NAME, POSITION WITH THE FUND, TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND OTHER ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------ David G. Booth DFAIDG-Since 1981 Chairman, Director/Trustee, President, Co-Chief Executive Chairman, Director/Trustee, DIG-Since 1992 Officer and formerly, Chief Executive Officer (until 1/1/2010) of President and Co-Chief DFAITC-Since 1992 the following companies: Dimensional Holdings Inc., Executive Officer DEM-Since 1993 Dimensional Fund Advisors LP, DFA Securities LLC, DEM, 6300 Bee Cave Road, Building DFAIDG, DIG and DFAITC (collectively, the "DFA Entities"). One Director of Dimensional Fund Advisors Ltd. and formerly, Chief Austin, TX 78746 Investment Officer. Director of DFA Australia Limited and 1946 formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009-2014). Formerly, Limited Partner, Oak Hill Partners (2001-2010). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President and Co- Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). ------------------------------------------------------------------------------------------------------------------------- Eduardo A. Repetto DFAIDG-Since 2009 Co-Chief Executive Officer (beginning January 2010), Co-Chief Director/Trustee, Co-Chief DIG-Since 2009 Investment Officer (since June 2014), Director/Trustee, and Executive Officer and Co-Chief DFAITC-Since 2009 formerly, Chief Investment Officer (March 2007 - June 2014) of Investment Officer DEM-Since 2009 the DFA Entities. Director, Co-Chief Executive Officer and Chief 6300 Bee Cave Road, Building Investment Officer (since 2010) of Dimensional Cayman One Commodity Fund I Ltd. Director, Co-Chief Executive Officer, Austin, TX 78746 President and Co-Chief Investment Officer of Dimensional Fund 1967 Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director and Chief Investment Officer (since December 2012) of Dimensional Japan Ltd.
PORTFOLIOS WITHIN THE DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND OTHER OVERSEEN DIRECTORSHIPS OF PUBLIC COMPANIES HELD ----------------------------------------------------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* ------------------------------------------------------------------------------------------ 108 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief Executive investment companies Officer and formerly, Chief Executive Officer (until 1/1/2010) of the following companies: Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG and DFAITC (collectively, the "DFA Entities"). Director of Dimensional Fund Advisors Ltd. and formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009-2014). Formerly, Limited Partner, Oak Hill Partners (2001-2010). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President and Co- Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). ----------------------------------------------------------------------------------------- 108 portfolios in 4 Co-Chief Executive Officer (beginning January 2010), Co-Chief investment companies Investment Officer (since June 2014), Director/Trustee, and formerly, Chief Investment Officer (March 2007 - June 2014) of the DFA Entities. Director, Co-Chief Executive Officer and Chief Investment Officer (since 2010) of Dimensional Cayman Commodity Fund I Ltd. Director, Co-Chief Executive Officer, President and Co-Chief Investment Officer of Dimensional Fund Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director and Chief Investment Officer (since December 2012) of Dimensional Japan Ltd.
/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 DFAIDG, DIG; DFAITC and DEM. Each disinterested Trustee/Director also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by an affiliate of Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors Canada ULC. *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 the Advisor. OFFICERS Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.
NAME AND YEAR OF BIRTH POSITION PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------ --------------------------------------- April A. Aandal Vice President Vice President of all the DFA Entities. 1963 ------------------------------------------------------------------------------------------------------------ Robyn G. Alcorta Vice President Vice President of all the DFA Entities. Formerly, Vice President, 1974 Business Development at Capson Physicians Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). ------------------------------------------------------------------------------------------------------------ Darryl D. Avery Vice President Vice President of all the DFA Entities. 1966 ------------------------------------------------------------------------------------------------------------ Arthur H. Barlow Vice President Vice President of all the DFA Entities. Director and Managing 1955 Director of Dimensional Fund Advisors Ltd (since September 2013). ------------------------------------------------------------------------------------------------------------ Peter Bergan Vice President Vice President of all the DFA Entities. Formerly, Senior 1974 Infrastructure Manager for Dimensional Fund Advisors LP (January 2011-January 2014); Partner at Stonehouse Consulting (2010). ------------------------------------------------------------------------------------------------------------ Lana Bergstein Vice President Vice President of all the DFA Entities. Formerly, Client Service 1974 Manager for Dimensional Fund Advisors LP (February 2008- January 2014). ------------------------------------------------------------------------------------------------------------ Stanley W. Black Vice President Vice President of all the DFA Entities. Formerly, Senior Research 1970 Associate (January 2012-January 2014) and Research Associate (2006-2011) for Dimensional Fund Advisors LP ------------------------------------------------------------------------------------------------------------ Aaron T. Borders Vice President Vice President of all the DFA Entities. Formerly, Regional Director 1973 for Dimensional Fund Advisors LP (April 2008-January 2014). ------------------------------------------------------------------------------------------------------------ Scott A. Bosworth Vice President Vice President of all the DFA Entities. 1968 ------------------------------------------------------------------------------------------------------------ Valerie A. Brown Vice President and Vice President and Assistant Secretary of all the DFA Entities, 1967 Assistant Secretary DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. and Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------ David P. Butler Vice President Vice President of all the DFA Entities. Head of Global Financial 1964 Services for Dimensional Fund Advisors LP (since 2008). ------------------------------------------------------------------------------------------------------------ Douglas M. Byrkit Vice President Vice President of all the DFA Entities. Formerly, Regional Director 1970 for Dimensional Fund Advisors LP (December 2010-January 2012); Regional Director at Russell Investments (April 2006- December 2010). ------------------------------------------------------------------------------------------------------------ Hunt M. Cairns Vice President Vice President of all the DFA Entities. Formerly, Regional Director 1973 (January 2010-January 2014) and Senior Associate (July 2008- December 2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------ James G. Charles Vice President Vice President of all the DFA Entities. Formerly, Regional Director 1956 for Dimensional Fund Advisors LP (2008-2010). ------------------------------------------------------------------------------------------------------------
TERM OF OFFICE/1/ AND LENGTH OF SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------- OFFICERS --------------------------------------------------------------------------------------------------- Since 2008 Vice President of all the DFA Entities. -------------------------------------------------------------------------------------------------- Since 2012 Vice President of all the DFA Entities. Formerly, Vice President, Business Development at Capson Physicians Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). -------------------------------------------------------------------------------------------------- Since 2005 Vice President of all the DFA Entities. -------------------------------------------------------------------------------------------------- Since 1993 Vice President of all the DFA Entities. Director and Managing Director of Dimensional Fund Advisors Ltd (since September 2013). -------------------------------------------------------------------------------------------------- Since 2014 Vice President of all the DFA Entities. Formerly, Senior Infrastructure Manager for Dimensional Fund Advisors LP (January 2011-January 2014); Partner at Stonehouse Consulting (2010). -------------------------------------------------------------------------------------------------- Since 2014 Vice President of all the DFA Entities. Formerly, Client Service Manager for Dimensional Fund Advisors LP (February 2008- January 2014). -------------------------------------------------------------------------------------------------- Since 2014 Vice President of all the DFA Entities. Formerly, Senior Research Associate (January 2012-January 2014) and Research Associate (2006-2011) for Dimensional Fund Advisors LP -------------------------------------------------------------------------------------------------- Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (April 2008-January 2014). -------------------------------------------------------------------------------------------------- Since 2007 Vice President of all the DFA Entities. -------------------------------------------------------------------------------------------------- Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. and Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. -------------------------------------------------------------------------------------------------- Since 2007 Vice President of all the DFA Entities. Head of Global Financial Services for Dimensional Fund Advisors LP (since 2008). -------------------------------------------------------------------------------------------------- Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (December 2010-January 2012); Regional Director at Russell Investments (April 2006- December 2010). -------------------------------------------------------------------------------------------------- Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2010-January 2014) and Senior Associate (July 2008- December 2009) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------- Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (2008-2010). --------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------------------- Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head 1966 of Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (October 2005 to January 2012). --------------------------------------------------------------------------------------------------------------------------------- Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Counsel for Dimensional Fund Advisors LP (April 2012 - January 2014); Vice President and Counsel for AllianceBernstein L.P. (2006-2012). --------------------------------------------------------------------------------------------------------------------------------- Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA 1972 Australia Limited and Dimensional Fund Advisors Canada ULC. Head of Global Institutional Services for Dimensional Fund Advisors LP (since January 2014). Formerly, Head of Institutional, North America (March 2012 to December 2013) and Head of Portfolio Management (January 2006 to March 2012) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (September 2011-March 2013); Vice President at MullinTBG (2005-2011). --------------------------------------------------------------------------------------------------------------------------------- Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (August 2010-March 2014); Vice President, Sales and Business Development at AdvisorsIG (PPMG) (2009-2010); Vice President at Credit Suisse (2007-2009). --------------------------------------------------------------------------------------------------------------------------------- Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (2003-March 2014). --------------------------------------------------------------------------------------------------------------------------------- Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2002-January 2012). --------------------------------------------------------------------------------------------------------------------------------- Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities. 1949 --------------------------------------------------------------------------------------------------------------------------------- George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1955 Senior Vice President and Managing Director at State Street Bank & Trust Company (2007-2008). --------------------------------------------------------------------------------------------------------------------------------- Christopher S. Crossan Vice President and Since 2004 Vice President and Chief Compliance Officer of 1965 Global Chief Compliance all the DFA Entities, DFA Australia Limited, and Officer Dimensional Fund Advisors Ltd. Chief Compliance Officer of Dimensional Fund Advisors Canada. Formerly, Vice President and Chief Compliance Officer for Dimensional SmartNest (US) LLC (October 2010- 2014). --------------------------------------------------------------------------------------------------------------------------------- James L. Davis Vice President Since 1999 Vice President of all the DFA Entities. 1956 --------------------------------------------------------------------------------------------------------------------------------- Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA 1957 Australia Limited and Dimensional Fund Advisors Canada ULC. --------------------------------------------------------------------------------------------------------------------------------- Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director (January 2012-January 2014) and Senior Associate (August 2010-December 2011) for Dimensional Fund Advisors LP; MBA and MPA at the University of Texas at Austin (August 2007-May 2010). --------------------------------------------------------------------------------------------------------------------------------- Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1972 Research Associate (August 2008-March 2010) and Research Assistant (April 2006-August 2008) for Dimensional Fund Advisors LP. ---------------------------------------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------ Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities. 1970 ------------------------------------------------------------------------------------------------------------------------------ Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of 1979 Marketing for Dimensional Fund Advisors LP (since February 2013). Formerly, Senior Manager of Research and Marketing for Dimensional Fund Advisors LP (June 2012-January 2013); Director of Mutual Fund Analysis at Morningstar (January 2008-May 2012). ------------------------------------------------------------------------------------------------------------------------------ Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the 1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief Operating Officer for Dimensional Fund Advisors Pte. Ltd. (since April 2013). Formerly, Chief Operating Officer for Dimensional Fund Advisors Ltd. (July 2008-March 2013). ------------------------------------------------------------------------------------------------------------------------------ Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------------------ Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head 1974 of Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (September 2004-January 2012). ------------------------------------------------------------------------------------------------------------------------------ Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2011-January 2014); Senior Vice President of First Trust Advisors L.P. (2007-July 2011). ------------------------------------------------------------------------------------------------------------------------------ Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities. 1970 ------------------------------------------------------------------------------------------------------------------------------ Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities. 1967 ------------------------------------------------------------------------------------------------------------------------------ Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Managing Director at BlackRock (2004-January 2012). ------------------------------------------------------------------------------------------------------------------------------ Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities. 1967 ------------------------------------------------------------------------------------------------------------------------------ John T. Gray Vice President Since 2007 Vice President of all the DFA Entities. 1974 ------------------------------------------------------------------------------------------------------------------------------ Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior 1975 Trader for Dimensional Fund Advisors LP (since 2012). Formerly, Senior Trader (2009-2012). ------------------------------------------------------------------------------------------------------------------------------ Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Counsel for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President and Senior Counsel for State Street Global Advisors (November 2008-January 2011). ------------------------------------------------------------------------------------------------------------------------------ Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities. 1967 ------------------------------------------------------------------------------------------------------------------------------ Julie C. Henderson Vice President and Fund Since 2005 Vice President and Fund Controller of all the DFA 1974 Controller Entities, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd. ------------------------------------------------------------------------------------------------------------------------------ Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities. 1967 ------------------------------------------------------------------------------------------------------------------------------ Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities. 1967 ------------------------------------------------------------------------------------------------------------------------------ Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1960 Managing Director, Co-Head Global Consultant Relations at BlackRock (2004-2011). ------------------------------------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and 1973 Dimensional Cayman Commodity Fund I Ltd. ------------------------------------------------------------------------------------------------------------------------------- Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Manager of Sales and Marketing Systems (January 2011-January 2014) and Project Manager (2007- 2010) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Facilities Manager for Dimensional Fund Advisors LP (October 2008-January 2012). ------------------------------------------------------------------------------------------------------------------------------- David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of 1978 Operations for Financial Advisor Services for Dimensional Fund Advisors LP (since July 2014). Formerly, Counsel of Dimensional Fund Advisors LP (August 2011-January 2014); Associate at Andrews Kurth LLP (2006-2011). ------------------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Vice President and Chief Since 2003 Vice President of all the DFA Entities, 1954 Operating Officer Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chief Operating Officer of Dimensional Holdings Inc., DFA Securities LLC, Dimensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. And Dimensional Fund Advisors Pte. Ltd. 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 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (October 2004-January 2013). ------------------------------------------------------------------------------------------------------------------------------- Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1948 Regional Director for Dimensional Fund Advisors LP (April 2006-January 2012). ------------------------------------------------------------------------------------------------------------------------------- David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio 1971 Manager for Dimensional Fund Advisors LP (since June 2004). ------------------------------------------------------------------------------------------------------------------------------- Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Creative Director for Dimensional Fund Advisors LP (September 2012-January 2014); Vice President and Global Creative Director at Morgan Stanley (2007-2012); Visiting Assistant Professor, Graduate Communications Design at Pratt Institute (2004-2012). ------------------------------------------------------------------------------------------------------------------------------- Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of 1971 Defined Contribution Sales for Dimensional Fund Advisors LP (since August 2010). ------------------------------------------------------------------------------------------------------------------------------- Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior 1971 Portfolio Manager of Dimensional Fund Advisors LP (since January 2012). Formerly, Portfolio Manager for Dimensional (April 2001-January 2012). ------------------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1981 Senior Associate, Investment Analytics and Data (January 2012-December 2012) and Systems Developer (June 2007-December 2011) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------------- Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1966 Regional Director (May 2010-January 2014) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Regional Director for Dimensional Fund Advisors LP (2007-2010). -------------------------------------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------------- Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, 1967 Chief Executive Officer for Dimensional SmartNest (US) LLC (July 2012-November 2014). --------------------------------------------------------------------------------------------------------------------------- Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1969 Vice President - Global Operations at Janus Capital Group (2005-2011). --------------------------------------------------------------------------------------------------------------------------- David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1978 Senior Trader (January 2010-December 2012) and Trader (2000-2009) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities. 1971 --------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1980 Research Associate for Dimensional Fund Advisors LP (July 2008-2010). --------------------------------------------------------------------------------------------------------------------------- John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1960 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2013). --------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities. 1969 --------------------------------------------------------------------------------------------------------------------------- Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1969 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at Columbia Management (2004-2010). --------------------------------------------------------------------------------------------------------------------------- Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and 1972 Dimensional Cayman Commodity Fund I Ltd. Formerly, Counsel for Dimensional Fund Advisors LP (September 2006-January 2010). --------------------------------------------------------------------------------------------------------------------------- Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of 1970 Global Human Resources for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and 1956 Financial Officer and Treasurer of all the DFA Entities. Director, Vice Treasurer President, Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Pte. Ltd., Dimensional Hong Kong Limited, Dimensional Fund Advisors Canada ULC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds plc and Dimensional Funds II plc. Statutory Auditor of Dimensional Japan Ltd. Formerly, Chief Financial Officer, Treasurer and Vice President of Dimensional SmartNest (US) LLC (October 2010-November 2014). --------------------------------------------------------------------------------------------------------------------------- Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1975 Regional Director of Dimensional Fund Advisors LP (January 2009-January 2014). --------------------------------------------------------------------------------------------------------------------------- Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1984 Regional Director (January 2009-January 2014) and Senior Associate (2011) for Dimensional Fund Advisors LP; Investment Consultant (March 2010-December 2010) and Investment Analyst (December 2007-March 2010) at Towers Watson. --------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Manager, Investment Systems (2011-January 2013) and Project Manager (2007-2010) for Dimensional Fund Advisors LP. ---------------------------------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA 1964 Secretary and Secretary since 2000 Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional 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). Director of 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). Formerly, Vice President and Secretary of Dimensional SmartNest (US) LLC (October 2010- November 2014). ------------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1964 Portfolio Manager for Dimensional Fund Advisors LP (2008-2010). ------------------------------------------------------------------------------------------------------------------------------- Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy 1961 Deputy Chief Compliance Chief Compliance Officer of Dimensional Fund Officer Advisors LP (since December 2012). Formerly, Chief Compliance Officer of Wellington Management Company, LLP (2004-2011). ------------------------------------------------------------------------------------------------------------------------------- Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and 1974 Dimensional Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011). Formerly, Counsel for Dimensional Fund Advisors LP (2007-2010). ------------------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of 1976 Chief Investment Officer and Co-Chief Investment all the DFA Entities and Dimensional Fund Officer since 2014 Advisors Canada ULC. Director of Dimensional Funds plc and Dimensional Fund II plc. ------------------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1973 Manager for Dimensional Fund Advisors LP (since July 2005). ------------------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1978 Senior Compliance Officer (January 2008-January 2010) and Compliance Officer (February 2006-December 2007) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (2012-January 2013); Senior Consultant (June 2011-December 2011) and Senior Investment Analyst and Consultant (July 2008-June 2011) at Hewitt EnnisKnupp. ------------------------------------------------------------------------------------------------------------------------------- David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA 1961 Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------------------- Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2006). ------------------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Vice President Since 2008 Vice President of all the DFA Entities. Formerly, 1973 Research Associate for Dimensional Fund Advisors LP (2006 to 2008). ------------------------------------------------------------------------------------------------------------------------------- David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1967 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at BlackRock (2009-2010). ------------------------------------------------------------------------------------------------------------------------------- Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1969 Planning and Analysis Manager for Dimensional Fund Advisors LP (July 2007-January 2014). -------------------------------------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------- Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1981 Research Associate (June 2011-January 2012) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------- L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities. 1971 --------------------------------------------------------------------------------------------------------------------- Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1960 Senior Manager, Human Resources for Dimensional Fund Advisors LP (January 2012-January 2014); Director of Human Resources at Spansion, Inc. (March 2009-December 2011). --------------------------------------------------------------------------------------------------------------------- Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1959 Client Systems Manager for Dimensional Fund Advisors LP (July 2008-January 2010); Senior Manager at Vanguard (November 1997-July 2008). --------------------------------------------------------------------------------------------------------------------- Walid A. Shinnawi Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1961 Regional Director for Dimensional Fund Advisors LP (March 2006-January 2010). --------------------------------------------------------------------------------------------------------------------- Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly, 1965 Investment Operations Manager for Dimensional Fund Advisors LP (May 2007-January 2009). --------------------------------------------------------------------------------------------------------------------- Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities. 1968 --------------------------------------------------------------------------------------------------------------------- Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1981 Manager for Dimensional Fund Advisors LP (since January 2012). Formerly, Investment Associate for Dimensional Fund Advisors LP (August 2010- December 2011). --------------------------------------------------------------------------------------------------------------------- Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities. 1975 --------------------------------------------------------------------------------------------------------------------- Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1977 Manager of Dimensional Fund Advisors LP (since January 2010). --------------------------------------------------------------------------------------------------------------------- Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Project Manager for Dimensional Fund Advisors LP (2007-2010). --------------------------------------------------------------------------------------------------------------------- Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and 1956 Dimensional Fund Advisors Canada ULC. --------------------------------------------------------------------------------------------------------------------- Carl G. Snyder Vice President Since 2000 Vice President of all the DFA Entities. 1963 --------------------------------------------------------------------------------------------------------------------- Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities. 1947 --------------------------------------------------------------------------------------------------------------------- Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (April 2010-January 2013). --------------------------------------------------------------------------------------------------------------------- Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1973 Manager, Investment Analytics and Data (2012- January 2013) and Research Assistant (2002-2011) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------- Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1980 Regional Director (2010-January 2013) and Senior Associate (2007-2009) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------- John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2012). --------------------------------------------------------------------------------------------------------------------- Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities. 1958 --------------------------------------------------------------------------------------------------------------------- Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA 1966 Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. ---------------------------------------------------------------------------------------------------------------------
NAME AND YEAR OF TERM OF OFFICE/1/ AND LENGTH BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ---------------------------------------------------------------------------------------------------------------------- Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (September 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2004). ---------------------------------------------------------------------------------------------------------------------- Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities. 1951 ---------------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities. 1976 ---------------------------------------------------------------------------------------------------------------------- Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities. 1955 ---------------------------------------------------------------------------------------------------------------------- Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (2005-2010). ----------------------------------------------------------------------------------------------------------------------
/1/Each officer holds office for an indefinite term at the pleasure of the Board of Directors and until his or her successor is elected and qualified. 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, 2014: $213,731 Fiscal Year Ended October 31, 2013: $206,957 (b)Audit-Related Fees Fees for Registrant - Fiscal Year Ended October 31, 2014: $17,381 Fiscal Year Ended October 31, 2013: $16,707 For fiscal years ended October 31, 2014 and October 31, 2013, 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, 2014: $165,000 Fiscal Year Ended October 31, 2013: $155,000 For the fiscal years ended October 31, 2014 and October 31, 2013, 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, 2014: $92,916 Fiscal Year Ended October 31, 2013: $91,483 Tax Fees included, for the fiscal years ended October 31, 2014 and October 31, 2013, 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, 2014: $0 Fiscal Year Ended October 31, 2013: $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, 2014 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, 2014: $2,318,655 Fiscal Year Ended October 31, 2013: $2,133,593 (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, 2014
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- COMMON STOCKS -- (95.1%) Consumer Discretionary -- (11.7%) # Autoliv, Inc. 12,172 $ 1,116,659 0.0% Best Buy Co., Inc. 32,996 1,126,483 0.0% # Carnival Corp. 1,921,887 77,163,763 0.4% CBS Corp. Class A 7,236 392,842 0.0% Comcast Corp. Class A 9,873,756 546,512,395 3.0% # Comcast Corp. Special Class A 3,813,064 210,252,349 1.1% # Dillard's, Inc. Class A 112,692 11,918,306 0.1% DR Horton, Inc. 380,359 8,668,382 0.1% # Ford Motor Co. 2,413,503 34,006,257 0.2% # GameStop Corp. Class A 598,147 25,576,766 0.1% Gannett Co., Inc. 17,041 536,791 0.0% General Motors Co. 3,814,989 119,790,655 0.7% Graham Holdings Co. Class B 32,261 25,279,720 0.1% #* Hyatt Hotels Corp. Class A 26,622 1,576,555 0.0% # Kohl's Corp. 743,109 40,291,370 0.2% #* Lands' End, Inc. 108,496 5,150,305 0.0% Lear Corp. 57,952 5,360,560 0.0% # Lennar Corp. Class A 211,619 9,116,547 0.1% Lennar Corp. Class B 4,312 151,394 0.0% #* Liberty Global P.L.C. Class C 5,034 223,862 0.0% * Liberty Interactive Corp. Class A 2,576,808 67,357,761 0.4% * Liberty Media Corp. 313,578 15,029,794 0.1% * Liberty Media Corp. Class A 156,789 7,529,008 0.0% * Liberty TripAdvisor Holdings, Inc. Class A 174,559 5,512,573 0.0% * Liberty Ventures Series A 571,622 20,063,932 0.1% #* MGM Resorts International 2,414,853 56,145,332 0.3% * Mohawk Industries, Inc. 286,453 40,687,784 0.2% #* News Corp. Class A 290,667 4,499,525 0.0% #* News Corp. Class B 31,823 478,936 0.0% PVH Corp. 69,823 7,984,260 0.0% Royal Caribbean Cruises, Ltd. 1,051,952 71,501,177 0.4% #* Sears Holdings Corp. 267,418 9,338,237 0.1% Service Corp. International 229,074 5,009,848 0.0% # Staples, Inc. 1,603,602 20,333,673 0.1% # Target Corp. 1,106,428 68,399,379 0.4% Time Warner Cable, Inc. 1,876,119 276,183,478 1.5% # Time Warner, Inc. 5,052,904 401,554,281 2.2% * Time, Inc. 527,858 11,924,312 0.1% #* Toll Brothers, Inc. 329,804 10,537,238 0.1% * TRW Automotive Holdings Corp. 459 46,520 0.0% # Whirlpool Corp. 123,680 21,279,144 0.1% -------------- ---- Total Consumer Discretionary 2,245,608,153 12.2% -------------- ---- Consumer Staples -- (6.4%) Archer-Daniels-Midland Co. 2,861,952 134,511,744 0.7% Bunge, Ltd. 553,069 49,029,567 0.3% # ConAgra Foods, Inc. 364,170 12,509,239 0.1% * Constellation Brands, Inc. Class A 462,850 42,369,289 0.2% CVS Health Corp. 6,986,047 599,472,693 3.3% Ingredion, Inc. 20,328 1,570,338 0.0%
THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- Consumer Staples -- (Continued) JM Smucker Co. (The) 540,650 $ 56,227,600 0.3% # Molson Coors Brewing Co. Class B 763,563 56,793,816 0.3% Mondelez International, Inc. Class A 6,213,977 219,104,829 1.2% # Safeway, Inc. 196,076 6,835,209 0.0% Tyson Foods, Inc. Class A 1,430,128 57,705,665 0.3% -------------- ---- Total Consumer Staples 1,236,129,989 6.7% -------------- ---- Energy -- (19.8%) Anadarko Petroleum Corp. 2,644,697 242,730,291 1.3% Apache Corp. 1,895,772 146,353,598 0.8% Baker Hughes, Inc. 1,938,026 102,637,857 0.6% # Chesapeake Energy Corp. 3,374,987 74,857,212 0.4% Chevron Corp. 5,620,609 674,192,050 3.7% Cimarex Energy Co. 155,458 17,670,911 0.1% ConocoPhillips 6,993,622 504,589,827 2.7% # Denbury Resources, Inc. 1,413,859 17,531,852 0.1% Devon Energy Corp. 1,721,246 103,274,760 0.6% Exxon Mobil Corp. 4,477,321 433,001,714 2.4% # Helmerich & Payne, Inc. 516,470 44,839,925 0.2% Hess Corp. 1,628,606 138,122,075 0.7% HollyFrontier Corp. 498,931 22,641,489 0.1% # Kinder Morgan, Inc. 76,885 2,975,449 0.0% Marathon Oil Corp. 3,640,872 128,886,869 0.7% Marathon Petroleum Corp. 1,752,484 159,300,796 0.9% # Murphy Oil Corp. 728,510 38,895,149 0.2% Nabors Industries, Ltd. 1,372,075 24,491,539 0.1% National Oilwell Varco, Inc. 1,968,548 142,995,327 0.8% * Newfield Exploration Co. 31,609 1,030,769 0.0% # Noble Corp. P.L.C. 721,779 15,099,617 0.1% Occidental Petroleum Corp. 2,823,071 251,055,704 1.4% #* Paragon Offshore P.L.C. 240,593 1,171,688 0.0% Patterson-UTI Energy, Inc. 732,485 16,869,130 0.1% # Peabody Energy Corp. 226,438 2,361,748 0.0% Phillips 66 2,603,498 204,374,593 1.1% QEP Resources, Inc. 458,418 11,492,539 0.1% # Rowan Cos. P.L.C. Class A 424,149 10,294,096 0.1% * Seventy Seven Energy, Inc. 111,218 1,453,619 0.0% Superior Energy Services, Inc. 99,669 2,506,675 0.0% # Tesoro Corp. 615,285 43,937,502 0.2% # Transocean, Ltd. 1,340,027 39,973,005 0.2% Valero Energy Corp. 2,806,975 140,601,378 0.8% * Weatherford International P.L.C. 2,173,272 35,685,126 0.2% * Whiting Petroleum Corp. 334,068 20,458,324 0.1% #* WPX Energy, Inc. 50,407 963,782 0.0% -------------- ---- Total Energy 3,819,317,985 20.8% -------------- ---- Financials -- (19.7%) ACE, Ltd. 96,962 10,597,947 0.1% Aflac, Inc. 607,834 36,305,925 0.2% * Alleghany Corp. 1,128 501,148 0.0% Allied World Assurance Co. Holdings AG 556,302 21,139,476 0.1% Allstate Corp. (The) 817,246 52,998,403 0.3%
THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- ------------ --------------- Financials -- (Continued) American Financial Group, Inc. 487,279 $ 29,153,903 0.2% American International Group, Inc. 3,145,850 168,523,184 0.9% American National Insurance Co. 69,753 7,957,422 0.0% # Assurant, Inc. 386,198 26,346,428 0.1% Assured Guaranty, Ltd. 88,010 2,031,271 0.0% Axis Capital Holdings, Ltd. 578,662 27,856,789 0.2% Bank of America Corp. 16,826,224 288,738,004 1.6% Bank of New York Mellon Corp. (The) 3,470,782 134,388,679 0.7% BB&T Corp. 470,569 17,825,154 0.1% Capital One Financial Corp. 2,096,624 173,537,568 0.9% # Chubb Corp. (The) 69,688 6,924,200 0.0% # Cincinnati Financial Corp. 16,670 841,335 0.0% CIT Group, Inc. 25,124 1,229,317 0.0% Citigroup, Inc. 5,327,316 285,171,225 1.6% CME Group, Inc. 1,222,099 102,424,117 0.6% CNA Financial Corp. 498,971 19,499,787 0.1% * E*TRADE Financial Corp. 114,229 2,547,307 0.0% # Everest Re Group, Ltd. 158,526 27,052,462 0.1% Fifth Third Bancorp 1,806,309 36,108,117 0.2% #* Genworth Financial, Inc. Class A 2,374,310 33,216,597 0.2% Goldman Sachs Group, Inc. (The) 919,421 174,680,796 1.0% Hartford Financial Services Group, Inc. (The) 2,395,708 94,822,123 0.5% HCC Insurance Holdings, Inc. 2,282 119,098 0.0% Hudson City Bancorp, Inc. 71,664 691,558 0.0% Huntington Bancshares, Inc. 435,741 4,318,193 0.0% JPMorgan Chase & Co. 10,466,709 633,026,560 3.4% KeyCorp 374,205 4,939,506 0.0% # Legg Mason, Inc. 641,854 33,376,408 0.2% Leucadia National Corp. 137,025 3,258,454 0.0% Lincoln National Corp. 1,394,130 76,342,559 0.4% Loews Corp. 2,012,598 87,749,273 0.5% # M&T Bank Corp. 9,877 1,206,772 0.0% MetLife, Inc. 2,280,037 123,669,207 0.7% Morgan Stanley 5,045,057 176,324,742 1.0% NASDAQ OMX Group, Inc. (The) 801,702 34,681,628 0.2% # New York Community Bancorp, Inc. 80,866 1,289,813 0.0% # Old Republic International Corp. 632,434 9,341,050 0.1% PartnerRe, Ltd. 193,939 22,436,803 0.1% # People's United Financial, Inc. 138,880 2,030,426 0.0% PNC Financial Services Group, Inc. (The) 792,924 68,500,704 0.4% # Principal Financial Group, Inc. 356,794 18,685,302 0.1% Protective Life Corp. 7,158 498,769 0.0% Prudential Financial, Inc. 1,229,198 108,833,191 0.6% Regions Financial Corp. 5,807,266 57,666,151 0.3% # Reinsurance Group of America, Inc. 357,106 30,086,180 0.2% State Street Corp. 83,962 6,335,772 0.0% # SunTrust Banks, Inc. 2,175,267 85,139,950 0.5% Travelers Cos., Inc. (The) 867,444 87,438,355 0.5% # Unum Group 1,374,339 45,985,383 0.2% Validus Holdings, Ltd. 167,263 6,653,722 0.0% Wells Fargo & Co. 4,057,795 215,428,337 1.2% XL Group P.L.C. 1,434,888 48,614,005 0.3%
THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Financials -- (Continued) # Zions Bancorporation 754,482 $ 21,857,344 0.1% -------------- ---- Total Financials 3,798,943,899 20.7% -------------- ---- Health Care -- (10.1%) #* Actavis P.L.C. 118,573 28,782,410 0.2% Aetna, Inc. 2,009,110 165,771,666 0.9% * Bio-Rad Laboratories, Inc. Class A 1,222 137,866 0.0% * Boston Scientific Corp. 6,573,232 87,292,521 0.5% * CareFusion Corp. 907,569 52,067,233 0.3% # Cigna Corp. 268,109 26,695,613 0.1% #* Community Health Systems, Inc. 14,053 772,493 0.0% * Express Scripts Holding Co. 3,072,578 236,035,442 1.3% #* Hologic, Inc. 1,211,606 31,731,961 0.2% Humana, Inc. 707,042 98,172,782 0.5% # Omnicare, Inc. 556,064 37,028,302 0.2% Perrigo Co. P.L.C. 13,380 2,160,201 0.0% Pfizer, Inc. 22,619,948 677,467,443 3.7% # Quest Diagnostics, Inc. 107,295 6,808,941 0.0% # Teleflex, Inc. 91,713 10,466,288 0.1% Thermo Fisher Scientific, Inc. 1,580,260 185,791,168 1.0% UnitedHealth Group, Inc. 912,609 86,706,981 0.5% WellPoint, Inc. 1,674,297 212,116,687 1.1% -------------- ---- Total Health Care 1,946,005,998 10.6% -------------- ---- Industrials -- (11.5%) # ADT Corp. (The) 686,732 24,612,475 0.1% #* AECOM Technology Corp. 124,083 4,038,889 0.0% # AGCO Corp. 279,803 12,398,071 0.1% Alaska Air Group, Inc. 5,580 297,023 0.0% #* Avis Budget Group, Inc. 100,291 5,591,223 0.0% CSX Corp. 5,604,703 199,695,568 1.1% Danaher Corp. 72,391 5,820,236 0.0% Delta Air Lines, Inc. 101,580 4,086,563 0.0% Eaton Corp. P.L.C. 1,690,402 115,606,593 0.6% #* Engility Holdings, Inc. 27,829 1,202,213 0.0% FedEx Corp. 828,737 138,730,574 0.8% General Electric Co. 21,597,811 557,439,502 3.0% #* Genesee & Wyoming, Inc. Class A 11,922 1,146,896 0.0% * Hertz Global Holdings, Inc. 1,345,507 29,493,514 0.2% #* Jacobs Engineering Group, Inc. 175,921 8,347,452 0.1% # Joy Global, Inc. 84,284 4,435,867 0.0% # KBR, Inc. 18,047 344,337 0.0% # Kennametal, Inc. 9,984 385,482 0.0% L-3 Communications Holdings, Inc. 421,205 51,159,559 0.3% Manpowergroup, Inc. 19,031 1,270,319 0.0% # Norfolk Southern Corp. 1,681,939 186,089,731 1.0% Northrop Grumman Corp. 1,364,645 188,266,424 1.0% #* NOW, Inc. 352,619 10,599,727 0.1% # Oshkosh Corp. 36,950 1,653,882 0.0% Owens Corning 579,048 18,564,279 0.1% Pentair P.L.C. 498,599 33,431,063 0.2% * Quanta Services, Inc. 554,686 18,903,699 0.1%
THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- Industrials -- (Continued) # Regal-Beloit Corp. 4,814 $ 341,650 0.0% Republic Services, Inc. 1,352,613 51,940,339 0.3% # Ryder System, Inc. 13,740 1,215,578 0.0% Southwest Airlines Co. 3,905,821 134,672,708 0.7% SPX Corp. 22,870 2,167,847 0.0% Stanley Black & Decker, Inc. 651,388 60,995,972 0.3% # Terex Corp. 8,155 234,619 0.0% # Trinity Industries, Inc. 125,128 4,468,321 0.0% # Triumph Group, Inc. 29,704 2,068,290 0.0% Union Pacific Corp. 2,788,102 324,674,478 1.8% #* United Rentals, Inc. 73,167 8,052,760 0.1% * Veritiv Corp. 35,483 1,600,638 0.0% #* WESCO International, Inc. 21,907 1,805,356 0.0% -------------- ---- Total Industrials 2,217,849,717 12.0% -------------- ---- Information Technology -- (8.2%) Activision Blizzard, Inc. 2,772,955 55,320,452 0.3% Amdocs, Ltd. 17,878 849,920 0.0% * Arrow Electronics, Inc. 568,882 32,346,631 0.2% # Avnet, Inc. 711,362 30,766,407 0.2% #* Blackhawk Network Holdings, Inc. Class B 16,109 538,041 0.0% Broadcom Corp. Class A 136,077 5,698,905 0.0% Brocade Communications Systems, Inc. 46,592 499,932 0.0% # CA, Inc. 490,851 14,264,130 0.1% Cisco Systems, Inc. 8,906,456 217,940,978 1.2% Computer Sciences Corp. 99,392 6,003,277 0.0% Corning, Inc. 4,933,995 100,801,518 0.5% Fidelity National Information Services, Inc. 1,308,765 76,418,788 0.4% #* First Solar, Inc. 154,302 9,088,388 0.1% Hewlett-Packard Co. 9,619,949 345,163,770 1.9% * Ingram Micro, Inc. Class A 725,997 19,485,759 0.1% # Intel Corp. 9,210,936 313,263,933 1.7% # Jabil Circuit, Inc. 24,010 503,010 0.0% Juniper Networks, Inc. 922,663 19,440,509 0.1% Lam Research Corp. 325,184 25,318,826 0.1% Marvell Technology Group, Ltd. 398,733 5,358,972 0.0% #* Micron Technology, Inc. 3,654,213 120,917,908 0.7% # NVIDIA Corp. 629,521 12,300,840 0.1% Western Digital Corp. 564,843 55,563,606 0.3% Xerox Corp. 5,691,007 75,576,573 0.4% #* Yahoo!, Inc. 877,399 40,404,224 0.2% -------------- ---- Total Information Technology 1,583,835,297 8.6% -------------- ---- Materials -- (3.2%) Alcoa, Inc. 5,361,598 89,860,383 0.5% Ashland, Inc. 388,650 42,001,406 0.2% Cabot Corp. 454 21,079 0.0% CF Industries Holdings, Inc. 51,450 13,377,000 0.1% Freeport-McMoRan, Inc. 4,647,012 132,439,842 0.7% # Huntsman Corp. 6,739 164,432 0.0% International Paper Co. 2,043,676 103,450,879 0.6% MeadWestvaco Corp. 841,379 37,163,711 0.2%
THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- --------------- --------------- Materials -- (Continued) Mosaic Co. (The) 540,449 $ 23,947,295 0.1% # Newmont Mining Corp. 1,384,540 25,973,970 0.2% # Nucor Corp. 778,823 42,103,171 0.2% # Reliance Steel & Aluminum Co. 359,269 24,243,472 0.1% Rock-Tenn Co. Class A 235,996 12,071,195 0.1% Steel Dynamics, Inc. 893,527 20,560,056 0.1% # United States Steel Corp. 89,096 3,567,404 0.0% # Vulcan Materials Co. 576,239 35,559,709 0.2% --------------- ----- Total Materials 606,505,004 3.3% --------------- ----- Telecommunication Services -- (4.2%) # AT&T, Inc. 18,488,608 644,143,103 3.5% CenturyLink, Inc. 2,353,137 97,608,123 0.5% # Frontier Communications Corp. 2,036,486 13,318,618 0.1% #* Sprint Corp. 2,491,629 14,775,360 0.1% * T-Mobile US, Inc. 726,568 21,208,520 0.1% Telephone & Data Systems, Inc. 29,439 754,816 0.0% #* United States Cellular Corp. 254,750 9,277,995 0.1% Windstream Holdings, Inc. 406,973 4,265,077 0.0% --------------- ----- Total Telecommunication Services 805,351,612 4.4% --------------- ----- Utilities -- (0.3%) # NRG Energy, Inc. 1,581,268 47,406,415 0.3% UGI Corp. 130,606 4,922,540 0.0% --------------- ----- Total Utilities 52,328,955 0.3% --------------- ----- TOTAL COMMON STOCKS 18,311,876,609 99.6% --------------- ----- RIGHTS/WARRANTS -- (0.0%) (degrees)#* Sears Holdings Corp. Rights 11/07/14 313,663 7,528 0.0% --------------- ----- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077% 87,103,094 87,103,094 0.5% --------------- ----- SECURITIES LENDING COLLATERAL -- (4.4%) (S)@ DFA Short Term Investment Fund 74,271,257 859,318,447 4.7% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $12,592,557,040) $19,258,305,678 104.8% =============== =====
THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 2,245,608,153 -- -- $ 2,245,608,153 Consumer Staples 1,236,129,989 -- -- 1,236,129,989 Energy 3,819,317,985 -- -- 3,819,317,985 Financials 3,798,943,899 -- -- 3,798,943,899 Health Care 1,946,005,998 -- -- 1,946,005,998 Industrials 2,217,849,717 -- -- 2,217,849,717 Information Technology 1,583,835,297 -- -- 1,583,835,297 Materials 606,505,004 -- -- 606,505,004 Telecommunication Services 805,351,612 -- -- 805,351,612 Utilities 52,328,955 -- -- 52,328,955 Rights/Warrants -- $ 7,528 -- 7,528 Temporary Cash Investments 87,103,094 -- -- 87,103,094 Securities Lending Collateral -- 859,318,447 -- 859,318,447 ---------------- ------------ -- --------------- TOTAL $18,398,979,703 $859,325,975 -- $19,258,305,678 ================ ============ == ===============
THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (94.3%) AUSTRALIA -- (5.8%) * Alumina, Ltd. 4,595,906 $ 6,642,419 0.1% * Alumina, Ltd. Sponsored ADR 172,484 981,434 0.0% AMP, Ltd. 510,725 2,633,820 0.0% Asciano, Ltd. 4,216,676 23,324,367 0.3% ASX, Ltd. 5,871 186,271 0.0% Bank of Queensland, Ltd. 847,855 9,425,419 0.1% # Bendigo & Adelaide Bank Ltd 862,954 9,476,888 0.1% * BlueScope Steel, Ltd. 855,334 3,987,534 0.0% Boral, Ltd. 2,121,437 9,317,703 0.1% Caltex Australia, Ltd. 18,966 522,384 0.0% Downer EDI, Ltd. 47,617 201,079 0.0% Echo Entertainment Group, Ltd. 1,832,302 6,152,312 0.1% # Fortescue Metals Group, Ltd. 2,888,182 8,913,905 0.1% GrainCorp, Ltd. Class A 290,677 2,248,243 0.0% # Harvey Norman Holdings, Ltd. 1,068,950 3,594,639 0.0% # Incitec Pivot, Ltd. 4,638,959 11,904,005 0.1% Leighton Holdings, Ltd. 60,472 1,177,321 0.0% # Lend Lease Group 1,076,283 15,010,939 0.2% Macquarie Group, Ltd. 1,184,395 64,009,420 0.7% # Metcash, Ltd. 599,500 1,497,294 0.0% National Australia Bank, Ltd. 1,748,681 54,096,766 0.6% # New Hope Corp., Ltd. 69,375 137,301 0.0% * Newcrest Mining, Ltd. 1,968,868 16,147,863 0.2% # Orica, Ltd. 187,134 3,415,988 0.0% Origin Energy, Ltd. 2,407,598 30,245,978 0.3% Primary Health Care, Ltd. 718,682 2,945,183 0.0% * Qantas Airways, Ltd. 3,475,112 5,192,206 0.1% # QBE Insurance Group, Ltd. 2,266,393 23,021,800 0.3% Rio Tinto, Ltd. 120,548 6,437,059 0.1% Santos, Ltd. 4,404,343 50,470,467 0.5% Seven Group Holdings, Ltd. 361,999 2,183,768 0.0% # Sims Metal Management, Ltd. 209,772 2,094,229 0.0% # Sims Metal Management, Ltd. Sponsored ADR 124,013 1,213,715 0.0% Suncorp Group, Ltd. 3,736,013 48,613,845 0.5% Tabcorp Holdings, Ltd. 2,121,674 7,621,409 0.1% Tatts Group, Ltd. 4,209,170 12,884,632 0.1% # Toll Holdings, Ltd. 2,149,986 10,771,881 0.1% Treasury Wine Estates, Ltd. 1,372,955 5,605,719 0.1% Washington H Soul Pattinson & Co., Ltd. 87,756 1,098,605 0.0% # Wesfarmers, Ltd. 2,317,545 90,193,505 1.0% Woodside Petroleum, Ltd. 488,777 17,361,526 0.2% WorleyParsons, Ltd. 68,312 815,355 0.0% ------------ --- TOTAL AUSTRALIA 573,776,196 6.1% ------------ --- AUSTRIA -- (0.1%) Erste Group Bank AG 372,952 9,516,812 0.1% OMV AG 93,780 2,947,790 0.1% Raiffeisen Bank International AG 57,158 1,223,857 0.0% ------------ --- TOTAL AUSTRIA 13,688,459 0.2% ------------ ---
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- BELGIUM -- (1.2%) Ageas 594,176 $ 19,862,064 0.2% Belgacom SA 93,033 3,513,720 0.0% Colruyt SA 1,956 89,086 0.0% Delhaize Group SA 244,289 16,703,226 0.2% Delhaize Group SA Sponsored ADR 211,600 3,605,664 0.0% * KBC Groep NV 392,347 21,075,210 0.2% Solvay SA 198,220 27,060,931 0.3% UCB SA 213,849 17,246,126 0.2% Umicore SA 162,718 6,386,433 0.1% ------------ --- TOTAL BELGIUM 115,542,460 1.2% ------------ --- CANADA -- (7.8%) # Agrium, Inc. 260,162 25,449,047 0.3% Bank of Montreal 220,863 16,034,654 0.2% Barrick Gold Corp. 2,483,599 29,480,320 0.3% BCE, Inc. 21,199 941,405 0.0% #* BlackBerry, Ltd.(09228F103) 477,288 5,011,524 0.1% #* BlackBerry, Ltd.(BCBHZ31) 435,600 4,576,109 0.1% # Bonavista Energy Corp. 27,416 257,607 0.0% Cameco Corp.(13321L108) 122,025 2,120,794 0.0% Cameco Corp.(2166160) 506,586 8,796,316 0.1% Canadian Natural Resources, Ltd.(136385101) 838,864 29,259,576 0.3% Canadian Natural Resources, Ltd.(2171573) 1,849,320 64,534,631 0.7% # Canadian Tire Corp., Ltd. Class A 285,569 31,309,845 0.3% * Catamaran Corp. 90,547 4,316,375 0.1% Crescent Point Energy Corp.(22576C101) 77,459 2,558,471 0.0% # Crescent Point Energy Corp.(B67C8W8) 362,930 11,995,158 0.1% Eldorado Gold Corp.(2307873) 452,522 2,473,302 0.0% Eldorado Gold Corp.(284902103) 109,318 599,063 0.0% Empire Co., Ltd. 66,400 4,593,592 0.1% # Enerplus Corp. 291,127 4,169,105 0.0% Ensign Energy Services, Inc. 452,198 5,103,552 0.1% Fairfax Financial Holdings, Ltd. 49,494 22,612,968 0.2% First Quantum Minerals, Ltd. 1,617,664 24,400,235 0.3% # Genworth MI Canada, Inc. 87,561 3,061,003 0.0% George Weston, Ltd. 76,513 6,251,113 0.1% Goldcorp, Inc.(380956409) 3,218 60,434 0.0% Goldcorp, Inc.(2676302) 668,943 12,553,254 0.1% # Husky Energy, Inc. 846,066 20,426,295 0.2% # Industrial Alliance Insurance & Financial Services, Inc. 185,105 7,459,713 0.1% * Kinross Gold Corp. 3,868,295 8,271,675 0.1% # Loblaw Cos., Ltd. 40,951 2,133,572 0.0% * Lundin Mining Corp. 737,610 3,291,938 0.0% Magna International, Inc. 284,118 28,042,488 0.3% # Manulife Financial Corp.(2492519) 3,287,435 62,391,406 0.7% Manulife Financial Corp.(56501R106) 94,096 1,785,001 0.0% * MEG Energy Corp. 78,947 1,905,291 0.0% * Osisko Gold Royalties, Ltd. 600 7,496 0.0% # Pacific Rubiales Energy Corp. 839,834 12,667,741 0.1% # Pan American Silver Corp.(697900108) 9,475 87,454 0.0% Pan American Silver Corp.(2669272) 112,402 1,039,199 0.0% # Pengrowth Energy Corp. 745,097 3,008,022 0.0%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- CANADA -- (Continued) # Penn West Petroleum, Ltd. 1,034,275 $ 4,680,185 0.1% Precision Drilling Corp.(B5YPLH9) 793,285 6,609,242 0.1% Precision Drilling Corp.(74022D308) 14,251 118,568 0.0% # Sun Life Financial, Inc. 1,292,577 45,977,917 0.5% Suncor Energy, Inc.(B3NB1P2) 3,750,370 133,170,496 1.4% Suncor Energy, Inc.(867224107) 57,124 2,030,187 0.0% Talisman Energy, Inc.(2068299) 3,783,418 24,136,263 0.3% Talisman Energy, Inc.(87425E103) 118,049 753,153 0.0% Teck Resources, Ltd. Class A 4,115 71,562 0.0% # Teck Resources, Ltd. Class B 1,123,435 17,752,875 0.2% # Thomson Reuters Corp. 1,057,948 39,359,176 0.4% # TransAlta Corp. 635,181 6,176,819 0.1% * Turquoise Hill Resources, Ltd.(900435108) 127,382 426,730 0.0% * Turquoise Hill Resources, Ltd.(B7WJ1F5) 291,314 977,035 0.0% West Fraser Timber Co., Ltd. 50,666 2,658,161 0.0% Westjet Airlines, Ltd. 1,000 28,295 0.0% # Whitecap Resources, Inc. 37,683 487,818 0.0% # Yamana Gold, Inc. 1,426,728 5,683,874 0.1% ------------ --- TOTAL CANADA 766,135,100 8.2% ------------ --- CHINA -- (0.0%) Hopewell Highway Infrastructure, Ltd. 62,208 30,085 0.0% ------------ --- DENMARK -- (1.4%) AP Moeller--Maersk A.S. Class A 4,596 10,455,684 0.1% AP Moeller--Maersk A.S. Class B 19,275 44,979,680 0.5% Carlsberg A.S. Class B 334,440 29,497,142 0.3% Danske Bank A.S. 714,081 19,608,868 0.2% FLSmidth & Co. A.S. 1,057 47,924 0.0% H Lundbeck A.S. 135,698 2,877,525 0.0% * Jyske Bank A.S. 24,202 1,304,941 0.0% TDC A.S. 2,474,850 18,900,568 0.2% * Vestas Wind Systems A.S. 190,398 6,354,528 0.1% ------------ --- TOTAL DENMARK 134,026,860 1.4% ------------ --- FINLAND -- (0.7%) Fortum Oyj 1,444,065 33,490,443 0.4% Kesko Oyj Class A 662 24,044 0.0% Kesko Oyj Class B 138,917 5,268,500 0.1% Neste Oil Oyj 193,468 4,174,931 0.0% Stora Enso Oyj Class R 1,586,624 13,102,512 0.1% Stora Enso Oyj Sponsored ADR 91,500 746,640 0.0% UPM-Kymmene Oyj 1,023,417 16,233,967 0.2% UPM-Kymmene Oyj Sponsored ADR 69,300 1,097,712 0.0% ------------ --- TOTAL FINLAND 74,138,749 0.8% ------------ --- FRANCE -- (8.0%) AXA SA 4,004,754 92,503,906 1.0% AXA SA Sponsored ADR 140,900 3,270,289 0.0% BNP Paribas SA 783,124 49,213,123 0.5% * Bollore SA(BQR9N80) 100 45,741 0.0% # Bollore SA(4572709) 20,935 9,925,304 0.1%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- FRANCE -- (Continued) Bouygues SA 709,374 $ 24,525,872 0.3% Cap Gemini SA 92,794 6,105,486 0.1% Casino Guichard Perrachon SA 166,474 17,069,136 0.2% #* CGG SA Sponsored ADR 128,590 753,537 0.0% Cie de St-Gobain 1,103,444 47,431,371 0.5% Cie Generale des Etablissements Michelin 309,948 26,921,132 0.3% CNP Assurances 367,436 6,869,273 0.1% # Credit Agricole SA 858,491 12,704,184 0.1% Eiffage SA 39,008 2,073,780 0.0% Electricite de France SA 498,285 14,713,553 0.2% GDF Suez 3,247,971 78,860,475 0.8% Groupe Eurotunnel SA 410,098 5,183,328 0.1% Lafarge SA 519,321 36,041,040 0.4% Lagardere SCA 221,491 5,390,278 0.1% Natixis SA 2,034,211 14,002,442 0.1% Orange SA 3,989,277 63,510,770 0.7% * Peugeot SA 1,163,753 13,830,646 0.1% Renault SA 759,515 56,497,480 0.6% Rexel SA 465,411 7,823,113 0.1% SCOR SE 151,231 4,634,084 0.0% Societe Generale SA 1,296,228 62,466,561 0.7% STMicroelectronics NV 1,730,504 11,559,310 0.1% Total SA 180,285 10,763,602 0.1% Vallourec SA 290,641 10,622,079 0.1% Vivendi SA 3,686,124 90,049,366 1.0% ------------ --- TOTAL FRANCE 785,360,261 8.4% ------------ --- GERMANY -- (6.3%) Allianz SE 642,692 102,202,246 1.1% Allianz SE ADR 2,811,910 44,765,607 0.5% Bayerische Motoren Werke AG 765,791 82,121,669 0.9% Celesio AG 108,168 3,568,660 0.0% * Commerzbank AG 1,573,875 23,797,743 0.3% Daimler AG 2,214,556 172,666,663 1.8% Deutsche Bank AG(5750355) 791,806 24,760,866 0.3% # Deutsche Bank AG(D18190898) 464,576 14,550,520 0.2% Deutsche Lufthansa AG 485,172 7,186,692 0.1% # Deutsche Telekom AG Sponsored ADR 82,468 1,235,371 0.0% E.ON SE 2,493,630 42,990,415 0.5% Fraport AG Frankfurt Airport Services Worldwide 43,853 2,717,164 0.0% Hannover Rueck SE 4,845 404,399 0.0% HeidelbergCement AG 351,241 23,978,034 0.3% K+S AG 298,781 8,373,259 0.1% * Metro AG 56,582 1,803,747 0.0% Muenchener Rueckversicherungs-Gesellschaft AG 156,916 30,894,845 0.3% * Osram Licht AG 7,353 258,303 0.0% RWE AG 372,582 13,219,868 0.1% * Talanx AG 3,089 99,682 0.0% Telefonica Deutschland Holding AG 190,366 936,769 0.0% Volkswagen AG 62,518 13,333,102 0.1% ------------ --- TOTAL GERMANY 615,865,624 6.6% ------------ ---
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- HONG KONG -- (2.7%) Cathay Pacific Airways, Ltd. 4,401,000 $ 8,266,090 0.1% Cheung Kong Holdings, Ltd. 750,000 13,343,234 0.2% * FIH Mobile, Ltd. 2,003,000 1,067,103 0.0% Great Eagle Holdings, Ltd. 698,324 2,350,624 0.0% Guoco Group, Ltd. 6,000 73,731 0.0% Hang Lung Group, Ltd. 449,000 2,258,948 0.0% # Henderson Land Development Co., Ltd. 3,355,177 22,666,816 0.2% Hongkong & Shanghai Hotels (The) 1,700,631 2,693,063 0.0% Hopewell Holdings, Ltd. 1,244,169 4,423,331 0.1% Hutchison Whampoa, Ltd. 5,076,000 64,497,462 0.7% Kerry Logistics Network, Ltd. 325,000 529,877 0.0% Kerry Properties, Ltd. 1,667,000 5,729,261 0.1% MTR Corp., Ltd. 1,136,426 4,633,757 0.1% New World Development Co., Ltd. 22,601,543 28,468,638 0.3% Orient Overseas International, Ltd. 603,500 3,422,721 0.0% # Shangri-La Asia, Ltd. 1,604,000 2,333,151 0.0% Sino Land Co., Ltd. 4,141,872 6,878,044 0.1% Sun Hung Kai Properties, Ltd. 2,364,920 35,378,784 0.4% Swire Pacific, Ltd. Class A 922,500 12,111,919 0.1% Swire Pacific, Ltd. Class B 135,000 327,671 0.0% Wharf Holdings, Ltd. (The) 3,706,990 27,489,127 0.3% Wheelock & Co., Ltd. 3,670,000 17,737,196 0.2% ------------ --- TOTAL HONG KONG 266,680,548 2.9% ------------ --- IRELAND -- (0.2%) * Bank of Ireland 27,451,903 10,806,566 0.1% CRH P.L.C. 295,666 6,558,889 0.1% # CRH P.L.C. Sponsored ADR 215,216 4,822,991 0.0% ------------ --- TOTAL IRELAND 22,188,446 0.2% ------------ --- ISRAEL -- (0.3%) Bank Hapoalim BM 3,220,797 16,580,199 0.2% * Bank Leumi Le-Israel BM 3,225,754 11,527,554 0.1% * Israel Discount Bank, Ltd. Class A 459,633 741,305 0.0% Migdal Insurance & Financial Holding, Ltd. 10,788 14,729 0.0% * Mizrahi Tefahot Bank, Ltd. 113,915 1,261,041 0.0% Teva Pharmaceutical Industries, Ltd. Sponsored ADR 13,324 752,406 0.0% ------------ --- TOTAL ISRAEL 30,877,234 0.3% ------------ --- ITALY -- (1.8%) #* Banca Monte dei Paschi di Siena SpA 5,536,180 4,235,791 0.1% * Banco Popolare SC 666,220 9,677,655 0.1% * Finmeccanica SpA 185,045 1,672,142 0.0% Intesa Sanpaolo SpA 10,630,153 31,250,083 0.3% * Mediobanca SpA 1,529,212 13,497,046 0.2% #* Telecom Italia SpA 13,739,672 15,570,913 0.2% #* Telecom Italia SpA Sponsored ADR 1,874,500 21,181,850 0.2% UniCredit SpA 6,991,980 50,640,963 0.5% Unione di Banche Italiane SCPA 3,270,114 25,681,817 0.3% ------------ --- TOTAL ITALY 173,408,260 1.9% ------------ ---
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- JAPAN -- (21.0%) 77 Bank, Ltd. (The) 529,372 $ 2,955,380 0.0% # Aeon Co., Ltd. 2,792,600 27,632,317 0.3% Aisin Seiki Co., Ltd. 584,900 19,482,296 0.2% Alfresa Holdings Corp. 357,600 4,537,912 0.1% Amada Co., Ltd. 563,600 4,922,216 0.1% Aoyama Trading Co., Ltd. 20,400 485,213 0.0% Asahi Glass Co., Ltd. 3,001,000 15,619,248 0.2% Asahi Kasei Corp. 5,056,000 41,490,598 0.4% Asatsu-DK, Inc. 3,400 85,805 0.0% Autobacs Seven Co., Ltd. 214,800 3,151,077 0.0% Awa Bank, Ltd. (The) 65,600 393,378 0.0% Bank of Kyoto, Ltd. (The) 709,400 6,147,336 0.1% Bank of Yokohama, Ltd. (The) 2,785,000 16,095,184 0.2% Canon Marketing Japan, Inc. 136,100 2,782,457 0.0% Chiba Bank, Ltd. (The) 1,204,000 8,552,016 0.1% Chugoku Bank, Ltd. (The) 325,100 4,805,158 0.1% # Citizen Holdings Co., Ltd. 677,800 4,452,692 0.1% Coca-Cola East Japan Co., Ltd. 24,000 431,833 0.0% Coca-Cola West Co., Ltd. 159,107 2,271,304 0.0% COMSYS Holdings Corp. 12,200 217,802 0.0% Cosmo Oil Co., Ltd. 1,287,364 2,005,949 0.0% Dai Nippon Printing Co., Ltd. 1,815,000 17,890,076 0.2% Dai-ichi Life Insurance Co., Ltd. (The) 1,223,200 18,511,540 0.2% Daicel Corp. 575,000 6,628,291 0.1% # Daido Steel Co., Ltd. 675,000 2,589,468 0.0% Denki Kagaku Kogyo K.K. 992,000 3,240,364 0.0% DIC Corp. 1,110,000 2,274,934 0.0% Fuji Media Holdings, Inc. 74,400 1,026,555 0.0% FUJIFILM Holdings Corp. 1,327,000 44,545,517 0.5% Fukuoka Financial Group, Inc. 1,218,000 6,232,566 0.1% # Fukuyama Transporting Co., Ltd. 85,000 426,573 0.0% # Furukawa Electric Co., Ltd. 633,000 1,117,183 0.0% Glory, Ltd. 169,400 4,365,348 0.1% Gunma Bank, Ltd. (The) 650,397 4,058,785 0.0% H2O Retailing Corp. 186,800 3,106,889 0.0% Hachijuni Bank, Ltd. (The) 620,231 3,797,558 0.0% Hankyu Hanshin Holdings, Inc. 1,876,000 11,030,071 0.1% Higo Bank, Ltd. (The) 282,000 1,605,186 0.0% Hiroshima Bank, Ltd. (The) 1,041,000 5,204,351 0.1% Hitachi Capital Corp. 47,000 1,161,727 0.0% Hitachi Chemical Co., Ltd. 234,500 4,133,174 0.0% # Hitachi Construction Machinery Co., Ltd. 322,800 6,602,672 0.1% Hitachi High-Technologies Corp. 139,900 4,273,874 0.1% Hitachi Transport System, Ltd. 105,000 1,389,526 0.0% Hokuhoku Financial Group, Inc. 2,147,000 4,313,066 0.1% Honda Motor Co., Ltd. 2,621,200 83,797,746 0.9% House Foods Group, Inc. 129,700 2,219,463 0.0% Ibiden Co., Ltd. 438,700 6,594,526 0.1% Idemitsu Kosan Co., Ltd. 326,596 6,316,243 0.1% Iida Group Holdings Co., Ltd. 82,400 915,642 0.0% Inpex Corp. 1,335,200 17,077,794 0.2% Isetan Mitsukoshi Holdings, Ltd. 550,400 7,493,180 0.1%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- JAPAN -- (Continued) ITOCHU Corp. 3,608,800 $ 43,625,123 0.5% Iyo Bank, Ltd. (The) 499,800 5,337,072 0.1% J Front Retailing Co., Ltd. 842,300 11,210,884 0.1% JFE Holdings, Inc. 1,259,700 24,992,406 0.3% Joyo Bank, Ltd. (The) 1,376,000 7,368,011 0.1% JTEKT Corp. 49,900 802,550 0.0% JX Holdings, Inc. 6,192,133 26,524,926 0.3% # K's Holdings Corp. 77,800 2,148,624 0.0% Kagoshima Bank, Ltd. (The) 358,143 2,322,599 0.0% Kajima Corp. 1,900,000 8,454,154 0.1% Kamigumi Co., Ltd. 442,000 4,261,697 0.1% Kaneka Corp. 987,542 5,425,889 0.1% Kawasaki Kisen Kaisha, Ltd. 3,451,000 7,862,704 0.1% Keiyo Bank, Ltd. (The) 418,000 2,185,391 0.0% Kewpie Corp. 47,400 819,297 0.0% Kinden Corp. 207,000 2,121,133 0.0% Kirin Holdings Co., Ltd. 341,000 4,420,998 0.1% Kobe Steel, Ltd. 12,492,000 19,847,881 0.2% Konica Minolta, Inc. 1,762,300 19,691,481 0.2% Kuraray Co., Ltd. 1,109,700 12,889,232 0.1% Kurita Water Industries, Ltd. 13,500 291,320 0.0% Kyocera Corp. 298,900 13,776,727 0.2% Kyocera Corp. Sponsored ADR 25,197 1,168,889 0.0% Kyowa Hakko Kirin Co., Ltd. 391,000 4,560,367 0.1% Lintec Corp. 5,100 106,480 0.0% LIXIL Group Corp. 459,700 10,081,391 0.1% Maeda Road Construction Co., Ltd. 36,000 554,920 0.0% Marubeni Corp. 3,990,000 25,653,493 0.3% # Marui Group Co., Ltd. 386,642 3,267,598 0.0% Maruichi Steel Tube, Ltd. 74,700 1,764,069 0.0% Matsumotokiyoshi Holdings Co., Ltd. 5,000 145,410 0.0% Medipal Holdings Corp. 366,300 4,060,133 0.0% # Mitsubishi Chemical Holdings Corp. 6,081,100 29,954,804 0.3% Mitsubishi Corp. 1,096,800 21,506,438 0.2% Mitsubishi Gas Chemical Co., Inc. 609,000 3,643,757 0.0% Mitsubishi Logistics Corp. 53,000 807,268 0.0% Mitsubishi Materials Corp. 4,725,000 14,788,824 0.2% Mitsubishi Tanabe Pharma Corp. 282,700 4,299,068 0.1% Mitsubishi UFJ Financial Group, Inc. 21,459,506 125,092,037 1.3% Mitsubishi UFJ Financial Group, Inc. ADR 4,781,372 28,114,467 0.3% Mitsui & Co., Ltd. 1,339,800 20,229,721 0.2% Mitsui & Co., Ltd. Sponsored ADR 11,723 3,579,032 0.0% #* Mitsui Chemicals, Inc. 3,026,800 8,767,719 0.1% Mitsui Engineering & Shipbuilding Co., Ltd. 1,309,000 2,845,723 0.0% Mitsui Mining & Smelting Co., Ltd. 69,030 183,107 0.0% # Mitsui OSK Lines, Ltd. 3,362,000 10,621,752 0.1% Mizuho Financial Group, Inc. 51,323,400 93,527,433 1.0% Mizuho Financial Group, Inc. ADR 205,757 761,301 0.0% MS&AD Insurance Group Holdings, Inc. 550,553 11,901,171 0.1% Nagase & Co., Ltd. 235,889 3,055,415 0.0% Nanto Bank, Ltd. (The) 202,000 810,932 0.0% NEC Corp. 10,559,101 37,340,942 0.4%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- JAPAN -- (Continued) NH Foods, Ltd. 429,536 $ 9,904,966 0.1% NHK Spring Co., Ltd. 424,100 3,881,504 0.0% # Nikon Corp. 715,400 9,802,170 0.1% Nippo Corp. 142,000 2,595,574 0.0% Nippon Electric Glass Co., Ltd. 633,000 2,943,478 0.0% Nippon Express Co., Ltd. 3,154,238 13,875,367 0.2% Nippon Paper Industries Co., Ltd. 334,100 4,916,975 0.1% Nippon Shokubai Co., Ltd. 308,000 3,691,851 0.0% Nippon Steel & Sumitomo Metal Corp. 19,063,940 50,306,760 0.5% # Nippon Yusen K.K. 6,981,000 18,098,655 0.2% Nishi-Nippon City Bank, Ltd. (The) 1,412,569 3,872,161 0.0% Nissan Motor Co., Ltd. 5,844,900 53,315,418 0.6% Nisshin Seifun Group, Inc. 424,318 4,290,714 0.1% Nisshinbo Holdings, Inc. 305,000 2,518,828 0.0% NOK Corp. 249,120 6,311,319 0.1% Nomura Holdings, Inc. 605,400 3,781,562 0.0% Nomura Real Estate Holdings, Inc. 149,600 2,644,013 0.0% NTN Corp. 1,550,000 6,701,844 0.1% NTT DOCOMO, Inc. 3,091,700 52,144,249 0.6% # NTT DOCOMO, Inc. Sponsored ADR 6,118 103,211 0.0% Obayashi Corp. 847,682 5,817,347 0.1% Oji Holdings Corp. 3,347,000 12,101,217 0.1% Onward Holdings Co., Ltd. 60,000 368,687 0.0% Otsuka Holdings Co., Ltd. 156,400 5,486,206 0.1% # Pola Orbis Holdings, Inc. 9,700 398,356 0.0% Rengo Co., Ltd. 152,000 669,112 0.0% Resona Holdings, Inc. 3,227,600 18,461,180 0.2% Ricoh Co., Ltd. 3,203,000 33,078,501 0.4% Rohm Co., Ltd. 233,700 14,225,501 0.2% Sankyo Co., Ltd. 82,500 3,002,259 0.0% SBI Holdings, Inc. 311,800 3,595,534 0.0% Seino Holdings Co., Ltd. 315,000 2,469,854 0.0% Sekisui Chemical Co., Ltd. 125,000 1,557,921 0.0% Sekisui House, Ltd. 2,223,400 27,647,728 0.3% Shiga Bank, Ltd. (The) 451,185 2,526,973 0.0% Shizuoka Bank, Ltd. (The) 1,051,000 10,859,740 0.1% Showa Denko K.K. 5,686,000 7,524,476 0.1% # Showa Shell Sekiyu K.K. 80,300 688,999 0.0% SKY Perfect JSAT Holdings, Inc. 524,100 3,217,342 0.0% Sohgo Security Services Co., Ltd. 37,300 872,281 0.0% Sojitz Corp. 1,906,800 2,842,322 0.0% Sompo Japan Nipponkoa Holdings, Inc. 421,300 10,608,585 0.1% Sony Corp. 975,200 19,253,680 0.2% # Sony Corp. Sponsored ADR 1,801,665 35,709,000 0.4% Sumitomo Bakelite Co., Ltd. 122,000 480,122 0.0% Sumitomo Chemical Co., Ltd. 6,715,000 23,035,379 0.3% Sumitomo Corp. 852,600 9,096,999 0.1% # Sumitomo Dainippon Pharma Co., Ltd. 9,700 114,421 0.0% Sumitomo Electric Industries, Ltd. 2,606,700 35,629,914 0.4% Sumitomo Forestry Co., Ltd. 466,900 4,906,176 0.1% Sumitomo Heavy Industries, Ltd. 1,646,000 9,024,081 0.1% # Sumitomo Metal Mining Co., Ltd. 794,000 11,014,775 0.1%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- JAPAN -- (Continued) Sumitomo Mitsui Financial Group, Inc. 2,678,800 $ 109,249,245 1.2% Sumitomo Mitsui Trust Holdings, Inc. 4,011,629 16,378,361 0.2% Sumitomo Osaka Cement Co., Ltd. 196,000 612,698 0.0% Sumitomo Rubber Industries, Ltd. 417,600 5,771,665 0.1% Suzuken Co., Ltd. 119,500 3,203,894 0.0% Suzuki Motor Corp. 774,300 25,953,368 0.3% T&D Holdings, Inc. 1,931,200 24,876,716 0.3% Taisho Pharmaceutical Holdings Co., Ltd. 49,199 3,453,208 0.0% # Taiyo Nippon Sanso Corp. 28,000 252,086 0.0% Takashimaya Co., Ltd. 735,634 6,266,554 0.1% # Takata Corp. 13,200 172,497 0.0% TDK Corp. 530,100 30,089,591 0.3% Teijin, Ltd. 3,846,450 9,403,801 0.1% Toho Holdings Co., Ltd. 12,800 167,454 0.0% Tokai Rika Co., Ltd. 153,200 2,917,895 0.0% Tokio Marine Holdings, Inc. 651,100 20,879,550 0.2% Tokyo Broadcasting System Holdings, Inc. 85,300 945,666 0.0% Toppan Printing Co., Ltd. 1,032,000 7,021,963 0.1% Toshiba TEC Corp. 36,000 254,046 0.0% Tosoh Corp. 1,671,000 7,266,476 0.1% Toyo Seikan Group Holdings, Ltd. 284,849 3,454,271 0.0% Toyobo Co., Ltd. 664,000 955,755 0.0% Toyoda Gosei Co., Ltd. 186,900 3,590,685 0.0% # Toyota Boshoku Corp. 125,900 1,429,797 0.0% # Toyota Tsusho Corp. 871,600 21,977,476 0.2% Ube Industries, Ltd. 3,078,000 4,765,712 0.1% UNY Group Holdings Co., Ltd. 95,150 504,431 0.0% Ushio, Inc. 44,200 463,868 0.0% Wacoal Holdings Corp. 179,000 1,864,059 0.0% # Yamada Denki Co., Ltd. 1,608,100 5,154,963 0.1% Yamaguchi Financial Group, Inc. 520,148 4,967,884 0.1% Yamaha Corp. 423,000 5,798,038 0.1% # Yamato Kogyo Co., Ltd. 62,200 2,014,967 0.0% # Yamazaki Baking Co., Ltd. 302,000 3,733,512 0.0% # Yokohama Rubber Co., Ltd. (The) 406,000 3,685,482 0.0% -------------- ---- TOTAL JAPAN 2,063,513,740 22.1% -------------- ---- NETHERLANDS -- (3.2%) Aegon NV 2,915,542 23,762,974 0.3% # Akzo Nobel NV 186,492 12,436,499 0.1% # ArcelorMittal(B03XPL1) 3,429,001 45,043,952 0.5% # ArcelorMittal(B295F26) 638,488 8,402,502 0.1% * ING Groep NV 6,479,202 92,784,515 1.0% #* ING Groep NV Sponsored ADR 1,297,167 18,575,432 0.2% Koninklijke Ahold NV 1,258,998 21,086,488 0.2% Koninklijke Boskalis Westminster NV 170,874 9,116,187 0.1% Koninklijke DSM NV 631,832 39,589,314 0.4% Koninklijke KPN NV 3,251,631 10,703,498 0.1% Koninklijke Philips NV 1,159,088 32,405,647 0.4% TNT Express NV 72,118 419,186 0.0% -------------- ---- TOTAL NETHERLANDS 314,326,194 3.4% -------------- ----
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- NEW ZEALAND -- (0.1%) # Auckland International Airport, Ltd. 625,095 $ 1,889,779 0.0% Contact Energy, Ltd. 1,292,916 6,272,201 0.1% Fletcher Building, Ltd. 179,799 1,212,730 0.0% ------------ --- TOTAL NEW ZEALAND 9,374,710 0.1% ------------ --- NORWAY -- (0.8%) Aker ASA Class A 68,150 1,662,323 0.0% DNB ASA 1,598,655 29,370,899 0.3% Norsk Hydro ASA 2,643,582 14,801,197 0.2% # Norsk Hydro ASA Sponsored ADR 59,900 339,633 0.0% Orkla ASA 361,613 2,764,905 0.0% # Seadrill, Ltd. 194,962 4,484,126 0.1% Statoil ASA 41,372 946,816 0.0% Statoil ASA Sponsored ADR 14,982 343,837 0.0% Stolt-Nielsen, Ltd. 2,740 49,369 0.0% * Storebrand ASA 850,351 4,360,093 0.0% Subsea 7 SA 616,297 6,632,207 0.1% Yara International ASA 239,269 10,987,554 0.1% ------------ --- TOTAL NORWAY 76,742,959 0.8% ------------ --- PORTUGAL -- (0.0%) * Banco Comercial Portugues SA 4,058,501 458,719 0.0% * Banco Espirito Santo SA 2,631,973 -- 0.0% EDP Renovaveis SA 525,282 3,415,196 0.0% ------------ --- TOTAL PORTUGAL 3,873,915 0.0% ------------ --- SINGAPORE -- (1.2%) CapitaLand, Ltd. 5,923,000 14,623,388 0.2% City Developments, Ltd. 464,000 3,415,004 0.0% DBS Group Holdings, Ltd. 2,067,587 29,743,096 0.3% Golden Agri-Resources, Ltd. 15,835,000 6,417,150 0.1% GuocoLand, Ltd. 9,000 13,365 0.0% # Hutchison Port Holdings Trust 8,077,000 5,453,663 0.1% Keppel Land, Ltd. 1,713,000 4,457,420 0.0% #* Neptune Orient Lines, Ltd. 1,388,004 902,894 0.0% Noble Group, Ltd. 10,011,000 9,318,817 0.1% # OUE, Ltd. 405,000 665,832 0.0% Singapore Airlines, Ltd. 2,355,600 18,153,746 0.2% United Industrial Corp., Ltd. 2,036,366 5,298,151 0.1% UOL Group, Ltd. 1,001,864 5,032,113 0.1% Venture Corp., Ltd. 319,000 1,921,465 0.0% Wheelock Properties Singapore, Ltd. 861,000 1,208,238 0.0% Wilmar International, Ltd. 4,154,000 10,354,631 0.1% ------------ --- TOTAL SINGAPORE 116,978,973 1.3% ------------ --- SPAIN -- (2.4%) * Acciona SA 101,533 7,095,988 0.1% # Banco de Sabadell SA 13,625,393 39,394,013 0.4% Banco Popular Espanol SA 3,581,913 20,575,259 0.2% Banco Santander SA 3,405,732 30,091,424 0.3% # Banco Santander SA Sponsored ADR 727,676 6,381,719 0.1%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- SPAIN -- (Continued) CaixaBank SA 2,057,650 $ 11,245,475 0.1% Iberdrola SA 11,714,112 82,923,213 0.9% Mapfre SA 1,691,013 5,798,574 0.1% Repsol SA 1,490,932 33,320,804 0.3% ------------ --- TOTAL SPAIN 236,826,469 2.5% ------------ --- SWEDEN -- (3.0%) Boliden AB 848,808 14,028,557 0.2% # Holmen AB Class A 5,131 168,159 0.0% ICA Gruppen AB 2,667 106,788 0.0% Meda AB Class A 280,396 3,672,090 0.0% Nordea Bank AB 3,823,977 49,183,048 0.5% Skandinaviska Enskilda Banken AB Class A 3,481,813 44,721,326 0.5% # Skandinaviska Enskilda Banken AB Class C 17,902 220,244 0.0% #* SSAB AB Class A 98,114 711,960 0.0% * SSAB AB Class B 11,133 71,301 0.0% Svenska Cellulosa AB Class A 66,476 1,493,485 0.0% Svenska Cellulosa AB Class B 1,954,836 43,800,996 0.5% Svenska Handelsbanken AB Class A 336,374 16,080,422 0.2% Svenska Handelsbanken AB Class B 252 11,576 0.0% Swedbank AB Class A 674,237 17,867,734 0.2% Tele2 AB Class B 567,085 7,205,153 0.1% Telefonaktiebolaget LM Ericsson Class A 28,098 312,970 0.0% Telefonaktiebolaget LM Ericsson Class B 4,879,427 57,657,241 0.6% # Telefonaktiebolaget LM Ericsson Sponsored ADR 952,162 11,273,598 0.1% TeliaSonera AB 3,717,354 25,741,810 0.3% ------------ --- TOTAL SWEDEN 294,328,458 3.2% ------------ --- SWITZERLAND -- (9.9%) ABB, Ltd. 3,170,149 69,548,848 0.7% # ABB, Ltd. Sponsored ADR 98,484 2,160,739 0.0% Adecco SA 533,056 36,131,392 0.4% Alpiq Holding AG 957 96,283 0.0% Aryzta AG 235,226 20,065,140 0.2% Baloise Holding AG 200,163 25,197,475 0.3% Banque Cantonale Vaudoise 468 250,652 0.0% Cie Financiere Richemont SA 359,310 30,294,784 0.3% Clariant AG 858,961 14,982,884 0.2% Credit Suisse Group AG 345,028 9,192,856 0.1% # Credit Suisse Group AG Sponsored ADR 849,993 22,643,814 0.2% Givaudan SA 5,469 9,133,078 0.1% Holcim, Ltd. 887,877 63,016,649 0.7% Julius Baer Group, Ltd. 145,910 6,396,362 0.1% Lonza Group AG 144,300 15,899,915 0.2% Novartis AG 2,434,443 225,923,258 2.4% Novartis AG ADR 681,571 63,174,816 0.7% Sulzer AG 50,596 5,766,879 0.1% Swatch Group AG (The) 44,280 3,746,204 0.0% Swiss Life Holding AG 80,079 18,373,383 0.2% Swiss Re AG 1,547,148 125,103,648 1.3% Syngenta AG 57,562 17,801,470 0.2% UBS AG(B18YFJ4) 4,344,251 75,538,418 0.8%
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- SWITZERLAND -- (Continued) UBS AG(H89231338) 505,823 $ 8,791,204 0.1% Zurich Insurance Group AG 333,311 100,869,393 1.1% -------------- ---- TOTAL SWITZERLAND 970,099,544 10.4% -------------- ---- UNITED KINGDOM -- (16.4%) Anglo American P.L.C. 3,310,475 69,895,879 0.7% Barclays P.L.C. 6,193,091 23,818,123 0.3% # Barclays P.L.C. Sponsored ADR 5,060,358 77,929,513 0.8% Barratt Developments P.L.C. 917,814 6,169,892 0.1% BP P.L.C. 1,912,816 13,762,522 0.1% BP P.L.C. Sponsored ADR 7,387,909 321,078,524 3.4% Carnival P.L.C. 658,867 26,272,935 0.3% Carnival P.L.C. ADR 229,328 9,136,428 0.1% Friends Life Group, Ltd. 3,422,696 17,750,179 0.2% Glencore P.L.C. 9,442,477 48,445,899 0.5% HSBC Holdings P.L.C. 9,197,250 93,769,306 1.0% HSBC Holdings P.L.C. Sponsored ADR 2,089,967 106,630,116 1.1% Investec P.L.C. 1,195,168 10,959,062 0.1% # J Sainsbury P.L.C. 5,377,115 21,183,468 0.2% Kingfisher P.L.C. 7,842,790 37,994,116 0.4% * Lloyds Banking Group P.L.C. 34,635,010 42,770,387 0.5% * Lloyds Banking Group P.L.C. ADR 1,528,251 7,518,995 0.1% Old Mutual P.L.C. 9,672,569 30,038,893 0.3% Pearson P.L.C. Sponsored ADR 1,179,255 22,111,031 0.2% * Royal Bank of Scotland Group P.L.C. 3,847,507 23,922,065 0.3% #* Royal Bank of Scotland Group P.L.C. Sponsored ADR 400,166 4,974,063 0.1% # Royal Dutch Shell P.L.C. ADR(780259107) 3,323,210 248,144,091 2.7% Royal Dutch Shell P.L.C. ADR(780259206) 755,142 54,211,644 0.6% Royal Dutch Shell P.L.C. Class A 578,802 20,675,822 0.2% Royal Dutch Shell P.L.C. Class B 255,146 9,426,478 0.1% * RSA Insurance Group P.L.C. 1,362,966 10,546,159 0.1% Standard Chartered P.L.C. 4,120,837 62,029,541 0.7% Vedanta Resources P.L.C. 189,404 2,499,404 0.0% Vodafone Group P.L.C. 27,417,470 91,175,542 1.0% Vodafone Group P.L.C. Sponsored ADR 2,196,216 72,958,305 0.8% # WM Morrison Supermarkets P.L.C. 8,127,143 20,178,805 0.2% -------------- ---- TOTAL UNITED KINGDOM 1,607,977,187 17.2% -------------- ---- TOTAL COMMON STOCKS 9,265,760,431 99.2% -------------- ---- PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Porsche Automobil Holding SE 254,382 20,887,882 0.2% -------------- ---- RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 159,012 241,112 0.0% -------------- ---- SPAIN -- (0.0%) * Banco Santander SA Rights 11/03/14 3,405,731 648,719 0.0% -------------- ---- TOTAL RIGHTS/WARRANTS 889,831 0.0% -------------- ----
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (5.5%) (S)@ DFA Short Term Investment Fund 46,617,671 $ 539,366,448 5.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,769,870,982) $9,826,904,592 105.2% ============== =====
THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 18,343,012 $ 555,433,184 -- $ 573,776,196 Austria -- 13,688,459 -- 13,688,459 Belgium 3,605,664 111,936,796 -- 115,542,460 Canada 766,135,100 -- -- 766,135,100 China -- 30,085 -- 30,085 Denmark -- 134,026,860 -- 134,026,860 Finland 1,844,352 72,294,397 -- 74,138,749 France 4,069,567 781,290,694 -- 785,360,261 Germany 60,551,498 555,314,126 -- 615,865,624 Hong Kong -- 266,680,548 -- 266,680,548 Ireland 4,822,991 17,365,455 -- 22,188,446 Israel 752,406 30,124,828 -- 30,877,234 Italy 21,181,850 152,226,410 -- 173,408,260 Japan 69,435,900 1,994,077,840 -- 2,063,513,740 Netherlands 26,977,934 287,348,260 -- 314,326,194 New Zealand -- 9,374,710 -- 9,374,710 Norway 5,167,596 71,575,363 -- 76,742,959 Portugal -- 3,873,915 -- 3,873,915 Singapore -- 116,978,973 -- 116,978,973 Spain 6,381,719 230,444,750 -- 236,826,469 Sweden 11,273,598 283,054,860 -- 294,328,458 Switzerland 96,770,573 873,328,971 -- 970,099,544 United Kingdom 924,692,710 683,284,477 -- 1,607,977,187 Preferred Stocks Germany -- 20,887,882 -- 20,887,882 Rights/Warrants France -- 241,112 -- 241,112 Spain -- 648,719 -- 648,719 Securities Lending Collateral -- 539,366,448 -- 539,366,448 --------------- -------------- -- -------------- TOTAL $2,022,006,470 $7,804,898,122 -- $9,826,904,592 =============== ============== == ==============
THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- COMMON STOCKS -- (86.8%) Consumer Discretionary -- (17.9%) # Accordia Golf Co., Ltd. 306,889 $3,233,490 0.1% # Adastria Holdings Co., Ltd. 93,820 2,086,985 0.1% # Aeon Fantasy Co., Ltd. 57,832 750,890 0.0% #* AGORA Hospitality Group Co., Ltd. 427,000 177,575 0.0% Ahresty Corp. 127,000 712,280 0.0% * Aigan Co., Ltd. 95,200 222,525 0.0% Aisan Industry Co., Ltd. 184,400 1,478,636 0.1% # Akebono Brake Industry Co., Ltd. 403,400 1,572,409 0.1% # Alpen Co., Ltd. 112,500 1,736,466 0.1% Alpha Corp. 30,400 293,429 0.0% Alpine Electronics, Inc. 272,000 4,642,893 0.2% Amiyaki Tei Co., Ltd. 24,500 875,119 0.0% Amuse, Inc. 22,299 642,190 0.0% * Anrakutei Co., Ltd. 22,000 79,327 0.0% AOI Pro, Inc. 39,200 242,654 0.0% AOKI Holdings, Inc. 276,200 3,097,939 0.1% Aoyama Trading Co., Ltd. 315,900 7,513,669 0.3% Arata Corp. 91,000 272,069 0.0% Arcland Sakamoto Co., Ltd. 84,500 1,883,769 0.1% Asahi Broadcasting Corp. 21,200 143,280 0.0% # Asahi Co., Ltd. 95,000 1,056,289 0.1% # Asatsu-DK, Inc. 199,100 5,024,611 0.2% #* Ashimori Industry Co., Ltd. 319,000 562,038 0.0% # ASKUL Corp. 46,600 968,359 0.1% # Atom Corp. 135,300 739,383 0.0% Atsugi Co., Ltd. 765,000 784,853 0.0% Autobacs Seven Co., Ltd. 419,100 6,148,121 0.3% # Avex Group Holdings, Inc. 234,300 3,480,180 0.2% Belluna Co., Ltd. 214,500 959,229 0.0% Best Denki Co., Ltd. 396,500 481,767 0.0% # Bic Camera, Inc. 497,600 4,362,857 0.2% Bookoff Corp. 58,000 435,682 0.0% # BRONCO BILLY Co., Ltd. 13,900 383,290 0.0% Calsonic Kansei Corp. 990,000 5,481,082 0.2% # Can Do Co., Ltd. 65,300 962,800 0.1% Central Sports Co., Ltd. 27,700 440,270 0.0% CHIMNEY Co., Ltd. 19,600 384,734 0.0% # Chiyoda Co., Ltd. 152,300 3,013,390 0.1% Chofu Seisakusho Co., Ltd. 86,200 2,598,779 0.1% # Chori Co., Ltd. 73,900 1,086,230 0.1% Chuo Spring Co., Ltd. 202,000 595,057 0.0% #* Clarion Co., Ltd. 767,000 2,524,094 0.1% Cleanup Corp. 133,500 1,172,554 0.1% # Colowide Co., Ltd. 351,000 4,205,885 0.2% # COOKPAD, Inc. 88,100 2,875,381 0.1% Corona Corp. 82,400 857,718 0.0% # Cross Plus, Inc. 22,000 157,578 0.0% # DA Consortium, Inc. 143,200 595,734 0.0% Daido Metal Co., Ltd. 190,000 2,232,435 0.1% # Daidoh, Ltd. 130,000 594,524 0.0% #* Daiei, Inc. (The) 1,408,000 1,602,843 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Consumer Discretionary -- (Continued) Daiichikosho Co., Ltd. 174,000 $4,391,143 0.2% Daikoku Denki Co., Ltd. 44,700 735,659 0.0% Daimaruenawin Co., Ltd. 400 2,633 0.0% # Dainichi Co., Ltd. 49,300 344,238 0.0% # Daisyo Corp. 54,300 656,118 0.0% DCM Holdings Co., Ltd. 537,400 3,600,220 0.2% # Descente, Ltd. 244,000 2,280,801 0.1% Doshisha Co., Ltd. 140,100 2,316,841 0.1% Doutor Nichires Holdings Co., Ltd. 174,386 2,597,882 0.1% Dunlop Sports Co., Ltd. 77,500 907,478 0.0% Dynic Corp. 174,000 278,486 0.0% Eagle Industry Co., Ltd. 150,900 2,894,359 0.1% # EDION Corp. 528,800 3,772,846 0.2% Exedy Corp. 185,100 4,678,828 0.2% F T Communications Co., Ltd. 7,300 152,377 0.0% F-Tech, Inc. 26,900 291,250 0.0% # FCC Co., Ltd. 200,100 3,405,467 0.1% # Fields Corp. 88,200 1,154,859 0.1% Fine Sinter Co., Ltd. 49,000 144,391 0.0% # First Juken Co., Ltd. 8,900 99,875 0.0% # Foster Electric Co., Ltd. 129,400 2,050,046 0.1% # France Bed Holdings Co., Ltd. 702,000 1,157,845 0.1% # Fuji Co., Ltd. 109,800 2,161,222 0.1% # Fuji Corp., Ltd. 132,700 754,542 0.0% Fuji Kiko Co., Ltd. 148,000 736,993 0.0% # Fuji Kyuko Co., Ltd. 139,000 1,444,430 0.1% Fuji Oozx, Inc. 6,000 25,200 0.0% # Fujibo Holdings, Inc. 763,000 2,114,771 0.1% # Fujikura Rubber, Ltd. 44,200 318,811 0.0% Fujishoji Co., Ltd. 21,300 246,503 0.0% # Fujita Kanko, Inc. 88,000 309,252 0.0% # Fujitsu General, Ltd. 378,000 4,731,958 0.2% FuKoKu Co., Ltd. 36,400 403,188 0.0% # Funai Electric Co., Ltd. 41,000 367,694 0.0% # Furukawa Battery Co., Ltd. (The) 98,000 820,635 0.0% Futaba Industrial Co., Ltd. 321,600 1,793,089 0.1% G-7 Holdings, Inc. 29,200 240,376 0.0% # G-Tekt Corp. 94,000 937,589 0.0% # Gakken Holdings Co., Ltd. 322,000 731,009 0.0% Genki Sushi Co., Ltd. 31,200 543,348 0.0% # Geo Holdings Corp. 197,800 1,746,575 0.1% # GLOBERIDE, Inc. 641,000 868,686 0.0% Goldwin, Inc. 188,000 1,056,451 0.1% Gourmet Kineya Co., Ltd. 87,000 683,400 0.0% # GSI Creos Corp. 345,000 451,273 0.0% Gulliver International Co., Ltd. 392,700 3,428,528 0.1% Gunze, Ltd. 1,111,000 3,091,959 0.1% # H-One Co., Ltd. 69,500 425,423 0.0% H2O Retailing Corp. 442,605 7,361,480 0.3% # Hagihara Industries, Inc. 22,700 331,260 0.0% Hakuyosha Co., Ltd. 65,000 144,318 0.0% # Happinet Corp. 96,500 1,655,211 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Consumer Discretionary -- (Continued) Hard Off Corp. Co., Ltd. 51,000 $ 415,099 0.0% Haruyama Trading Co., Ltd. 47,900 303,555 0.0% Heiwa Corp. 57,400 1,175,343 0.1% HI-LEX Corp. 57,600 1,500,433 0.1% # Hiday Hidaka Corp. 60,564 1,753,189 0.1% # Higashi Nihon House Co., Ltd. 226,700 960,838 0.1% # Himaraya Co., Ltd. 35,900 309,735 0.0% # Hiramatsu, Inc. 158,800 878,638 0.0% # HIS Co., Ltd. 211,100 5,483,943 0.2% # Honeys Co., Ltd. 102,940 962,419 0.1% # Hoosiers Holdings Co., Ltd. 162,500 777,213 0.0% # Ichibanya Co., Ltd. 47,900 2,252,684 0.1% # Ichikoh Industries, Ltd. 294,000 673,145 0.0% * IJT Technology Holdings Co., Ltd. 128,280 565,007 0.0% # Ikyu Corp. 106,000 1,442,599 0.1% # Imasen Electric Industrial 85,400 1,450,615 0.1% # Imperial Hotel, Ltd. 14,200 307,046 0.0% Intage Holdings, Inc. 82,200 1,024,726 0.1% * Izuhakone Railway Co., Ltd. 300 -- 0.0% * Izutsuya Co., Ltd. 555,000 316,440 0.0% #* Janome Sewing Machine Co., Ltd. 1,041,000 1,615,484 0.1% Japan Vilene Co., Ltd. 162,000 899,611 0.0% Japan Wool Textile Co., Ltd. (The) 342,000 2,314,150 0.1% # Jin Co., Ltd. 79,400 1,730,435 0.1% # Joban Kosan Co., Ltd. 333,000 441,965 0.0% Joshin Denki Co., Ltd. 209,000 1,904,201 0.1% # JP-Holdings, Inc. 301,300 1,118,586 0.1% #* JVC Kenwood Corp. 918,530 1,756,082 0.1% # K's Holdings Corp. 116,800 3,225,698 0.1% #* Kadokawa Dwango Corp. 253,333 4,646,036 0.2% Kasai Kogyo Co., Ltd. 141,000 1,246,955 0.1% # Kawai Musical Instruments Manufacturing Co., Ltd. 45,400 853,767 0.0% Keihin Corp. 262,800 3,320,219 0.1% # Keiyo Co., Ltd. 181,300 825,801 0.0% # KFC Holdings Japan, Ltd. 77,000 1,467,257 0.1% #* Kintetsu Department Store Co., Ltd. 116,000 331,302 0.0% # Kinugawa Rubber Industrial Co., Ltd. 285,000 1,208,028 0.1% Kitamura Co., Ltd. 2,000 12,263 0.0% * KNT-CT Holdings Co., Ltd. 619,000 939,451 0.0% # Kohnan Shoji Co., Ltd. 194,000 2,226,077 0.1% # Kojima Co., Ltd. 154,700 420,883 0.0% Komatsu Seiren Co., Ltd. 138,300 693,037 0.0% Komeri Co., Ltd. 197,000 4,428,467 0.2% # Konaka Co., Ltd. 126,060 717,956 0.0% # Koshidaka Holdings Co., Ltd. 43,400 741,094 0.0% Kourakuen Corp. 9,300 117,781 0.0% # KU Holdings Co., Ltd. 136,400 730,564 0.0% Kura Corp. 68,600 1,859,869 0.1% Kurabo Industries, Ltd. 1,301,000 2,163,224 0.1% # Kuraudia Co., Ltd. 5,700 64,610 0.0% # KYB Co., Ltd. 1,144,000 4,926,064 0.2% # Kyoritsu Maintenance Co., Ltd. 61,060 2,457,234 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Consumer Discretionary -- (Continued) # Kyoto Kimono Yuzen Co., Ltd. 67,000 $ 603,723 0.0% LEC, Inc. 42,800 442,166 0.0% # Look, Inc. 235,000 499,415 0.0% # Mamiya-Op Co., Ltd. 331,000 599,864 0.0% # Marche Corp. 23,000 177,709 0.0% # Mars Engineering Corp. 50,500 917,408 0.0% * Maruei Department Store Co., Ltd. 17,000 21,936 0.0% #* Maruzen CHI Holdings Co., Ltd. 29,800 102,122 0.0% Matsuya Foods Co., Ltd. 48,200 925,419 0.0% # Meiko Network Japan Co., Ltd. 119,100 1,339,232 0.1% Meiwa Estate Co., Ltd. 56,900 269,254 0.0% Mikuni Corp. 112,000 426,417 0.0% Misawa Homes Co., Ltd. 162,300 1,487,772 0.1% Mitsuba Corp. 211,890 3,372,536 0.1% Mitsui Home Co., Ltd. 170,000 744,783 0.0% # Mizuno Corp. 577,000 2,890,881 0.1% Monogatari Corp. (The) 25,400 821,202 0.0% MOS Food Services, Inc. 1,900 37,073 0.0% Mr Max Corp. 119,000 330,137 0.0% Murakami Corp. 11,000 144,923 0.0% # Musashi Seimitsu Industry Co., Ltd. 132,600 2,603,178 0.1% Nafco Co., Ltd. 34,300 464,212 0.0% # Nagawa Co., Ltd. 8,900 198,167 0.0% #* Naigai Co., Ltd. 1,450,000 783,398 0.0% Nakayamafuku Co., Ltd. 9,500 69,398 0.0% # Next Co., Ltd. 132,800 754,887 0.0% # Nexyz Corp. 11,900 69,929 0.0% Nice Holdings, Inc. 460,000 875,792 0.0% Nifco, Inc. 295,500 9,363,392 0.4% Nihon Eslead Corp. 18,300 167,489 0.0% # Nihon Plast Co., Ltd. 4,700 32,998 0.0% Nihon Tokushu Toryo Co., Ltd. 56,000 351,664 0.0% Nippon Felt Co., Ltd. 58,200 247,908 0.0% Nippon Piston Ring Co., Ltd. 500,000 1,068,653 0.1% Nippon Seiki Co., Ltd. 224,400 4,780,415 0.2% Nishikawa Rubber Co., Ltd. 15,000 259,105 0.0% Nishimatsuya Chain Co., Ltd. 307,700 2,781,548 0.1% Nissan Tokyo Sales Holdings Co., Ltd. 236,000 595,749 0.0% # Nissei Build Kogyo Co., Ltd. 339,000 880,552 0.0% * Nissen Holdings Co., Ltd. 22,800 72,794 0.0% Nissin Kogyo Co., Ltd. 227,200 3,511,458 0.2% Nittan Valve Co., Ltd. 82,800 235,685 0.0% Ohashi Technica, Inc. 28,700 328,875 0.0% # Ohsho Food Service Corp. 71,000 2,564,616 0.1% Onward Holdings Co., Ltd. 757,000 4,651,606 0.2% # OPT, Inc. 81,500 557,559 0.0% Otsuka Kagu, Ltd. 39,700 411,347 0.0% Pacific Industrial Co., Ltd. 226,500 1,716,305 0.1% # Pal Co., Ltd. 68,400 2,057,079 0.1% Paltac Corp. 197,334 2,404,582 0.1% # PanaHome Corp. 481,200 3,220,249 0.1% Parco Co., Ltd. 113,200 921,252 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Consumer Discretionary -- (Continued) Paris Miki Holdings, Inc. 155,600 $ 691,651 0.0% PIA Corp. 1,300 21,993 0.0% Piolax, Inc. 57,900 2,561,694 0.1% #* Pioneer Corp. 1,922,600 5,044,160 0.2% Plenus Co., Ltd. 132,400 2,381,505 0.1% # Press Kogyo Co., Ltd. 590,000 2,356,884 0.1% # Pressance Corp. 39,800 1,118,524 0.1% Proto Corp. 63,300 871,449 0.0% Renaissance, Inc. 50,100 436,812 0.0% #* Renown, Inc. 336,200 337,994 0.0% # Resort Solution Co., Ltd. 180,000 387,947 0.0% # Resorttrust, Inc. 291,116 7,018,444 0.3% Rhythm Watch Co., Ltd. 595,000 830,722 0.0% # Riberesute Corp. 14,500 87,870 0.0% # Right On Co., Ltd. 89,925 586,551 0.0% Riken Corp. 518,000 2,031,266 0.1% Ringer Hut Co., Ltd. 56,800 877,451 0.0% Round One Corp. 446,000 2,690,698 0.1% Royal Holdings Co., Ltd. 176,200 2,813,386 0.1% Sac's Bar Holdings, Inc. 73,550 1,060,058 0.1% # Saizeriya Co., Ltd. 187,200 2,770,221 0.1% # Sakai Ovex Co., Ltd. 350,000 505,969 0.0% San Holdings, Inc. 14,000 196,555 0.0% Sanden Corp. 693,000 3,996,692 0.2% Sanei Architecture Planning Co., Ltd. 43,300 351,421 0.0% # Sangetsu Co., Ltd. 175,725 4,449,991 0.2% # Sanko Marketing Foods Co., Ltd. 30,400 248,182 0.0% Sankyo Seiko Co., Ltd. 188,700 701,428 0.0% Sanoh Industrial Co., Ltd. 140,500 914,104 0.0% # Sanyo Electric Railway Co., Ltd. 142,000 586,535 0.0% Sanyo Housing Nagoya Co., Ltd. 38,600 425,401 0.0% Sanyo Shokai, Ltd. 678,000 1,647,128 0.1% # Sato Restaurant Systems Co., Ltd. 41,400 316,199 0.0% # Scroll Corp. 157,200 360,279 0.0% # Seiko Holdings Corp. 954,407 4,756,319 0.2% # Seiren Co., Ltd. 296,700 2,590,948 0.1% # Senshukai Co., Ltd. 185,200 1,486,522 0.1% #* Septeni Holdings Co., Ltd. 58,100 612,625 0.0% # Seria Co., Ltd. 120,100 5,043,721 0.2% # Shidax Corp. 85,200 380,195 0.0% Shikibo, Ltd. 802,000 877,647 0.0% Shimachu Co., Ltd. 295,800 7,615,745 0.3% Shimojima Co., Ltd. 23,800 219,870 0.0% Shiroki Corp. 285,000 576,207 0.0% Shobunsha Publications, Inc. 273,500 1,935,953 0.1% # Shochiku Co., Ltd. 220,000 2,064,153 0.1% Showa Corp. 326,700 3,534,058 0.2% SKY Perfect JSAT Holdings, Inc. 892,200 5,477,032 0.2% SNT Corp. 88,700 452,415 0.0% Soft99 Corp. 70,600 411,146 0.0% Sotoh Co., Ltd. 42,600 362,581 0.0% SPK Corp. 17,200 298,940 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Consumer Discretionary -- (Continued) St Marc Holdings Co., Ltd. 48,200 $2,519,968 0.1% # Starbucks Coffee Japan, Ltd. 163,400 2,135,826 0.1% Starts Corp., Inc. 138,600 2,069,618 0.1% Step Co., Ltd. 39,200 293,157 0.0% # Studio Alice Co., Ltd. 63,100 817,218 0.0% Suminoe Textile Co., Ltd. 342,000 936,477 0.0% Sumitomo Forestry Co., Ltd. 268,366 2,819,985 0.1% Sumitomo Riko Co., Ltd. 233,900 2,010,240 0.1% Suncall Corp. 27,000 157,240 0.0% T RAD Co., Ltd. 418,000 984,076 0.1% # T-Gaia Corp. 143,200 1,431,686 0.1% # Tachi-S Co., Ltd. 167,540 2,124,378 0.1% Tachikawa Corp. 50,800 300,918 0.0% Taiho Kogyo Co., Ltd. 101,000 1,033,336 0.1% Takamatsu Construction Group Co., Ltd. 83,600 1,603,683 0.1% # Takata Corp. 23,600 308,404 0.0% Take And Give Needs Co., Ltd. 55,670 586,456 0.0% Takihyo Co., Ltd. 76,000 280,416 0.0% # Tama Home Co., Ltd. 80,300 437,474 0.0% # Tamron Co., Ltd. 111,400 2,205,144 0.1% # TBK Co., Ltd. 119,000 723,353 0.0% * Ten Allied Co., Ltd. 50,000 154,785 0.0% Tigers Polymer Corp. 52,100 318,647 0.0% # Toa Corp. 132,100 1,329,162 0.1% # Toabo Corp. 529,000 358,407 0.0% # Toei Animation Co., Ltd. 22,500 582,472 0.0% Toei Co., Ltd. 419,000 2,210,866 0.1% Tohokushinsha Film Corp. 22,500 167,685 0.0% Tokai Rika Co., Ltd. 295,500 5,628,185 0.2% # Token Corp. 47,750 2,162,042 0.1% # Tokyo Dome Corp. 1,210,200 5,155,674 0.2% # Tokyo Individualized Educational Institute, Inc. 47,300 172,937 0.0% # Tokyu Recreation Co., Ltd. 79,000 468,292 0.0% # Tomy Co., Ltd. 385,193 1,992,589 0.1% Topre Corp. 218,300 3,091,207 0.1% # Toridoll.corp 115,500 1,321,616 0.1% # Tosho Co., Ltd. 42,700 906,007 0.0% # Toyo Tire & Rubber Co., Ltd. 277,100 4,571,100 0.2% # TPR Co., Ltd. 130,600 3,095,975 0.1% TS Tech Co., Ltd. 63,500 1,560,742 0.1% TSI Holdings Co., Ltd. 443,295 2,818,164 0.1% # Tsukada Global Holdings, Inc. 107,800 877,102 0.0% Tsukamoto Corp. Co., Ltd. 190,000 225,889 0.0% Tsutsumi Jewelry Co., Ltd. 48,600 1,195,388 0.1% Tv Tokyo Holdings Corp. 12,200 245,972 0.0% Tyo, Inc. 313,000 496,914 0.0% # U-Shin, Ltd. 130,600 835,234 0.0% Unipres Corp. 226,500 4,507,313 0.2% # United Arrows, Ltd. 140,200 5,253,999 0.2% #* Unitika, Ltd. 2,738,000 1,213,650 0.1% # Universal Entertainment Corp. 80,300 1,271,421 0.1% #* Usen Corp. 730,180 2,294,771 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- Consumer Discretionary -- (Continued) # Village Vanguard Co., Ltd. 31,000 $ 404,387 0.0% # VT Holdings Co., Ltd. 499,500 1,972,641 0.1% Wacoal Holdings Corp. 629,000 6,550,239 0.3% * Watabe Wedding Corp. 43,000 216,933 0.0% # WATAMI Co., Ltd. 138,100 1,614,633 0.1% # West Holdings Corp. 99,600 927,089 0.0% Workman Co., Ltd. 900 47,039 0.0% Wowow, Inc. 28,300 1,210,758 0.1% Xebio Co., Ltd. 150,400 2,353,607 0.1% # Yachiyo Industry Co., Ltd. 8,800 59,335 0.0% # Yamato International, Inc. 8,200 29,055 0.0% Yellow Hat, Ltd. 95,400 2,042,073 0.1% # Yomiuri Land Co., Ltd. 241,000 1,066,103 0.1% # Yondoshi Holdings, Inc. 114,620 2,064,292 0.1% # Yonex Co., Ltd. 41,300 367,692 0.0% Yorozu Corp. 104,000 1,789,572 0.1% # Yoshinoya Holdings Co., Ltd. 194,000 2,222,602 0.1% Yutaka Giken Co., Ltd. 2,000 43,164 0.0% # Zenrin Co., Ltd. 154,900 1,904,245 0.1% # Zensho Holdings Co., Ltd. 655,800 5,952,922 0.2% Zojirushi Corp. 166,000 1,038,438 0.1% ------------ ---- Total Consumer Discretionary 511,890,108 20.4% ------------ ---- Consumer Staples -- (7.6%) # Aderans Co., Ltd. 131,800 1,568,966 0.1% # Aeon Hokkaido Corp. 339,700 1,994,564 0.1% # Ain Pharmaciez, Inc. 142,400 3,857,649 0.2% Arcs Co., Ltd. 195,600 4,310,698 0.2% Ariake Japan Co., Ltd. 110,900 2,499,605 0.1% # Artnature, Inc. 93,200 1,260,393 0.1% Axial Retailing, Inc. 80,000 1,611,364 0.1% Belc Co., Ltd. 56,100 1,549,623 0.1% Cawachi, Ltd. 89,600 1,393,098 0.1% CFS Corp. 3,800 22,288 0.0% Chubu Shiryo Co., Ltd. 110,700 675,173 0.0% Chuo Gyorui Co., Ltd. 93,000 216,374 0.0% Coca-Cola West Co., Ltd. 195,200 2,786,544 0.1% Cocokara fine, Inc. 98,860 2,403,218 0.1% Create SD Holdings Co., Ltd. 47,000 1,693,728 0.1% Daikokutenbussan Co., Ltd. 33,400 971,858 0.0% Dr Ci:Labo Co., Ltd. 84,600 2,687,248 0.1% Dydo Drinco, Inc. 43,900 1,881,214 0.1% Ezaki Glico Co., Ltd. 5,700 184,517 0.0% # Fancl Corp. 232,200 3,185,204 0.1% * Feed One Holdings Co., Ltd. 836,040 803,849 0.0% #* First Baking Co., Ltd. 183,000 222,087 0.0% Fuji Oil Co., Ltd. 367,600 5,837,798 0.2% Fujicco Co., Ltd. 118,600 1,769,412 0.1% # Fujiya Co., Ltd. 240,000 427,134 0.0% Genky Stores, Inc. 7,800 388,131 0.0% Hagoromo Foods Corp. 39,000 383,552 0.0% Heiwado Co., Ltd. 184,300 3,430,912 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Consumer Staples -- (Continued) Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 $ 406,538 0.0% # Hokuto Corp. 130,400 2,377,473 0.1% House Foods Group, Inc. 202,800 3,470,371 0.1% Inageya Co., Ltd. 172,800 1,827,433 0.1% Itochu-Shokuhin Co., Ltd. 27,400 904,874 0.0% Itoham Foods, Inc. 960,800 4,942,091 0.2% # J-Oil Mills, Inc. 548,000 1,780,272 0.1% # Kagome Co., Ltd. 47,000 762,509 0.0% # Kakiyasu Honten Co., Ltd. 16,600 250,609 0.0% Kameda Seika Co., Ltd. 73,500 2,220,817 0.1% Kansai Super Market, Ltd. 16,700 115,003 0.0% # Kasumi Co., Ltd. 244,500 2,301,197 0.1% Kato Sangyo Co., Ltd. 118,000 2,510,840 0.1% # Kenko Mayonnaise Co., Ltd. 41,900 452,030 0.0% Key Coffee, Inc. 104,300 1,503,409 0.1% * Kirindo Holdings Co., Ltd. 28,300 173,551 0.0% # Kotobuki Spirits Co., Ltd. 29,500 586,846 0.0% Kusuri No Aoki Co., Ltd. 50,200 2,463,982 0.1% # Kyokuyo Co., Ltd. 507,000 1,186,084 0.1% # Life Corp. 183,400 2,941,676 0.1% # Lion Corp. 971,000 5,486,026 0.2% Mandom Corp. 121,500 4,075,939 0.2% Marudai Food Co., Ltd. 603,000 2,233,317 0.1% # Maruetsu, Inc. (The) 375,000 1,829,345 0.1% Maruha Nichiro Corp. 231,507 3,352,832 0.1% Matsumotokiyoshi Holdings Co., Ltd. 229,700 6,680,147 0.3% # Maxvalu Nishinihon Co., Ltd. 2,400 31,036 0.0% Maxvalu Tokai Co., Ltd. 57,500 822,508 0.0% Medical System Network Co., Ltd. 78,200 238,780 0.0% Megmilk Snow Brand Co., Ltd. 266,000 3,529,308 0.1% Meito Sangyo Co., Ltd. 53,700 545,221 0.0% Milbon Co., Ltd. 67,876 2,180,575 0.1% # Ministop Co., Ltd. 87,700 1,248,629 0.1% # Mitsubishi Shokuhin Co., Ltd. 87,800 1,977,757 0.1% Mitsui Sugar Co., Ltd. 529,850 1,837,896 0.1% Miyoshi Oil & Fat Co., Ltd. 384,000 477,096 0.0% Morinaga & Co., Ltd. 1,156,000 2,478,835 0.1% Morinaga Milk Industry Co., Ltd. 1,160,000 3,878,574 0.2% Morozoff, Ltd. 146,000 473,927 0.0% Nagatanien Co., Ltd. 125,000 1,221,223 0.1% Nakamuraya Co., Ltd. 189,000 732,485 0.0% Natori Co., Ltd. 20,300 208,510 0.0% Nichimo Co., Ltd. 170,000 285,822 0.0% Nichirei Corp. 1,516,000 6,452,308 0.3% # Nihon Chouzai Co., Ltd. 12,580 333,828 0.0% Niitaka Co., Ltd. 7,260 72,199 0.0% Nippon Beet Sugar Manufacturing Co., Ltd. 619,000 1,041,218 0.0% Nippon Flour Mills Co., Ltd. 712,000 3,573,754 0.1% #* Nippon Suisan Kaisha, Ltd. 1,489,700 4,403,698 0.2% # Nisshin Oillio Group, Ltd. (The) 692,000 2,479,994 0.1% Nissin Sugar Co., Ltd. 19,600 409,309 0.0% Nitto Fuji Flour Milling Co., Ltd. 64,000 179,467 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Consumer Staples -- (Continued) Noevir Holdings Co., Ltd. 70,500 $ 1,275,415 0.1% Oenon Holdings, Inc. 316,000 659,857 0.0% # OIE Sangyo Co., Ltd. 20,900 156,957 0.0% Okuwa Co., Ltd. 120,000 996,307 0.0% Olympic Group Corp. 64,900 595,396 0.0% OUG Holdings, Inc. 29,000 60,565 0.0% # Pigeon Corp. 101,300 6,314,774 0.3% Prima Meat Packers, Ltd. 874,000 2,059,828 0.1% # Qol Co., Ltd. 54,100 328,231 0.0% Riken Vitamin Co., Ltd. 79,200 1,828,368 0.1% # Rock Field Co., Ltd. 58,100 989,559 0.0% # Rokko Butter Co., Ltd. 36,700 400,140 0.0% S Foods, Inc. 77,762 1,625,660 0.1% S&B Foods, Inc. 499 17,940 0.0% # Sakata Seed Corp. 187,900 2,786,677 0.1% # San-A Co., Ltd. 100,900 3,401,222 0.1% Sapporo Holdings, Ltd. 1,993,000 8,625,333 0.4% # Shoei Foods Corp. 44,000 343,537 0.0% Showa Sangyo Co., Ltd. 524,000 2,035,633 0.1% Sogo Medical Co., Ltd. 28,400 1,356,092 0.1% ST Corp. 78,900 713,395 0.0% Starzen Co., Ltd. 337,000 979,696 0.0% # Takara Holdings, Inc. 814,000 6,480,260 0.3% # Tobu Store Co., Ltd. 205,000 526,079 0.0% Toho Co., Ltd. 197,000 744,883 0.0% # Tohto Suisan Co., Ltd. 173,000 301,374 0.0% Torigoe Co., Ltd. (The) 82,600 573,258 0.0% Toyo Sugar Refining Co., Ltd. 157,000 142,117 0.0% # UNY Group Holdings Co., Ltd. 1,471,300 7,799,995 0.3% Valor Co., Ltd. 216,200 3,504,509 0.1% Warabeya Nichiyo Co., Ltd. 84,860 1,488,060 0.1% # Welcia Holdings Co., Ltd. 122,800 4,102,415 0.2% Yaizu Suisankagaku Industry Co., Ltd. 44,800 398,575 0.0% Yamatane Corp. 535,000 826,164 0.0% # Yamaya Corp. 22,800 326,843 0.0% Yaoko Co., Ltd. 52,300 3,212,833 0.1% # Yokohama Reito Co., Ltd. 252,400 1,871,471 0.1% Yomeishu Seizo Co., Ltd. 100,000 792,953 0.0% Yonekyu Corp. 9,200 129,372 0.0% Yuasa Funashoku Co., Ltd. 112,000 275,708 0.0% Yutaka Foods Corp. 6,000 97,947 0.0% ------------ --- Total Consumer Staples 219,110,767 8.7% ------------ --- Energy -- (0.9%) # BP Castrol K.K. 66,500 643,012 0.0% Cosmo Oil Co., Ltd. 3,536,000 5,509,736 0.2% Fuji Kosan Co., Ltd. 33,100 187,166 0.0% # Fuji Oil Co., Ltd. 293,100 887,567 0.0% Itochu Enex Co., Ltd. 311,000 1,992,438 0.1% # Japan Drilling Co., Ltd. 33,400 1,396,325 0.1% Japan Oil Transportation Co., Ltd. 84,000 174,619 0.0% # Kyoei Tanker Co., Ltd. 68,000 126,756 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Energy -- (Continued) Mitsuuroko Group Holdings Co., Ltd. 190,200 $ 929,122 0.0% Nippon Coke & Engineering Co., Ltd. 1,410,500 1,407,309 0.1% # Nippon Gas Co., Ltd. 185,900 4,599,978 0.2% Nippon Seiro Co., Ltd. 64,000 145,796 0.0% # Sala Corp. 128,500 707,047 0.0% San-Ai Oil Co., Ltd. 314,000 2,173,535 0.1% Shinko Plantech Co., Ltd. 236,000 1,804,173 0.1% # Sinanen Co., Ltd. 268,000 1,056,645 0.0% Toa Oil Co., Ltd. 427,000 604,361 0.0% Toyo Kanetsu K.K. 642,000 1,501,615 0.1% ----------- --- Total Energy 25,847,200 1.0% ----------- --- Financials -- (10.2%) 77 Bank, Ltd. (The) 589,000 3,288,271 0.1% Aichi Bank, Ltd. (The) 54,200 2,661,507 0.1% Airport Facilities Co., Ltd. 136,670 934,732 0.0% Aizawa Securities Co., Ltd. 159,400 805,131 0.0% Akita Bank, Ltd. (The) 1,120,400 3,184,122 0.1% Anabuki Kosan, Inc. 22,000 50,945 0.0% Aomori Bank, Ltd. (The) 1,185,000 3,535,815 0.1% Asax Co., Ltd. 1,700 20,519 0.0% Awa Bank, Ltd. (The) 1,185,000 7,105,993 0.3% Bank of Iwate, Ltd. (The) 105,100 4,809,967 0.2% Bank of Kochi, Ltd. (The) 178,000 229,291 0.0% Bank of Nagoya, Ltd. (The) 1,026,297 4,154,915 0.2% # Bank of Okinawa, Ltd. (The) 113,200 4,958,952 0.2% Bank of Saga, Ltd. (The) 771,000 1,783,000 0.1% Bank of the Ryukyus, Ltd. 231,780 3,743,075 0.2% Chiba Kogyo Bank, Ltd. (The) 236,500 1,667,387 0.1% Chukyo Bank, Ltd. (The) 686,000 1,263,117 0.1% Daibiru Corp. 312,400 3,519,029 0.1% Daiichi Commodities Co., Ltd. 13,700 51,501 0.0% # Daikyo, Inc. 1,959,000 3,682,897 0.1% Daisan Bank, Ltd. (The) 764,000 1,217,463 0.0% Daishi Bank, Ltd. (The) 2,061,000 7,293,168 0.3% Daito Bank, Ltd. (The) 898,000 1,182,906 0.0% DBS Co Ltd 45,500 281,735 0.0% Dream Incubator, Inc. 14,800 230,293 0.0% # Ehime Bank, Ltd. (The) 854,000 1,890,405 0.1% Eighteenth Bank, Ltd. (The) 1,099,000 3,113,353 0.1% # FIDEA Holdings Co., Ltd. 745,700 1,489,961 0.1% # Financial Products Group Co., Ltd. 129,100 1,329,278 0.1% Fukui Bank, Ltd. (The) 1,233,000 2,954,485 0.1% Fukushima Bank, Ltd. (The) 1,435,000 1,115,788 0.0% Fuyo General Lease Co., Ltd. 84,100 3,320,385 0.1% # GCA Savvian Corp. 89,100 957,110 0.0% Goldcrest Co., Ltd. 104,790 1,895,846 0.1% Grandy House Corp. 14,200 37,343 0.0% Heiwa Real Estate Co., Ltd. 252,000 4,140,570 0.2% Higashi-Nippon Bank, Ltd. (The) 840,000 2,128,185 0.1% Higo Bank, Ltd. (The) 1,151,000 6,551,664 0.3% Hokkoku Bank, Ltd. (The) 1,788,000 6,205,215 0.2%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Financials -- (Continued) Hokuetsu Bank, Ltd. (The) 1,246,000 $2,418,794 0.1% Hyakugo Bank, Ltd. (The) 1,527,609 6,442,288 0.3% Hyakujushi Bank, Ltd. (The) 1,548,000 5,032,420 0.2% IBJ Leasing Co., Ltd. 64,900 1,537,776 0.1% Ichiyoshi Securities Co., Ltd. 200,900 2,381,330 0.1% IwaiCosmo Holdings, Inc. 116,200 1,281,644 0.1% * Japan Asia Investment Co., Ltd. 107,000 73,124 0.0% # Jimoto Holdings, Inc. 362,700 761,566 0.0% # Jowa Holdings Co., Ltd. 46,800 1,662,766 0.1% Juroku Bank, Ltd. (The) 2,060,000 8,124,606 0.3% # kabu.com Securities Co., Ltd. 495,400 2,462,883 0.1% # Kabuki-Za Co., Ltd. 39,000 1,701,394 0.1% Kagoshima Bank, Ltd. (The) 985,000 6,387,839 0.3% # Kansai Urban Banking Corp. 135,600 1,495,605 0.1% Keihanshin Building Co., Ltd. 188,700 1,062,643 0.0% Keiyo Bank, Ltd. (The) 1,325,000 6,927,376 0.3% Kita-Nippon Bank, Ltd. (The) 50,006 1,188,649 0.0% Kiyo Bank, Ltd. (The) 382,290 5,496,535 0.2% # Kosei Securities Co., Ltd. (The) 11,000 23,118 0.0% # Kyokuto Securities Co., Ltd. 124,100 2,097,458 0.1% # Land Business Co., Ltd. 59,500 221,600 0.0% #* Leopalace21 Corp. 1,523,700 9,543,623 0.4% Marusan Securities Co., Ltd. 391,600 2,873,564 0.1% # Michinoku Bank, Ltd. (The) 801,000 1,530,003 0.1% Mie Bank, Ltd. (The) 455,000 1,061,179 0.0% Minato Bank, Ltd. (The) 1,115,000 2,198,445 0.1% Mito Securities Co., Ltd. 316,200 1,188,851 0.0% Miyazaki Bank, Ltd. (The) 944,000 2,845,694 0.1% # Monex Group, Inc. 1,207,400 3,081,660 0.1% # Money Partners Group Co., Ltd. 52,400 197,821 0.0% Musashino Bank, Ltd. (The) 203,400 6,891,841 0.3% # Nagano Bank, Ltd. (The) 496,000 842,152 0.0% Nanto Bank, Ltd. (The) 1,043,000 4,187,139 0.2% * New Real Property K.K. 43,900 -- 0.0% # Nisshin Fudosan Co. 191,500 845,769 0.0% North Pacific Bank, Ltd. 1,846,200 7,610,951 0.3% Ogaki Kyoritsu Bank, Ltd. (The) 2,012,000 5,597,710 0.2% Oita Bank, Ltd. (The) 999,900 3,746,778 0.2% # Okasan Securities Group, Inc. 48,000 363,718 0.0% Relo Holdings, Inc. 62,400 4,414,972 0.2% Ricoh Leasing Co., Ltd. 103,100 2,876,502 0.1% # SAMTY Co., Ltd. 65,200 435,570 0.0% San-In Godo Bank, Ltd. (The) 980,000 7,550,640 0.3% Sankyo Frontier Co., Ltd. 4,000 29,760 0.0% # Sawada Holdings Co., Ltd. 143,600 1,025,435 0.0% Senshu Ikeda Holdings, Inc. 1,365,100 7,062,181 0.3% Shiga Bank, Ltd. (The) 1,131,000 6,334,444 0.3% Shikoku Bank, Ltd. (The) 1,145,000 2,430,087 0.1% Shimane Bank, Ltd. (The) 15,600 191,772 0.0% Shimizu Bank, Ltd. (The) 46,700 1,338,685 0.1% # Sparx Group Co., Ltd. 573,300 1,156,044 0.0% Sumitomo Real Estate Sales Co., Ltd. 107,760 2,481,487 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Financials -- (Continued) # Sun Frontier Fudousan Co., Ltd. 136,000 $ 1,492,659 0.1% Taiko Bank, Ltd. (The) 189,000 383,867 0.0% Takagi Securities Co., Ltd. 231,000 535,053 0.0% Takara Leben Co., Ltd. 510,100 2,161,533 0.1% TOC Co., Ltd. 435,250 3,175,631 0.1% Tochigi Bank, Ltd. (The) 745,000 3,028,318 0.1% Toho Bank, Ltd. (The) 1,335,200 4,910,719 0.2% Tohoku Bank, Ltd. (The) 541,000 759,506 0.0% # Tokyo Rakutenchi Co., Ltd. 218,000 984,067 0.0% Tokyo Theatres Co., Inc. 461,000 611,552 0.0% #* Tokyo TY Financial Group, Inc. 154,738 4,952,443 0.2% Tomato Bank, Ltd. 476,000 774,474 0.0% TOMONY Holdings, Inc. 935,150 4,171,891 0.2% # Tosei Corp. 195,300 1,316,281 0.1% Tottori Bank, Ltd. (The) 337,000 664,912 0.0% Towa Bank, Ltd. (The) 1,833,000 1,639,985 0.1% Toyo Securities Co., Ltd. 431,000 1,227,810 0.1% Tsukuba Bank, Ltd. 480,700 1,647,456 0.1% # Yamagata Bank, Ltd. (The) 874,500 4,140,906 0.2% Yamanashi Chuo Bank, Ltd. (The) 999,000 4,518,547 0.2% ------------ ---- Total Financials 292,598,820 11.7% ------------ ---- Health Care -- (4.3%) As One Corp. 81,768 2,336,674 0.1% Asahi Intecc Co., Ltd. 120,500 5,522,395 0.2% ASKA Pharmaceutical Co., Ltd. 132,800 1,465,457 0.1% Biofermin Pharmaceutical Co., Ltd. 9,800 256,179 0.0% BML, Inc. 70,300 2,099,215 0.1% # CMIC Holdings Co., Ltd. 66,500 1,013,394 0.0% Create Medic Co., Ltd. 28,000 259,821 0.0% # Daiken Medical Co., Ltd. 42,900 825,307 0.0% Daito Pharmaceutical Co., Ltd. 58,000 1,043,525 0.0% Eiken Chemical Co., Ltd. 98,700 1,722,585 0.1% EPS Corp. 169,400 2,002,210 0.1% FALCO HOLDINGS Co., Ltd. 39,100 432,003 0.0% Fuji Pharma Co., Ltd. 37,700 698,430 0.0% Fuso Pharmaceutical Industries, Ltd. 427,000 1,256,392 0.1% Hogy Medical Co., Ltd. 72,000 3,740,384 0.2% Iwaki & Co., Ltd. 137,000 289,347 0.0% # Japan Medical Dynamic Marketing, Inc. 70,100 329,295 0.0% Jeol, Ltd. 459,000 2,207,625 0.1% JMS Co., Ltd. 157,000 416,256 0.0% Kaken Pharmaceutical Co., Ltd. 251,000 6,288,557 0.3% Kawasumi Laboratories, Inc. 69,400 467,087 0.0% Kissei Pharmaceutical Co., Ltd. 77,800 2,033,707 0.1% KYORIN Holdings, Inc. 306,100 6,448,833 0.3% Mani, Inc. 31,900 2,038,818 0.1% # Message Co., Ltd. 87,100 2,737,390 0.1% Mochida Pharmaceutical Co., Ltd. 75,299 4,708,687 0.2% Nagaileben Co., Ltd. 58,000 1,114,816 0.0% # Nakanishi, Inc. 102,300 3,498,640 0.1% Nichi-iko Pharmaceutical Co., Ltd. 267,850 4,427,589 0.2%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- Health Care -- (Continued) # Nichii Gakkan Co. 277,900 $ 2,156,416 0.1% Nihon Kohden Corp. 3,600 184,057 0.0% # Nikkiso Co., Ltd. 369,000 3,816,564 0.2% Nippon Chemiphar Co., Ltd. 180,000 939,196 0.0% Nippon Shinyaku Co., Ltd. 175,000 5,036,937 0.2% # Nipro Corp. 704,600 5,805,199 0.2% Nissui Pharmaceutical Co., Ltd. 70,500 796,899 0.0% Paramount Bed Holdings Co., Ltd. 117,500 3,341,963 0.1% Psc, Inc. 26,500 1,383,355 0.1% Rion Co., Ltd. 40,500 530,760 0.0% Rohto Pharmaceutical Co., Ltd. 382,100 5,542,632 0.2% Seed Co., Ltd. 2,800 36,452 0.0% # Seikagaku Corp. 167,400 2,702,984 0.1% Ship Healthcare Holdings, Inc. 209,900 4,912,955 0.2% Shofu, Inc. 29,300 334,981 0.0% # Software Service, Inc. 16,800 639,789 0.0% Taiko Pharmaceutical Co., Ltd. 66,500 1,200,674 0.0% Techno Medica Co., Ltd. 19,000 411,456 0.0% Toho Holdings Co., Ltd. 322,500 4,219,056 0.2% Tokai Corp/Gifu 50,000 1,504,416 0.1% Torii Pharmaceutical Co., Ltd. 57,800 1,658,629 0.1% # Towa Pharmaceutical Co., Ltd. 60,200 2,657,856 0.1% Tsukui Corp. 186,100 1,799,222 0.1% # Tsumura & Co. 214,500 4,799,614 0.2% Uchiyama Holdings Co., Ltd. 22,300 129,513 0.0% # Vital KSK Holdings, Inc. 188,100 1,604,203 0.1% # Wakamoto Pharmaceutical Co., Ltd. 107,000 267,442 0.0% ZERIA Pharmaceutical Co., Ltd. 122,799 2,464,545 0.1% ------------ --- Total Health Care 122,558,383 4.9% ------------ --- Industrials -- (25.8%) #* A&A Material Corp. 127,000 124,213 0.0% # Advan Co., Ltd. 96,200 1,047,976 0.1% Advanex, Inc. 212,000 312,554 0.0% Aeon Delight Co., Ltd. 88,800 2,169,306 0.1% Aica Kogyo Co., Ltd. 318,300 6,588,512 0.3% Aichi Corp. 176,500 869,105 0.0% Aida Engineering, Ltd. 304,300 2,957,214 0.1% # Alinco, Inc. 55,500 567,014 0.0% Alps Logistics Co., Ltd. 50,700 568,761 0.0% # Altech Corp. 43,850 493,045 0.0% Anest Iwata Corp. 171,300 1,246,192 0.1% #* Arrk Corp. 352,900 500,589 0.0% Asahi Diamond Industrial Co., Ltd. 328,400 3,984,974 0.2% # Asahi Kogyosha Co., Ltd. 124,000 436,192 0.0% #* Asanuma Corp. 501,000 789,086 0.0% Asia Air Survey Co., Ltd. 20,000 89,952 0.0% #* Asia Growth Capital, Ltd. 391,200 544,878 0.0% Asunaro Aoki Construction Co., Ltd. 154,000 1,087,912 0.1% Bando Chemical Industries, Ltd. 459,000 1,822,203 0.1% # Benefit One, Inc. 99,700 886,526 0.0% Bunka Shutter Co., Ltd. 305,000 2,637,956 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Industrials -- (Continued) Career Design Center Co., Ltd. 24,600 $ 246,409 0.0% Central Glass Co., Ltd. 1,243,000 4,063,553 0.2% Central Security Patrols Co., Ltd. 41,900 441,260 0.0% # Chiyoda Integre Co., Ltd. 66,900 1,153,399 0.1% Chodai Co., Ltd. 20,000 153,133 0.0% Chudenko Corp. 113,700 1,816,058 0.1% # Chugai Ro Co., Ltd. 384,000 762,069 0.0% CKD Corp. 344,700 3,023,993 0.1% # Cosel Co., Ltd. 125,300 1,457,962 0.1% # CTI Engineering Co., Ltd. 74,400 1,181,140 0.1% Dai-Dan Co., Ltd. 156,000 882,990 0.0% Daido Kogyo Co., Ltd. 185,000 450,160 0.0% Daifuku Co., Ltd. 539,900 6,253,138 0.3% Daihatsu Diesel Manufacturing Co., Ltd. 74,000 608,045 0.0% Daihen Corp. 609,000 2,156,201 0.1% # Daiho Corp. 48,000 223,251 0.0% Daiichi Jitsugyo Co., Ltd. 254,000 1,305,954 0.1% # Daiseki Co., Ltd. 226,963 3,974,327 0.2% Daiseki Eco. Solution Co., Ltd. 7,200 116,871 0.0% #* Daisue Construction Co., Ltd. 25,400 219,524 0.0% Daiwa Industries, Ltd. 178,000 1,357,267 0.1% Daiwa Odakyu Construction Co. 5,400 40,049 0.0% #* Danto Holdings Corp. 165,000 214,287 0.0% Denyo Co., Ltd. 86,100 1,141,642 0.1% # Dijet Industrial Co., Ltd. 88,000 205,583 0.0% DMG Mori Seiki Co., Ltd. 577,200 6,798,023 0.3% DMW Corp. 4,800 75,957 0.0% # Duskin Co., Ltd. 228,800 3,746,832 0.2% # Ebara Jitsugyo Co., Ltd. 37,900 474,714 0.0% Eidai Co., Ltd. 97,000 396,368 0.0% # Emori Group Holdings Co., Ltd. 48,300 492,889 0.0% en-japan, Inc. 61,600 1,085,982 0.1% # Endo Lighting Corp. 61,900 698,209 0.0% #* Enshu, Ltd. 281,000 306,015 0.0% Freund Corp. 9,900 89,505 0.0% # Fudo Tetra Corp. 987,300 2,421,681 0.1% Fujikura, Ltd. 2,042,000 8,577,639 0.4% #* Fujisash Co., Ltd. 449,200 632,182 0.0% # Fujitec Co., Ltd. 446,800 4,460,783 0.2% Fukuda Corp. 508,000 5,349,061 0.2% Fukushima Industries Corp. 75,400 1,481,718 0.1% # Fukuyama Transporting Co., Ltd. 765,400 3,841,166 0.2% FULLCAST Holdings Co., Ltd. 28,800 143,307 0.0% Funai Soken Holdings, Inc. 119,200 1,051,182 0.1% # Furukawa Co., Ltd. 1,606,000 3,156,434 0.1% # Furukawa Electric Co., Ltd. 4,610,000 8,136,200 0.3% Furusato Industries, Ltd. 51,900 783,075 0.0% Futaba Corp. 128,700 1,823,373 0.1% Gecoss Corp. 112,400 1,864,020 0.1% Glory, Ltd. 274,400 7,071,142 0.3% Hamakyorex Co., Ltd. 41,600 1,335,935 0.1% Hanwa Co., Ltd. 1,216,000 4,384,457 0.2%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Industrials -- (Continued) # Harmonic Drive Systems, Inc. 146,300 $1,888,717 0.1% # Hazama Ando Corp. 1,049,700 7,056,975 0.3% # Hibiya Engineering, Ltd. 124,300 1,852,800 0.1% Hisaka Works, Ltd. 103,100 937,100 0.0% # Hitachi Koki Co., Ltd. 305,400 2,625,885 0.1% # Hitachi Metals Techno, Ltd. 56,500 663,261 0.0% Hitachi Transport System, Ltd. 238,300 3,153,563 0.1% # Hitachi Zosen Corp. 1,020,079 5,413,734 0.2% # Hokuetsu Industries Co., Ltd. 105,000 983,937 0.0% Hokuriku Electrical Construction Co., Ltd. 69,000 362,673 0.0% # Hosokawa Micron Corp. 176,000 987,242 0.0% Howa Machinery, Ltd. 72,000 479,664 0.0% # Ichiken Co., Ltd. 147,000 433,528 0.0% Ichinen Holdings Co., Ltd. 110,700 919,206 0.0% Idec Corp. 155,500 1,269,472 0.1% Iino Kaiun Kaisha, Ltd. 504,200 2,786,037 0.1% Inaba Denki Sangyo Co., Ltd. 138,900 4,841,750 0.2% # Inaba Seisakusho Co., Ltd. 51,100 624,254 0.0% Inabata & Co., Ltd. 317,300 3,067,034 0.1% # Inui Global Logistics Co., Ltd. 69,880 658,536 0.0% # Iseki & Co., Ltd. 1,128,000 2,612,668 0.1% Ishii Iron Works Co., Ltd. 91,000 197,457 0.0% #* Ishikawa Seisakusho, Ltd. 37,000 35,408 0.0% Itoki Corp. 217,600 1,223,094 0.1% Iwasaki Electric Co., Ltd. 383,000 844,515 0.0% # Iwatani Corp. 1,107,000 7,568,717 0.3% # Jalux, Inc. 40,800 472,694 0.0% Jamco Corp. 80,000 1,767,674 0.1% # Japan Foundation Engineering Co., Ltd. 123,000 439,815 0.0% Japan Pulp & Paper Co., Ltd. 469,000 1,388,306 0.1% # Japan Steel Works, Ltd. (The) 1,988,000 7,111,136 0.3% Japan Transcity Corp. 249,000 841,946 0.0% # JK Holdings Co., Ltd. 92,540 465,006 0.0% #* Juki Corp. 916,000 2,856,626 0.1% Kamei Corp. 153,000 1,096,219 0.1% Kanaden Corp. 116,000 815,342 0.0% Kanagawa Chuo Kotsu Co., Ltd. 192,000 931,501 0.0% # Kanamoto Co., Ltd. 157,500 5,748,820 0.2% Kandenko Co., Ltd. 642,000 3,368,571 0.1% Kanematsu Corp. 2,391,625 3,805,336 0.2% #* Kanematsu-NNK Corp. 125,000 160,584 0.0% # Katakura Industries Co., Ltd. 137,600 1,664,510 0.1% Kato Works Co., Ltd. 308,000 2,267,623 0.1% # KAWADA TECHNOLOGIES, Inc. 60,600 2,681,639 0.1% Kawasaki Kinkai Kisen Kaisha, Ltd. 99,000 298,705 0.0% Keihin Co., Ltd. 248,000 360,966 0.0% #* KI Holdings Co., Ltd. 81,000 401,709 0.0% # King Jim Co., Ltd. 30,400 211,130 0.0% #* Kinki Sharyo Co., Ltd. (The) 157,000 418,280 0.0% Kintetsu World Express, Inc. 92,100 3,187,243 0.1% Kitagawa Iron Works Co., Ltd. 510,000 910,493 0.0% Kitano Construction Corp. 257,000 795,247 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Industrials -- (Continued) # Kito Corp. 104,400 $1,197,866 0.1% Kitz Corp. 537,300 2,462,264 0.1% * Kobe Electric Railway Co., Ltd. 21,000 69,043 0.0% # Kobelco Eco-Solutions Co., Ltd. 82,000 501,753 0.0% Koike Sanso Kogyo Co., Ltd. 149,000 376,960 0.0% Kokusai Co., Ltd. 33,800 545,228 0.0% Kokuyo Co., Ltd. 531,425 4,232,655 0.2% # KOMAIHALTEC, Inc. 229,000 555,816 0.0% Komatsu Wall Industry Co., Ltd. 41,200 982,374 0.0% Komori Corp. 358,800 3,528,821 0.2% Kondotec, Inc. 119,000 765,871 0.0% Konoike Transport Co., Ltd. 14,700 287,749 0.0% Kosaido Co., Ltd. 275,700 1,087,063 0.1% # KRS Corp. 37,200 430,107 0.0% * Kumagai Gumi Co., Ltd. 1,791,000 6,479,911 0.3% # Kuroda Electric Co., Ltd. 213,300 2,999,151 0.1% Kyodo Printing Co., Ltd. 540,000 1,916,105 0.1% Kyokuto Boeki Kaisha, Ltd. 58,000 130,527 0.0% Kyokuto Kaihatsu Kogyo Co., Ltd. 210,100 2,987,309 0.1% Kyoritsu Printing Co., Ltd. 70,100 184,625 0.0% Kyosan Electric Manufacturing Co., Ltd. 283,000 906,686 0.0% Kyowa Exeo Corp. 488,700 5,984,242 0.2% Kyudenko Corp. 225,000 2,530,075 0.1% # Link And Motivation, Inc. 243,400 353,245 0.0% * Lonseal Corp. 116,000 159,960 0.0% # Maeda Corp. 845,000 7,470,851 0.3% # Maeda Kosen Co., Ltd. 100,100 1,217,770 0.1% Maeda Road Construction Co., Ltd. 386,000 5,949,972 0.2% Maezawa Industries, Inc. 35,700 108,622 0.0% Maezawa Kasei Industries Co., Ltd. 46,900 481,008 0.0% Maezawa Kyuso Industries Co., Ltd. 49,600 604,675 0.0% Makino Milling Machine Co., Ltd. 652,000 4,444,628 0.2% Marubeni Construction Material Lease Co., Ltd. 75,000 215,340 0.0% Marufuji Sheet Piling Co., Ltd. 52,000 187,707 0.0% Maruka Machinery Co., Ltd. 29,500 353,638 0.0% Maruyama Manufacturing Co., Inc. 237,000 531,593 0.0% Maruzen Co., Ltd. 46,000 412,320 0.0% # Maruzen Showa Unyu Co., Ltd. 309,000 985,388 0.0% Matsuda Sangyo Co., Ltd. 82,582 914,143 0.0% Matsui Construction Co., Ltd. 128,600 606,738 0.0% Max Co., Ltd. 197,000 2,216,137 0.1% Meidensha Corp. 1,081,050 4,005,893 0.2% # Meiji Shipping Co., Ltd. 114,200 385,271 0.0% # Meisei Industrial Co., Ltd. 239,000 1,535,070 0.1% Meitec Corp. 184,400 5,782,585 0.2% Meito Transportation Co., Ltd. 22,000 135,126 0.0% # Meiwa Corp. 166,400 619,159 0.0% Mesco, Inc. 22,000 150,659 0.0% Mirait Holdings Corp. 381,285 4,268,045 0.2% Mitani Corp. 68,500 1,737,591 0.1% Mitsubishi Nichiyu Forklift Co., Ltd. 162,300 1,193,689 0.1% # Mitsubishi Pencil Co., Ltd. 105,300 3,395,031 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Industrials -- (Continued) Mitsuboshi Belting Co., Ltd. 303,000 $ 2,170,326 0.1% Mitsui Engineering & Shipbuilding Co., Ltd. 4,886,000 10,622,003 0.4% # Mitsui Matsushima Co., Ltd. 872,000 1,058,059 0.1% Mitsui-Soko Co., Ltd. 580,000 2,205,035 0.1% Mitsumura Printing Co., Ltd. 93,000 215,922 0.0% # Miura Co., Ltd. 418,200 4,894,215 0.2% # Miyaji Engineering Group, Inc. 365,175 712,304 0.0% # MonotaRO Co., Ltd. 193,800 5,120,544 0.2% Morita Holdings Corp. 239,000 2,328,411 0.1% # Moshi Moshi Hotline, Inc. 187,000 1,866,228 0.1% # NAC Co., Ltd. 60,600 672,814 0.0% Nachi-Fujikoshi Corp. 1,025,000 6,369,647 0.3% Nagase & Co., Ltd. 315,600 4,087,892 0.2% Nakabayashi Co., Ltd. 217,000 403,362 0.0% Nakano Corp. 14,800 50,145 0.0% # Namura Shipbuilding Co., Ltd. 223,528 2,187,832 0.1% # Narasaki Sangyo Co., Ltd. 86,000 233,403 0.0% NDS Co., Ltd. 235,000 659,439 0.0% NEC Capital Solutions, Ltd. 45,100 853,309 0.0% # Nichias Corp. 595,000 3,615,558 0.2% Nichiban Co., Ltd. 122,000 426,355 0.0% Nichiden Corp. 23,300 496,372 0.0% Nichiha Corp. 143,880 1,232,765 0.1% Nichireki Co., Ltd. 152,000 1,205,394 0.1% Nihon M&A Center, Inc. 202,300 5,813,951 0.2% # Nihon Trim Co., Ltd. 30,000 673,148 0.0% Nikkato Corp. 700 2,573 0.0% Nikko Co., Ltd. 152,000 580,489 0.0% Nippo Corp. 145,000 2,650,410 0.1% Nippon Air Conditioning Services Co., Ltd. 7,300 49,224 0.0% # Nippon Carbon Co., Ltd. 663,000 1,113,249 0.1% # Nippon Conveyor Co., Ltd. 170,000 375,241 0.0% Nippon Densetsu Kogyo Co., Ltd. 221,600 3,129,968 0.1% Nippon Filcon Co., Ltd. 70,900 324,997 0.0% Nippon Hume Corp. 131,600 1,051,263 0.1% Nippon Jogesuido Sekkei Co., Ltd. 31,100 391,970 0.0% Nippon Kanzai Co., Ltd. 43,000 1,121,767 0.1% Nippon Koei Co., Ltd. 389,000 1,644,648 0.1% Nippon Konpo Unyu Soko Co., Ltd. 358,000 5,923,362 0.2% # Nippon Parking Development Co., Ltd. 1,202,800 1,315,197 0.1% Nippon Rietec Co., Ltd. 7,000 49,698 0.0% Nippon Road Co., Ltd. (The) 395,000 2,196,103 0.1% Nippon Seisen Co., Ltd. 103,000 663,691 0.0% # Nippon Sharyo, Ltd. 422,000 1,304,355 0.1% * Nippon Sheet Glass Co., Ltd. 6,334,000 6,072,301 0.3% Nippon Steel & Sumikin Bussan Corp. 977,599 3,557,407 0.2% Nippon Steel & Sumikin Texeng Co., Ltd. 274,000 1,429,390 0.1% Nippon Thompson Co., Ltd. 389,000 1,630,375 0.1% Nippon Tungsten Co., Ltd. 62,000 106,826 0.0% Nishi-Nippon Railroad Co., Ltd. 1,627,000 6,482,809 0.3% Nishimatsu Construction Co., Ltd. 1,855,000 9,006,722 0.4% Nishio Rent All Co., Ltd. 85,500 3,092,444 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Industrials -- (Continued) # Nissei ASB Machine Co., Ltd. 44,600 $ 905,580 0.0% Nissei Corp. 37,900 325,473 0.0% Nissei Plastic Industrial Co., Ltd. 241,800 1,930,578 0.1% # Nissha Printing Co., Ltd. 156,900 2,529,746 0.1% Nisshinbo Holdings, Inc. 929,000 7,672,103 0.3% Nissin Corp. 382,000 957,721 0.0% # Nissin Electric Co., Ltd. 284,000 1,536,839 0.1% Nitta Corp. 114,100 2,565,485 0.1% Nitto Boseki Co., Ltd. 924,000 3,292,587 0.1% # Nitto Kogyo Corp. 160,400 2,804,252 0.1% Nitto Kohki Co., Ltd. 68,900 1,293,509 0.1% Nitto Seiko Co., Ltd. 145,000 486,118 0.0% # Nittoc Construction Co., Ltd. 194,800 980,436 0.0% # Nittoku Engineering Co., Ltd. 85,300 830,202 0.0% Noda Corp. 158,100 602,244 0.0% Nomura Co., Ltd. 222,800 2,135,420 0.1% Noritake Co., Ltd. 614,000 1,411,757 0.1% Noritz Corp. 197,200 3,645,752 0.2% # NS United Kaiun Kaisha, Ltd. 604,000 1,507,444 0.1% Obara Group, Inc. 78,800 2,870,490 0.1% Obayashi Road Corp. 175,000 1,250,705 0.1% Odelic Co., Ltd. 12,800 316,124 0.0% # Oiles Corp. 169,850 3,333,821 0.1% Okabe Co., Ltd. 231,100 2,172,509 0.1% * Okamoto Machine Tool Works, Ltd. 193,000 247,156 0.0% Okamura Corp. 384,800 2,807,859 0.1% # OKK Corp. 437,000 615,461 0.0% OKUMA Corp. 863,000 6,196,418 0.3% Okumura Corp. 999,400 5,673,741 0.2% Onamba Co., Ltd. 1,500 8,559 0.0% # Onoken Co., Ltd. 84,000 864,129 0.0% Organo Corp. 225,000 965,581 0.0% OSG Corp. 455,100 7,420,946 0.3% # Outsourcing, Inc. 54,800 787,735 0.0% Oyo Corp. 96,400 1,709,004 0.1% # Pasco Corp. 124,000 387,703 0.0% # Pasona Group, Inc. 130,500 642,548 0.0% # Penta-Ocean Construction Co., Ltd. 1,716,600 5,610,362 0.2% Pilot Corp. 96,200 5,401,275 0.2% # Prestige International, Inc. 101,800 880,146 0.0% Pronexus, Inc. 133,200 877,639 0.0% # PS Mitsubishi Construction Co., Ltd. 101,300 441,178 0.0% # Raito Kogyo Co., Ltd. 299,100 2,925,015 0.1% # Rheon Automatic Machinery Co., Ltd. 81,000 374,447 0.0% Ryobi, Ltd. 785,200 2,143,119 0.1% Sakai Heavy Industries, Ltd. 244,000 629,846 0.0% # Sakai Moving Service Co., Ltd. 20,800 663,755 0.0% #* Sanix, Inc. 169,500 778,827 0.0% # Sanki Engineering Co., Ltd. 306,200 2,139,306 0.1% # Sanko Metal Industrial Co., Ltd. 136,000 311,396 0.0% Sankyo Tateyama, Inc. 171,000 3,065,373 0.1% Sankyu, Inc. 1,561,000 7,216,910 0.3%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Industrials -- (Continued) Sanwa Holdings Corp. 1,262,100 $8,751,418 0.4% Sanyo Denki Co., Ltd. 250,000 1,787,836 0.1% Sanyo Engineering & Construction, Inc. 48,000 196,103 0.0% Sanyo Industries, Ltd. 99,000 178,762 0.0% Sata Construction Co., Ltd. 427,000 565,108 0.0% # Sato Holdings Corp. 125,900 3,316,007 0.1% Sato Shoji Corp. 65,300 424,712 0.0% SBS Holdings, Inc. 66,900 582,456 0.0% Secom Joshinetsu Co., Ltd. 33,900 871,094 0.0% Seibu Electric Industry Co., Ltd. 67,000 290,376 0.0% Seika Corp. 322,000 768,684 0.0% # Seikitokyu Kogyo Co., Ltd. 181,200 1,014,099 0.1% Seino Holdings Co., Ltd. 315,000 2,469,854 0.1% Sekisui Jushi Corp. 174,400 2,376,738 0.1% # Senko Co., Ltd. 549,000 2,335,109 0.1% # Senshu Electric Co., Ltd. 37,300 562,821 0.0% Shibusawa Warehouse Co., Ltd. (The) 265,000 884,882 0.0% # Shibuya Kogyo Co., Ltd. 87,100 2,172,800 0.1% # Shima Seiki Manufacturing, Ltd. 164,800 2,654,992 0.1% Shin Nippon Air Technologies Co., Ltd. 88,780 722,906 0.0% # Shin-Keisei Electric Railway Co., Ltd. 182,000 635,980 0.0% Shinmaywa Industries, Ltd. 531,000 4,768,952 0.2% Shinnihon Corp. 194,800 683,768 0.0% Shinsho Corp. 264,000 654,892 0.0% Shinwa Co., Ltd. 8,400 97,881 0.0% Shoko Co., Ltd. 406,000 602,605 0.0% # Showa Aircraft Industry Co., Ltd. 11,237 113,433 0.0% Sinfonia Technology Co., Ltd. 574,000 828,036 0.0% Sinko Industries, Ltd. 105,000 948,289 0.0% Sintokogio, Ltd. 268,700 1,866,266 0.1% Soda Nikka Co., Ltd. 67,000 280,360 0.0% # Sodick Co., Ltd. 144,300 1,166,723 0.1% Sotetsu Holdings, Inc. 925,000 3,475,141 0.1% Space Co., Ltd. 63,720 750,444 0.0% # Srg Takamiya Co., Ltd. 40,400 546,712 0.0% Star Micronics Co., Ltd. 221,600 3,369,799 0.1% Subaru Enterprise Co., Ltd. 55,000 215,288 0.0% Sugimoto & Co., Ltd. 30,500 309,374 0.0% Sumitomo Densetsu Co., Ltd. 104,300 1,289,680 0.1% #* Sumitomo Mitsui Construction Co., Ltd. 4,600,900 5,505,290 0.2% # Sumitomo Precision Products Co., Ltd. 189,000 735,866 0.0% Sumitomo Warehouse Co., Ltd. (The) 818,000 4,486,093 0.2% #* SWCC Showa Holdings Co., Ltd. 1,732,000 1,604,425 0.1% Tadano, Ltd. 32,579 487,003 0.0% Taihei Dengyo Kaisha, Ltd. 167,000 1,363,336 0.1% # Taiheiyo Kouhatsu, Inc. 407,000 341,337 0.0% # Taikisha, Ltd. 165,100 3,668,933 0.2% # Takano Co., Ltd. 49,400 269,984 0.0% Takaoka Toko Co., Ltd. 44,820 649,556 0.0% Takara Printing Co., Ltd. 34,055 240,548 0.0% Takara Standard Co., Ltd. 516,000 4,213,884 0.2% # Takasago Thermal Engineering Co., Ltd. 328,800 4,243,555 0.2%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Industrials -- (Continued) # Takashima & Co., Ltd. 214,000 $ 448,777 0.0% # Takeei Corp. 114,500 1,084,811 0.1% Takeuchi Manufacturing Co., Ltd. 69,300 2,912,980 0.1% Takigami Steel Construction Co., Ltd. (The) 50,000 211,169 0.0% # Takisawa Machine Tool Co., Ltd. 379,000 743,100 0.0% # Takuma Co., Ltd. 441,000 2,815,605 0.1% # Tanseisha Co., Ltd. 140,900 1,293,828 0.1% # Tatsuta Electric Wire and Cable Co., Ltd. 283,600 1,434,041 0.1% TECHNO ASSOCIE Co., Ltd. 58,400 558,109 0.0% Techno Ryowa, Ltd. 71,390 314,342 0.0% # Teikoku Electric Manufacturing Co., Ltd. 92,000 1,040,272 0.1% Teikoku Sen-I Co., Ltd. 105,100 2,576,388 0.1% Teraoka Seisakusho Co., Ltd. 53,600 182,186 0.0% Toa Corp. 1,126,000 2,069,891 0.1% TOA ROAD Corp. 269,000 977,225 0.0% #* Tobishima Corp. 1,209,200 3,308,767 0.1% Tocalo Co., Ltd. 83,000 1,565,698 0.1% Toda Corp. 1,166,000 5,156,002 0.2% Toenec Corp. 212,000 1,128,459 0.1% TOKAI Holdings Corp. 525,700 2,560,837 0.1% Tokai Lease Co., Ltd. 154,000 274,726 0.0% Tokyo Energy & Systems, Inc. 143,000 1,006,341 0.0% # Tokyo Keiki, Inc. 356,000 883,581 0.0% #* Tokyo Kikai Seisakusho, Ltd. 256,000 185,141 0.0% # Tokyo Sangyo Co., Ltd. 81,000 315,346 0.0% Toli Corp. 257,000 552,411 0.0% Tomoe Corp. 156,400 608,420 0.0% # Tomoe Engineering Co., Ltd. 38,300 603,075 0.0% Tonami Holdings Co., Ltd. 331,000 706,316 0.0% Toppan Forms Co., Ltd. 307,200 2,897,331 0.1% # Torishima Pump Manufacturing Co., Ltd. 116,900 886,389 0.0% # Toshiba Machine Co., Ltd. 682,000 2,710,227 0.1% Toshiba Plant Systems & Services Corp. 237,550 3,976,179 0.2% # Tosho Printing Co., Ltd. 243,000 815,097 0.0% Totetsu Kogyo Co., Ltd. 148,400 3,361,707 0.1% # Toyo Construction Co., Ltd. 376,800 1,774,773 0.1% Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 213,000 766,779 0.0% # Toyo Engineering Corp. 653,400 3,346,466 0.1% Toyo Machinery & Metal Co., Ltd. 75,000 299,420 0.0% Toyo Tanso Co., Ltd. 68,900 1,276,051 0.1% # Toyo Wharf & Warehouse Co., Ltd. 334,000 638,704 0.0% # Trancom Co., Ltd. 42,400 1,771,882 0.1% Trinity Industrial Corp. 19,000 70,911 0.0% Trusco Nakayama Corp. 113,900 3,054,760 0.1% Trust Tech, Inc. 13,200 226,976 0.0% Tsubakimoto Chain Co. 854,700 6,742,103 0.3% Tsubakimoto Kogyo Co., Ltd. 117,000 318,511 0.0% #* Tsudakoma Corp. 303,000 407,498 0.0% # Tsugami Corp. 368,000 1,889,695 0.1% Tsukishima Kikai Co., Ltd. 128,700 1,444,580 0.1% Tsurumi Manufacturing Co., Ltd. 94,000 1,557,494 0.1% TTK Co., Ltd. 62,000 250,765 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Industrials -- (Continued) Uchida Yoko Co., Ltd. 331,000 $ 1,059,784 0.1% # Ueki Corp. 364,000 881,016 0.0% # Union Tool Co. 64,700 1,669,116 0.1% Ushio, Inc. 266,700 2,798,948 0.1% Utoc Corp. 101,600 463,450 0.0% # Wakachiku Construction Co., Ltd. 1,204,000 2,435,354 0.1% Wakita & Co., Ltd. 224,500 2,243,327 0.1% Weathernews, Inc. 37,900 1,035,720 0.1% # Yahagi Construction Co., Ltd. 161,000 1,218,882 0.1% YAMABIKO Corp. 46,482 1,841,092 0.1% Yamato Corp. 82,000 300,160 0.0% Yamaura Corp. 16,200 58,999 0.0% Yamazen Corp. 305,500 2,379,010 0.1% Yasuda Logistics Corp. 100,100 899,977 0.0% Yokogawa Bridge Holdings Corp. 181,100 2,328,265 0.1% Yondenko Corp. 132,800 481,601 0.0% Yuasa Trading Co., Ltd. 104,600 1,973,059 0.1% Yuken Kogyo Co., Ltd. 196,000 434,739 0.0% # Yumeshin Holdings Co., Ltd. 142,400 1,010,038 0.1% Yurtec Corp. 256,000 1,423,592 0.1% Yusen Logistics Co., Ltd. 109,900 1,108,489 0.1% # Zuiko Corp. 17,000 815,154 0.0% ------------ ---- Total Industrials 738,154,022 29.5% ------------ ---- Information Technology -- (10.0%) A&D Co., Ltd. 123,700 584,618 0.0% Ai Holdings Corp. 255,500 5,055,500 0.2% Aichi Tokei Denki Co., Ltd. 192,000 551,259 0.0% # Aiphone Co., Ltd. 81,300 1,411,400 0.1% Allied Telesis Holdings K.K. 470,700 362,825 0.0% Alpha Systems, Inc. 33,460 442,161 0.0% # Amano Corp. 385,100 4,173,927 0.2% Anritsu Corp. 865,700 6,702,549 0.3% # AOI Electronic Co., Ltd. 27,700 1,306,661 0.1% Argo Graphics, Inc. 23,300 421,309 0.0% Arisawa Manufacturing Co., Ltd. 190,300 1,395,988 0.1% Asahi Net, Inc. 59,600 276,015 0.0% Axell Corp. 48,900 671,250 0.0% # Azbil Corp. 187,600 4,524,063 0.2% # Bit-isle, Inc. 123,100 526,346 0.0% Broadleaf Co., Ltd. 64,100 1,013,110 0.1% CAC Holdings Corp. 52,000 563,998 0.0% Canon Electronics, Inc. 135,800 2,480,049 0.1% # Capcom Co., Ltd. 300,100 4,662,740 0.2% Chino Corp. 38,200 420,900 0.0% #* CMK Corp. 263,200 656,677 0.0% Computer Engineering & Consulting, Ltd. 73,600 694,863 0.0% CONEXIO Corp. 125,800 1,360,466 0.1% Core Corp. 11,100 81,267 0.0% Cresco, Ltd. 24,000 312,470 0.0% # CROOZ, Inc. 32,000 586,853 0.0% Cybozu, Inc. 115,700 387,063 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Information Technology -- (Continued) # Dai-ichi Seiko Co., Ltd. 55,600 $1,053,024 0.1% # Daishinku Corp. 193,000 602,112 0.0% Daito Electron Co., Ltd. 5,900 25,826 0.0% Daiwabo Holdings Co., Ltd. 1,220,000 2,225,353 0.1% Denki Kogyo Co., Ltd. 258,000 1,349,193 0.1% DKK-Toa Corp. 38,200 199,124 0.0% DTS Corp. 122,900 2,528,468 0.1% Eizo Corp. 109,500 2,001,982 0.1% Elecom Co., Ltd. 51,600 1,108,434 0.1% Elematec Corp. 43,171 928,364 0.0% EM Systems Co., Ltd. 18,500 285,976 0.0% Enplas Corp. 57,500 2,174,914 0.1% ESPEC Corp. 101,300 932,959 0.0% Excel Co., Ltd. 46,600 583,195 0.0% # F@N Communications, Inc. 191,900 1,675,853 0.1% Faith, Inc. 27,910 255,986 0.0% #* FDK Corp. 682,000 904,661 0.0% Ferrotec Corp. 179,000 975,804 0.1% # Fuji Electronics Co., Ltd. 55,100 658,065 0.0% Fuji Soft, Inc. 120,000 2,970,707 0.1% Fujitsu Frontech, Ltd. 77,500 1,060,337 0.1% Furuno Electric Co., Ltd. 115,000 944,430 0.0% Furuya Metal Co., Ltd. 10,800 256,409 0.0% Future Architect, Inc. 132,900 760,097 0.0% # GMO internet, Inc. 405,700 3,406,452 0.1% # GMO Payment Gateway, Inc. 97,400 2,013,303 0.1% # Gree, Inc. 53,600 383,862 0.0% # Gurunavi, Inc. 177,800 2,436,441 0.1% Hakuto Co., Ltd. 85,700 842,340 0.0% # Hioki EE Corp. 45,400 699,898 0.0% # Hitachi Kokusai Electric, Inc. 337,500 5,055,407 0.2% # Hochiki Corp. 143,000 1,197,684 0.1% # Hokuriku Electric Industry Co., Ltd. 496,000 757,371 0.0% Horiba, Ltd. 218,850 7,917,501 0.3% # Hosiden Corp. 264,400 1,433,385 0.1% I-Net Corp/Kanagawa 51,900 389,183 0.0% Icom, Inc. 47,900 1,179,268 0.1% # Ikegami Tsushinki Co., Ltd. 318,000 350,411 0.0% Imagica Robot Holdings, Inc. 53,800 232,569 0.0% Ines Corp. 202,300 1,674,962 0.1% # Infocom Corp. 82,700 636,430 0.0% Information Services International-Dentsu, Ltd. 78,100 827,416 0.0% Innotech Corp. 92,800 445,569 0.0% # Internet Initiative Japan, Inc. 191,400 3,360,645 0.1% # Iriso Electronics Co., Ltd. 49,700 3,386,507 0.1% # IT Holdings Corp. 519,701 8,491,586 0.4% Itfor, Inc. 56,300 238,323 0.0% Iwatsu Electric Co., Ltd. 515,000 416,381 0.0% Japan Aviation Electronics Industry, Ltd. 254,600 5,044,342 0.2% Japan Digital Laboratory Co., Ltd. 96,300 1,715,201 0.1% #* Japan Radio Co., Ltd. 335,000 1,197,754 0.1% Jastec Co., Ltd. 55,800 439,716 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Information Technology -- (Continued) # JBCC Holdings, Inc. 88,000 $ 608,608 0.0% #* Justsystems Corp. 165,300 1,247,165 0.1% # Kaga Electronics Co., Ltd. 116,400 1,340,816 0.1% Kanematsu Electronics, Ltd. 74,100 959,064 0.1% Koa Corp. 196,800 1,745,601 0.1% Koei Tecmo Holdings Co., Ltd. 122,730 2,038,460 0.1% Kyoden Co., Ltd. 1,300 2,334 0.0% Kyowa Electronics Instruments Co., Ltd. 139,000 579,120 0.0% # LAC Co., Ltd. 85,100 667,226 0.0% # Lasertec Corp. 23,500 294,025 0.0% #* Livesense, Inc. 59,900 448,411 0.0% # Macnica, Inc. 59,700 1,730,369 0.1% Marubun Corp. 98,500 630,871 0.0% Maruwa Co., Ltd. 53,800 1,593,866 0.1% # Marvelous, Inc. 202,000 2,355,630 0.1% Megachips Corp. 125,500 1,631,989 0.1% # Meiko Electronics Co., Ltd. 99,100 336,226 0.0% # Melco Holdings, Inc. 77,700 1,113,445 0.1% # Micronics Japan Co., Ltd. 83,500 4,250,288 0.2% Mimasu Semiconductor Industry Co., Ltd. 102,381 921,080 0.0% Miraial Co., Ltd. 30,700 472,694 0.0% Miroku Jyoho Service Co., Ltd. 99,500 550,662 0.0% Mitsubishi Research Institute, Inc. 27,600 627,098 0.0% Mitsui High-Tec, Inc. 155,100 929,573 0.0% # Mitsumi Electric Co., Ltd. 400,600 2,493,722 0.1% MTI, Ltd. 86,800 852,861 0.0% # Mutoh Holdings Co., Ltd. 101,000 483,895 0.0% Nagano Keiki Co., Ltd. 5,500 32,431 0.0% Nakayo, Inc. 407,000 1,280,830 0.1% NEC Networks & System Integration Corp. 140,600 3,054,905 0.1% # NET One Systems Co., Ltd. 541,100 3,154,000 0.1% * New Japan Radio Co., Ltd. 99,000 442,083 0.0% Nichicon Corp. 334,000 2,252,238 0.1% NIFTY Corp. 47,400 570,331 0.0% # Nihon Dempa Kogyo Co., Ltd. 105,700 835,390 0.0% Nihon Unisys, Ltd. 345,275 3,060,872 0.1% # Nippon Ceramic Co., Ltd. 64,000 926,697 0.0% * Nippon Chemi-Con Corp. 970,000 2,893,833 0.1% # Nippon Kodoshi Corp. 10,700 118,584 0.0% Nippon Signal Co., Ltd. (The) 319,600 3,115,407 0.1% Nippon Systemware Co., Ltd. 27,900 163,731 0.0% Nohmi Bosai, Ltd. 135,000 1,927,980 0.1% Noritsu Koki Co., Ltd. 79,000 439,079 0.0% NS Solutions Corp. 99,500 3,063,024 0.1% # NSD Co., Ltd. 164,800 2,430,440 0.1% # Nuflare Technology, Inc. 19,000 868,200 0.0% * Ohara, Inc. 47,600 246,551 0.0% # Oizumi Corp. 28,500 233,747 0.0% Okaya Electric Industries Co., Ltd. 73,000 258,638 0.0% Oki Electric Industry Co., Ltd. 4,385,000 10,188,368 0.4% ONO Sokki Co., Ltd. 58,200 498,948 0.0% Optex Co., Ltd. 70,500 1,238,952 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Information Technology -- (Continued) # Origin Electric Co., Ltd. 178,000 $ 674,118 0.0% # Osaki Electric Co., Ltd. 173,000 1,049,710 0.1% Panasonic Industrial Devices SUNX Co., Ltd. 114,800 617,729 0.0% Panasonic Information Systems 15,400 413,349 0.0% PCA Corp. 2,500 31,817 0.0% Riken Keiki Co., Ltd. 78,300 788,123 0.0% Riso Kagaku Corp. 92,900 2,809,234 0.1% Roland DG Corp. 49,600 2,093,625 0.1% Ryoden Trading Co., Ltd. 173,000 1,244,364 0.1% Ryosan Co., Ltd. 189,600 4,007,609 0.2% Ryoyo Electro Corp. 107,300 1,057,825 0.1% Sanken Electric Co., Ltd. 680,000 5,340,727 0.2% Sanshin Electronics Co., Ltd. 154,200 1,091,998 0.1% Satori Electric Co., Ltd. 85,680 556,525 0.0% Saxa Holdings, Inc. 307,000 435,170 0.0% # SCREEN Holdings Co., Ltd. 1,267,000 6,905,771 0.3% # Shibaura Electronics Co., Ltd. 22,700 495,650 0.0% # Shibaura Mechatronics Corp. 206,000 660,875 0.0% Shindengen Electric Manufacturing Co., Ltd. 431,000 2,807,710 0.1% #* Shinkawa, Ltd. 59,000 295,088 0.0% Shinko Electric Industries Co., Ltd. 426,200 2,474,893 0.1% Shinko Shoji Co., Ltd. 125,200 1,187,067 0.1% Shizuki Electric Co., Inc. 103,000 470,908 0.0% Siix Corp. 95,600 1,660,190 0.1% SMK Corp. 370,000 1,486,554 0.1% # SMS Co., Ltd. 76,300 2,221,515 0.1% # Softbank Technology Corp. 30,300 382,544 0.0% * Softbrain Co., Ltd. 161,300 305,926 0.0% SRA Holdings 48,900 668,015 0.0% Sumida Corp. 107,349 761,253 0.0% Sun-Wa Technos Corp. 29,400 302,465 0.0% Systena Corp. 120,000 905,832 0.0% # Tabuchi Electric Co., Ltd. 143,900 1,263,075 0.1% Tachibana Eletech Co., Ltd. 65,900 844,486 0.0% # Taiyo Yuden Co., Ltd. 661,300 6,797,894 0.3% # Tamura Corp. 460,000 1,733,853 0.1% #* Teac Corp. 615,000 318,000 0.0% Teikoku Tsushin Kogyo Co., Ltd. 204,000 325,087 0.0% TKC Corp. 107,700 2,114,285 0.1% # Toko, Inc. 199,000 530,010 0.0% # Tokyo Electron Device, Ltd. 37,200 483,290 0.0% Tokyo Seimitsu Co., Ltd. 236,800 3,853,327 0.2% Tomen Devices Corp. 2,400 38,160 0.0% # Tomen Electronics Corp. 61,000 899,751 0.0% Tose Co., Ltd. 22,100 142,414 0.0% Toshiba TEC Corp. 697,000 4,918,605 0.2% Toukei Computer Co., Ltd. 26,810 388,163 0.0% Towa Corp. 126,200 728,608 0.0% Toyo Corp. 135,400 1,240,936 0.1% # Transcosmos, Inc. 150,100 2,806,855 0.1% UKC Holdings Corp. 65,700 1,069,004 0.1% #* Ulvac, Inc. 253,000 3,150,487 0.1%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Information Technology -- (Continued) Uniden Corp. 377,000 $ 778,884 0.0% # UT Holdings Co., Ltd. 195,000 922,789 0.0% # Vitec Co., Ltd. 20,100 135,856 0.0% # Wacom Co., Ltd. 909,600 3,489,945 0.2% # Wellnet Corp. 31,500 495,624 0.0% Y A C Co., Ltd. 31,000 165,533 0.0% # Yamaichi Electronics Co., Ltd. 124,000 959,223 0.1% Yashima Denki Co., Ltd. 20,900 101,806 0.0% Yokowo Co., Ltd. 84,300 441,096 0.0% # Zappallas, Inc. 55,900 302,089 0.0% # Zuken, Inc. 66,300 587,585 0.0% ------------ ---- Total Information Technology 286,688,764 11.4% ------------ ---- Materials -- (9.6%) Achilles Corp. 925,000 1,270,726 0.1% ADEKA Corp. 530,500 6,847,875 0.3% # Agro-Kanesho Co., Ltd. 25,000 203,298 0.0% # Aichi Steel Corp. 671,000 2,413,256 0.1% Alconix Corp. 52,400 694,337 0.0% Arakawa Chemical Industries, Ltd. 85,900 879,820 0.0% # Araya Industrial Co., Ltd. 276,000 437,836 0.0% # Asahi Holdings, Inc. 152,750 2,542,854 0.1% Asahi Organic Chemicals Industry Co., Ltd. 399,000 930,563 0.0% Asahi Printing Co., Ltd. 800 16,218 0.0% C Uyemura & Co., Ltd. 20,500 975,015 0.0% Carlit Holdings Co., Ltd. 69,600 364,769 0.0% Chuetsu Pulp & Paper Co., Ltd. 568,000 920,329 0.0% * Chugai Mining Co., Ltd. 1,012,400 256,424 0.0% Chugoku Marine Paints, Ltd. 348,000 2,750,154 0.1% * Co-Op Chemical Co., Ltd. 110,000 103,777 0.0% Dai Nippon Toryo Co., Ltd. 723,000 1,015,070 0.1% # Daido Steel Co., Ltd. 217,000 832,466 0.0% # Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 13,400 589,470 0.0% # Daiken Corp. 401,000 902,451 0.0% Daiki Aluminium Industry Co., Ltd. 149,000 413,693 0.0% Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 399,000 2,164,182 0.1% Daio Paper Corp. 538,500 4,627,609 0.2% Daiso Co., Ltd. 415,000 1,353,501 0.1% DC Co., Ltd. 113,900 526,337 0.0% Denki Kagaku Kogyo K.K. 1,559,000 5,092,467 0.2% # DKS Co., Ltd. 213,000 800,333 0.0% Dynapac Co., Ltd. 25,000 58,971 0.0% # Earth Chemical Co., Ltd. 79,400 2,911,658 0.1% # FP Corp. 152,300 4,389,420 0.2% # Fuji Seal International, Inc. 134,000 4,039,240 0.2% Fujikura Kasei Co., Ltd. 144,600 748,399 0.0% Fujimi, Inc. 108,700 1,493,634 0.1% Fujimori Kogyo Co., Ltd. 74,900 2,068,078 0.1% # Fumakilla, Ltd. 54,000 169,628 0.0% Fuso Chemical Co., Ltd. 32,500 346,304 0.0% # Godo Steel, Ltd. 899,000 1,248,197 0.1% Gun-Ei Chemical Industry Co., Ltd. 285,000 880,916 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Materials -- (Continued) Harima Chemicals Group, Inc. 73,300 $ 312,589 0.0% Hodogaya Chemical Co., Ltd. 311,000 562,354 0.0% Hokkan Holdings, Ltd. 283,000 725,595 0.0% Hokko Chemical Industry Co., Ltd. 95,000 320,655 0.0% Hokuetsu Kishu Paper Co., Ltd. 872,099 3,629,381 0.2% Honshu Chemical Industry Co., Ltd. 14,000 124,218 0.0% # Ihara Chemical Industry Co., Ltd. 211,000 2,138,566 0.1% Ise Chemical Corp. 83,000 564,751 0.0% #* Ishihara Sangyo Kaisha, Ltd. 1,898,500 1,560,345 0.1% # Ishizuka Glass Co., Ltd. 119,000 171,896 0.0% JCU Corp. 25,800 1,073,076 0.1% # JSP Corp. 103,900 1,647,423 0.1% * Kanto Denka Kogyo Co., Ltd. 241,000 947,954 0.0% Katakura Chikkarin Co., Ltd. 43,000 99,310 0.0% Kawakin Holdings Co., Ltd. 11,000 26,571 0.0% # Kawasaki Kasei Chemicals, Ltd. 84,000 116,131 0.0% # Kimoto Co., Ltd. 229,000 641,671 0.0% Koatsu Gas Kogyo Co., Ltd. 163,493 869,779 0.0% # Kogi Corp. 55,000 119,048 0.0% Kohsoku Corp. 61,900 513,380 0.0% Konishi Co., Ltd. 88,500 1,527,472 0.1% Krosaki Harima Corp. 270,000 582,264 0.0% # Kumiai Chemical Industry Co., Ltd. 271,000 1,666,705 0.1% # Kureha Corp. 752,500 3,732,125 0.2% Kurimoto, Ltd. 702,000 1,437,507 0.1% # Kyoei Steel, Ltd. 104,800 1,744,319 0.1% Kyowa Leather Cloth Co., Ltd. 43,500 312,532 0.0% Lintec Corp. 312,600 6,526,618 0.3% MEC Co., Ltd. 91,900 938,078 0.0% Mitani Sekisan Co., Ltd. 18,300 318,332 0.0% * Mitsubishi Paper Mills, Ltd. 1,678,000 1,297,812 0.1% Mitsubishi Steel Manufacturing Co., Ltd. 856,000 1,891,979 0.1% Mitsui Mining & Smelting Co., Ltd. 3,666,000 9,724,344 0.4% # MORESCO Corp. 40,000 650,590 0.0% Mory Industries, Inc. 156,000 597,715 0.0% * Nakayama Steel Works, Ltd. 694,000 500,881 0.0% Neturen Co., Ltd. 163,900 1,172,579 0.1% #* New Japan Chemical Co., Ltd. 182,300 376,687 0.0% Nichia Steel Works, Ltd. 169,900 514,566 0.0% Nihon Kagaku Sangyo Co., Ltd. 73,000 489,967 0.0% Nihon Nohyaku Co., Ltd. 261,700 2,663,565 0.1% Nihon Parkerizing Co., Ltd. 275,800 6,583,269 0.3% Nihon Yamamura Glass Co., Ltd. 491,000 742,602 0.0% # Nippon Carbide Industries Co., Inc. 447,000 918,566 0.0% #* Nippon Chemical Industrial Co., Ltd. 491,000 723,523 0.0% Nippon Chutetsukan K.K. 113,000 249,155 0.0% # Nippon Concrete Industries Co., Ltd. 209,000 1,249,905 0.1% # Nippon Denko Co., Ltd. 672,414 1,688,928 0.1% Nippon Fine Chemical Co., Ltd. 85,600 659,430 0.0% Nippon Kasei Chemical Co., Ltd. 192,000 246,516 0.0% * Nippon Kinzoku Co., Ltd. 285,000 395,614 0.0% #* Nippon Koshuha Steel Co., Ltd. 458,000 468,846 0.0%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Materials -- (Continued) Nippon Light Metal Holdings Co., Ltd. 3,320,900 $4,904,631 0.2% Nippon Pillar Packing Co., Ltd. 117,000 929,194 0.0% Nippon Soda Co., Ltd. 896,000 5,102,254 0.2% Nippon Synthetic Chemical Industry Co., Ltd. (The) 289,000 1,764,530 0.1% # Nippon Valqua Industries, Ltd. 476,000 1,298,743 0.1% #* Nippon Yakin Kogyo Co., Ltd. 789,800 2,039,735 0.1% # Nisshin Steel Co., Ltd. 588,292 5,492,891 0.2% # Nitta Gelatin, Inc. 18,200 138,203 0.0% Nittetsu Mining Co., Ltd. 375,000 1,421,627 0.1% # Nitto FC Co., Ltd. 65,700 381,349 0.0% NOF Corp. 895,000 5,931,354 0.2% Okamoto Industries, Inc. 414,000 1,644,651 0.1% Okura Industrial Co., Ltd. 305,000 1,040,900 0.1% Osaka Organic Chemical Industry, Ltd. 66,000 285,572 0.0% Osaka Steel Co., Ltd. 83,200 1,493,133 0.1% # OSAKA Titanium Technologies Co., Ltd. 115,400 2,244,194 0.1% #* Pacific Metals Co., Ltd. 951,000 3,008,598 0.1% Pack Corp. (The) 79,200 1,636,003 0.1% #* Rasa Industries, Ltd. 468,000 570,820 0.0% # Rengo Co., Ltd. 1,352,000 5,951,576 0.2% Riken Technos Corp. 209,500 925,113 0.0% Sakai Chemical Industry Co., Ltd. 561,000 1,690,083 0.1% Sakata INX Corp. 242,000 2,476,373 0.1% Sanyo Chemical Industries, Ltd. 359,000 2,238,443 0.1% Sanyo Special Steel Co., Ltd. 661,300 2,269,651 0.1% Sekisui Plastics Co., Ltd. 259,000 702,223 0.0% Shikoku Chemicals Corp. 239,000 1,656,588 0.1% Shin-Etsu Polymer Co., Ltd. 195,800 916,181 0.0% Shinagawa Refractories Co., Ltd. 257,000 632,718 0.0% # Shinko Wire Co., Ltd. 184,000 287,550 0.0% Stella Chemifa Corp. 53,600 669,060 0.0% Sumitomo Bakelite Co., Ltd. 1,260,000 4,958,634 0.2% # Sumitomo Osaka Cement Co., Ltd. 2,682,000 8,383,958 0.3% # Sumitomo Seika Chemicals Co., Ltd. 281,000 1,723,834 0.1% T Hasegawa Co., Ltd. 128,000 1,965,806 0.1% # T&K Toka Co., Ltd. 37,500 838,114 0.0% # Taisei Lamick Co., Ltd. 27,600 674,707 0.0% Taiyo Holdings Co., Ltd. 102,700 3,346,849 0.1% Takasago International Corp. 436,000 2,086,551 0.1% Takiron Co., Ltd. 304,000 1,507,635 0.1% * Tanaka Chemical Corp. 1,100 4,301 0.0% Tayca Corp. 165,000 656,319 0.0% Tenma Corp. 81,900 1,139,852 0.1% # Toagosei Co., Ltd. 1,354,000 5,917,560 0.2% #* Toda Kogyo Corp. 220,000 807,085 0.0% Toho Zinc Co., Ltd. 801,000 2,743,309 0.1% Tokai Carbon Co., Ltd. 1,277,000 3,331,125 0.1% Tokushu Tokai Paper Co., Ltd. 551,580 1,284,617 0.1% Tokuyama Corp. 2,222,000 6,495,139 0.3% Tokyo Ohka Kogyo Co., Ltd. 147,300 4,154,384 0.2% * Tokyo Rope Manufacturing Co., Ltd. 475,000 738,371 0.0% # Tokyo Steel Manufacturing Co., Ltd. 654,900 3,513,143 0.2%
THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- Materials -- (Continued) Tokyo Tekko Co., Ltd. 240,000 $ 1,103,305 0.1% Tomoegawa Co., Ltd. 125,000 213,905 0.0% Tomoku Co., Ltd. 331,000 860,840 0.0% Topy Industries, Ltd. 1,152,000 2,227,261 0.1% Toyo Ink SC Holdings Co., Ltd. 1,109,000 5,115,245 0.2% Toyo Kohan Co., Ltd. 291,000 1,679,882 0.1% Toyobo Co., Ltd. 5,435,000 7,823,086 0.3% TYK Corp. 138,000 251,730 0.0% # UACJ Corp. 1,488,415 5,483,505 0.2% # Ube Industries, Ltd. 1,424,000 2,204,800 0.1% Wood One Co., Ltd. 169,000 433,769 0.0% Yodogawa Steel Works, Ltd. 744,500 2,913,147 0.1% Yotai Refractories Co., Ltd. 4,000 13,599 0.0% Yuki Gosei Kogyo Co., Ltd. 64,000 143,692 0.0% Yushiro Chemical Industry Co., Ltd. 62,500 787,587 0.0% -------------- ----- Total Materials 276,307,546 11.0% -------------- ----- Telecommunication Services -- (0.1%) #* Japan Communications, Inc. 732,100 3,208,535 0.1% Okinawa Cellular Telephone Co. 40,700 1,100,874 0.1% -------------- ----- Total Telecommunication Services 4,309,409 0.2% -------------- ----- Utilities -- (0.4%) # Hokkaido Gas Co., Ltd. 265,000 685,367 0.0% Hokuriku Gas Co., Ltd. 99,000 240,150 0.0% K&O Energy Group, Inc. 77,500 978,642 0.1% # Kyoei Sangyo Co., Ltd. 97,000 187,514 0.0% Okinawa Electric Power Co., Inc. (The) 93,671 2,856,665 0.1% Saibu Gas Co., Ltd. 1,835,000 4,469,689 0.2% Shizuoka Gas Co., Ltd. 307,000 2,011,490 0.1% -------------- ----- Total Utilities 11,429,517 0.5% -------------- ----- TOTAL COMMON STOCKS 2,488,894,536 99.3% -------------- ----- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (13.2%) (S)@ DFA Short Term Investment Fund 32,591,293 377,081,264 15.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,741,341,199) $2,865,975,800 114.4% ============== =====
THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 4,646,036 $ 507,244,072 -- $ 511,890,108 Consumer Staples 803,849 218,306,918 -- 219,110,767 Energy -- 25,847,200 -- 25,847,200 Financials 10,448,978 282,149,842 -- 292,598,820 Health Care -- 122,558,383 -- 122,558,383 Industrials -- 738,154,022 -- 738,154,022 Information Technology -- 286,688,764 -- 286,688,764 Materials -- 276,307,546 -- 276,307,546 Telecommunication Services -- 4,309,409 -- 4,309,409 Utilities -- 11,429,517 -- 11,429,517 Securities Lending Collateral -- 377,081,264 -- 377,081,264 ------------ -------------- -- -------------- TOTAL $15,898,863 $2,850,076,937 -- $2,865,975,800 ============ ============== == ==============
THE ASIA PACIFIC SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- COMMON STOCKS -- (78.7%) AUSTRALIA -- (41.6%) * AAT Corp., Ltd. 99 $ -- 0.0% * ABM Resources NL 289,660 84,117 0.0% # Acrux, Ltd. 563,561 540,530 0.0% # Adelaide Brighton, Ltd. 3,634,701 10,838,815 0.8% #* Aditya Birla Minerals, Ltd. 837,590 171,371 0.0% * AED Oil, Ltd. 363,401 -- 0.0% # Ainsworth Game Technology, Ltd. 794,467 2,131,485 0.2% #* AJ Lucas Group, Ltd. 317,969 198,649 0.0% #* Alchemia, Ltd. 321,672 28,101 0.0% #* Alkane Resources, Ltd. 1,255,636 249,690 0.0% * Alliance Resources, Ltd. 399,488 62,796 0.0% # ALS, Ltd. 332,003 1,644,206 0.1% Altium, Ltd. 133,544 362,014 0.0% * Altona Mining, Ltd. 1,108,169 235,830 0.0% AMA Group, Ltd. 15,236 4,250 0.0% Amalgamated Holdings, Ltd. 473,425 4,183,855 0.3% # Amcom Telecommunications, Ltd. 2,226,058 4,371,704 0.3% Ansell, Ltd. 544,496 9,550,805 0.7% #* Antares Energy, Ltd. 1,241,797 470,604 0.0% # AP Eagers, Ltd. 241,566 1,199,646 0.1% * APN News & Media, Ltd. 4,664,532 3,027,535 0.2% #* Aquarius Platinum, Ltd. 5,108,664 1,359,499 0.1% * Arafura Resources, Ltd. 226,113 11,892 0.0% # ARB Corp., Ltd. 461,424 5,352,545 0.4% # Aristocrat Leisure, Ltd. 3,124,863 17,765,461 1.2% Arrium, Ltd. 18,479,966 5,486,515 0.4% #* ASG Group, Ltd. 861,261 577,044 0.0% * Atlantic, Ltd. 21,276 1,229 0.0% # Atlas Iron, Ltd. 6,063,469 1,815,006 0.1% * Aurelia Metals, Ltd. 104,200 27,548 0.0% # Ausdrill, Ltd. 1,773,892 959,382 0.1% #* Ausenco, Ltd. 769,338 347,952 0.0% * Austal, Ltd. 1,182,442 1,334,880 0.1% # Austbrokers Holdings, Ltd. 234,374 2,109,845 0.2% # Austin Engineering, Ltd. 279,815 283,566 0.0% #* Australian Agricultural Co., Ltd. 2,421,174 2,994,135 0.2% # Australian Pharmaceutical Industries, Ltd. 2,474,051 1,763,096 0.1% Australian Vintage, Ltd. 4,096,187 1,436,851 0.1% Automotive Holdings Group, Ltd. 1,507,514 5,082,482 0.4% #* Avanco Resources, Ltd. 2,444,368 192,878 0.0% Aveo Group 31,857 58,069 0.0% AVJennings, Ltd. 7,259,050 4,035,646 0.3% * AWE, Ltd. 3,455,857 5,357,153 0.4% #* Bandanna Energy, Ltd. 337,935 18,735 0.0% # BC Iron, Ltd. 1,037,294 982,871 0.1% # Beach Energy, Ltd. 9,353,942 9,675,702 0.7% #* Beadell Resources, Ltd. 2,420,844 543,237 0.0% # Bega Cheese, Ltd. 476,491 2,170,120 0.2% # Bentham IMF, Ltd. 678,618 1,226,781 0.1% * Berkeley Resources, Ltd. 434,006 93,188 0.0% #* Billabong International, Ltd. 3,896,307 2,272,369 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- AUSTRALIA -- (Continued) * Bionomics, Ltd. 159,035 $ 75,578 0.0% # Blackmores, Ltd. 84,193 2,429,219 0.2% * BlueScope Steel, Ltd. 1,945,699 9,070,776 0.6% #* Boart Longyear, Ltd. 2,737,139 583,578 0.0% * Boom Logistics, Ltd. 986,820 131,476 0.0% * Boulder Steel, Ltd. 3,599 437 0.0% # Bradken, Ltd. 1,278,641 4,361,692 0.3% # Breville Group, Ltd. 762,269 4,577,118 0.3% # Brickworks, Ltd. 178,923 2,137,157 0.2% BT Investment Management, Ltd. 568,482 3,131,778 0.2% #* Buccaneer Energy, Ltd. 3,283,586 5,779 0.0% #* Buru Energy, Ltd. 292,049 176,189 0.0% # Cabcharge Australia, Ltd. 888,851 3,876,234 0.3% Calliden Group, Ltd. 389,687 159,989 0.0% # Cape Lambert Resources, Ltd. 726,958 66,416 0.0% * Capral, Ltd. 58,499 6,365 0.0% # Cardno, Ltd. 1,123,192 5,515,756 0.4% #* Carnarvon Petroleum, Ltd. 5,245,194 1,027,623 0.1% * Carnegie Wave Energy, Ltd. 563,165 25,536 0.0% # carsales.com, Ltd. 1,736,291 16,384,267 1.1% # Cash Converters International, Ltd. 2,213,222 2,122,860 0.2% * CDS Technologies, Ltd. 13,276 -- 0.0% # Cedar Woods Properties, Ltd. 316,495 1,927,935 0.1% * Centrebet International, Ltd. Claim Units 81,336 -- 0.0% Challenger, Ltd. 137,523 845,857 0.1% # Chandler Macleod Group, Ltd. 528,695 165,620 0.0% * ChemGenex Pharmaceuticals, Ltd. 115,291 -- 0.0% #* Clinuvel Pharmaceuticals, Ltd. 48,821 161,717 0.0% Clover Corp., Ltd. 434,207 146,347 0.0% * Coal of Africa, Ltd. 668,800 31,027 0.0% #* Coalspur Mines, Ltd. 39,320 811 0.0% * Cockatoo Coal, Ltd. 6,931,645 85,050 0.0% # Codan, Ltd. 400,153 280,524 0.0% * Coffey International, Ltd. 1,048,636 279,297 0.0% # Collection House, Ltd. 1,996,126 3,616,108 0.3% Collins Foods, Ltd. 274,220 539,224 0.0% * Comet Ridge, Ltd. 15,204 1,739 0.0% * Cooper Energy, Ltd. 336,842 122,069 0.0% Corporate Travel Management, Ltd. 164,264 1,306,705 0.1% Coventry Group, Ltd. 144,778 313,621 0.0% # Credit Corp. Group, Ltd. 110,382 937,582 0.1% # Crowe Horwath Australasia, Ltd. 1,365,816 615,706 0.0% CSG, Ltd. 787,944 848,154 0.1% CSR, Ltd. 3,291,003 10,072,540 0.7% CTI Logistics, Ltd. 7,200 10,900 0.0% #* Cudeco, Ltd. 399,317 486,912 0.0% * Cue Energy Resources, Ltd. 1,378,665 117,807 0.0% # Data#3, Ltd. 573,106 336,852 0.0% # Decmil Group, Ltd. 893,550 1,403,638 0.1% * Devine, Ltd. 497,498 436,972 0.0% # Domino's Pizza Enterprises, Ltd. 249,055 5,936,164 0.4% # Downer EDI, Ltd. 2,989,518 12,624,250 0.9%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- AUSTRALIA -- (Continued) * Dragon Mining, Ltd. 76,113 $ 6,028 0.0% #* Drillsearch Energy, Ltd. 3,446,607 3,599,146 0.3% DUET Group 611,176 1,322,922 0.1% DuluxGroup, Ltd. 3,082,903 14,569,397 1.0% # DWS, Ltd. 382,927 379,513 0.0% # Echo Entertainment Group, Ltd. 4,331,523 14,543,934 1.0% * EHG Corp., Ltd. 482 -- 0.0% #* Elders, Ltd. 2,271,874 339,582 0.0% #* Emeco Holdings, Ltd. 3,582,494 580,875 0.0% * Empire Oil & Gas NL 922,161 5,083 0.0% #* Energy Resources of Australia, Ltd. 1,169,153 1,310,873 0.1% #* Energy World Corp., Ltd. 4,308,665 1,337,784 0.1% * Enero Group, Ltd. 12,387 11,663 0.0% #* Equatorial Resources, Ltd. 92,971 21,952 0.0% # Equity Trustees, Ltd. 14,779 252,043 0.0% ERM Power, Ltd. 596,966 958,897 0.1% Ethane Pipeline Income Fund 182,912 186,361 0.0% Euroz, Ltd. 96,605 95,965 0.0% # Evolution Mining, Ltd. 2,670,374 1,409,957 0.1% Fairfax Media, Ltd. 14,676,907 10,549,342 0.7% Fantastic Holdings, Ltd. 335,900 513,563 0.0% #* FAR, Ltd. 8,139,266 718,318 0.1% Finbar Group, Ltd. 128,055 159,811 0.0% # Fleetwood Corp., Ltd. 406,195 620,917 0.1% # FlexiGroup, Ltd. 620,491 1,959,673 0.1% * Flinders Mines, Ltd. 7,896,335 138,114 0.0% #* Focus Minerals, Ltd. 19,167,915 167,176 0.0% Funtastic, Ltd. 14,936 705 0.0% # G8 Education, Ltd. 556,377 2,458,451 0.2% #* Galaxy Resources, Ltd. 760,450 25,427 0.0% Gazal Corp., Ltd. 75,960 181,246 0.0% #* Geodynamics, Ltd. 69,571 2,673 0.0% #* Gindalbie Metals, Ltd. 2,927,610 75,658 0.0% * Global Construction Services, Ltd. 4,832 1,874 0.0% Goodman Fielder, Ltd. 10,646,991 6,025,166 0.4% # GrainCorp, Ltd. Class A 1,240,760 9,596,665 0.7% # Grange Resources, Ltd. 1,724,297 208,086 0.0% # Greencross, Ltd. 99,823 753,760 0.1% #* Greenland Minerals & Energy, Ltd. 796,390 53,250 0.0% #* Gryphon Minerals, Ltd. 1,931,531 146,445 0.0% # GUD Holdings, Ltd. 688,478 4,357,893 0.3% #* Gunns, Ltd. 2,872,620 -- 0.0% # GWA Group, Ltd. 2,101,701 5,058,626 0.4% Hansen Technologies, Ltd. 26,098 35,950 0.0% # HFA Holdings, Ltd. 260,589 317,652 0.0% * Highlands Pacific, Ltd. 2,162,681 90,459 0.0% * Hillgrove Resources, Ltd. 200,146 96,338 0.0% # Hills, Ltd. 1,315,510 1,540,303 0.1% #* Horizon Oil, Ltd. 6,888,387 1,804,088 0.1% * Icon Energy, Ltd. 1,135,301 120,129 0.0% * IDM International, Ltd. 23,969 -- 0.0% # iiNET, Ltd. 1,110,524 7,836,764 0.5%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- AUSTRALIA -- (Continued) # Imdex, Ltd. 1,225,370 $ 648,842 0.1% Independence Group NL 1,827,105 7,316,662 0.5% #* Indophil Resources NL 3,118,946 757,730 0.1% #* Infigen Energy 2,081,316 490,607 0.0% Infomedia, Ltd. 1,965,388 2,072,407 0.1% Integrated Research, Ltd. 336,657 290,722 0.0% #* Intrepid Mines, Ltd. 1,794,707 348,600 0.0% # Invocare, Ltd. 894,310 9,542,450 0.7% # IOOF Holdings, Ltd. 1,906,008 15,203,012 1.1% # Iress, Ltd. 1,080,718 9,403,408 0.7% * iSelect, Ltd. 36,578 44,632 0.0% # JB Hi-Fi, Ltd. 860,733 11,852,634 0.8% Jumbo Interactive, Ltd. 95,098 100,345 0.0% * Jupiter Mines, Ltd. 405,443 74,926 0.0% K&S Corp., Ltd. 250,643 338,656 0.0% * Kangaroo Resources, Ltd. 281,470 2,477 0.0% #* Karoon Gas Australia, Ltd. 759,802 1,984,868 0.1% #* Kingsgate Consolidated, Ltd. 1,768,531 1,128,322 0.1% * Kingsrose Mining, Ltd. 760,046 239,898 0.0% * Lednium, Ltd. 195,019 -- 0.0% #* Liquefied Natural Gas, Ltd. 366,175 1,219,885 0.1% LogiCamms, Ltd. 38,305 26,246 0.0% #* Lonestar Resources, Ltd. 1,156,166 355,848 0.0% Lycopodium, Ltd. 80,228 113,396 0.0% #* Lynas Corp., Ltd. 3,390,978 194,426 0.0% # M2 Group, Ltd. 1,270,142 8,813,121 0.6% MACA, Ltd. 603,625 689,334 0.1% * Macmahon Holdings, Ltd. 6,319,933 549,291 0.0% # Macquarie Atlas Roads Group 544,465 1,457,137 0.1% Macquarie Telecom Group, Ltd. 35,019 164,488 0.0% # Magellan Financial Group, Ltd. 439,175 5,213,477 0.4% * Matrix Composites & Engineering, Ltd. 167,126 130,978 0.0% #* Maverick Drilling & Exploration, Ltd. 907,264 141,822 0.0% # MaxiTRANS Industries, Ltd. 942,578 510,924 0.0% #* Mayne Pharma Group, Ltd. 2,931,895 1,961,047 0.1% # McMillan Shakespeare, Ltd. 419,281 3,967,650 0.3% McPherson's, Ltd. 473,986 512,722 0.0% #* Medusa Mining, Ltd. 1,214,094 635,699 0.1% Melbourne IT, Ltd. 454,822 559,200 0.0% #* MEO Australia, Ltd. 681,039 11,830 0.0% Mermaid Marine Australia, Ltd. 2,253,544 3,688,824 0.3% #* Mesoblast, Ltd. 99,585 368,685 0.0% #* Metals X, Ltd. 1,428,029 259,824 0.0% # Metcash, Ltd. 4,422,950 11,046,633 0.8% * Metgasco, Ltd. 48,452 2,432 0.0% * Metminco, Ltd. 319,401 3,046 0.0% Mincor Resources NL 1,076,331 585,351 0.0% #* Mineral Deposits, Ltd. 466,063 560,857 0.0% # Mineral Resources, Ltd. 1,202,488 9,013,856 0.6% #* Molopo Energy, Ltd. 1,186,993 168,383 0.0% # Monadelphous Group, Ltd. 707,732 7,849,897 0.5% * Morning Star Gold NL 332,749 6,149 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- AUSTRALIA -- (Continued) Mortgage Choice, Ltd. 695,144 $ 1,609,425 0.1% # Mount Gibson Iron, Ltd. 4,616,924 1,834,538 0.1% # Myer Holdings, Ltd. 4,168,808 7,079,608 0.5% # MyState, Ltd. 171,461 691,629 0.1% * Nanosonics, Ltd. 125,464 108,180 0.0% # Navitas, Ltd. 1,467,242 6,856,774 0.5% #* Nearmap, Ltd. 760,353 462,832 0.0% # New Hope Corp., Ltd. 139,183 275,459 0.0% #* Newsat, Ltd. 1,680,867 281,940 0.0% #* Nexus Energy, Ltd. 6,106,883 52,397 0.0% # NIB Holdings, Ltd. 2,712,998 7,818,566 0.5% Nick Scali, Ltd. 170,701 419,536 0.0% #* Noble Mineral Resources, Ltd. 405,717 -- 0.0% * Northern Iron, Ltd. 692,729 30,950 0.0% # Northern Star Resources, Ltd. 4,948,523 4,772,506 0.3% # NRW Holdings, Ltd. 1,922,096 1,286,583 0.1% # Nufarm, Ltd. 1,162,706 5,072,682 0.4% Oakton, Ltd. 394,790 657,199 0.1% * OM Holdings, Ltd. 29,193 11,124 0.0% #* Orocobre, Ltd. 401,382 970,491 0.1% # OrotonGroup, Ltd. 131,885 440,328 0.0% * Otto Energy, Ltd. 1,936,175 163,454 0.0% # OZ Minerals, Ltd. 2,263,016 7,776,456 0.5% # Pacific Brands, Ltd. 6,272,734 2,606,601 0.2% #* Paladin Energy, Ltd. 6,066,325 1,739,634 0.1% * Pan Pacific Petroleum NL 154,402 5,806 0.0% PanAust, Ltd. 3,208,104 4,864,720 0.3% Panoramic Resources, Ltd. 1,834,198 978,092 0.1% #* PaperlinX, Ltd. 2,360,419 125,581 0.0% Patties Foods, Ltd. 42,099 48,081 0.0% Peet, Ltd. 1,530,686 1,633,120 0.1% * Peninsula Energy, Ltd. 5,178,834 112,198 0.0% # Perpetual, Ltd. 359,597 14,703,016 1.0% #* Perseus Mining, Ltd. 3,129,961 853,853 0.1% * Pharmaxis, Ltd. 117,873 5,794 0.0% * Phosphagenics, Ltd. 1,842,963 127,832 0.0% #* Platinum Australia, Ltd. 1,442,661 7,617 0.0% * Pluton Resources, Ltd. 20,710 620 0.0% * PMP, Ltd. 2,395,607 1,020,672 0.1% #* Poseidon Nickel, Ltd. 496,461 71,200 0.0% Premier Investments, Ltd. 573,267 5,439,238 0.4% #* Prima Biomed, Ltd. 2,194,242 75,776 0.0% Primary Health Care, Ltd. 3,240,864 13,281,170 0.9% # Prime Media Group, Ltd. 2,068,874 1,557,931 0.1% Programmed Maintenance Services, Ltd. 773,591 1,770,966 0.1% * Qantas Airways, Ltd. 4,914,897 7,343,406 0.5% # Qube Holdings, Ltd. 1,151,399 2,490,692 0.2% * Quickstep Holdings, Ltd. 255,575 49,415 0.0% #* Ramelius Resources, Ltd. 872,209 36,075 0.0% #* Range Resources, Ltd. 1,456,711 19,641 0.0% # RCG Corp., Ltd. 153,013 82,770 0.0% RCR Tomlinson, Ltd. 1,086,285 2,609,561 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- AUSTRALIA -- (Continued) # REA Group, Ltd. 93,073 $ 3,726,744 0.3% # Reckon, Ltd. 366,718 591,031 0.0% * Red 5, Ltd. 9,022 646 0.0% #* Red Fork Energy, Ltd. 2,658,133 52,013 0.0% Redflex Holdings, Ltd. 377,855 385,305 0.0% Reece Australia, Ltd. 238,257 6,983,909 0.5% # Regis Resources, Ltd. 2,528,651 3,070,793 0.2% # Reject Shop, Ltd. (The) 237,473 1,732,537 0.1% #* Resolute Mining, Ltd. 4,105,110 1,155,999 0.1% * Resource Generation, Ltd. 338,381 37,929 0.0% # Retail Food Group, Ltd. 882,160 4,331,301 0.3% #* Rex Minerals, Ltd. 469,315 90,932 0.0% Ridley Corp., Ltd. 1,357,526 1,050,710 0.1% * RiverCity Motorway Group 1,563,354 -- 0.0% * Roc Oil Co., Ltd. 6,490,268 3,897,134 0.3% * RungePincockMinarco, Ltd. 30,702 16,499 0.0% # Ruralco Holdings, Ltd. 119,306 365,633 0.0% SAI Global, Ltd. 1,590,543 5,757,297 0.4% # Salmat, Ltd. 664,807 802,138 0.1% #* Samson Oil & Gas, Ltd. 7,175,499 110,503 0.0% # Sandfire Resources NL 558,540 2,771,581 0.2% * Saracen Mineral Holdings, Ltd. 5,262,040 1,319,719 0.1% Schaffer Corp., Ltd. 33,766 172,002 0.0% # Sedgman, Ltd. 452,719 196,459 0.0% # Select Harvests, Ltd. 465,355 2,583,544 0.2% #* Senex Energy, Ltd. 6,628,560 3,173,311 0.2% # Servcorp, Ltd. 316,662 1,451,943 0.1% * Service Stream, Ltd. 1,693,203 268,203 0.0% # Seven Group Holdings, Ltd. 551,384 3,326,237 0.2% # Seven West Media, Ltd. 4,212,289 6,369,076 0.4% Seymour Whyte, Ltd. 8,690 11,456 0.0% Sigma Pharmaceuticals, Ltd. 7,443,934 5,071,685 0.4% #* Silex Systems, Ltd. 511,695 261,932 0.0% # Silver Chef, Ltd. 80,261 420,375 0.0% #* Silver Lake Resources, Ltd. 2,836,778 686,500 0.1% # Sims Metal Management, Ltd. 1,378,490 13,761,961 1.0% # Sirtex Medical, Ltd. 409,434 9,401,832 0.7% Skilled Group, Ltd. 1,388,531 2,835,466 0.2% Slater & Gordon, Ltd. 1,049,190 5,668,739 0.4% # SMS Management & Technology, Ltd. 578,580 2,010,401 0.1% # Southern Cross Electrical Engineering, Ltd. 21,171 9,636 0.0% # Southern Cross Media Group, Ltd. 3,509,817 3,026,766 0.2% Spark Infrastructure Group 10,691,774 17,972,704 1.2% Specialty Fashion Group, Ltd. 809,557 593,202 0.0% #* St Barbara, Ltd. 2,671,044 258,557 0.0% #* Starpharma Holdings, Ltd. 182,185 99,876 0.0% * Strike Energy, Ltd. 1,471,668 128,415 0.0% Structural Systems, Ltd. 29,934 15,934 0.0% # STW Communications Group, Ltd. 2,297,464 2,296,217 0.2% * Sundance Energy Australia, Ltd. 2,586,243 2,660,701 0.2% #* Sundance Resources, Ltd. 8,756,539 469,904 0.0% # Sunland Group, Ltd. 751,248 1,123,159 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- AUSTRALIA -- (Continued) # Super Retail Group, Ltd. 1,291,875 $ 8,382,739 0.6% Swick Mining Services, Ltd. 106,166 25,004 0.0% Tabcorp Holdings, Ltd. 2,426,529 8,716,499 0.6% * Tap Oil, Ltd. 1,524,091 825,955 0.1% Tassal Group, Ltd. 880,893 2,861,380 0.2% # Technology One, Ltd. 1,581,872 4,670,710 0.3% #* Ten Network Holdings, Ltd. 10,842,364 2,119,538 0.2% # TFS Corp., Ltd. 1,807,881 2,505,775 0.2% # Thorn Group, Ltd. 410,570 919,189 0.1% * Tiger Resources, Ltd. 6,540,922 1,489,793 0.1% * Toro Energy, Ltd. 70,156 5,077 0.0% # Tox Free Solutions, Ltd. 892,900 1,915,364 0.1% # TPG Telecom, Ltd. 1,231,044 7,970,965 0.6% * Transfield Services, Ltd. 3,180,086 5,368,821 0.4% # Transpacific Industries Group, Ltd. 9,657,560 7,675,573 0.5% # Treasury Group, Ltd. 21,218 194,409 0.0% Treasury Wine Estates, Ltd. 611,191 2,495,468 0.2% * Tribune Resources, Ltd. 3,093 8,263 0.0% #* Troy Resources, Ltd. 998,191 518,260 0.0% #* UGL, Ltd. 1,220,877 7,551,660 0.5% * Unity Mining, Ltd. 2,433,889 18,837 0.0% # UXC, Ltd. 1,887,091 1,400,059 0.1% * Venture Minerals, Ltd. 412,390 20,711 0.0% Villa World, Ltd. 200,386 339,257 0.0% # Village Roadshow, Ltd. 855,994 5,302,307 0.4% * Virgin Australia Holdings, Ltd. (ACI01NXR8) 7,648,897 -- 0.0% #* Virgin Australia Holdings, Ltd. (B43DQC7) 10,380,644 3,520,962 0.2% Vision Eye Institute, Ltd. 458,235 303,678 0.0% # Vocus Communications, Ltd. 525,024 2,739,041 0.2% Watpac, Ltd. 766,614 565,766 0.0% # WDS, Ltd. 416,110 89,250 0.0% # Webjet, Ltd. 493,616 1,492,069 0.1% # Webster, Ltd. 180,921 181,788 0.0% # Western Areas, Ltd. 1,407,558 5,398,671 0.4% #* Western Desert Resources, Ltd. 241,493 30,815 0.0% #* White Energy Co., Ltd. 643,913 86,044 0.0% #* Whitehaven Coal, Ltd. 4,029,821 5,404,479 0.4% Wide Bay Australia, Ltd. 89,119 417,144 0.0% * Wollongong Coal, Ltd. 119,865 1,736 0.0% # Wotif.com Holdings, Ltd. 769,418 2,057,679 0.1% ------------ ---- TOTAL AUSTRALIA 765,879,800 52.7% ------------ ---- BERMUDA -- (0.0%) * Poly Capital Holdings, Ltd. 1,442,500 26,808 0.0% ------------ ---- CHINA -- (0.2%) * Goldin Properties Holdings, Ltd. 3,044,000 1,851,070 0.1% Hopewell Highway Infrastructure, Ltd. 147,075 71,129 0.0% * Superb Summit International Group, Ltd. 1,582,600 341,013 0.0% * Technovator International, Ltd. 1,228,000 547,243 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- CHINA -- (Continued) Zhuhai Holdings Investment Group, Ltd. 1,618,000 $ 308,881 0.0% ---------- --- TOTAL CHINA 3,119,336 0.2% ---------- --- HONG KONG -- (20.7%) Aeon Credit Service Asia Co., Ltd. 580,000 474,137 0.0% Aeon Stores Hong Kong Co., Ltd. 248,000 310,234 0.0% Alco Holdings, Ltd. 1,426,000 310,733 0.0% Allan International Holdings 720,000 202,959 0.0% Allied Group, Ltd. 683,200 2,801,510 0.2% Allied Properties HK, Ltd. 12,297,857 2,362,172 0.2% * Anxian Yuan China Holdings, Ltd. 3,100,000 64,372 0.0% * Apac Resources, Ltd. 11,438,000 286,462 0.0% APT Satellite Holdings, Ltd. 1,979,500 2,897,516 0.2% Arts Optical International Hldgs 730,000 324,749 0.0% Asia Financial Holdings, Ltd. 2,474,908 1,024,167 0.1% Asia Satellite Telecommunications Holdings, Ltd. 962,000 3,350,909 0.2% Asia Standard Hotel Group, Ltd. 11,777,218 1,702,453 0.1% Asia Standard International Group, Ltd. 13,425,937 3,274,570 0.2% # ASM Pacific Technology, Ltd. 5,600 61,711 0.0% Associated International Hotels, Ltd. 980,000 2,874,407 0.2% Aupu Group Holding Co., Ltd. 3,132,000 524,901 0.0% * Bel Global Resources Holdings, Ltd. 2,576,000 -- 0.0% # Bonjour Holdings, Ltd. 12,960,600 1,623,588 0.1% Bossini International Hldg 3,807,500 373,233 0.0% #* Brightoil Petroleum Holdings, Ltd. 9,674,000 3,067,527 0.2% #* Brockman Mining, Ltd. 23,482,814 1,014,532 0.1% * Burwill Holdings, Ltd. 26,622,960 980,334 0.1% # Cafe de Coral Holdings, Ltd. 1,902,000 6,819,682 0.5% CEC International Holdings, Ltd. 362,000 130,417 0.0% Century City International Holdings, Ltd. 6,419,460 471,909 0.0% Champion Technology Holdings, Ltd. 15,193,089 335,938 0.0% Chen Hsong Holdings 1,212,000 348,363 0.0% Cheuk Nang Holdings, Ltd. 601,503 528,367 0.0% * Cheung Wo International Holdings, Ltd. 690,000 48,936 0.0% Chevalier International Holdings, Ltd. 786,834 1,275,001 0.1% * China Billion Resources, Ltd. 4,876,000 -- 0.0% #* China Daye Non-Ferrous Metals Mining, Ltd. 14,889,837 319,251 0.0% * China Digicontent Co., Ltd. 2,710,000 -- 0.0% #* China Dynamics Holdings, Ltd. 500,000 63,939 0.0% China Electronics Corp. Holdings Co., Ltd. 5,310,250 1,678,616 0.1% * China Energy Development Holdings, Ltd. 49,002,000 1,460,023 0.1% * China Environmental Investment Holdings, Ltd. 1,630,000 75,716 0.0% China Financial Services Holdings, Ltd. 954,000 55,997 0.0% * China Flavors & Fragrances Co., Ltd. 156,137 23,377 0.0% * China Infrastructure Investment, Ltd. 7,776,000 165,210 0.0% China Metal International Holdings, Inc. 2,748,000 974,143 0.1% # China Motor Bus Co., Ltd. 50,000 612,179 0.1% * China Nuclear Industry 23 International Corp., Ltd. 90,000 12,296 0.0% * China Renji Medical Group, Ltd. 1,006,350 44,153 0.0% * China Solar Energy Holdings, Ltd. 1,669,500 7,266 0.0% * China Star Entertainment, Ltd. 47,600,000 724,371 0.1% * China Strategic Holdings, Ltd. 12,585,000 245,316 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- HONG KONG -- (Continued) China Ting Group Holdings, Ltd. 2,443,151 $ 127,489 0.0% * China Tycoon Beverage Holdings, Ltd. 2,732,000 98,671 0.0% China-Hongkong Photo Products Holdings, Ltd. 1,967,000 129,424 0.0% Chinney Investments, Ltd. 1,144,000 191,717 0.0% Chong Hing Bank, Ltd. 12,127 26,881 0.0% # Chow Sang Sang Holdings International, Ltd. 2,253,000 5,575,731 0.4% Chu Kong Shipping Enterprise Group Co., Ltd. 2,514,000 625,885 0.1% Chuang's China Investments, Ltd. 3,700,938 238,391 0.0% Chuang's Consortium International, Ltd. 6,030,730 738,621 0.1% Chun Wo Development Holdings, Ltd. 1,852,926 284,445 0.0% # CITIC Telecom International Holdings, Ltd. 10,730,125 4,290,816 0.3% CK Life Sciences International Holdings, Inc. 21,170,000 2,238,086 0.2% CNT Group, Ltd. 8,315,264 434,868 0.0% * COL Capital, Ltd. 2,209,840 733,773 0.1% Convenience Retail Asia, Ltd. 42,000 28,016 0.0% * CP Lotus Corp. 11,420,000 272,238 0.0% # Cross-Harbour Holdings, Ltd. (The) 691,520 638,971 0.1% CSI Properties, Ltd. 36,316,383 1,570,313 0.1% * CST Mining Group, Ltd. 104,160,000 577,133 0.0% Cw Group Holdings, Ltd. 1,936,000 720,816 0.1% Dah Sing Banking Group, Ltd. 3,434,316 6,239,910 0.4% Dah Sing Financial Holdings, Ltd. 1,208,544 7,525,263 0.5% * Dan Form Holdings Co., Ltd. 3,668,260 364,325 0.0% Dickson Concepts International, Ltd. 1,258,000 659,333 0.1% * Dingyi Group Investment, Ltd. 3,797,500 242,389 0.0% Dorsett Hospitality International, Ltd. 4,765,200 841,710 0.1% Eagle Nice International Holdings, Ltd. 1,116,000 215,951 0.0% EcoGreen Fine Chemicals Group, Ltd. 1,202,000 355,940 0.0% * EganaGoldpfeil Holdings, Ltd. 4,121,757 -- 0.0% Emperor Capital Group, Ltd. 1,962,000 103,843 0.0% # Emperor Entertainment Hotel, Ltd. 4,440,000 1,334,003 0.1% # Emperor International Holdings, Ltd. 8,186,753 1,785,067 0.1% Emperor Watch & Jewellery, Ltd. 26,410,000 1,209,643 0.1% * ENM Holdings, Ltd. 15,112,000 907,655 0.1% * Enviro Energy International Holdings, Ltd. 3,906,000 62,692 0.0% * EPI Holdings, Ltd. 5,109,927 114,685 0.0% # Esprit Holdings, Ltd. 13,739,550 17,211,169 1.2% * eSun Holdings, Ltd. 4,472,000 496,175 0.0% * Ezcom Holdings, Ltd. 72,576 -- 0.0% Fairwood Holdings, Ltd. 629,600 1,418,995 0.1% Far East Consortium International, Ltd. 6,386,772 2,373,144 0.2% * FIH Mobile, Ltd. 121,000 64,463 0.0% Fountain SET Holdings, Ltd. 4,898,000 568,322 0.0% Four Seas Mercantile Holdings, Ltd. 628,000 367,653 0.0% * Frontier Services Group, Ltd. 823,000 155,970 0.0% Fujikon Industrial Holdings, Ltd. 736,000 148,077 0.0% # Future Bright Holdings, Ltd. 3,270,000 1,253,146 0.1% * G-Resources Group, Ltd. 147,663,600 3,609,548 0.3% * GCL New Energy Holdings, Ltd. 1,412,000 958,025 0.1% Get Nice Holdings, Ltd. 25,144,000 1,150,668 0.1% # Giordano International, Ltd. 9,320,000 4,747,979 0.3% * Global Brands Group Holding, Ltd. 9,172,000 2,020,876 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- HONG KONG -- (Continued) Glorious Sun Enterprises, Ltd. 2,702,000 $ 588,690 0.0% Gold Peak Industries Holding, Ltd. 3,118,642 289,239 0.0% Golden Resources Development International, Ltd. 3,330,500 197,378 0.0% * Good Fellow Resources Holdings, Ltd. 440,000 28,386 0.0% * Grande Holdings, Ltd. (The) 882,000 8,757 0.0% Great Eagle Holdings, Ltd. 72,627 244,469 0.0% Guangnan Holdings, Ltd. 2,433,600 398,656 0.0% # Guotai Junan International Holdings, Ltd. 4,251,599 2,969,833 0.2% # Haitong International Securities Group, Ltd. 4,089,968 2,435,781 0.2% * Hao Tian Development Group, Ltd. 6,648,000 428,642 0.0% Harbour Centre Development, Ltd. 963,500 1,752,534 0.1% * Heng Fai Enterprises, Ltd. 440,000 19,026 0.0% High Fashion International, Ltd. 268,000 103,011 0.0% HKR International, Ltd. 5,934,336 2,868,541 0.2% Hon Kwok Land Investment Co., Ltd. 314,800 109,663 0.0% * Hong Fok Land, Ltd. 1,210,000 -- 0.0% # Hong Kong Aircraft Engineering Co., Ltd. 88,400 971,267 0.1% Hong Kong Ferry Holdings Co., Ltd. 838,300 959,780 0.1% * Hong Kong Television Network, Ltd. 2,401,751 957,169 0.1% Hongkong & Shanghai Hotels (The) 1,300,055 2,058,724 0.2% # Hongkong Chinese, Ltd. 5,186,000 1,225,004 0.1% Hop Hing Group Holdings, Ltd. 1,292,000 28,785 0.0% Hopewell Holdings, Ltd. 2,973,000 10,569,755 0.7% # Hsin Chong Construction Group, Ltd. 6,085,658 753,326 0.1% Hung Hing Printing Group, Ltd. 2,706,000 394,433 0.0% # Hutchison Telecommunications Hong Kong Holdings, Ltd. 10,930,000 4,356,435 0.3% * I-CABLE Communications, Ltd. 2,343,000 211,706 0.0% * Imagi International Holdings, Ltd. 53,944,000 1,571,789 0.1% * Integrated Waste Solutions Group Holdings, Ltd. 4,000,000 242,677 0.0% * International Standard Resources Holdings, Ltd. 15,176,250 870,981 0.1% iOne Holdings, Ltd. 5,280,000 187,292 0.0% IPE Group, Ltd. 3,230,000 299,828 0.0% * IRC, Ltd. 7,336,000 567,950 0.0% IT, Ltd. 4,034,532 1,211,779 0.1% ITC Corp., Ltd. 947,396 73,348 0.0% ITC Properties Group, Ltd. 4,035,162 2,031,025 0.1% * Jinhui Holdings Co., Ltd. 121,000 21,688 0.0% Johnson Electric Holdings, Ltd. 1,689,750 5,720,315 0.4% # K Wah International Holdings, Ltd. 8,182,877 5,132,709 0.4% Ka Shui International Holdings, Ltd. 550,000 93,169 0.0% Kam Hing International Holdings, Ltd. 1,830,000 136,965 0.0% Kantone Holdings, Ltd. 10,123,647 125,070 0.0% # Keck Seng Investments 904,600 804,197 0.1% * King Pacific International Holdings, Ltd. 1,404,200 -- 0.0% * King Stone Energy Group, Ltd. 3,144,000 100,989 0.0% Kingmaker Footwear Holdings, Ltd. 1,532,955 256,761 0.0% Kingston Financial Group, Ltd. 18,773,000 2,227,316 0.2% * Ko Yo Chemical Group, Ltd. 3,160,000 774,828 0.1% Kowloon Development Co., Ltd. 2,471,000 2,953,899 0.2% # L'Occitane International SA 587,750 1,387,809 0.1% * Lai Sun Development Co., Ltd. 79,047,466 2,027,215 0.1% * Lai Sun Garment International, Ltd. 3,419,680 512,168 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- HONG KONG -- (Continued) Lam Soon Hong Kong, Ltd. 302,310 $ 269,450 0.0% * Landsea Green Properties Co., Ltd. 812,000 70,198 0.0% * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 -- 0.0% Lee's Pharmaceutical Holdings, Ltd. 621,000 852,007 0.1% Lerado Group Holding Co., Ltd. 2,674,000 403,476 0.0% # Lifestyle International Holdings, Ltd. 1,084,000 2,048,216 0.1% Lippo China Resources, Ltd. 21,222,000 985,579 0.1% Lippo, Ltd. 1,195,700 711,501 0.1% * Lisi Group Holdings, Ltd. 3,418,000 196,047 0.0% # Liu Chong Hing Investment, Ltd. 1,193,200 1,509,273 0.1% Luen Thai Holdings, Ltd. 1,207,000 246,099 0.0% # Luk Fook Holdings International, Ltd. 2,792,000 8,306,888 0.6% Luks Group Vietnam Holdings Co., Ltd. 482,913 130,753 0.0% Lung Kee Bermuda Holdings 1,613,875 486,332 0.0% Magnificent Estates 13,558,000 646,743 0.1% # Man Wah Holdings, Ltd. 2,817,200 4,207,795 0.3% Man Yue Technology Holdings, Ltd. 1,104,000 247,286 0.0% Matrix Holdings, Ltd. 1,067,414 319,452 0.0% * Mei Ah Entertainment Group, Ltd. 21,460,000 1,909,585 0.1% Melbourne Enterprises, Ltd. 40,500 722,643 0.1% Melco International Development, Ltd. 3,620,000 9,838,366 0.7% #* Midland Holdings, Ltd. 5,334,000 2,621,915 0.2% Ming Fai International Holdings, Ltd. 1,765,000 182,183 0.0% * Ming Fung Jewellery Group, Ltd. 21,315,000 236,676 0.0% # Miramar Hotel & Investment 870,000 1,098,424 0.1% * Mongolia Energy Corp., Ltd. 7,571,000 166,024 0.0% #* Mongolian Mining Corp. 10,236,000 924,501 0.1% # NagaCorp, Ltd. 7,114,000 5,981,922 0.4% Nanyang Holdings, Ltd. 137,500 695,340 0.1% National Electronic Hldgs 2,498,000 319,012 0.0% Natural Beauty Bio-Technology, Ltd. 4,040,000 333,355 0.0% * Neo-Neon Holdings, Ltd. 2,863,500 461,340 0.0% * Neptune Group, Ltd. 22,260,000 505,486 0.0% New Century Group Hong Kong, Ltd. 13,351,464 248,126 0.0% * New Times Energy Corp., Ltd. 1,297,600 61,118 0.0% # Newocean Energy Holdings, Ltd. 7,470,000 3,518,960 0.3% Next Media, Ltd. 4,421,183 422,261 0.0% * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 8,749,706 689,069 0.1% Orient Overseas International, Ltd. 1,023,000 5,801,896 0.4% * Orient Power Holdings, Ltd. 804,000 -- 0.0% # Oriental Watch Holdings 3,160,800 706,046 0.1% Pacific Andes International Holdings, Ltd. 13,075,378 548,091 0.0% # Pacific Basin Shipping, Ltd. 12,866,000 6,158,293 0.4% # Pacific Textiles Holdings, Ltd. 4,208,000 5,663,584 0.4% Paliburg Holdings, Ltd. 3,152,830 1,032,746 0.1% * Pan Asia Environmental Protection Group, Ltd. 80,000 17,063 0.0% # Paradise Entertainment, Ltd. 3,464,000 1,433,930 0.1% PCCW, Ltd. 8,022,879 5,110,624 0.4% #* Peace Mark Holdings, Ltd. 2,712,022 -- 0.0% * Pearl Oriental Oil, Ltd. 11,918,400 336,850 0.0% Pegasus International Holdings, Ltd. 226,000 32,645 0.0% Perfect Shape PRC Holdings, Ltd. 912,000 175,301 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- HONG KONG -- (Continued) # Pico Far East Holdings, Ltd. 4,928,000 $1,220,412 0.1% * Ping Shan Tea Group, Ltd. 2,633,325 24,784 0.0% Playmates Holdings, Ltd. 696,000 745,499 0.1% # Playmates Toys, Ltd. 4,716,000 1,089,521 0.1% PNG Resources Holdings, Ltd. 3,780,236 160,858 0.0% Pokfulam Development Co. 234,000 371,196 0.0% # Polytec Asset Holdings, Ltd. 11,363,526 1,658,058 0.1% # Public Financial Holdings, Ltd. 3,194,000 1,525,349 0.1% PYI Corp., Ltd. 24,859,973 560,254 0.0% * Pyxis Group, Ltd. 1,936,000 7,989 0.0% Raymond Industrial, Ltd. 30,400 3,999 0.0% # Regal Hotels International Holdings, Ltd. 2,937,800 1,791,652 0.1% * Richfield Group Holdings, Ltd. 9,672,000 349,137 0.0% Rivera Holdings, Ltd. 5,710,000 276,152 0.0% # SA SA International Holdings, Ltd. 8,892,000 6,147,575 0.4% Safety Godown Co., Ltd. 398,000 647,741 0.1% #* Sandmartin International Holdings, Ltd. 84,000 4,877 0.0% SAS Dragon Hldg, Ltd. 2,132,000 657,365 0.1% # SEA Holdings, Ltd. 1,158,000 752,110 0.1% Shenyin Wanguo HK, Ltd. 2,377,500 1,362,959 0.1% * Shougang Concord Technology Holdings 9,261,809 346,104 0.0% * Shun Ho Technology Holdings, Ltd. 1,037,452 259,901 0.0% Shun Tak Holdings, Ltd. 11,515,419 5,866,904 0.4% * Silver base Group Holdings, Ltd. 4,796,677 600,574 0.0% Simsen International Corp., Ltd. 307,000 66,505 0.0% * Sing Pao Media Enterprises, Ltd. 250,511 -- 0.0% Sing Tao News Corp., Ltd. 1,974,000 280,244 0.0% Singamas Container Holdings, Ltd. 11,094,000 1,903,613 0.1% * Sino Distillery Group, Ltd. 148,000 11,072 0.0% * Sinocan Holdings, Ltd. 350,000 -- 0.0% SIS International Holdings 34,000 16,609 0.0% Sitoy Group Holdings, Ltd. 739,000 609,576 0.1% # SmarTone Telecommunications Holdings, Ltd. 3,463,000 4,476,122 0.3% #* SOCAM Development, Ltd. 1,716,771 1,427,865 0.1% * Solomon Systech International, Ltd. 8,590,000 421,342 0.0% Soundwill Holdings, Ltd. 420,000 666,582 0.1% * South China China, Ltd. 6,744,000 635,103 0.1% * South China Land, Ltd. 14,119,170 216,710 0.0% Stella International Holdings, Ltd. 811,500 2,328,204 0.2% Stelux Holdings International, Ltd. 3,100,400 687,732 0.1% * Success Universe Group, Ltd. 6,716,000 238,457 0.0% Sun Hing Vision Group Holdings, Ltd. 358,000 120,898 0.0% # Sun Hung Kai & Co., Ltd. 4,220,429 3,137,192 0.2% * Symphony Holdings, Ltd. 260,000 22,139 0.0% # TAI Cheung Holdings, Ltd. 2,019,000 1,664,258 0.1% Tai Sang Land Development, Ltd. 804,910 375,261 0.0% * Talent Property Group, Ltd. 831,420 8,790 0.0% # Tan Chong International, Ltd. 1,212,000 450,395 0.0% # Tao Heung Holdings, Ltd. 517,000 272,577 0.0% * Taung Gold International, Ltd. 14,590,000 391,480 0.0% Television Broadcasts, Ltd. 1,216,600 6,637,477 0.5% * Termbray Industries International Holdings, Ltd. 2,304,900 237,824 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- HONG KONG -- (Continued) Tern Properties Co., Ltd. 51,200 $ 31,880 0.0% Texwinca Holdings, Ltd. 4,550,000 3,993,158 0.3% Tian Teck Land, Ltd. 1,054,000 1,207,727 0.1% * Titan Petrochemicals Group, Ltd. 13,140,000 4,236 0.0% # Tradelink Electronic Commerce, Ltd. 4,782,000 1,055,877 0.1% Transport International Holdings, Ltd. 1,009,341 1,848,398 0.1% # Trinity, Ltd. 7,712,000 1,851,576 0.1% Tristate Holdings, Ltd. 188,000 72,646 0.0% #* TSC Group Holdings, Ltd. 3,246,000 1,196,922 0.1% #* United Laboratories International Holdings, Ltd. (The) 4,332,000 3,345,592 0.2% * Universal Technologies Holdings, Ltd. 7,630,000 462,435 0.0% * Universe International Holdings, Ltd. 3,475,000 51,998 0.0% * Up Energy Development Group, Ltd. 3,205,000 355,538 0.0% * Value Convergence Holdings, Ltd. 1,756,000 258,411 0.0% Value Partners Group, Ltd. 5,555,000 4,186,499 0.3% Van Shung Chong Holdings, Ltd. 789,335 124,344 0.0% Vanke Property Overseas, Ltd. 13,000 11,965 0.0% Varitronix International, Ltd. 2,055,293 1,712,588 0.1% * Vedan International Holdings, Ltd. 3,272,000 181,521 0.0% Victory City International Holdings, Ltd. 6,874,229 984,224 0.1% # Vitasoy International Holdings, Ltd. 4,655,000 6,413,162 0.4% VST Holdings, Ltd. 5,049,600 1,743,558 0.1% # VTech Holdings, Ltd. 358,600 4,481,383 0.3% Wai Kee Holdings, Ltd. 7,864,738 2,234,448 0.2% * Willie International Holdings, Ltd. 750,000 231,961 0.0% Win Hanverky Holdings, Ltd. 1,812,000 231,388 0.0% Wing On Co. International, Ltd. 781,000 2,267,534 0.2% # Wing Tai Properties, Ltd. 1,957,331 1,274,783 0.1% Wong's International Hldgs 737,641 247,230 0.0% Wong's Kong King International 120,000 10,524 0.0% Xinyi Glass Holdings, Ltd. 16,212,000 9,536,952 0.7% # Xinyi Solar Holdings, Ltd. 12,292,000 4,160,025 0.3% Yangtzekiang Garment, Ltd. 606,500 217,308 0.0% Yau Lee Holdings, Ltd. 534,000 116,479 0.0% Yeebo International Hldg 572,000 97,437 0.0% YGM Trading, Ltd. 460,000 977,627 0.1% YT Realty Group, Ltd. 749,000 236,171 0.0% Yugang International, Ltd. 93,492,000 1,364,595 0.1% ------------ ---- TOTAL HONG KONG 380,742,870 26.2% ------------ ---- NEW ZEALAND -- (7.1%) #* a2 Milk Co., Ltd. 939,177 429,846 0.0% Abano Healthcare Group, Ltd. 30,274 162,273 0.0% # Air New Zealand, Ltd. 3,701,492 5,859,766 0.4% Auckland International Airport, Ltd. 319,815 966,860 0.1% #* Bathurst Resources, Ltd. 1,666,560 45,511 0.0% Briscoe Group, Ltd. 2,235 4,962 0.0% Cavalier Corp., Ltd. 283,674 204,101 0.0% CDL Investments New Zealand, Ltd. 111,311 46,539 0.0% Chorus, Ltd. 1,980,567 3,285,619 0.2% Colonial Motor Co., Ltd. (The) 148,846 699,496 0.1% Contact Energy, Ltd. 518,419 2,514,957 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- NEW ZEALAND -- (Continued) * Diligent Board Member Services, Inc. 82,102 $ 306,281 0.0% # Ebos Group, Ltd. 442,465 3,318,649 0.2% # Fisher & Paykel Healthcare Corp., Ltd. 4,076,344 17,813,660 1.2% Freightways, Ltd. 923,797 4,125,460 0.3% # Hallenstein Glasson Holdings, Ltd. 245,661 630,463 0.1% Heartland New Zealand, Ltd. 185,677 145,254 0.0% # Hellaby Holdings, Ltd. 395,759 920,446 0.1% # Infratil, Ltd. 3,206,161 7,206,718 0.5% # Kathmandu Holdings, Ltd. 570,466 1,411,673 0.1% # Mainfreight, Ltd. 537,457 6,676,357 0.5% Marsden Maritime Holdings, Ltd. 78,705 167,458 0.0% Methven, Ltd. 93,877 80,702 0.0% # Metlifecare, Ltd. 486,052 1,638,891 0.1% # Michael Hill International, Ltd. 1,534,152 1,591,067 0.1% Millennium & Copthorne Hotels New Zealand, Ltd. 418,978 413,602 0.0% New Zealand Oil & Gas, Ltd. 2,074,737 1,196,049 0.1% # New Zealand Refining Co., Ltd. (The) 591,259 783,132 0.1% Nuplex Industries, Ltd. 1,288,685 3,179,504 0.2% # NZX, Ltd. 980,309 912,415 0.1% # Opus International Consultants, Ltd. 12,925 15,151 0.0% #* Pacific Edge, Ltd. 418,982 296,322 0.0% PGG Wrightson, Ltd. 980,136 349,263 0.0% * Pike River Coal, Ltd. 490,805 -- 0.0% # Port of Tauranga, Ltd. 528,322 6,752,298 0.5% * Pumpkin Patch, Ltd. 606,913 174,012 0.0% # Restaurant Brands New Zealand, Ltd. 472,937 1,353,474 0.1% Richina Pacific, Ltd. 274,180 14,426 0.0% * Rubicon, Ltd. 1,485,105 396,491 0.0% # Ryman Healthcare, Ltd. 2,312,512 13,691,535 0.9% # Sanford, Ltd. 393,618 1,552,647 0.1% Scott Technology, Ltd. 38,136 44,613 0.0% # Skellerup Holdings, Ltd. 524,995 595,842 0.0% # Sky Network Television, Ltd. 2,017,881 10,019,430 0.7% # SKYCITY Entertainment Group, Ltd. 4,308,638 13,173,223 0.9% Spark New Zealand, Ltd. 440,138 1,086,174 0.1% Steel & Tube Holdings, Ltd. 442,635 1,033,969 0.1% Summerset Group Holdings, Ltd. 313,560 668,523 0.1% Tourism Holdings, Ltd. 274,867 313,136 0.0% # Tower, Ltd. 845,650 1,303,077 0.1% # Trade Me Group, Ltd. 1,396,707 4,289,179 0.3% # TrustPower, Ltd. 70,059 409,979 0.0% # Vector, Ltd. 1,303,116 2,785,282 0.2% # Warehouse Group, Ltd. (The) 708,230 1,715,526 0.1% #* Xero, Ltd. 146,019 1,811,183 0.1% ------------ --- TOTAL NEW ZEALAND 130,582,466 9.0% ------------ --- SINGAPORE -- (9.1%) * Abterra, Ltd. 531,800 310,337 0.0% Amara Holdings, Ltd. 950,000 385,298 0.0% # Amtek Engineering, Ltd. 1,353,000 636,889 0.1% ASL Marine Holdings, Ltd. 816,600 379,074 0.0% Aspial Corp., Ltd. 72,959 23,609 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- SINGAPORE -- (Continued) #* Ausgroup, Ltd. 3,653,000 $1,005,034 0.1% # Baker Technology, Ltd. 1,272,000 262,599 0.0% # Banyan Tree Holdings, Ltd. 1,053,000 508,094 0.0% #* Biosensors International Group, Ltd. 6,598,237 3,209,074 0.2% Bonvests Holdings, Ltd. 978,000 1,044,587 0.1% Boustead Singapore, Ltd. 1,686,261 2,412,441 0.2% Breadtalk Group, Ltd. 907,800 929,867 0.1% * Broadway Industrial Group, Ltd. 1,557,200 244,065 0.0% Bukit Sembawang Estates, Ltd. 614,003 2,538,319 0.2% Bund Center Investment, Ltd. 2,717,000 419,102 0.0% # Centurion Corp., Ltd. 681,000 286,227 0.0% CH Offshore, Ltd. 1,642,400 617,473 0.1% # China Aviation Oil Singapore Corp., Ltd. 1,586,399 914,108 0.1% # China Merchants Holdings Pacific, Ltd. 841,000 589,924 0.0% Chip Eng Seng Corp., Ltd. 3,546,800 2,428,662 0.2% Chuan Hup Holdings, Ltd. 3,967,000 909,236 0.1% # Cityspring Infrastructure Trust 1,498,000 595,307 0.0% # Cosco Corp. Singapore, Ltd. 7,006,000 3,247,759 0.2% Creative Technology, Ltd. 272,200 436,844 0.0% CSC Holdings, Ltd. 2,495,000 133,622 0.0% CSE Global, Ltd. 3,382,000 1,776,862 0.1% CWT, Ltd. 1,422,700 1,789,490 0.1% Datapulse Technology, Ltd. 89,000 9,295 0.0% #* Del Monte Pacific, Ltd. 848,000 363,177 0.0% * Delong Holdings, Ltd. 1,361,000 216,703 0.0% DMX Technologies Group, Ltd. 2,096,000 261,497 0.0% # Dyna-Mac Holdings, Ltd. 2,259,000 678,041 0.1% # Elec & Eltek International Co., Ltd. 147,000 212,344 0.0% Ellipsiz, Ltd. 123,000 9,409 0.0% EnGro Corp., Ltd. 354,000 325,195 0.0% Eu Yan Sang International, Ltd. 809,800 475,946 0.0% * euNetworks Group, Ltd. 8,220 4,231 0.0% # Ezion Holdings, Ltd. 689,760 812,255 0.1% # Ezra Holdings, Ltd. 5,619,000 3,570,416 0.3% Falcon Energy Group, Ltd. 2,068,000 483,363 0.0% Far East Orchard, Ltd. 1,106,685 1,495,041 0.1% * First Sponsor Group, Ltd. 453,661 423,752 0.0% FJ Benjamin Holdings, Ltd. 1,305,000 176,194 0.0% Food Empire Holdings, Ltd. 1,256,400 346,005 0.0% #* Forterra Trust 98,000 122,030 0.0% # Fragrance Group, Ltd. 6,256,000 1,045,814 0.1% #* Gallant Venture, Ltd. 5,073,000 967,242 0.1% #* Geo Energy Resources, Ltd. 432,000 79,060 0.0% GK Goh Holdings, Ltd. 1,458,000 981,591 0.1% Global Premium Hotels, Ltd. 559,480 152,229 0.0% * Global Yellow Pages, Ltd. 747,500 25,587 0.0% # GMG Global, Ltd. 18,410,000 890,923 0.1% GP Batteries International, Ltd. 235,000 137,901 0.0% GP Industries, Ltd. 2,643,209 1,130,582 0.1% GuocoLand, Ltd. 399,314 592,963 0.0% # GuocoLeisure, Ltd. 3,364,000 2,411,150 0.2% * Hanwell Holdings, Ltd. 1,823,419 404,100 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- SINGAPORE -- (Continued) * Healthway Medical Corp., Ltd. 8,556,776 $ 312,765 0.0% HG Metal Manufacturing, Ltd. 1,768,000 100,227 0.0% Hi-P International, Ltd. 1,309,000 662,512 0.1% Hiap Hoe, Ltd. 353,000 226,610 0.0% Hiap Seng Engineering, Ltd. 612,000 90,100 0.0% * HLH Group, Ltd. 8,364,000 71,732 0.0% Ho Bee Land, Ltd. 1,652,000 2,563,244 0.2% # Hong Fok Corp., Ltd. 3,323,640 2,302,827 0.2% Hong Leong Asia, Ltd. 711,000 763,178 0.1% Hotel Grand Central, Ltd. 1,394,187 1,432,714 0.1% Hour Glass, Ltd. (The) 622,744 895,739 0.1% HTL International Holdings, Ltd. 1,063,843 225,304 0.0% HupSteel, Ltd. 1,572,875 251,419 0.0% # Hwa Hong Corp., Ltd. 2,186,000 553,749 0.0% # Hyflux, Ltd. 3,258,500 2,563,856 0.2% Indofood Agri Resources, Ltd. 3,468,000 2,256,411 0.2% # InnoTek, Ltd. 950,000 203,665 0.0% Innovalues, Ltd. 190,000 61,395 0.0% #* International Healthway Corp., Ltd. 594,656 124,942 0.0% #* Interra Resources, Ltd. 396,000 66,245 0.0% IPC Corp., Ltd. 4,265,000 488,916 0.0% # ISDN Holdings, Ltd. 293,000 71,992 0.0% Isetan Singapore, Ltd. 122,500 443,803 0.0% #* Jiutian Chemical Group, Ltd. 10,128,000 439,067 0.0% #* Jurong Technologies Industrial Corp., Ltd. 2,227,680 -- 0.0% k1 Ventures, Ltd. 5,098,500 814,034 0.1% Keppel Infrastructure Trust 1,367,000 1,117,748 0.1% # Keppel Telecommunications & Transportation, Ltd. 1,409,600 1,899,434 0.1% Koh Brothers Group, Ltd. 1,432,000 345,904 0.0% # KSH Holdings, Ltd. 52,000 21,460 0.0% # LCD Global Investments, Ltd. 3,569,504 848,001 0.1% Lee Kim Tah Holdings, Ltd. 1,600,000 1,349,959 0.1% * Li Heng Chemical Fibre Technologies, Ltd. 2,053,000 165,550 0.0% Lian Beng Group, Ltd. 2,304,000 1,238,267 0.1% #* Linc Energy, Ltd. 1,982,517 1,599,893 0.1% #* LionGold Corp., Ltd. 2,818,000 59,352 0.0% Low Keng Huat Singapore, Ltd. 916,000 465,996 0.0% Lum Chang Holdings, Ltd. 1,094,030 319,492 0.0% M1, Ltd. 566,000 1,537,492 0.1% Marco Polo Marine, Ltd. 963,000 247,694 0.0% mDR, Ltd. 3,997,000 17,112 0.0% * Mercator Lines Singapore, Ltd. 555,000 29,866 0.0% # Mermaid Maritime PCL 1,615,000 441,555 0.0% Metro Holdings, Ltd. 2,085,792 1,422,297 0.1% Mewah International, Inc. 1,183,000 345,120 0.0% # Midas Holdings, Ltd. 8,177,000 2,069,862 0.2% # Nam Cheong, Ltd. 7,126,740 2,192,220 0.2% New Toyo International Holdings, Ltd. 1,624,000 329,324 0.0% NSL, Ltd. 422,000 541,241 0.0% * Oceanus Group, Ltd. 10,711,000 108,211 0.0% # OSIM International, Ltd. 1,689,000 2,446,720 0.2% # Otto Marine, Ltd. 10,983,500 470,930 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- SINGAPORE -- (Continued) # OUE Hospitality Trust 310,500 $ 220,007 0.0% # OUE, Ltd. 1,863,000 3,062,826 0.2% # Oxley Holdings, Ltd. 1,093,000 464,179 0.0% # Pan-United Corp., Ltd. 2,006,000 1,438,372 0.1% PEC, Ltd. 47,000 19,392 0.0% Penguin International, Ltd. 1,437,000 257,841 0.0% Petra Foods, Ltd. 804,000 2,383,037 0.2% Popular Holdings, Ltd. 2,763,650 516,220 0.0% QAF, Ltd. 1,244,080 984,010 0.1% # Raffles Education Corp., Ltd. 4,299,710 1,139,796 0.1% Raffles Medical Group, Ltd. 586,437 1,736,168 0.1% Rickmers Maritime 888,000 203,706 0.0% Rotary Engineering, Ltd. 1,485,600 700,638 0.1% Roxy-Pacific Holdings, Ltd. 297,500 129,957 0.0% * S I2I, Ltd. 12,662,000 44,352 0.0% San Teh, Ltd. 713,087 165,040 0.0% SBS Transit, Ltd. 953,500 1,231,839 0.1% # See Hup Seng, Ltd. 2,372,000 507,184 0.0% Sheng Siong Group, Ltd. 1,506,000 785,459 0.1% Sim Lian Group, Ltd. 2,281,855 1,563,915 0.1% Sinarmas Land, Ltd. 5,864,000 2,785,914 0.2% Sing Holdings, Ltd. 1,134,000 300,160 0.0% Sing Investments & Finance, Ltd. 297,675 300,084 0.0% Singapore Post, Ltd. 6,765,120 10,383,577 0.7% Singapore Reinsurance Corp., Ltd. 1,514,530 348,098 0.0% Singapore Shipping Corp., Ltd. 1,689,000 335,420 0.0% Singapura Finance, Ltd. 174,062 205,258 0.0% #* Sino Grandness Food Industry Group, Ltd. 2,157,000 722,164 0.1% # SMRT Corp., Ltd. 2,379,000 2,760,464 0.2% # Stamford Land Corp., Ltd. 3,282,000 1,418,342 0.1% Straco Corp., Ltd. 130,000 72,833 0.0% Sunningdale Tech, Ltd. 3,657,000 564,169 0.0% #* SunVic Chemical Holdings, Ltd. 2,038,000 920,258 0.1% # Super Group, Ltd. 2,605,000 2,397,437 0.2% # Swiber Holdings, Ltd. 3,974,000 1,219,919 0.1% # Swissco Holdings, Ltd. 715,500 454,430 0.0% # Tat Hong Holdings, Ltd. 2,072,800 1,267,432 0.1% Thakral Corp., Ltd. 5,601,000 113,498 0.0% Tiong Woon Corp. Holding, Ltd. 2,152,250 494,739 0.0% Triyards holdings, Ltd. 348,900 180,245 0.0% #* TT International, Ltd. 673,000 81,701 0.0% # Tuan Sing Holdings, Ltd. 4,139,583 1,404,265 0.1% # UMS Holdings, Ltd. 1,944,000 764,568 0.1% # United Engineers, Ltd. 2,803,028 6,264,906 0.4% United Envirotech, Ltd. 1,355,000 1,546,702 0.1% United Overseas Insurance, Ltd. 187,250 669,312 0.1% # UOB-Kay Hian Holdings, Ltd. 1,876,435 2,234,954 0.2% # UPP Holdings, Ltd. 3,060,000 610,085 0.0% #* Vard Holdings, Ltd. 4,053,000 2,167,391 0.2% Venture Corp., Ltd. 1,694,000 10,203,641 0.7% # Vibrant Group, Ltd. 9,635,179 796,127 0.1% Vicom, Ltd. 120,000 551,452 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- SINGAPORE -- (Continued) Wee Hur Holdings, Ltd. 2,749,000 $ 801,327 0.1% Wheelock Properties Singapore, Ltd. 1,210,000 1,697,989 0.1% Wing Tai Holdings, Ltd. 2,843,567 3,962,049 0.3% Yeo Hiap Seng, Ltd. 223,731 334,384 0.0% YHI International, Ltd. 1,174,000 214,650 0.0% # Yongnam Holdings, Ltd. 8,173,000 1,465,707 0.1% -------------- ----- TOTAL SINGAPORE 167,024,674 11.5% -------------- ----- TOTAL COMMON STOCKS 1,447,375,954 99.6% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Centrebet International, Ltd. Litigation Rights 81,336 -- 0.0% -------------- ----- HONG KONG -- (0.0%) * Cheuk Nang Holdings, Ltd. Warrants 11/10/15 12,030 3,165 0.0% * China Strategic Holdings, Ltd. Rights 12/04/14 6,292,500 57,609 0.0% * Enviro Energy International Holdings Rights 11/07/14 1,953,000 26,442 0.0% -------------- ----- TOTAL HONG KONG 87,216 0.0% -------------- ----- SINGAPORE -- (0.0%) * Global Yellow Pages, Ltd. Warrants 06/25/19 448,500 2,095 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS 89,311 0.0% -------------- ----- VALUE+ -------------- SECURITIES LENDING COLLATERAL -- (21.3%) (S)@ DFA Short Term Investment Fund 33,782,209 390,860,156 26.9% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,833,068,732) $1,838,325,421 126.5% ============== =====
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 12,261,409 $ 753,618,391 -- $ 765,879,800 Bermuda -- 26,808 -- 26,808 China -- 3,119,336 -- 3,119,336 Hong Kong 1,079,370 379,663,500 -- 380,742,870 New Zealand 396,491 130,185,975 -- 130,582,466 Singapore 485,216 166,539,458 -- 167,024,674 Rights/Warrants Australia -- -- -- -- Hong Kong -- 87,216 -- 87,216 Singapore -- 2,095 -- 2,095 Securities Lending Collateral -- 390,860,156 -- 390,860,156 ------------ -------------- -- -------------- TOTAL $14,222,486 $1,824,102,935 -- $1,838,325,421 ============ ============== == ==============
THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- COMMON STOCKS -- (97.3%) Consumer Discretionary -- (25.2%) 4imprint Group P.L.C. 98,614 $ 1,239,671 0.1% 888 Holdings P.L.C. 936,528 1,919,920 0.1% * Aga Rangemaster Group P.L.C. 453,866 1,061,392 0.1% Barratt Developments P.L.C. 3,291,665 22,127,812 1.1% Bellway P.L.C. 652,849 18,313,143 0.9% Berkeley Group Holdings P.L.C. 687,947 25,159,106 1.3% Betfair Group P.L.C. 211,783 4,103,926 0.2% Bloomsbury Publishing P.L.C. 283,806 728,573 0.0% Boot Henry P.L.C. 432,804 1,336,189 0.1% Bovis Homes Group P.L.C. 875,787 11,827,736 0.6% # Bwin.Party Digital Entertainment P.L.C. 2,936,708 4,221,552 0.2% * Carpetright P.L.C. 13,426 66,848 0.0% # Centaur Media P.L.C. 556,967 516,534 0.0% Chime Communications P.L.C. 366,879 1,628,122 0.1% Cineworld Group P.L.C. 1,100,456 5,899,333 0.3% Connect Group P.L.C. 998,228 2,814,128 0.1% Creston P.L.C. 22,394 41,398 0.0% Daily Mail & General Trust P.L.C. 1,422,483 17,999,359 0.9% Darty P.L.C. 1,297,119 1,576,589 0.1% Debenhams P.L.C. 6,498,732 6,747,374 0.3% Dignity P.L.C. 248,371 6,244,077 0.3% Dixons Carphone P.L.C. 2,319,507 14,728,353 0.7% Domino's Pizza Group P.L.C. 764,581 7,788,520 0.4% Dunelm Group P.L.C. 334,499 4,511,879 0.2% * Enterprise Inns P.L.C. 2,687,428 5,505,810 0.3% # Euromoney Institutional Investor P.L.C. 295,537 4,978,946 0.3% * Findel P.L.C. 313,743 1,325,205 0.1% * Forminster P.L.C. 43,333 -- 0.0% Fuller Smith & Turner 138,471 2,073,617 0.1% Future P.L.C. 1,301,863 165,043 0.0% # Games Workshop Group P.L.C. 101,889 894,137 0.0% Greene King P.L.C. 1,421,372 18,273,797 0.9% Halfords Group P.L.C. 1,104,257 8,765,891 0.4% Headlam Group P.L.C. 343,067 2,146,724 0.1% Home Retail Group P.L.C. 4,196,363 12,314,396 0.6% * Hornby P.L.C. 154,220 187,005 0.0% Howden Joinery Group P.L.C. 3,423,456 18,783,244 0.9% Huntsworth P.L.C. 971,327 690,829 0.0% Inchcape P.L.C. 2,330,419 25,961,589 1.3% Informa P.L.C. 3,256,622 25,106,456 1.3% ITE Group P.L.C. 1,258,778 3,434,546 0.2% J D Wetherspoon P.L.C. 501,603 6,781,692 0.3% JD Sports Fashion P.L.C. 480,052 3,550,156 0.2% John Menzies P.L.C. 261,134 2,071,635 0.1% * Johnston Press P.L.C. 1,039,980 57,543 0.0% Ladbrokes P.L.C. 4,703,662 8,909,025 0.4% Laura Ashley Holdings P.L.C. 1,517,420 672,310 0.0% Lookers P.L.C. 1,870,784 4,160,707 0.2% Marston's P.L.C. 3,122,248 7,540,871 0.4% * Mecom Group P.L.C. 477,516 992,782 0.1% Millennium & Copthorne Hotels P.L.C. 1,048,561 9,565,401 0.5%
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- Consumer Discretionary -- (Continued) * Mitchells & Butlers P.L.C. 1,030,286 $ 6,271,120 0.3% MJ Gleeson Group P.L.C. 195,875 1,097,442 0.1% #* Mothercare P.L.C. 609,288 1,705,687 0.1% N Brown Group P.L.C. 874,754 4,708,853 0.2% * Ocado Group P.L.C. 18,636 74,235 0.0% Pendragon P.L.C. 4,444,080 2,246,236 0.1% Persimmon P.L.C. 224,217 5,265,777 0.3% Photo-Me International P.L.C. 464,351 980,622 0.1% * Puma Brandenburg, Ltd. 119,000 -- 0.0% * Puma Brandenburg, Ltd. A Shares 119,000 -- 0.0% * Punch Taverns P.L.C. 133,442 322,041 0.0% Rank Group P.L.C. 104,240 275,494 0.0% # Redrow P.L.C. 1,505,347 6,969,047 0.4% Restaurant Group P.L.C. (The) 1,004,401 10,882,155 0.5% Rightmove P.L.C. 492,413 16,655,156 0.8% Spirit Pub Co. P.L.C. 3,220,786 5,495,554 0.3% * Sportech P.L.C. 384,214 359,332 0.0% STV Group P.L.C. 4,868 28,762 0.0% * SuperGroup P.L.C. 203,095 2,700,892 0.1% Taylor Wimpey P.L.C. 14,989,056 28,472,629 1.4% Ted Baker P.L.C. 145,679 4,548,913 0.2% * Thomas Cook Group P.L.C. 7,517,966 14,978,554 0.8% Topps Tiles P.L.C. 829,659 1,348,415 0.1% * Torotrak P.L.C. 42,953 9,524 0.0% * Trinity Mirror P.L.C. 1,688,565 4,430,665 0.2% TUI Travel P.L.C. 279,182 1,784,007 0.1% UBM P.L.C. 1,239,692 11,300,202 0.6% UTV Media P.L.C. 467,514 1,552,953 0.1% # Vitec Group P.L.C. (The) 164,847 1,604,318 0.1% WH Smith P.L.C. 711,405 12,844,258 0.6% William Hill P.L.C. 4,494,667 25,956,438 1.3% Wilmington Group P.L.C. 346,234 1,210,273 0.1% ------------ ---- Total Consumer Discretionary 513,590,445 25.7% ------------ ---- Consumer Staples -- (4.5%) A.G. BARR P.L.C. 427,802 4,041,690 0.2% Anglo-Eastern Plantations P.L.C. 108,153 1,113,389 0.1% Booker Group P.L.C. 7,511,637 16,881,209 0.8% Britvic P.L.C. 1,277,429 13,927,819 0.7% Cranswick P.L.C. 264,392 6,002,873 0.3% Dairy Crest Group P.L.C. 747,197 4,991,338 0.2% Devro P.L.C. 915,809 3,993,060 0.2% Greencore Group P.L.C. 2,335,961 9,801,708 0.5% Greggs P.L.C. 558,897 5,421,183 0.3% Hilton Food Group P.L.C. 24,794 148,628 0.0% McBride P.L.C. 855,515 1,088,099 0.1% #* Premier Foods P.L.C. 2,951,877 1,558,148 0.1% # PZ Cussons P.L.C. 1,329,597 7,886,238 0.4% REA Holdings P.L.C. 50,639 324,500 0.0% Tate & Lyle P.L.C. 1,515,587 14,667,991 0.7%
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Consumer Staples -- (Continued) #* Thorntons P.L.C. 274,658 $ 481,180 0.0% ----------- --- Total Consumer Staples 92,329,053 4.6% ----------- --- Energy -- (4.6%) * Afren P.L.C. 5,639,345 6,953,066 0.4% AMEC P.L.C. 1,114,094 18,576,553 0.9% Anglo Pacific Group P.L.C. 501,715 1,062,880 0.1% * Cairn Energy P.L.C. 2,601,577 6,084,041 0.3% * EnQuest P.L.C. 3,606,671 4,011,120 0.2% * Exillon Energy P.L.C. 183,450 445,594 0.0% * Fortune Oil P.L.C. 6,238,485 796,411 0.0% * Hardy Oil & Gas P.L.C. 74,781 116,474 0.0% Hunting P.L.C. 648,002 7,632,860 0.4% James Fisher & Sons P.L.C. 225,918 4,710,015 0.2% #* JKX Oil & Gas P.L.C. 456,676 278,354 0.0% John Wood Group P.L.C. 1,961,228 20,808,838 1.0% * Lamprell P.L.C. 1,397,664 3,279,670 0.2% Premier Oil P.L.C. 2,665,891 11,008,227 0.6% * Salamander Energy P.L.C. 1,391,295 2,361,247 0.1% Soco International P.L.C. 1,018,017 5,361,582 0.3% ----------- --- Total Energy 93,486,932 4.7% ----------- --- Financials -- (14.7%) Amlin P.L.C. 2,654,495 19,373,906 1.0% # Ashmore Group P.L.C. 1,882,641 9,613,529 0.5% Bank of Georgia Holdings P.L.C. 141,158 5,789,259 0.3% Beazley P.L.C. 2,627,389 11,035,595 0.5% Brewin Dolphin Holdings P.L.C. 1,367,522 6,227,829 0.3% Capital & Counties Properties P.L.C. 474,174 2,594,006 0.1% Capital & Regional P.L.C. 2,692,546 2,074,841 0.1% Catlin Group, Ltd. 1,883,388 16,179,782 0.8% Charles Stanley Group P.L.C. 126,349 625,767 0.0% Charles Taylor P.L.C. 139,215 548,656 0.0% Chesnara P.L.C. 578,859 3,188,354 0.2% Close Brothers Group P.L.C. 788,970 18,514,828 0.9% * Coalfield Resources P.L.C. 268,451 23,826 0.0% Daejan Holdings P.L.C. 32,083 2,557,974 0.1% Development Securities P.L.C. 592,116 2,005,875 0.1% Hansard Global P.L.C. 16,468 24,903 0.0% Helical Bar P.L.C. 668,916 3,749,966 0.2% Henderson Group P.L.C. 5,677,167 19,118,900 1.0% Hiscox, Ltd. 1,674,250 18,260,643 0.9% ICAP P.L.C. 2,893,657 19,427,173 1.0% IG Group Holdings P.L.C. 1,931,185 18,611,712 0.9% * Industrial & Commercial Holdings P.L.C. 5,000 -- 0.0% * Inspired Capital P.L.C. 87,461 22,589 0.0% Intermediate Capital Group P.L.C. 572,350 3,762,451 0.2% International Personal Finance P.L.C. 690,825 5,388,320 0.3% * IP Group P.L.C. 1,306,305 4,342,455 0.2% Jardine Lloyd Thompson Group P.L.C. 643,694 9,814,514 0.5% Jupiter Fund Management P.L.C. 1,658,073 9,508,680 0.5% Lancashire Holdings, Ltd. 923,042 9,893,910 0.5%
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Financials -- (Continued) LSL Property Services P.L.C. 254,544 $ 1,275,050 0.1% Man Group P.L.C. 9,800,117 19,431,406 1.0% Novae Group P.L.C. 285,979 2,535,428 0.1% Phoenix Group Holdings 836,277 10,097,534 0.5% * Quintain Estates & Development P.L.C. 2,680,731 3,522,134 0.2% Rathbone Brothers P.L.C. 165,692 5,122,769 0.2% * Raven Russia, Ltd. 1,064,705 1,054,881 0.1% S&U P.L.C. 21,140 655,213 0.0% Savills P.L.C. 644,235 6,633,623 0.3% St James's Place P.L.C. 793,110 9,483,454 0.5% ST Modwen Properties P.L.C. 961,657 5,574,082 0.3% Tullett Prebon P.L.C. 1,102,488 5,013,847 0.2% Unite Group P.L.C. (The) 1,061,266 7,256,193 0.4% * Waterloo Investment Holdings, Ltd. 5,979 669 0.0% ------------ ---- Total Financials 299,936,526 15.0% ------------ ---- Health Care -- (3.7%) #* Alizyme P.L.C. 660,805 -- 0.0% Bioquell P.L.C. 90,893 157,668 0.0% * BTG P.L.C. 1,781,080 21,529,272 1.1% # Consort Medical P.L.C. 149,007 1,713,250 0.1% Dechra Pharmaceuticals P.L.C. 431,161 5,242,875 0.2% Genus P.L.C. 282,157 5,558,336 0.3% Hikma Pharmaceuticals P.L.C. 713,706 21,647,047 1.1% * Optos P.L.C. 109,965 413,391 0.0% * Oxford Biomedica P.L.C. 2,648,141 170,280 0.0% * Skyepharma P.L.C. 247,147 1,393,534 0.1% Synergy Health P.L.C. 300,498 8,988,232 0.4% UDG Healthcare P.L.C. 1,074,691 5,658,504 0.3% * Vectura Group P.L.C. 1,944,162 3,678,932 0.2% ------------ ---- Total Health Care 76,151,321 3.8% ------------ ---- Industrials -- (24.2%) Air Partner P.L.C. 39,319 164,352 0.0% Alumasc Group 124,366 252,632 0.0% Ashtead Group P.L.C. 1,347,260 22,572,306 1.1% Avon Rubber P.L.C. 65,426 701,600 0.0% Balfour Beatty P.L.C. 3,596,658 8,885,759 0.5% BBA Aviation P.L.C. 2,792,163 15,805,781 0.8% Berendsen P.L.C. 852,867 13,810,534 0.7% Bodycote P.L.C. 1,253,236 12,543,254 0.6% Braemar Shipping Services P.L.C. 87,402 656,937 0.0% Brammer P.L.C. 500,119 2,598,334 0.1% # Camellia P.L.C. 2,481 345,270 0.0% Cape P.L.C. 675,539 2,922,393 0.2% Carillion P.L.C. 2,342,316 12,478,970 0.6% Carr's Milling Industries P.L.C. 35,527 921,018 0.1% Castings P.L.C. 162,757 1,142,965 0.1% Chemring Group P.L.C. 1,217,006 4,749,710 0.2% Clarkson P.L.C. 67,965 2,445,648 0.1% Cobham P.L.C. 5,618,202 26,207,126 1.3% Communisis P.L.C. 1,085,996 957,794 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Industrials -- (Continued) Costain Group P.L.C. 319,543 $ 1,490,097 0.1% DCC P.L.C. 447,754 25,092,474 1.3% De La Rue P.L.C. 422,563 3,538,407 0.2% Dialight P.L.C. 59,439 816,426 0.0% Diploma P.L.C. 595,258 6,624,281 0.3% Fenner P.L.C. 960,636 4,754,421 0.2% * Firstgroup P.L.C. 5,609,640 10,109,228 0.5% Galliford Try P.L.C. 392,461 7,681,059 0.4% Go-Ahead Group P.L.C. 224,275 8,830,322 0.4% Goodwin P.L.C. 383 20,514 0.0% Grafton Group P.L.C. 667,199 6,772,974 0.3% Harvey Nash Group P.L.C. 46,693 65,823 0.0% Hays P.L.C. 7,359,440 14,534,905 0.7% Hogg Robinson Group P.L.C. 134,014 91,854 0.0% Homeserve P.L.C. 1,421,393 7,853,446 0.4% Interserve P.L.C. 722,721 7,337,583 0.4% Keller Group P.L.C. 333,468 4,455,678 0.2% Kier Group P.L.C. 248,949 5,937,073 0.3% Latchways P.L.C. 36,248 427,111 0.0% Lavendon Group P.L.C. 813,519 2,387,634 0.1% Management Consulting Group P.L.C. 1,519,596 428,084 0.0% Mears Group P.L.C. 539,928 3,814,758 0.2% Meggitt P.L.C. 1,439 10,395 0.0% Melrose Industries P.L.C. 4,127,987 16,966,362 0.9% Michael Page International P.L.C. 1,418,054 8,841,668 0.4% Mitie Group P.L.C. 1,953,183 9,423,616 0.5% Morgan Advanced Materials P.L.C. 1,478,838 6,685,829 0.3% # Morgan Sindall Group P.L.C. 194,239 2,138,057 0.1% National Express Group P.L.C. 2,267,471 9,053,355 0.5% Norcros P.L.C. 127,268 32,007 0.0% Northgate P.L.C. 752,381 5,902,068 0.3% PayPoint P.L.C. 218,433 3,015,305 0.2% QinetiQ Group P.L.C. 3,223,884 10,448,927 0.5% Regus P.L.C. 3,367,250 10,667,585 0.5% * Renold P.L.C. 193,435 175,711 0.0% Rentokil Initial P.L.C. 9,576,875 18,886,873 1.0% Ricardo P.L.C. 272,894 2,882,835 0.2% Robert Walters P.L.C. 387,999 1,795,971 0.1% Rotork P.L.C. 446,606 18,307,009 0.9% RPS Group P.L.C. 1,266,580 4,755,395 0.2% Senior P.L.C. 2,184,597 9,377,799 0.5% Serco Group P.L.C. 1,982,009 9,458,136 0.5% * Severfield P.L.C. 1,307,340 1,258,407 0.1% Shanks Group P.L.C. 2,492,971 3,882,911 0.2% SIG P.L.C. 3,111,040 7,294,023 0.4% Speedy Hire P.L.C. 2,992,433 2,979,455 0.2% Spirax-Sarco Engineering P.L.C. 399,105 18,236,514 0.9% St Ives P.L.C. 676,146 2,085,412 0.1% Stagecoach Group P.L.C. 2,248,039 13,934,215 0.7% Sthree P.L.C. 364,277 1,805,103 0.1% Stobart Group, Ltd. 503,140 799,197 0.0% T Clarke P.L.C. 147,457 99,351 0.0%
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Industrials -- (Continued) # Tarsus Group P.L.C. 208,165 $ 680,046 0.0% Tribal Group P.L.C. 156,581 393,877 0.0% # Trifast P.L.C. 463,048 734,430 0.0% UK Mail Group P.L.C. 197,261 1,257,474 0.1% Ultra Electronics Holdings P.L.C. 351,758 9,837,018 0.5% Vesuvius P.L.C. 1,449,566 9,896,767 0.5% # Volex P.L.C. 317,928 385,799 0.0% Vp P.L.C. 167,297 1,577,933 0.1% * Wincanton P.L.C. 561,917 1,332,660 0.1% WS Atkins P.L.C. 524,536 11,403,969 0.6% # XP Power, Ltd. 75,669 1,716,580 0.1% ------------ ---- Total Industrials 493,642,579 24.8% ------------ ---- Information Technology -- (8.5%) Acal P.L.C. 209,458 704,766 0.0% Anite P.L.C. 1,650,678 2,306,442 0.1% Aveva Group P.L.C. 151,640 3,720,828 0.2% Computacenter P.L.C. 433,706 4,289,236 0.2% CSR P.L.C. 916,815 12,321,289 0.6% Domino Printing Sciences P.L.C. 548,653 5,306,369 0.3% E2V Technologies P.L.C. 585,776 1,502,795 0.1% Electrocomponents P.L.C. 2,248,668 8,268,736 0.4% Fidessa Group P.L.C. 170,086 6,371,268 0.3% * Filtronic P.L.C. 4,262 1,550 0.0% Halma P.L.C. 2,008,362 20,039,284 1.0% #* Imagination Technologies Group P.L.C. 670,665 2,051,468 0.1% Innovation Group P.L.C. 5,126,744 2,218,841 0.1% * Kofax, Ltd. 62,414 389,734 0.0% Laird P.L.C. 1,432,394 7,230,004 0.4% Micro Focus International P.L.C. 709,995 11,311,090 0.6% Moneysupermarket.com Group P.L.C. 1,591,537 5,112,771 0.2% NCC Group P.L.C. 365,788 1,154,135 0.1% Oxford Instruments P.L.C. 181,921 3,152,269 0.2% Pace P.L.C. 1,504,826 8,365,982 0.4% Phoenix IT Group P.L.C. 204,614 392,243 0.0% Playtech P.L.C. 873,600 9,894,832 0.5% Premier Farnell P.L.C. 1,936,840 5,882,579 0.3% PV Crystalox Solar P.L.C. 147,995 36,400 0.0% Renishaw P.L.C. 188,423 5,360,176 0.3% RM P.L.C. 326,463 757,729 0.0% * SDL P.L.C. 371,904 2,343,562 0.1% Sepura P.L.C. 241,893 529,889 0.0% Spectris P.L.C. 601,319 17,368,409 0.9% Spirent Communications P.L.C. 2,882,616 3,447,051 0.2% # Telecity Group P.L.C. 1,018,433 12,576,541 0.6% TT electronics P.L.C. 841,331 2,255,889 0.1% Vislink P.L.C. 14,361 9,885 0.0% Xaar P.L.C. 275,443 1,228,073 0.1% Xchanging P.L.C. 1,340,957 4,065,812 0.2% ------------ ---- Total Information Technology 171,967,927 8.6% ------------ ----
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- Materials -- (6.6%) African Barrick Gold P.L.C. 537,038 $ 1,769,193 0.1% Alent P.L.C. 1,337,126 7,179,435 0.4% British Polythene Industries P.L.C. 137,680 1,426,218 0.1% Carclo P.L.C. 200,519 284,876 0.0% Centamin P.L.C. 5,186,497 4,247,021 0.2% Croda International P.L.C. 463,619 17,045,566 0.9% DS Smith P.L.C. 4,875,734 20,708,475 1.0% Elementis P.L.C. 2,403,235 10,178,056 0.5% Essentra P.L.C. 1,229,761 13,539,887 0.7% Evraz P.L.C. 1,226,120 2,541,744 0.1% Ferrexpo P.L.C. 955,423 1,290,214 0.1% * Gem Diamonds, Ltd. 565,679 1,407,432 0.1% Hill & Smith Holdings P.L.C. 431,543 3,920,824 0.2% #* Hochschild Mining P.L.C. 702,031 1,109,963 0.1% * International Ferro Metals, Ltd. 447,220 41,172 0.0% #* Kazakhmys P.L.C. 1,061,868 3,917,558 0.2% #* Lonmin P.L.C. 2,202,370 6,173,426 0.3% Low & Bonar P.L.C. 1,132,571 1,004,792 0.1% Marshalls P.L.C. 920,298 2,936,843 0.1% * Petra Diamonds, Ltd. 1,589,051 4,215,774 0.2% #* Petropavlovsk P.L.C. 991,037 342,388 0.0% RPC Group P.L.C. 887,241 7,749,348 0.4% Synthomer P.L.C. 1,278,510 4,157,380 0.2% Vedanta Resources P.L.C. 480,809 6,344,829 0.3% Victrex P.L.C. 401,577 10,908,380 0.5% Zotefoams P.L.C. 96,852 356,448 0.0% -------------- ---- Total Materials 134,797,242 6.8% -------------- ---- Telecommunication Services -- (2.7%) Cable & Wireless Communications P.L.C. 12,247,104 9,464,201 0.5% #* Colt Group SA 1,540,335 3,393,716 0.2% Inmarsat P.L.C. 2,296,017 25,210,004 1.3% Kcom Group P.L.C. 3,098,002 4,612,597 0.2% TalkTalk Telecom Group P.L.C. 2,703,937 13,013,957 0.6% -------------- ---- Total Telecommunication Services 55,694,475 2.8% -------------- ---- Utilities -- (2.6%) Dee Valley Group P.L.C. 12,109 258,832 0.0% Drax Group P.L.C. 2,103,725 20,016,929 1.0% Pennon Group P.L.C. 2,061,341 27,507,186 1.4% Telecom Plus P.L.C. 205,174 4,636,754 0.2% -------------- ---- Total Utilities 52,419,701 2.6% -------------- ---- TOTAL COMMON STOCKS 1,984,016,201 99.4% -------------- ---- RIGHTS/WARRANTS -- (0.1%) * Consort Medical P.L.C. Rights 93,129 1,083,818 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- * McBride P.L.C. Rights 28,231,995 $ 45,163 0.0% TOTAL RIGHTS/WARRANTS 1,128,981 0.1% -------------- ----- VALUE+ -------------- SECURITIES LENDING COLLATERAL -- (2.6%) (S)@ DFA Short Term Investment Fund 4,557,215 52,726,974 2.6% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,533,323,942) $2,037,872,156 102.1% ============== =====
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 1,705,687 $ 511,884,758 -- $ 513,590,445 Consumer Staples -- 92,329,053 -- 92,329,053 Energy -- 93,486,932 -- 93,486,932 Financials -- 299,936,526 -- 299,936,526 Health Care 413,391 75,737,930 -- 76,151,321 Industrials -- 493,642,579 -- 493,642,579 Information Technology 36,400 171,931,527 -- 171,967,927 Materials 41,172 134,756,070 -- 134,797,242 Telecommunication Services -- 55,694,475 -- 55,694,475 Utilities -- 52,419,701 -- 52,419,701 Rights/Warrants 1,083,818 45,163 -- 1,128,981 Securities Lending Collateral -- 52,726,974 -- 52,726,974 ----------- -------------- -- -------------- TOTAL $3,280,468 $2,034,591,688 -- $2,037,872,156 =========== ============== == ==============
THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- COMMON STOCKS -- (87.6%) AUSTRIA -- (2.0%) * A-TEC Industries AG 21,828 $ -- 0.0% Agrana Beteiligungs AG 17,354 1,566,458 0.1% AMAG Austria Metall AG 2,949 94,169 0.0% Atrium European Real Estate, Ltd. 614,001 3,216,258 0.1% Austria Technologie & Systemtechnik AG 110,465 1,280,267 0.0% BKS Bank AG 1,326 28,414 0.0% BUWOG AG 768 14,198 0.0% CA Immobilien Anlagen AG 163,483 3,135,694 0.1% # Conwert Immobilien Invest SE 219,005 2,428,779 0.1% DO & CO AG 24,454 1,478,781 0.0% EVN AG 164,083 2,078,799 0.1% # Flughafen Wien AG 48,347 4,440,384 0.1% Frauenthal Holding AG 4,212 49,152 0.0% * IMMOFINANZ AG 15,360 46,501 0.0% Josef Manner & Co. AG 870 49,091 0.0% #* Kapsch TrafficCom AG 26,900 566,544 0.0% # Lenzing AG 51,434 2,968,035 0.1% # Mayr Melnhof Karton AG 45,831 4,918,621 0.2% Oberbank AG 37,973 2,391,262 0.1% Oesterreichische Post AG 161,426 7,878,430 0.3% Palfinger AG 58,212 1,356,558 0.0% POLYTEC Holding AG 83,703 690,733 0.0% RHI AG 113,647 2,913,350 0.1% # Rosenbauer International AG 17,375 1,585,377 0.1% S IMMO AG 300,714 2,315,937 0.1% Schoeller-Bleckmann Oilfield Equipment AG 53,891 4,644,372 0.1% Semperit AG Holding 54,240 2,686,538 0.1% Strabag SE 102,680 2,222,240 0.1% UNIQA Insurance Group AG 417,996 4,660,838 0.1% # Wienerberger AG 570,796 6,902,467 0.2% * Wolford AG 11,252 274,836 0.0% # Zumtobel Group AG 163,104 2,876,328 0.1% ----------- --- TOTAL AUSTRIA 71,759,411 2.3% ----------- --- BELGIUM -- (2.9%) * Ablynx NV 272,821 2,727,998 0.1% Ackermans & van Haaren NV 121,561 15,159,547 0.5% * AGFA-Gevaert NV 953,695 2,406,099 0.1% Arseus NV 128,749 5,136,104 0.2% # Atenor Group 6,182 284,618 0.0% Banque Nationale de Belgique 973 3,963,848 0.1% # Barco NV 64,380 4,746,910 0.2% Cie d'Entreprises CFE 41,428 4,480,228 0.1% Cie Immobiliere de Belgique SA 14,448 760,511 0.0% Cie Maritime Belge SA 66,098 1,294,542 0.0% Co.Br.Ha Societe Commerciale de Brasserie SA 115 314,576 0.0% D'ieteren SA 129,060 4,673,200 0.1% Deceuninck NV 364,236 904,273 0.0% # Econocom Group SA 312,002 2,016,658 0.1% Elia System Operator SA 139,387 6,914,341 0.2%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- BELGIUM -- (Continued) #* Euronav NV 174,847 $ 1,855,645 0.1% # EVS Broadcast Equipment SA 60,843 1,971,932 0.1% Exmar NV 170,112 2,377,959 0.1% * Floridienne SA 868 77,217 0.0% Gimv NV 14,723 668,984 0.0% * Hamon & CIE SA 4,508 58,782 0.0% * Ion Beam Applications 104,875 1,832,087 0.1% Jensen-Group NV 13,482 253,151 0.0% Kinepolis Group NV 97,910 3,921,969 0.1% # Lotus Bakeries 1,404 1,638,187 0.1% #* MDxHealth 135,363 635,876 0.0% Melexis NV 99,627 4,549,212 0.1% * Mobistar SA 113,212 2,427,558 0.1% # NV Bekaert SA 190,167 5,978,451 0.2% #* Nyrstar NV 1,669,179 5,633,555 0.2% * Option NV 131,335 47,009 0.0% * Picanol 29,777 984,082 0.0% RealDolmen NV 120 15 0.0% * RealDolmen NV/SA 8,137 193,507 0.0% Recticel SA 112,905 861,442 0.0% * Rentabiliweb Group 18,045 133,255 0.0% # Resilux 4,818 638,420 0.0% #* RHJ International SA 192,652 1,049,963 0.0% * Roularta Media Group NV 10,263 154,401 0.0% * Sapec 2,832 100,021 0.0% Sioen Industries NV 52,140 736,147 0.0% Sipef SA 30,617 2,124,916 0.1% TER Beke SA 2,260 169,530 0.0% #* Tessenderlo Chemie NV 137,700 3,572,441 0.1% #* ThromboGenics NV 164,549 1,446,472 0.0% Van de Velde NV 37,238 1,725,570 0.1% * Viohalco SA 603,593 1,947,500 0.1% ------------ --- TOTAL BELGIUM 105,548,709 3.3% ------------ --- DENMARK -- (4.6%) ALK-Abello A.S. 29,336 3,308,409 0.1% * Alm Brand A.S. 484,611 2,645,625 0.1% # Ambu A.S. Class B 29,756 2,102,607 0.1% Arkil Holding A.S. Class B 504 69,089 0.0% * Atlantic Petroleum P/F 4,328 52,405 0.0% * Auriga Industries A.S. Class B 96,829 5,003,238 0.2% #* Bang & Olufsen A.S. 173,002 1,342,772 0.1% BankNordik P/F 1,753 33,073 0.0% #* Bavarian Nordic A.S. 122,864 3,804,503 0.1% * BoConcept Holding A.S. Class B 5,365 79,110 0.0% Brodrene Hartmann A.S. 13,977 402,586 0.0% # D/S Norden A.S. 110,869 2,915,497 0.1% Dfds A.S. 21,740 1,842,513 0.1% Djurslands Bank A.S. 8,970 304,323 0.0% East Asiatic Co., Ltd. A.S. 55,571 500,580 0.0% FE Bording A.S. 426 65,384 0.0% # FLSmidth & Co. A.S. 229,906 10,423,836 0.3%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- DENMARK -- (Continued) Fluegger A.S. Class B 4,198 $ 261,643 0.0% * Genmab A.S. 188,213 8,204,501 0.3% GN Store Nord A.S. 772,340 17,970,374 0.6% * GPV Industri A.S. Series B 2,200 -- 0.0% * Greentech Energy Systems A.S. 12,775 15,391 0.0% Gronlandsbanken A.S. 1,125 117,881 0.0% H Lundbeck A.S. 76,174 1,615,297 0.1% * H+H International A.S. Class B 32,853 228,615 0.0% Harboes Bryggeri A.S. Class B 13,115 184,350 0.0% IC Group A.S. 35,956 920,672 0.0% Jeudan A.S. 4,800 451,221 0.0% * Jyske Bank A.S. 267,531 14,424,929 0.5% Lan & Spar Bank 5,150 325,336 0.0% NKT Holding A.S. 110,421 5,727,711 0.2% Nordjyske Bank A.S. 17,600 382,528 0.0% Norresundby Bank A.S. 7,350 371,314 0.0% Pandora A.S. 726 61,210 0.0% * Parken Sport & Entertainment A.S. 33,556 344,853 0.0% PER Aarsleff A.S. Class B 9,177 1,527,396 0.1% Ringkjoebing Landbobank A.S. 20,364 3,924,251 0.1% Roblon A.S. Class B 2,700 130,122 0.0% Rockwool International A.S. Class B 30,614 4,456,793 0.1% * Royal UNIBREW 45,850 7,494,794 0.2% RTX A.S. 6,100 51,384 0.0% Schouw & Co. 74,017 3,279,370 0.1% SimCorp A.S. 194,860 5,880,548 0.2% Solar A.S. Class B 27,205 1,259,701 0.0% Spar Nord Bank A.S. 352,611 3,564,325 0.1% * Sydbank A.S. 317,330 10,073,951 0.3% Tivoli A.S. 969 487,112 0.0% * TK Development A.S. 374,839 549,604 0.0% * Topdanmark A.S. 507,925 16,167,201 0.5% * Topsil Semiconductor Matls 886,257 68,960 0.0% * Torm A.S. 478,524 30,642 0.0% United International Enterprises 9,811 1,748,785 0.1% * Vestas Wind Systems A.S. 531,291 17,731,821 0.6% * Vestjysk Bank A.S. 53,413 101,785 0.0% #* Zealand Pharma A.S. 45,987 526,693 0.0% ------------ --- TOTAL DENMARK 165,558,614 5.3% ------------ --- FINLAND -- (6.0%) Afarak Group Oyj 312,075 97,586 0.0% Ahlstrom Oyj 48,381 441,805 0.0% # Aktia Bank Oyj 48,678 592,232 0.0% Alma Media Oyj 277,852 1,090,630 0.0% # Amer Sports Oyj 566,687 10,861,464 0.4% Apetit Oyj 19,402 347,284 0.0% Aspo Oyj 83,365 739,882 0.0% Atria Oyj 37,273 329,095 0.0% Bank of Aland P.L.C. Class B 22,078 277,598 0.0% BasWare Oyj 42,915 2,153,395 0.1% #* Biotie Therapies Oyj 955,389 246,477 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- FINLAND -- (Continued) # Cargotec Oyj 167,673 $ 5,061,705 0.2% Caverion Corp. 486,401 3,911,641 0.1% Citycon Oyj 1,345,638 4,359,750 0.1% Comptel Oyj 337,600 262,501 0.0% # Cramo Oyj 148,755 2,169,476 0.1% Digia Oyj 48,912 187,553 0.0% Elektrobit Oyj 265,750 1,143,662 0.0% Elisa Oyj 702,558 19,299,483 0.6% # F-Secure Oyj 471,472 1,151,522 0.0% * Finnair Oyj 427,233 1,334,492 0.0% * Finnlines Oyj 124,906 2,363,783 0.1% Fiskars Oyj Abp 196,766 5,477,728 0.2% * GeoSentric Oyj 244,900 -- 0.0% HKScan Oyj Class A 127,827 543,701 0.0% Huhtamaki Oyj 452,365 11,478,833 0.4% Ilkka-Yhtyma Oyj 61,503 164,120 0.0% # Kemira Oyj 472,368 6,099,948 0.2% Kesko Oyj Class B 315,046 11,948,285 0.4% # Konecranes Oyj 245,559 6,881,218 0.2% # Lassila & Tikanoja Oyj 160,510 2,961,594 0.1% * Lemminkainen Oyj 31,119 461,925 0.0% Metsa Board Oyj 1,549,706 6,922,294 0.2% Metso Oyj 469,957 15,354,503 0.5% # Munksjo Oyj 24,345 229,184 0.0% # Neste Oil Oyj 609,759 13,158,259 0.4% Nokian Renkaat Oyj 124,115 3,506,308 0.1% Okmetic Oyj 61,386 366,485 0.0% Olvi Oyj Class A 70,665 2,085,929 0.1% * Oriola-KD Oyj Class A 5,045 16,459 0.0% * Oriola-KD Oyj Class B 507,715 1,678,922 0.1% Orion Oyj Class A 130,940 4,399,572 0.1% Orion Oyj Class B 401,178 13,644,702 0.4% #* Outokumpu Oyj 841,911 4,779,633 0.2% # Outotec Oyj 697,608 4,616,784 0.2% PKC Group Oyj 109,715 2,200,494 0.1% Ponsse Oy 31,710 481,149 0.0% #* Poyry Oyj 194,637 781,784 0.0% Raisio Oyj Class V 541,284 2,700,055 0.1% Ramirent Oyj 324,161 2,587,183 0.1% Rapala VMC Oyj 113,258 731,978 0.0% Revenio Group Oyj 9,732 166,338 0.0% Saga Furs Oyj 11,324 357,076 0.0% # Sanoma Oyj 359,150 2,066,659 0.1% SRV Group Oyj 9,181 40,715 0.0% Stockmann Oyj Abp(5462371) 43,914 484,810 0.0% # Stockmann Oyj Abp(5462393) 139,051 1,540,392 0.1% Technopolis Oyj 421,257 2,141,522 0.1% Teleste Oyj 53,559 345,527 0.0% Tieto Oyj 305,721 7,751,272 0.3% Tikkurila Oyj 175,018 3,614,319 0.1% Uponor Oyj 249,785 3,320,208 0.1% Vacon Oyj 94,389 3,999,516 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- FINLAND -- (Continued) Vaisala Oyj Class A 42,946 $ 1,210,111 0.0% Viking Line Abp 10,366 178,265 0.0% # YIT Oyj 500,865 3,350,763 0.1% ------------ --- TOTAL FINLAND 215,249,538 6.8% ------------ --- FRANCE -- (10.4%) ABC Arbitrage 23,342 140,697 0.0% Actia Group 7,463 44,525 0.0% #* Air France-KLM 722,730 6,105,703 0.2% # Akka Technologies SA 37,835 1,237,228 0.1% Albioma SA 101,173 2,194,455 0.1% * Alcatel-Lucent 1,635,580 4,997,151 0.2% Altamir 81,618 1,023,388 0.0% Alten SA 100,640 4,304,684 0.1% Altran Technologies SA 694,315 6,821,242 0.2% April 76,998 1,152,836 0.0% #* Archos 68,116 179,114 0.0% # Arkema SA 83,167 5,133,228 0.2% Assystem 65,144 1,315,439 0.1% # Aubay 15,189 180,500 0.0% Audika Groupe 22,298 328,198 0.0% Aurea SA 2,850 18,328 0.0% # Axway Software SA 29,721 621,208 0.0% Bastide le Confort Medical 1,571 29,871 0.0% #* Beneteau SA 184,191 2,725,900 0.1% # Bigben Interactive 36,286 236,027 0.0% BioMerieux 52,366 5,522,662 0.2% Boiron SA 30,876 2,748,736 0.1% Bonduelle S.C.A. 77,754 1,958,187 0.1% # Bongrain SA 34,266 2,330,078 0.1% Burelle SA 3,866 2,638,927 0.1% # Catering International Services 2,404 53,011 0.0% * Cegedim SA 21,475 689,437 0.0% Cegid Group 23,381 860,562 0.0% #* CGG SA 455,425 2,631,189 0.1% #* Chargeurs SA 92,587 555,169 0.0% * Cie des Alpes 22,959 445,866 0.0% Cie Industrielle et Financiere D'Entreprises 1,074 76,868 0.0% * Club Mediterranee SA 107,104 3,017,526 0.1% Derichebourg SA 548,515 1,376,810 0.1% # Devoteam SA 27,431 439,404 0.0% Eiffage SA 107,799 5,730,912 0.2% Electricite de Strasbourg SA 21,886 2,870,514 0.1% #* Eramet 11,047 1,026,398 0.0% #* Esso SA Francaise 12,119 469,057 0.0% * Etablissements Maurel et Prom 429,214 5,130,013 0.2% Euler Hermes Group 49,555 4,854,370 0.2% #* Euro Disney SCA 61,975 233,589 0.0% Eurofins Scientific SE 41,429 10,479,085 0.3% # Exel Industries Class A 10,680 605,042 0.0% Faiveley Transport SA 35,342 2,125,417 0.1% Faurecia 267,798 8,674,532 0.3%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- FRANCE -- (Continued) Fimalac 31,490 $ 2,112,489 0.1% # Fleury Michon SA 6,164 355,892 0.0% * GameLoft SE 315,552 1,619,960 0.1% Gaumont SA 13,980 695,230 0.0% GEA 2,433 218,165 0.0% #* GECI International 59,392 -- 0.0% Gevelot SA 3,584 462,891 0.0% # GL Events 48,302 965,379 0.0% Groupe Crit 24,255 1,243,086 0.1% Groupe Eurotunnel SA 425,966 5,383,888 0.2% Groupe Flo 35,997 127,330 0.0% * Groupe Fnac 20,234 852,025 0.0% # Groupe Gorge 16,780 387,479 0.0% * Groupe Open 27,590 303,149 0.0% Guerbet 28,178 1,310,552 0.1% Haulotte Group SA 65,672 993,123 0.0% Havas SA 1,325,494 10,721,569 0.4% #* Hi-Media SA 243,923 776,766 0.0% # Ingenico 171,744 17,109,701 0.6% # Interparfums SA 38,693 929,339 0.0% Ipsen SA 152,411 7,491,691 0.3% IPSOS 159,746 4,142,947 0.1% Jacquet Metal Service 62,117 1,060,079 0.0% Korian-Medica 167,561 6,052,815 0.2% Lagardere SCA 585,070 14,238,458 0.5% Lanson-BCC 9,093 380,240 0.0% Laurent-Perrier 12,792 1,025,735 0.0% * Le Noble Age 5,357 130,213 0.0% Lectra 96,619 953,429 0.0% Linedata Services 1,714 49,215 0.0% LISI 86,765 2,176,969 0.1% Maisons France Confort SA 15,817 536,452 0.0% * Manitou BF SA 48,911 680,535 0.0% Manutan International 14,553 703,155 0.0% * Mauna Kea Technologies 12,360 101,839 0.0% Mersen 72,883 1,753,542 0.1% * METabolic EXplorer SA 56,724 224,926 0.0% Metropole Television SA 236,930 4,100,236 0.1% MGI Coutier 44,418 658,470 0.0% # Montupet 33,190 2,575,982 0.1% Mr Bricolage 30,731 559,869 0.0% # Naturex 30,079 2,093,416 0.1% # Neopost SA 171,272 11,886,247 0.4% #* Nexans SA 139,042 4,236,689 0.1% Nexity SA 115,696 4,153,725 0.1% NextRadioTV 14,562 435,751 0.0% Norbert Dentressangle SA 20,989 3,067,895 0.1% * NRJ Group 72,524 628,995 0.0% #* Onxeo 40,495 340,896 0.0% #* Orco Property Group SA 167,788 77,948 0.0% Orpea 167,069 10,193,263 0.3% # Paris Orleans SA 3,127 68,202 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- FRANCE -- (Continued) * Parrot SA 38,572 $ 731,745 0.0% * Peugeot SA 449,441 5,341,390 0.2% #* Pierre & Vacances SA 26,355 655,263 0.0% Plastic Omnium SA 324,906 7,399,717 0.2% PSB Industries SA 8,438 371,141 0.0% Rallye SA 109,998 4,263,137 0.1% #* Recylex SA 83,164 196,992 0.0% Remy Cointreau SA 4 285 0.0% Robertet SA 3,167 655,243 0.0% # Rubis SCA 167,944 9,881,781 0.3% Saft Groupe SA 142,312 4,233,177 0.1% Samse SA 8,342 1,132,133 0.0% Sartorius Stedim Biotech 11,142 2,031,034 0.1% SEB SA 94,711 7,750,150 0.3% Seche Environnement SA 9,167 269,492 0.0% * Securidev SA 2,500 116,363 0.0% #* Sequana SA 88,039 261,654 0.0% Societe d'Edition de Canal + 273,424 2,031,217 0.1% Societe des Bains de Mer et du Cercle des Etrangers a Monaco 46,150 2,581,155 0.1% # Societe Internationale de Plantations d'Heveas SA 7,778 323,683 0.0% Societe Marseillaise du Tunnel Prado-Carenage SA 3,434 130,110 0.0% Societe pour l'Informatique Industrielle 40,908 348,687 0.0% Societe Television Francaise 1 574,842 8,570,051 0.3% #* SOITEC 1,185,978 2,951,076 0.1% #* Solocal Group 3,535,700 2,172,430 0.1% # Somfy SA 21,738 6,370,851 0.2% Sopra Group SA 57,580 4,316,148 0.2% #* Spir Communication SA 4,687 67,507 0.0% Stallergenes SA 3,053 191,379 0.0% #* Ste Industrielle d'Aviation Latecoere SA 37,780 452,202 0.0% # Stef SA 29,121 1,660,462 0.1% #* Store Electronic 12,202 188,934 0.0% Sword Group 30,562 710,920 0.0% Synergie SA 72,705 1,667,215 0.1% * Technicolor SA 1,236,609 7,300,958 0.2% Teleperformance 289,816 18,262,629 0.6% Tessi SA 7,038 695,112 0.0% TFF Group 5,013 379,391 0.0% #* Theolia SA 281,335 236,211 0.0% Thermador Groupe 11,363 1,059,872 0.0% Total Gabon 1,324 586,917 0.0% Touax SA 4,773 84,923 0.0% * Trigano SA 44,946 910,306 0.0% * UBISOFT Entertainment 471,492 8,536,532 0.3% Union Financiere de France BQE SA 16,679 459,897 0.0% #* Valneva SE 139,354 768,660 0.0% Vetoquinol SA 11,920 537,375 0.0% Vicat 59,033 4,037,214 0.1% VIEL & Cie SA 158,130 376,200 0.0% # Vilmorin & Cie SA 22,738 2,282,533 0.1% Virbac SA 17,838 3,985,949 0.1% VM Materiaux SA 6,914 206,056 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- FRANCE -- (Continued) Vranken-Pommery Monopole SA 18,881 $ 569,815 0.0% ------------ ---- TOTAL FRANCE 370,982,194 11.8% ------------ ---- GERMANY -- (13.1%) * AAP Implantate AG 1,361 4,153 0.0% Aareal Bank AG 423,110 18,179,030 0.6% Adler Modemaerkte AG 43,274 647,363 0.0% * ADVA Optical Networking SE 189,709 681,131 0.0% #* Air Berlin P.L.C. 167,708 248,125 0.0% #* Aixtron SE 409,853 5,000,798 0.2% * Aligna AG 318,087 -- 0.0% All for One Steeb AG 252 8,760 0.0% Allgeier SE 26,582 473,802 0.0% Amadeus Fire AG 25,995 1,845,041 0.1% * Analytik Jena AG 5,992 106,815 0.0% * AS Creation Tapeten 7,109 245,109 0.0% Aurubis AG 166,425 8,687,788 0.3% # Balda AG 127,634 438,775 0.0% Basler AG 1,972 98,517 0.0% #* Bauer AG 49,656 769,720 0.0% BayWa AG(5838057) 60,753 2,406,520 0.1% BayWa AG(5838068) 124 5,053 0.0% Bechtle AG 75,407 5,874,774 0.2% Bertrandt AG 24,357 3,188,337 0.1% Bijou Brigitte AG 19,384 1,336,789 0.0% # Bilfinger SE 75,691 4,894,926 0.2% # Biotest AG 20,784 2,059,963 0.1% * BKN International AG 33,408 -- 0.0% Borussia Dortmund GmbH & Co. KGaA(4627193) 311,205 1,648,127 0.1% * Borussia Dortmund GmbH & Co. KGaA(BQ8P020) 99,740 524,955 0.0% # CANCOM SE 77,099 3,164,605 0.1% Carl Zeiss Meditec AG 116,969 3,147,289 0.1% # CAT Oil AG 111,403 2,122,012 0.1% Celesio AG 212,397 7,007,365 0.2% CENIT AG 37,908 527,004 0.0% CENTROTEC Sustainable AG 43,285 701,053 0.0% Cewe Stiftung & Co. KGAA 28,461 1,873,183 0.1% Comdirect Bank AG 179,407 1,815,149 0.1% CompuGroup Medical AG 69,315 1,591,066 0.1% * Constantin Medien AG 351,622 527,167 0.0% # CropEnergies AG 111,540 552,854 0.0% CTS Eventim AG & Co., KGaA 212,200 5,607,087 0.2% #* DAB Bank AG 130,043 766,091 0.0% Data Modul AG 11,455 259,185 0.0% DEAG Deutsche Entertainment AG 3,177 23,496 0.0% # Delticom AG 25,992 542,729 0.0% * Deufol SE 46,570 45,521 0.0% # Deutsche Beteiligungs AG 29,148 799,010 0.0% Deutsche Wohnen AG 885,948 19,997,303 0.6% Deutz AG 440,031 1,982,281 0.1% * Dialog Semiconductor P.L.C. 315,500 10,894,785 0.4% DIC Asset AG 13,115 110,591 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- GERMANY -- (Continued) DMG Mori Seiki AG 308,295 $ 7,893,799 0.3% Dr Hoenle AG 21,610 460,527 0.0% Draegerwerk AG & Co. KGaA 6,384 529,857 0.0% Drillisch AG 228,312 7,951,875 0.3% Duerr AG 123,784 8,695,107 0.3% Eckert & Ziegler AG 17,884 535,479 0.0% Elmos Semiconductor AG 49,157 879,965 0.0% ElringKlinger AG 151,212 4,625,261 0.2% Erlus AG 2,970 171,317 0.0% #* Euromicron AG 33,718 558,437 0.0% #* Evotec AG 1,140,613 4,192,358 0.1% Fielmann AG 72,832 4,752,690 0.2% #* First Sensor AG 19,888 250,529 0.0% Francotyp-Postalia Holding AG Class A 53,729 275,204 0.0% Freenet AG 631,511 16,569,366 0.5% Fuchs Petrolub SE 173,842 6,397,655 0.2% * GAGFAH SA 281,532 5,264,938 0.2% Gerresheimer AG 154,331 8,587,271 0.3% Gerry Weber International AG 109,422 4,401,177 0.1% Gesco AG 14,980 1,323,789 0.0% GFK SE 72,900 3,018,149 0.1% GFT Technologies AG 81,255 1,125,415 0.0% Grammer AG 62,474 2,289,199 0.1% Grenkeleasing AG 32,703 3,253,700 0.1% #* H&R AG 50,783 435,038 0.0% # Hamburger Hafen und Logistik AG 87,488 1,917,520 0.1% * Hansa Group AG 115,149 38,311 0.0% # Hawesko Holding AG 20,532 951,337 0.0% #* Heidelberger Druckmaschinen AG 1,325,208 3,384,719 0.1% Highlight Communications AG 98,062 392,906 0.0% Homag Group AG 28,046 988,264 0.0% Hornbach Baumarkt AG 1,879 66,922 0.0% Indus Holding AG 110,159 5,063,808 0.2% # Init Innovation In Traffic Systems AG 19,649 476,451 0.0% #* Intershop Communications AG 62,598 98,122 0.0% Isra Vision AG 15,171 903,806 0.0% Jenoptik AG 223,167 2,556,733 0.1% * Joyou AG 18,024 223,743 0.0% K+S AG 46,883 1,313,884 0.0% * Kampa AG 7,101 125 0.0% * Kloeckner & Co. SE 520,355 6,112,618 0.2% * Koenig & Bauer AG 27,098 343,204 0.0% * Kontron AG 247,150 1,431,187 0.0% Krones AG 72,618 6,966,980 0.2% KSB AG 3,584 1,931,880 0.1% # KUKA AG 137,507 8,666,209 0.3% KWS Saat AG 16,490 5,378,349 0.2% Leifheit AG 12,500 655,039 0.0% Leoni AG 160,708 9,231,617 0.3% # LPKF Laser & Electronics AG 116,440 1,492,874 0.1% #* Manz AG 14,219 1,162,189 0.0% * MasterFlex SE 19,347 161,770 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- GERMANY -- (Continued) * Mediclin AG 119,554 $ 561,129 0.0% #* Medigene AG 30,647 155,302 0.0% MLP AG 219,096 1,114,480 0.0% # Mobotix AG 13,963 180,435 0.0% * Morphosys AG 1,746 165,385 0.0% MTU Aero Engines AG 248,035 21,753,942 0.7% # Muehlbauer Holding AG 14,905 316,014 0.0% MVV Energie AG 110,045 3,308,711 0.1% Nemetschek AG 25,985 2,589,998 0.1% Nexus AG 42,453 650,634 0.0% * Nordex SE 301,573 5,111,825 0.2% Norma Group SE 155,621 7,294,579 0.2% OHB AG 35,659 889,977 0.0% * Osram Licht AG 146,342 5,140,838 0.2% * Patrizia Immobilien AG 190,180 2,571,163 0.1% # Pfeiffer Vacuum Technology AG 49,303 3,839,457 0.1% # PNE Wind AG 380,000 1,073,730 0.0% Progress-Werk Oberkirch AG 7,828 419,049 0.0% #* PSI AG Gesellschaft Fuer Produkte und Systeme der Informationstechnologie 28,155 392,204 0.0% Puma SE 9,029 1,897,135 0.1% * PVA TePla AG 46,019 111,678 0.0% * QIAGEN NV 223,848 5,260,749 0.2% # QSC AG 484,191 936,534 0.0% # R Stahl AG 15,459 766,207 0.0% Rational AG 12,336 3,865,910 0.1% Rheinmetall AG 195,657 8,430,191 0.3% Rhoen Klinikum AG 500,406 14,899,557 0.5% # RIB Software AG 79,686 1,071,152 0.0% SAF-Holland SA 238,735 2,991,416 0.1% # Salzgitter AG 192,504 5,813,407 0.2% Schaltbau Holding AG 25,809 1,585,557 0.1% # Sektkellerei Schloss Wachenheim AG 7,479 129,296 0.0% * SER Systems AG 9,400 -- 0.0% #* SGL Carbon SE 293,612 4,551,021 0.1% SHW AG 21,746 993,185 0.0% #* Singulus Technologies AG 241,327 176,915 0.0% Sinner AG 1,089 17,740 0.0% Sixt SE 81,198 2,626,783 0.1% #* SKW Stahl-Metallurgie Holding AG 28,224 145,794 0.0% #* SMA Solar Technology AG 54,199 1,349,620 0.0% # SMT Scharf AG 18,717 349,369 0.0% # Softing AG 22,308 408,883 0.0% Software AG 318,618 8,024,260 0.3% #* Solarworld AG 774 13,911 0.0% Stada Arzneimittel AG 298,237 11,491,332 0.4% STRATEC Biomedical AG 16,074 851,749 0.0% Stroeer Media S.E. 114,489 2,612,559 0.1% # Suedzucker AG 262,563 3,655,931 0.1% # Surteco SE 3,550 108,410 0.0% * Suss Microtec AG 92,598 547,833 0.0% Symrise AG 114,117 6,433,836 0.2% Syzygy AG 30,656 234,829 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- GERMANY -- (Continued) # TAG Immobilien AG 455,809 $ 5,338,710 0.2% Takkt AG 135,078 2,106,701 0.1% Technotrans AG 29,535 314,903 0.0% Telegate AG 9,259 40,741 0.0% # Tipp24 SE 30,567 1,470,931 0.1% * Tom Tailor Holding AG 93,383 1,309,169 0.0% # Tomorrow Focus AG 118,269 489,613 0.0% TUI AG 883,403 13,528,431 0.4% UMS United Medical Systems International AG 3,304 39,333 0.0% USU Software AG 3,377 55,519 0.0% * VBH Holding AG 9,415 28,936 0.0% * VERBIO Vereinigte BioEnergie AG 796 1,462 0.0% # Vossloh AG 39,352 2,266,734 0.1% VTG AG 50,521 1,021,561 0.0% # Wacker Chemie AG 12,207 1,479,232 0.1% Wacker Neuson SE 90,520 1,761,404 0.1% Washtec AG 5,625 86,798 0.0% Wincor Nixdorf AG 143,454 6,597,484 0.2% XING AG 11,211 1,190,707 0.0% ------------ ---- TOTAL GERMANY 468,789,836 14.9% ------------ ---- GREECE -- (0.0%) * Alfa Alfa Energy SA 3,810 -- 0.0% * Alysida SA 2,376 -- 0.0% * Atlantic Supermarkets SA 34,730 -- 0.0% * Babis Vovos International Construction SA 21,073 -- 0.0% * Balafas SA 15,200 -- 0.0% * Bank of Cyprus PCL 4,342,301 -- 0.0% * Elektroniki Athinon SA 7,497 846 0.0% * Etma Rayon SA 11,242 -- 0.0% * Informatics SA 3,778 -- 0.0% * Ipirotiki Software & Publications SA 22,110 -- 0.0% * Lan-Net SA 12,688 -- 0.0% * Neorion Holdings SA 14,991 -- 0.0% * Promota Hellas SA 8,860 -- 0.0% * T Bank SA 228,007 -- 0.0% * Themeliodomi SA 37,422 -- 0.0% ------------ ---- TOTAL GREECE 846 0.0% ------------ ---- IRELAND -- (1.9%) Aer Lingus Group P.L.C. 752,359 1,352,905 0.0% C&C Group P.L.C.(B010DT8) 399,607 1,791,224 0.1% C&C Group P.L.C.(B011Y09) 1,096,205 4,883,032 0.2% Dragon Oil P.L.C. 953,523 8,241,830 0.3% FBD Holdings P.L.C. 125,728 2,080,480 0.1% Glanbia P.L.C.(0066950) 700,613 9,921,252 0.3% Glanbia P.L.C.(4058629) 86,722 1,225,059 0.0% IFG Group P.L.C. 312,257 599,587 0.0% * Independent News & Media P.L.C. 806,194 141,502 0.0% Irish Continental Group P.L.C.(BLP5857) 350,018 1,222,995 0.0% Irish Continental Group P.L.C.(BLP59W1) 234,200 816,001 0.0% * Kenmare Resources P.L.C. 4,546,361 501,713 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- IRELAND -- (Continued) Kingspan Group P.L.C. 600,070 $ 9,392,960 0.3% Paddy Power P.L.C.(4828974) 12,708 927,514 0.0% Paddy Power P.L.C.(0258810) 175,221 12,788,109 0.4% Smurfit Kappa Group P.L.C. 564,905 11,671,917 0.4% ----------- --- TOTAL IRELAND 67,558,080 2.1% ----------- --- ISRAEL -- (2.3%) #* Africa Israel Investments, Ltd. 624,375 1,003,941 0.0% Africa Israel Properties, Ltd. 63,473 914,244 0.0% Africa Israel Residences, Ltd. 594 8,302 0.0% * Airport City, Ltd. 160,481 1,467,592 0.1% * AL-ROV Israel, Ltd. 18,725 548,706 0.0% Albaad Massuot Yitzhak, Ltd. 370 5,304 0.0% * Allot Communications, Ltd. 84,289 954,130 0.0% #* Alon Blue Square Israel, Ltd. 76,012 208,606 0.0% * Alrov Properties and Lodgings, Ltd. 12,098 243,883 0.0% Amot Investments, Ltd. 384,701 1,215,855 0.0% Arad, Ltd. 1,053 8,841 0.0% #* AudioCodes, Ltd. 169,225 791,490 0.0% # Avgol Industries 1953, Ltd. 420,938 353,720 0.0% * Azorim-Investment Development & Construction Co., Ltd. 380,820 297,825 0.0% Bayside Land Corp. 2,774 739,077 0.0% Big Shopping Centers 2004, Ltd. 9,475 385,329 0.0% * BioLine RX, Ltd. 596,298 80,159 0.0% Blue Square Real Estate, Ltd. 5,096 172,082 0.0% #* Brainsway, Ltd. 40,895 356,524 0.0% # Cellcom Israel, Ltd. 248,839 2,557,443 0.1% * Ceragon Networks, Ltd. 95,438 143,491 0.0% #* Clal Biotechnology Industries, Ltd. 174,162 181,407 0.0% * Clal Insurance Enterprises Holdings, Ltd. 88,615 1,407,864 0.1% * Cohen Development & Industrial Buildings, Ltd. 2,564 83,650 0.0% #* Compugen, Ltd. 154,700 1,155,380 0.0% Delek Automotive Systems, Ltd. 151,345 1,513,048 0.1% Delta-Galil Industries, Ltd. 47,407 1,256,467 0.0% Direct Insurance Financial Investments, Ltd. 47,508 305,942 0.0% * El Al Israel Airlines 77,144 10,758 0.0% Elbit Systems, Ltd. 75,608 4,598,859 0.2% * Electra Real Estate, Ltd. 6,881 12,154 0.0% Electra, Ltd. 8,082 1,039,086 0.0% # Elron Electronic Industries, Ltd. 62,094 281,334 0.0% * Equital, Ltd. 3,197 57,868 0.0% #* Evogene, Ltd. 66,262 755,583 0.0% #* EZchip Semiconductor, Ltd. 134,706 2,782,920 0.1% First International Bank Of Israel, Ltd. 98,118 1,381,776 0.1% FMS Enterprises Migun, Ltd. 10,227 149,218 0.0% Formula Systems 1985, Ltd. 38,789 976,128 0.0% Fox Wizel, Ltd. 17,805 415,291 0.0% Frutarom Industries, Ltd. 174,875 4,425,186 0.1% #* Gilat Satellite Networks, Ltd. 108,541 543,576 0.0% Golf & Co., Ltd. 74,605 235,008 0.0% #* Hadera Paper, Ltd. 10,176 340,215 0.0% Harel Insurance Investments & Financial Services, Ltd. 476,409 2,406,326 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- ISRAEL -- (Continued) # Industrial Buildings Corp., Ltd. 368,990 $ 606,431 0.0% * Israel Discount Bank, Ltd. Class A 2,805,708 4,525,097 0.2% Israel Land Development Co., Ltd. (The) 22,310 92,426 0.0% Ituran Location and Control, Ltd. 87,477 1,782,521 0.1% * Jerusalem Oil Exploration 42,458 1,711,529 0.1% #* Kamada, Ltd. 123,192 511,428 0.0% Kerur Holdings, Ltd. 2,133 35,327 0.0% Maabarot Products, Ltd. 21,999 255,281 0.0% Magic Software Enterprises, Ltd. 87,066 593,834 0.0% Matrix IT, Ltd. 182,457 942,142 0.0% Maytronics, Ltd. 6,672 13,438 0.0% #* Mazor Robotics, Ltd. 161,210 933,332 0.0% Meitav DS Investments, Ltd. 38,130 129,727 0.0% Melisron, Ltd. 52,829 1,412,829 0.1% Menorah Mivtachim Holdings, Ltd. 120,564 1,299,466 0.1% Migdal Insurance & Financial Holding, Ltd. 1,213,664 1,657,047 0.1% # Mivtach Shamir Holdings, Ltd. 23,312 655,565 0.0% * Naphtha Israel Petroleum Corp., Ltd. 163,755 1,092,867 0.0% Neto ME Holdings, Ltd. 5,411 262,097 0.0% #* Nitsba Holdings 1995, Ltd. 130,717 1,917,926 0.1% * Nova Measuring Instruments, Ltd. 111,008 1,105,422 0.0% * Oil Refineries, Ltd. 4,941,609 1,612,997 0.1% Ormat Industries 293,852 2,022,219 0.1% Osem Investments, Ltd. 66,069 1,270,870 0.0% #* Partner Communications Co., Ltd. 392,298 2,624,607 0.1% Paz Oil Co., Ltd. 20,326 2,872,737 0.1% * Perion Network, Ltd. 16,455 89,262 0.0% Phoenix Holdings, Ltd. (The) 279,438 819,119 0.0% Plasson Industries, Ltd. 13,941 524,508 0.0% # Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 33,735 1,526,307 0.1% * Sapiens International Corp. NV 70,814 533,087 0.0% Shikun & Binui, Ltd. 942,924 2,177,327 0.1% # Shufersal, Ltd. 381,641 943,566 0.0% * Space Communication, Ltd. 17,611 241,720 0.0% Strauss Group, Ltd. 128,977 2,096,789 0.1% * Summit Real Estate Holdings, Ltd. 6,712 25,497 0.0% #* Tower Semiconductor, Ltd. 143,300 1,435,267 0.1% * Union Bank of Israel 130,630 502,400 0.0% ----------- --- TOTAL ISRAEL 81,625,599 2.6% ----------- --- ITALY -- (8.6%) #* A.S. Roma SpA 315,805 249,938 0.0% A2A SpA 4,899,631 4,912,985 0.2% ACEA SpA 280,731 3,434,689 0.1% #* Aeffe SpA 173,426 443,875 0.0% Aeroporto di Venezia Marco Polo SpA--SAVE 75,847 1,221,920 0.0% # Alerion Cleanpower SpA 95,190 329,754 0.0% Amplifon SpA 357,200 2,091,224 0.1% Ansaldo STS SpA 547,698 6,291,723 0.2% #* Arnoldo Mondadori Editore SpA 521,400 429,988 0.0% Ascopiave SpA 338,443 793,023 0.0% # Astaldi SpA 258,925 1,811,345 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- ITALY -- (Continued) Atlantia SpA 99,543 $ 2,350,937 0.1% * Autogrill SpA 557,135 3,775,956 0.1% Azimut Holding SpA 526,953 12,333,896 0.4% #* Banca Carige SpA 14,916,408 1,251,893 0.0% # Banca Finnat Euramerica SpA 637,043 346,996 0.0% Banca Generali SpA 251,146 6,663,600 0.2% Banca IFIS SpA 102,347 1,802,541 0.1% * Banca Monte dei Paschi di Siena SpA 3,737,938 2,859,937 0.1% * Banca Popolare dell'Emilia Romagna SC 2,452,950 18,717,677 0.6% #* Banca Popolare dell'Etruria e del Lazio 1,093,905 690,795 0.0% * Banca Popolare di Milano Scarl 21,335,561 16,081,112 0.5% # Banca Popolare di Sondrio SCARL 1,778,650 7,138,525 0.2% # Banca Profilo SpA 964,900 394,009 0.0% Banco di Desio e della Brianza SpA 232,296 732,677 0.0% #* Banco Popolare SC 671,351 9,752,191 0.3% * BasicNet SpA 128,628 377,272 0.0% #* Beghelli SpA 403,187 198,026 0.0% Biesse SpA 54,004 518,971 0.0% Brembo SpA 162,145 5,376,954 0.2% #* Brioschi Sviluppo Immobiliare SpA 174,780 20,189 0.0% # Brunello Cucinelli SpA 69,029 1,398,686 0.1% Buzzi Unicem SpA 345,786 4,678,813 0.2% Cairo Communication SpA 113,404 762,290 0.0% * Caltagirone Editore SpA 6,277 7,988 0.0% #* Carraro SpA 113,633 247,837 0.0% Cembre SpA 40,330 509,030 0.0% Cementir Holding SpA 336,239 2,020,310 0.1% * CIR-Compagnie Industriali Riunite SpA 1,837,842 1,843,247 0.1% Credito Emiliano SpA 376,390 2,900,321 0.1% #* Credito Valtellinese SC 4,865,429 5,038,008 0.2% # d'Amico International Shipping SA 491,250 222,597 0.0% Danieli & C Officine Meccaniche SpA 58,967 1,375,829 0.1% Datalogic SpA 101,899 1,173,377 0.0% Davide Campari-Milano SpA 1,340,652 9,641,396 0.3% De' Longhi 275,556 5,392,846 0.2% * DeA Capital SpA 241,155 443,622 0.0% * Delclima 238,104 441,441 0.0% # DiaSorin SpA 93,702 3,614,797 0.1% #* Ei Towers SpA 52,591 2,637,289 0.1% El.En. SpA 4,602 129,308 0.0% Elica SpA 4,665 9,347 0.0% Engineering SpA 22,036 1,065,735 0.0% ERG SpA 245,365 2,813,514 0.1% Esprinet SpA 145,673 1,203,825 0.0% * Eurotech SpA 122,818 239,005 0.0% Falck Renewables SpA 518,528 657,247 0.0% * Finmeccanica SpA 1,840,364 16,630,273 0.5% FNM SpA 571,781 414,096 0.0% Gas Plus SpA 14,596 67,300 0.0% #* Geox SpA 385,336 1,179,371 0.0% #* Gruppo Editoriale L'Espresso SpA 670,242 717,212 0.0% # Gruppo MutuiOnline SpA 51,809 306,611 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- ITALY -- (Continued) GTECH SpA 296,888 $ 6,919,554 0.2% Hera SpA 2,996,036 7,890,019 0.3% * IMMSI SpA 743,533 457,254 0.0% #* Indesit Co. SpA 185,473 2,551,118 0.1% Industria Macchine Automatiche SpA 58,626 2,298,558 0.1% * Intek Group SpA 1,654,192 713,232 0.0% Interpump Group SpA 317,190 4,136,598 0.1% Iren SpA 2,106,404 2,547,134 0.1% # Italcementi SpA 653,825 3,744,575 0.1% Italmobiliare SpA 46,873 1,114,472 0.0% #* Juventus Football Club SpA 1,920,486 532,126 0.0% La Doria SpA 25,763 198,499 0.0% #* Landi Renzo SpA 203,171 252,144 0.0% #* Maire Tecnimont SpA 512,867 1,094,148 0.0% MARR SpA 157,876 2,517,613 0.1% * Mediaset SpA 2,510,800 8,410,934 0.3% Nice SpA 43,840 149,269 0.0% #* Piaggio & C SpA 794,080 2,220,497 0.1% * Prelios SpA 33,073 10,853 0.0% #* Prima Industrie SpA 12,247 198,410 0.0% Prysmian SpA 930,455 16,125,875 0.5% #* RCS MediaGroup SpA 264,605 279,137 0.0% Recordati SpA 428,895 7,421,036 0.2% #* Reno de Medici SpA 330,009 115,233 0.0% Reply SpA 20,891 1,541,578 0.1% #* Retelit SpA 530,560 393,406 0.0% * Richard-Ginori 1735 SpA 8,489 -- 0.0% Sabaf SpA 24,109 390,175 0.0% # SAES Getters SpA 30,068 227,701 0.0% #* Safilo Group SpA 149,871 2,032,043 0.1% * Salini Impregilo SpA 464,559 1,283,768 0.0% # Salvatore Ferragamo SpA 200,318 4,739,550 0.2% #* Saras SpA 1,029,394 1,050,657 0.0% Servizi Italia SpA 34,833 181,179 0.0% #* Snai SpA 117,457 183,989 0.0% # Societa Cattolica di Assicurazioni SCRL 197,763 3,062,932 0.1% Societa Iniziative Autostradali e Servizi SpA 251,980 2,524,772 0.1% #* Sogefi SpA 220,168 573,069 0.0% SOL SpA 166,511 1,333,874 0.0% * Sorin SpA 1,247,455 2,791,202 0.1% Tamburi Investment Partners SpA 37,478 119,061 0.0% #* Telecom Italia Media SpA 20,639 24,581 0.0% #* Tiscali SpA 4,911,522 260,074 0.0% # Tod's SpA 52,657 4,858,178 0.2% # Trevi Finanziaria Industriale SpA 154,707 556,323 0.0% # TXT e-solutions SpA 17,994 177,942 0.0% * Uni Land SpA 51,835 -- 0.0% Unione di Banche Italiane SCPA 632,478 4,967,161 0.2% Unipol Gruppo Finanziario SpA 970,174 4,693,248 0.2% UnipolSai SpA 1,778,257 4,781,266 0.2% Vianini Lavori SpA 175,180 1,061,708 0.0% Vittoria Assicurazioni SpA 121,346 1,338,117 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- ITALY -- (Continued) #* World Duty Free SpA 553,509 $ 4,699,732 0.2% #* Yoox SpA 183,930 3,400,798 0.1% Zignago Vetro SpA 147,723 1,017,693 0.0% ------------ --- TOTAL ITALY 309,341,251 9.8% ------------ --- NETHERLANDS -- (5.2%) Aalberts Industries NV 507,343 13,523,613 0.4% Accell Group 111,594 1,780,428 0.1% * AFC Ajax NV 18,134 210,142 0.0% #* AMG Advanced Metallurgical Group NV 160,659 1,326,767 0.0% Amsterdam Commodities NV 86,709 1,948,588 0.1% #* APERAM 262,538 7,553,718 0.2% Arcadis NV 306,708 9,435,318 0.3% ASM International NV 261,882 10,494,322 0.3% * Atag Group NV 4,630 -- 0.0% * Ballast Nedam NV 16,152 51,081 0.0% BE Semiconductor Industries NV 164,367 3,130,744 0.1% Beter Bed Holding NV 92,587 1,906,155 0.1% BinckBank NV 319,629 3,167,739 0.1% # Brunel International NV 106,923 2,403,311 0.1% # Corbion NV 220,713 3,568,330 0.1% Delta Lloyd NV 1,074,736 24,496,720 0.8% DOCdata NV 22,463 509,760 0.0% Exact Holding NV 73,987 2,914,055 0.1% # Fugro NV 289,955 3,997,929 0.1% #* Galapagos NV 135,272 1,884,009 0.1% #* Grontmij 363,482 1,675,293 0.1% # Heijmans NV 109,079 1,484,775 0.1% Hunter Douglas NV 8,819 365,523 0.0% KAS Bank NV 71,860 869,026 0.0% Kendrion NV 57,956 1,618,025 0.1% # Koninklijke BAM Groep NV 1,376,686 3,301,397 0.1% # Koninklijke Ten Cate NV 151,409 3,414,909 0.1% Koninklijke Wessanen NV 445,498 2,848,693 0.1% * Macintosh Retail Group NV 53,398 329,154 0.0% Nederland Apparatenfabriek 28,810 1,000,707 0.0% Nutreco NV 360,777 18,070,377 0.6% #* Ordina NV 414,015 679,405 0.0% * PostNL NV 2,402,055 10,209,570 0.3% #* Royal Imtech NV 220,408 1,207,769 0.0% #* SBM Offshore NV 962,257 12,044,543 0.4% Sligro Food Group NV 109,416 4,039,710 0.1% #* SNS Reaal NV 705,718 -- 0.0% * Telegraaf Media Groep NV 175,800 1,370,588 0.1% TKH Group NV 191,623 5,805,954 0.2% TNT Express NV 2,283,752 13,274,323 0.4% * TomTom NV 562,433 4,085,669 0.1% USG People NV 394,977 3,962,327 0.1% Van Lanschot NV 4,807 107,626 0.0% ------------ --- TOTAL NETHERLANDS 186,068,092 5.9% ------------ ---
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- NORWAY -- (2.7%) ABG Sundal Collier Holding ASA 1,442,274 $1,058,503 0.0% AF Gruppen ASA 2,718 30,217 0.0% # Akastor ASA 32,644 112,440 0.0% Aker ASA Class A 1,221 29,792 0.0% # American Shipping ASA 201,597 1,315,603 0.1% * Archer, Ltd. 1,343,545 1,294,898 0.0% Arendals Fossekompani A.S. 90 26,689 0.0% # Atea ASA 316,134 3,456,449 0.1% Austevoll Seafood ASA 374,420 2,434,807 0.1% Bakkafrost P/F 171,127 4,184,235 0.1% #* Bionor Pharma ASA 671,325 289,910 0.0% #* Biotec Pharmacon ASA 139,685 337,361 0.0% Bonheur ASA 68,100 852,570 0.0% BW Offshore, Ltd. 1,675,415 2,056,958 0.1% Deep Sea Supply P.L.C. 685,549 776,346 0.0% #* Det Norske Oljeselskap ASA 380,948 2,465,698 0.1% * DNO ASA 1,902,300 4,608,823 0.2% * DOF ASA 203,869 594,520 0.0% #* Dolphin Group A.S. 952,621 408,313 0.0% Ekornes ASA 115,368 1,231,532 0.0% #* Electromagnetic GeoServices 836,517 445,853 0.0% Eltek ASA 1,292,456 1,876,389 0.1% Evry ASA 267,383 674,259 0.0% Farstad Shipping ASA 65,666 757,416 0.0% Fred Olsen Energy ASA 32,748 349,468 0.0% #* Frontline, Ltd. 315,420 445,905 0.0% #* Funcom NV 57,013 36,791 0.0% # Ganger Rolf ASA 58,809 736,682 0.0% # Golden Ocean Group, Ltd. 1,361,217 1,656,731 0.1% * Grieg Seafood ASA 165,114 703,445 0.0% * Havila Shipping ASA 22,400 89,818 0.0% # Hexagon Composites ASA 326,044 1,356,793 0.1% #* Hoegh LNG Holdings, Ltd. 189,214 2,440,638 0.1% #* Hurtigruten ASA 915,208 930,847 0.0% * Kongsberg Automotive ASA 2,023,491 1,936,196 0.1% # Kvaerner ASA 807,447 1,064,445 0.0% Leroey Seafood Group ASA 85,504 3,234,567 0.1% #* Nordic Semiconductor ASA 580,280 3,269,041 0.1% #* Norske Skogindustrier ASA 714,239 380,723 0.0% Northern Offshore, Ltd. 350,656 436,715 0.0% #* Norwegian Air Shuttle ASA 130,053 4,199,162 0.1% #* Odfjell SE Class A 138,810 543,772 0.0% Olav Thon Eiendomsselskap ASA 128,520 2,248,452 0.1% Opera Software ASA 486,684 6,094,750 0.2% #* Panoro Energy ASA 1,223,751 468,300 0.0% # Petroleum Geo-Services ASA 394,979 1,961,785 0.1% * PhotoCure ASA 52,582 143,239 0.0% Prosafe SE 938,578 4,294,044 0.1% * Q-Free ASA 143,444 254,429 0.0% #* REC Silicon ASA 8,597,924 3,437,409 0.1% * REC Solar ASA 138,239 1,848,443 0.1% Salmar ASA 136,875 2,466,014 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- NORWAY -- (Continued) #* Sevan Drilling A.S. 1,103,557 $ 158,326 0.0% # Sevan Marine ASA 129,032 421,367 0.0% Siem Offshore, Inc. 606,183 469,871 0.0% Solstad Offshore ASA 64,644 786,162 0.0% #* Songa Offshore 1,411,972 487,319 0.0% SpareBank 1 SMN 131,684 1,170,966 0.0% # SpareBank 1 SR Bank ASA 153,761 1,322,673 0.1% Stolt-Nielsen, Ltd. 76,704 1,382,046 0.1% * Storebrand ASA 319,415 1,637,770 0.1% # Tomra Systems ASA 669,803 5,017,684 0.2% * TTS Group ASA 180,762 103,393 0.0% Veidekke ASA 352,575 3,424,386 0.1% # Wilh Wilhelmsen ASA 141,127 1,027,403 0.0% Wilh Wilhelmsen Holding ASA Class A 65,996 1,758,303 0.1% ----------- --- TOTAL NORWAY 97,515,854 3.1% ----------- --- PORTUGAL -- (1.4%) # Altri SGPS SA 597,102 1,669,522 0.1% #* Banco BPI SA 2,123,556 4,159,409 0.1% * Banco Comercial Portugues SA 116,756,305 13,196,571 0.4% #* Banco Espirito Santo SA 4,777,921 -- 0.0% Corticeira Amorim SGPS SA 207,426 780,819 0.0% EDP Renovaveis SA 366,811 2,384,874 0.1% Ibersol SGPS SA 20,401 189,277 0.0% #* Impresa SGPS SA 187,798 235,580 0.0% Mota-Engil SGPS SA 363,210 1,905,890 0.1% NOS SGPS 1,060,020 6,081,419 0.2% # Novabase SGPS SA 65,729 197,619 0.0% Portucel SA 895,166 3,331,646 0.1% # Portugal Telecom SGPS SA 1,886,010 3,089,112 0.1% REN--Redes Energeticas Nacionais SGPS SA 914,989 2,836,177 0.1% Semapa-Sociedade de Investimento e Gestao 315,847 3,821,989 0.1% * Sonae Capital SGPS SA 58,125 21,099 0.0% #* Sonae Industria SGPS SA 443,755 99,903 0.0% Sonae SGPS SA 4,329,208 5,806,487 0.2% * Sumol + Compal SA 67,967 95,156 0.0% # Teixeira Duarte SA 734,737 725,473 0.0% ----------- --- TOTAL PORTUGAL 50,628,022 1.6% ----------- --- SPAIN -- (5.6%) # Abengoa SA 204,834 907,856 0.0% # Abengoa SA Class B 1,852,248 7,828,765 0.3% * Acciona SA 114,235 7,983,711 0.3% # Acerinox SA 539,253 8,023,860 0.3% Adveo Group International SA 53,936 980,229 0.0% * Almirall SA 264,847 4,343,334 0.1% # Atresmedia Corp de Medios de Comunicacion SA 312,481 4,585,491 0.1% * Azkoyen SA 64,022 150,938 0.0% Bankinter SA 640,971 5,302,437 0.2% #* Baron de Ley 13,910 1,262,148 0.0% # Bolsas y Mercados Espanoles SA 387,022 14,724,818 0.5% #* Caja de Ahorros del Mediterraneo 116,412 -- 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- SPAIN -- (Continued) #* Cementos Portland Valderrivas SA 61,586 $ 328,347 0.0% # Cie Automotive SA 152,898 2,074,329 0.1% Clinica Baviera SA 3,698 34,154 0.0% # Construcciones y Auxiliar de Ferrocarriles SA 7,909 2,633,231 0.1% #* Deoleo SA 2,677,780 1,242,252 0.0% # Dinamia Capital Privado Sociedad de Capital Riesgo SA 20,438 191,894 0.0% # Duro Felguera SA 414,786 1,878,816 0.1% Ebro Foods SA 378,733 6,779,029 0.2% # Elecnor SA 198,254 2,211,222 0.1% Ence Energia y Celulosa SA 992,257 2,149,053 0.1% * Ercros SA 483,625 287,601 0.0% Faes Farma SA 1,262,957 2,933,768 0.1% # Fluidra SA 160,834 526,779 0.0% #* Fomento de Construcciones y Contratas SA 264,825 4,871,932 0.2% * Gamesa Corp. Tecnologica SA 1,146,125 11,315,727 0.4% Grupo Catalana Occidente SA 204,400 6,167,041 0.2% #* Grupo Ezentis SA 734,642 662,630 0.0% Iberpapel Gestion SA 26,401 398,505 0.0% # Indra Sistemas SA 503,884 5,566,605 0.2% #* Inmobiliaria Colonial SA 1,524,880 1,075,888 0.0% Inmobiliaria del Sur SA 2,902 25,884 0.0% * Jazztel P.L.C. 1,097,205 17,541,651 0.6% Laboratorios Farmaceuticos Rovi SA 70,934 760,209 0.0% * Mediaset Espana Comunicacion SA 858,650 10,779,784 0.3% # Melia Hotels International SA 239,072 2,391,475 0.1% # Miquel y Costas & Miquel SA 37,628 1,318,446 0.0% #* Natra SA 160,272 243,339 0.0% #* NH Hotel Group SA 673,183 3,073,692 0.1% # Obrascon Huarte Lain SA 193,959 5,670,443 0.2% # Papeles y Cartones de Europa SA 241,915 1,263,550 0.0% * Pescanova SA 68,547 -- 0.0% Prim SA 39,424 313,087 0.0% #* Promotora de Informaciones SA Class A 4,268,293 1,207,275 0.0% Prosegur Cia de Seguridad SA 1,160,846 6,818,486 0.2% #* Quabit Inmobiliaria SA 1,474,470 148,251 0.0% #* Realia Business SA 503,895 734,791 0.0% #* Sacyr SA 1,463,558 6,430,634 0.2% * Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 75,494 3,477 0.0% #* Solaria Energia y Medio Ambiente SA 207,171 235,074 0.0% # Tecnicas Reunidas SA 151,645 7,470,520 0.2% * Telecomunicaciones y Energia 146,125 252,190 0.0% Tubacex SA 520,966 2,215,504 0.1% Tubos Reunidos SA 495,225 1,450,596 0.1% Vidrala SA 77,869 3,093,663 0.1% # Viscofan SA 224,736 13,214,604 0.4% * Vocento SA 219,517 420,241 0.0% * Zeltia SA 991,039 3,234,212 0.1% ------------ --- TOTAL SPAIN 199,733,468 6.3% ------------ --- SWEDEN -- (9.2%) AAK AB 115,202 6,248,298 0.2% # Acando AB 418,037 644,075 0.0%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SWEDEN -- (Continued) AddNode Group AB 22,737 $ 132,312 0.0% # AddTech AB Class B 263,102 3,729,282 0.1% AF AB Class B 277,090 4,199,248 0.1% #* Arise AB 36,861 84,694 0.0% Atrium Ljungberg AB Class B 32,776 458,639 0.0% # Avanza Bank Holding AB 77,362 2,464,992 0.1% # Axfood AB 94,702 5,827,470 0.2% # Axis Communications AB 192,280 5,256,235 0.2% B&B Tools AB Class B 110,669 2,074,734 0.1% #* BE Group AB 215,340 184,315 0.0% Beijer Alma AB 91,817 2,136,520 0.1% Beijer Electronics AB 55,826 414,156 0.0% Beijer Ref AB Class B 64,437 1,170,411 0.0% Betsson AB 152,884 5,401,750 0.2% Bilia AB Class A 113,425 3,219,750 0.1% BillerudKorsnas AB 689,767 10,060,787 0.3% BioGaia AB Class B 61,692 1,571,893 0.1% # Biotage AB 189,388 301,826 0.0% # Bjoern Borg AB 86,437 262,673 0.0% # Bulten AB 53,182 443,284 0.0% Bure Equity AB 326,825 1,369,689 0.0% Byggmax Group AB 232,417 1,442,349 0.1% Castellum AB 752,681 11,542,461 0.4% Catena AB 55,547 754,809 0.0% # Cavotec SA 16,457 53,825 0.0% #* CDON Group AB 201,292 544,172 0.0% Clas Ohlson AB Class B 180,273 3,106,824 0.1% * Cloetta AB Class B 808,515 2,347,515 0.1% Concentric AB 202,603 2,479,040 0.1% * Concordia Maritime AB Class B 78,854 118,322 0.0% Corem Property Group AB Class B 2,226 7,290 0.0% * CyberCom Group AB 385,158 136,524 0.0% Dios Fastigheter AB 171,208 1,159,985 0.0% # Doro AB 94,731 417,205 0.0% Duni AB 183,725 2,619,543 0.1% #* East Capital Explorer AB 47,726 316,218 0.0% # Enea AB 63,008 516,444 0.0% #* Eniro AB 447,545 492,536 0.0% Fabege AB 590,552 7,580,722 0.2% # Fagerhult AB 54,969 1,014,590 0.0% * Fastighets AB Balder 279,717 3,644,550 0.1% * Fenix Outdoor International AG 8,476 377,647 0.0% Gunnebo AB 206,334 1,042,987 0.0% Haldex AB 226,180 2,775,889 0.1% # Heba Fastighets AB Class B 43,722 487,747 0.0% Hexpol AB 115,947 10,272,583 0.3% HIQ International AB 260,002 1,406,675 0.1% HMS Networks AB 7,040 142,733 0.0% Holmen AB Class B 273,916 9,065,956 0.3% Hufvudstaden AB Class A 189,483 2,458,726 0.1% Husqvarna AB Class A 17,472 129,521 0.0% Husqvarna AB Class B 1,389,669 10,375,459 0.3%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SWEDEN -- (Continued) ICA Gruppen AB 24,928 $ 998,133 0.0% Industrial & Financial Systems Class B 89,522 2,787,585 0.1% Indutrade AB 67,866 2,740,533 0.1% Intrum Justitia AB 356,885 10,628,641 0.3% JM AB 372,482 12,039,459 0.4% * Kambi Group P.L.C. Class B 40,650 388,202 0.0% * KappAhl AB 277,470 1,538,010 0.1% #* Karolinska Development AB Class B 90,079 153,607 0.0% Klovern AB 387,861 1,974,641 0.1% KNOW IT AB 75,523 552,135 0.0% Kungsleden AB 697,243 4,349,503 0.1% Lagercrantz AB Class B 79,921 1,515,004 0.1% * Lindab International AB 330,563 3,039,221 0.1% Loomis AB Class B 318,925 8,786,080 0.3% Meda AB Class A 787,818 10,317,333 0.3% #* Medivir AB Class B 157,903 2,666,374 0.1% # Mekonomen AB 100,488 2,119,596 0.1% Modern Times Group AB Class B 248,542 7,683,915 0.2% MQ Holding AB 96,071 437,451 0.0% Mycronic AB 390,070 1,059,383 0.0% NCC AB Class A 18,240 537,583 0.0% # NCC AB Class B 315,406 9,277,685 0.3% Nederman Holding AB 3,680 77,105 0.0% Net Entertainment NE AB 151,050 4,667,573 0.2% * Net Insight AB Class B 1,317,366 541,720 0.0% New Wave Group AB Class B 205,564 945,651 0.0% Nibe Industrier AB Class B 362,119 9,612,184 0.3% Nobia AB 666,139 5,414,907 0.2% Nolato AB Class B 105,172 2,431,957 0.1% Nordnet AB Class B 401,993 1,418,637 0.1% OEM International AB Class B 45,688 593,457 0.0% # Oriflame Cosmetics SA 117,418 2,052,491 0.1% #* PA Resources AB 35,211 13,585 0.0% Peab AB 752,981 5,112,040 0.2% #* Pricer AB Class B 452,718 337,893 0.0% Proact IT Group AB 41,297 454,233 0.0% Proffice AB Class B 271,921 687,436 0.0% # Ratos AB Class B 880,217 5,907,647 0.2% * RaySearch Laboratories AB 2,011 11,299 0.0% * Rezidor Hotel Group AB 418,144 1,825,800 0.1% Saab AB Class B 256,897 6,938,054 0.2% Sagax AB Class B 48,648 241,874 0.0% #* SAS AB 643,871 990,945 0.0% * Seamless Distribution AB 15,493 43,085 0.0% Sectra AB Class B 38,137 487,144 0.0% Securitas AB Class B 472,423 5,227,648 0.2% Semcon AB 85,074 623,032 0.0% SkiStar AB 104,766 1,199,665 0.0% #* SSAB AB Class A(B17H0S8) 834,811 6,057,771 0.2% * SSAB AB Class A(BPRBWK4) 201,926 1,436,065 0.1% * SSAB AB Class B(B17H3F6) 352,706 2,258,901 0.1% * SSAB AB Class B(BPRBWM6) 532,819 3,446,833 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- SWEDEN -- (Continued) Sweco AB Class B 184,680 $ 2,572,524 0.1% * Swedish Orphan Biovitrum AB 612,905 7,009,983 0.2% # Swedol AB Class B 37,176 92,851 0.0% # Systemair AB 36,442 482,642 0.0% # TradeDoubler AB 202,211 212,185 0.0% #* Transcom WorldWide SA 1,484,801 220,918 0.0% # Transmode AB 76,041 564,990 0.0% Trelleborg AB Class B 268,725 4,600,663 0.2% Tribona AB 109,359 551,804 0.0% Unibet Group P.L.C. 135,490 7,809,623 0.3% Uniflex AB 12,408 39,074 0.0% VBG Group AB Class B 137 2,043 0.0% Vitrolife AB 64,372 1,303,360 0.0% # Wallenstam AB Class B 399,066 6,020,910 0.2% Wihlborgs Fastigheter AB 289,738 5,081,515 0.2% ------------ ---- TOTAL SWEDEN 329,699,671 10.5% ------------ ---- SWITZERLAND -- (11.7%) * Advanced Digital Broadcast Holdings SA 2,179 26,219 0.0% AFG Arbonia-Forster Holding AG 79,104 1,930,875 0.1% Allreal Holding AG 54,403 7,201,212 0.2% # Alpiq Holding AG 4,430 445,698 0.0% ALSO Holding AG 16,195 883,745 0.0% ams AG 305,882 10,968,617 0.4% APG SGA SA 7,563 2,202,115 0.1% Ascom Holding AG 183,217 2,689,331 0.1% Autoneum Holding AG 16,853 2,808,308 0.1% # Bachem Holding AG Class B 24,136 1,227,566 0.0% Bank Coop AG 31,671 1,398,505 0.0% Banque Cantonale de Geneve 4,098 905,123 0.0% Banque Cantonale du Jura 4,442 288,042 0.0% Banque Cantonale Vaudoise 4,820 2,581,502 0.1% # Basler Kantonalbank 5,246 349,862 0.0% Belimo Holding AG 1,953 4,847,208 0.2% Bell AG 363 838,026 0.0% # Bellevue Group AG 31,835 404,891 0.0% # Berner Kantonalbank AG 23,232 4,341,858 0.1% BKW AG 41,092 1,236,376 0.0% Bobst Group SA 45,114 1,963,577 0.1% Bossard Holding AG Class A 31,498 3,192,576 0.1% Bucher Industries AG 33,342 8,469,296 0.3% Burckhardt Compression Holding AG 12,035 5,156,279 0.2% Burkhalter Holding AG 19,697 1,668,797 0.1% Calida Holding AG 20,978 810,597 0.0% Carlo Gavazzi Holding AG 1,463 346,609 0.0% Cham Paper Holding AG 1,958 490,288 0.0% * Charles Voegele Holding AG 43,316 659,942 0.0% Cicor Technologies 5,936 208,627 0.0% Cie Financiere Tradition SA 9,139 410,013 0.0% Clariant AG 328,741 5,734,240 0.2% Coltene Holding AG 16,093 1,000,427 0.0% Conzzeta AG 1,513 5,338,647 0.2%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SWITZERLAND -- (Continued) Cosmo Pharmaceuticals SpA 1,287 $ 202,291 0.0% Daetwyler Holding AG 30,469 3,862,971 0.1% # DKSH Holding AG 64,485 4,767,987 0.2% * Dufry AG 105,189 15,165,112 0.5% Edmond de Rothschild Suisse SA 157 2,497,018 0.1% EFG International AG 242,627 2,522,657 0.1% * Elma Electronic AG 267 110,662 0.0% Emmi AG 13,244 4,681,185 0.2% # Energiedienst Holding AG 71,249 2,333,201 0.1% # Feintool International Holding AG 4,564 415,623 0.0% Flughafen Zuerich AG 19,754 12,587,599 0.4% Forbo Holding AG 6,983 7,253,419 0.2% # Galenica AG 11,348 9,710,825 0.3% GAM Holding AG 828,863 14,155,213 0.5% Gategroup Holding AG 121,765 2,743,781 0.1% Georg Fischer AG 20,425 11,796,958 0.4% Gurit Holding AG 1,837 769,388 0.0% Helvetia Holding AG 32,824 15,608,324 0.5% HOCHDORF Holding AG 57 8,056 0.0% Huber & Suhner AG 54,209 2,674,042 0.1% Implenia AG 65,242 3,517,545 0.1% # Inficon Holding AG 8,291 2,586,717 0.1% Interroll Holding AG 2,973 1,690,472 0.1% Intershop Holdings AG 6,009 2,217,707 0.1% Jungfraubahn Holding AG 3,095 242,878 0.0% Kaba Holding AG Class B 14,125 6,734,397 0.2% Kardex AG 32,641 1,476,615 0.0% # Komax Holding AG 16,979 2,501,792 0.1% Kudelski SA 201,663 2,571,947 0.1% Kuoni Reisen Holding AG 15,564 4,243,087 0.1% # LEM Holding SA 3,667 2,751,889 0.1% Liechtensteinische Landesbank AG 21,376 857,894 0.0% * LifeWatch AG 22,589 215,649 0.0% # Logitech International SA 730,221 10,338,299 0.3% Lonza Group AG 216,869 23,896,040 0.8% # Luzerner Kantonalbank AG 17,399 6,293,239 0.2% MCH Group AG 1,404 93,423 0.0% Metall Zug AG 701 1,728,481 0.1% #* Meyer Burger Technology AG 408,473 3,445,723 0.1% Micronas Semiconductor Holding AG 155,041 1,037,182 0.0% * Mobilezone Holding AG 142,129 1,513,396 0.1% Mobimo Holding AG 27,873 5,494,012 0.2% Nobel Biocare Holding AG 535,961 9,492,382 0.3% OC Oerlikon Corp. AG 858,856 10,867,135 0.3% * Orascom Development Holding AG 62,283 1,087,212 0.0% #* Orell Fuessli Holding AG 5,198 502,934 0.0% Orior AG 24,395 1,318,920 0.0% Panalpina Welttransport Holding AG 42,342 5,485,072 0.2% * Parco Industriale e Immobiliare SA 600 -- 0.0% Phoenix Mecano AG 3,100 1,401,289 0.0% PSP Swiss Property AG 148,327 12,730,412 0.4% Rieter Holding AG 17,214 3,178,942 0.1%
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- SWITZERLAND -- (Continued) Romande Energie Holding SA 2,714 $ 3,015,678 0.1% Schaffner Holding AG 2,861 828,172 0.0% * Schmolz + Bickenbach AG 2,540,584 3,067,913 0.1% Schweiter Technologies AG 4,466 3,219,567 0.1% Siegfried Holding AG 18,452 2,836,173 0.1% St Galler Kantonalbank AG 10,381 3,754,576 0.1% Straumann Holding AG 47,712 11,746,936 0.4% Sulzer AG 68,358 7,791,374 0.3% Swiss Life Holding AG 22,804 5,232,166 0.2% * Swisslog Holding AG 1,022,294 1,425,185 0.0% Swissquote Group Holding SA 47,450 1,479,940 0.0% Tamedia AG 14,891 1,954,917 0.1% Tecan Group AG 23,852 2,519,230 0.1% Temenos Group AG 306,592 10,704,161 0.3% #* Tornos Holding AG 38,028 227,034 0.0% U-Blox AG 27,815 3,760,151 0.1% * Valartis Group AG 1,365 23,233 0.0% Valiant Holding AG 64,927 5,678,852 0.2% Valora Holding AG 15,404 3,190,613 0.1% Vaudoise Assurances Holding SA Class B 4,108 1,796,591 0.1% Vetropack Holding AG 877 1,497,359 0.1% #* Von Roll Holding AG 258,978 374,110 0.0% # Vontobel Holding AG 121,104 4,401,708 0.1% VP Bank AG 17,235 1,429,209 0.0% Walliser Kantonalbank 1,440 1,087,029 0.0% * Walter Meier AG 23,690 948,529 0.0% # Ypsomed Holding AG 3,079 276,751 0.0% Zehnder Group AG 47,467 1,866,146 0.1% * Zueblin Immobilien Holding AG 261,040 455,894 0.0% Zug Estates Holding AG 505 612,209 0.0% Zuger Kantonalbank AG 627 2,899,119 0.1% -------------- ---- TOTAL SWITZERLAND 418,504,513 13.3% -------------- ---- TOTAL COMMON STOCKS 3,138,563,698 99.6% -------------- ---- RIGHTS/WARRANTS -- (0.1%) AUSTRIA -- (0.0%) * BKS Bank AG Rights 3,120 430 0.0% #* Intercell AG Rights 254,689 -- 0.0% -------------- ---- TOTAL AUSTRIA 430 0.0% -------------- ---- FRANCE -- (0.1%) * Bigben Interactive Rights 01/31/2016 30,952 1,047 0.0% * Peugeot SA Warrants 04/29/17 484,315 734,373 0.0% -------------- ---- TOTAL FRANCE 735,420 0.0% -------------- ---- GERMANY -- (0.0%) #* Rhoen Klinikum AG Rights 11/14/14 500,406 421,400 0.0% -------------- ---- ITALY -- (0.0%) #* Trevi Finanziaria Industriale SpA Rights 11/06/14 154,707 172,545 0.0% -------------- ----
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 363,210 $ -- 0.0% -------------- ----- SPAIN -- (0.0%) * Vidrala SA Rights 11/13/14 77,869 152,032 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS 1,481,827 0.0% -------------- ----- VALUE+ -------------- SECURITIES LENDING COLLATERAL -- (12.3%) (S)@ DFA Short Term Investment Fund 38,146,040 441,349,686 14.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,059,179,623) $3,581,395,211 113.6% ============== =====
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 -- $ 71,759,411 -- $ 71,759,411 Belgium -- 105,548,709 -- 105,548,709 Denmark -- 165,558,614 -- 165,558,614 Finland -- 215,249,538 -- 215,249,538 France $ 577,107 370,405,087 -- 370,982,194 Germany 1,506,397 467,283,439 -- 468,789,836 Greece -- 846 -- 846 Ireland -- 67,558,080 -- 67,558,080 Israel -- 81,625,599 -- 81,625,599 Italy -- 309,341,251 -- 309,341,251 Netherlands -- 186,068,092 -- 186,068,092 Norway -- 97,515,854 -- 97,515,854 Portugal -- 50,628,022 -- 50,628,022 Spain 34,154 199,699,314 -- 199,733,468 Sweden 377,647 329,322,024 -- 329,699,671 Switzerland -- 418,504,513 -- 418,504,513 Rights/Warrants Austria -- 430 -- 430 France -- 735,420 -- 735,420 Germany -- 421,400 -- 421,400 Italy -- 172,545 -- 172,545 Portugal -- -- -- -- Spain -- 152,032 -- 152,032 Securities Lending Collateral -- 441,349,686 -- 441,349,686 ----------- -------------- -- -------------- TOTAL $2,495,305 $3,578,899,906 -- $3,581,395,211 =========== ============== == ==============
THE CANADIAN SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- COMMON STOCKS -- (78.8%) Consumer Discretionary -- (8.5%) AutoCanada, Inc. 92,120 $ 5,116,643 0.6% # BMTC Group, Inc. Class A 17,481 240,411 0.0% * Brookfield Residential Properties, Inc. 40,151 934,084 0.1% #* BRP, Inc. 9,700 211,290 0.0% # Cineplex, Inc. 290,435 10,941,724 1.3% Cogeco Cable, Inc. 89,367 4,873,338 0.6% Cogeco, Inc. 25,003 1,258,525 0.2% # Corus Entertainment, Inc. Class B 414,416 7,626,093 0.9% * DHX Media, Ltd. 11,269 100,087 0.0% Dorel Industries, Inc. Class B 135,565 4,212,312 0.5% easyhome, Ltd. 3,600 74,903 0.0% EnerCare, Inc. 46,000 605,279 0.1% Gamehost, Inc. 29,320 433,147 0.1% # Glacier Media, Inc. 137,300 203,443 0.0% # GLENTEL, Inc. 70,262 625,909 0.1% * Great Canadian Gaming Corp. 302,800 5,491,533 0.7% # Hudson's Bay Co. 41,600 721,970 0.1% #* Imax Corp. 252,317 7,430,372 0.9% # Indigo Books & Music, Inc. 2,302 25,858 0.0% Leon's Furniture, Ltd. 143,275 1,828,042 0.2% Linamar Corp. 238,706 12,193,163 1.4% Martinrea International, Inc. 484,756 5,139,820 0.6% #* Mood Media Corp. 182,874 87,620 0.0% # MTY Food Group, Inc. 39,849 1,159,353 0.1% * Performance Sports Group, Ltd. 118,366 2,047,945 0.2% Pizza Pizza Royalty Corp. 30,604 371,468 0.0% Reitmans Canada, Ltd. 15,456 82,419 0.0% Reitmans Canada, Ltd. Class A 252,574 1,378,226 0.2% RONA, Inc. 681,945 8,319,723 1.0% # Sears Canada, Inc. 52,017 500,763 0.1% # Torstar Corp. Class B 285,789 1,668,508 0.2% * TVA Group, Inc. Class B 7,000 51,116 0.0% Uni-Select, Inc. 81,430 2,049,026 0.2% Whistler Blackcomb Holdings, Inc. 133,651 2,256,669 0.3% #* Yellow Media, Ltd. 75,155 1,097,601 0.1% ----------- ---- Total Consumer Discretionary 91,358,383 10.8% ----------- ---- Consumer Staples -- (3.0%) AGT Food & Ingredient, Inc. 91,304 2,243,208 0.3% Andrew Peller, Ltd. Class A 3,400 45,070 0.0% Clearwater Seafoods, Inc. 47,557 473,017 0.1% # Colabor Group, Inc. 92,227 289,680 0.0% Corby Spirit and Wine, Ltd. 73,267 1,366,463 0.2% # Cott Corp. 499,623 3,027,750 0.3% High Liner Foods, Inc. 54,918 1,073,460 0.1% # Liquor Stores N.A., Ltd. 106,130 1,224,160 0.1% # Maple Leaf Foods, Inc. 536,764 9,286,986 1.1% * Neptune Technologies & Bioressources, Inc. 22,102 36,476 0.0% North West Co., Inc. (The) 232,610 4,808,849 0.6% # Premium Brands Holdings Corp. 91,943 2,019,067 0.2%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Consumer Staples -- (Continued) # Rogers Sugar, Inc. 439,281 $ 1,730,542 0.2% * SunOpta, Inc. 287,095 4,065,513 0.5% ----------- --- Total Consumer Staples 31,690,241 3.7% ----------- --- Energy -- (21.2%) * Advantage Oil & Gas, Ltd. 1,098,231 4,706,495 0.6% Akita Drilling, Ltd. Class A 42,000 515,381 0.1% #* Alvopetro Energy, Ltd. 401,858 171,148 0.0% * Anderson Energy, Ltd. 125,071 24,969 0.0% Arsenal Energy, Inc. 61,574 452,907 0.1% #* Artek Exploration, Ltd. 278,498 637,527 0.1% #* Athabasca Oil Corp. 569,249 1,843,537 0.2% * Bankers Petroleum, Ltd. 1,411,399 5,422,437 0.6% * Bellatrix Exploration, Ltd. 978,258 4,574,260 0.5% #* Birchcliff Energy, Ltd. 542,616 4,198,227 0.5% #* BlackPearl Resources, Inc. 1,434,601 2,062,068 0.2% #* BNK Petroleum, Inc. 554,116 260,575 0.0% # Bonavista Energy Corp. 572,444 5,378,805 0.6% # Bonterra Energy Corp. 138,595 6,230,965 0.7% Calfrac Well Services, Ltd. 389,456 4,664,971 0.5% Calvalley Petroleum, Inc. Class A 226,068 246,718 0.0% * Canacol Energy, Ltd. 137,542 469,842 0.1% # Canadian Energy Services & Technology Corp. 950,642 7,338,259 0.9% CanElson Drilling, Inc. 495,855 2,424,170 0.3% Canyon Services Group, Inc. 320,270 3,094,575 0.4% # Cathedral Energy Services, Ltd. 164,270 453,289 0.1% #* Cequence Energy, Ltd. 833,290 1,057,278 0.1% #* Chinook Energy, Inc. 455,099 629,923 0.1% * Connacher Oil and Gas, Ltd. 2,187,935 194,129 0.0% #* Corridor Resources, Inc. 373,046 476,630 0.1% * Crew Energy, Inc. 626,771 3,915,059 0.5% * DeeThree Exploration, Ltd. 451,446 2,575,571 0.3% #* Delphi Energy Corp. 906,139 1,696,423 0.2% #* Denison Mines Corp. 2,254,371 2,120,255 0.2% # Enbridge Income Fund Holdings, Inc. 246,855 6,505,118 0.8% Enerflex, Ltd. 346,563 4,950,680 0.6% Ensign Energy Services, Inc. 460,304 5,195,037 0.6% #* Epsilon Energy, Ltd. 256,565 835,450 0.1% #* Essential Energy Services Trust 650,141 1,165,241 0.1% #* Forsys Metals Corp. 109,974 24,882 0.0% #* Gasfrac Energy Services, Inc. 91,560 81,239 0.0% * Gran Tierra Energy, Inc. 1,393,412 6,354,765 0.7% #* Ithaca Energy, Inc. 1,635,155 2,089,191 0.2% #* Ivanhoe Energy, Inc. 49,840 56,161 0.0% * Kelt Exploration, Ltd. 161,850 1,362,811 0.2% * Legacy Oil + Gas, Inc. 1,026,990 4,182,498 0.5% * Leucrotta Exploration, Inc. 347,561 518,080 0.1% # Lightstream Resources, Ltd. 1,071,197 2,832,321 0.3% # Long Run Exploration, Ltd. 879,201 2,488,489 0.3% # McCoy Global, Inc. 43,794 185,737 0.0% * Mega Uranium, Ltd. 55,000 5,856 0.0% # Mullen Group, Ltd. 483,025 9,385,784 1.1%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- Energy -- (Continued) #* Niko Resources, Ltd. 331,273 $ 91,118 0.0% # North American Energy Partners, Inc. 117,881 629,647 0.1% * NuVista Energy, Ltd. 678,709 6,244,809 0.7% * Painted Pony Petroleum, Ltd. 343,854 3,258,383 0.4% * Parex Resources, Inc. 560,671 5,138,842 0.6% # Parkland Fuel Corp. 400,877 7,842,898 0.9% # Pason Systems, Inc. 368,652 8,821,742 1.0% # Pengrowth Energy Corp. 369,597 1,492,096 0.2% #* Perpetual Energy, Inc. 396,529 492,561 0.1% # PHX Energy Services Corp. 139,974 1,455,566 0.2% * Poseidon Concepts Corp. 165,977 249 0.0% # Pulse Seismic, Inc. 277,580 731,478 0.1% #* Questerre Energy Corp. Class A 745,460 482,841 0.1% * RMP Energy, Inc. 702,328 3,689,084 0.4% * Rock Energy, Inc. 192,653 945,274 0.1% # Savanna Energy Services Corp. 488,979 2,637,853 0.3% Secure Energy Services, Inc. 558,354 10,339,247 1.2% * Serinus Energy, Inc. 13,570 25,044 0.0% ShawCor, Ltd. 125,996 5,550,509 0.7% * Southern Pacific Resource Corp. 1,701,425 45,289 0.0% * SouthGobi Resources, Ltd. 150,484 77,442 0.0% #* Sprott Resource Corp. 471,290 873,960 0.1% # Spyglass Resources Corp. 669,452 629,626 0.1% Strad Energy Services, Ltd. 18,741 76,657 0.0% # Surge Energy, Inc. 1,179,583 6,541,319 0.8% #* TAG Oil, Ltd. 181,541 256,111 0.0% * Tethys Petroleum, Ltd. 412,989 106,266 0.0% # TORC Oil & Gas, Ltd. 403,748 3,786,537 0.4% Total Energy Services, Inc. 153,478 2,666,341 0.3% #* Touchstone Exploration, Inc. 199,351 106,127 0.0% TransGlobe Energy Corp. 357,661 1,551,805 0.2% Trican Well Service, Ltd. 817,696 7,327,740 0.9% Trilogy Energy Corp. 53,200 828,882 0.1% Trinidad Drilling, Ltd. 750,912 4,890,372 0.6% # Twin Butte Energy, Ltd. 1,326,259 1,765,129 0.2% #* Uex Corp. 608,088 151,071 0.0% # Veresen, Inc. 311,031 4,881,894 0.6% Western Energy Services Corp. 335,813 2,130,396 0.2% # Whitecap Resources, Inc. 848,168 10,979,788 1.3% * Xtreme Drilling and Coil Services Corp. 232,619 641,893 0.1% * Yangarra Resources, Ltd. 8,000 16,468 0.0% # Zargon Oil & Gas, Ltd. 152,974 832,022 0.1% ZCL Composites, Inc. 99,400 597,961 0.1% ------------ ---- Total Energy 227,686,070 26.8% ------------ ---- Financials -- (6.8%) AGF Management, Ltd. Class B 434,285 3,945,769 0.5% # Alaris Royalty Corp. 52,216 1,564,557 0.2% # Altus Group, Ltd. 161,568 3,132,302 0.4% Brookfield Real Estate Services, Inc. 8,075 98,658 0.0% Canaccord Genuity Group, Inc. 511,622 4,330,663 0.5% Canadian Western Bank 300,957 10,080,411 1.2%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- Financials -- (Continued) Clairvest Group, Inc. 1,900 $ 42,567 0.0% * Counsel Corp. 87,227 116,865 0.0% E-L Financial Corp., Ltd. 1,500 918,327 0.1% EGI Financial Holdings, Inc. 14,650 154,423 0.0% # Equitable Group, Inc. 52,295 3,033,625 0.4% * Equity Financial Holdings, Inc. 800 6,026 0.0% Fiera Capital Corp. 72,002 824,760 0.1% Firm Capital Mortgage Investment Corp. 2,494 28,280 0.0% First National Financial Corp. 3,873 80,068 0.0% FirstService Corp. 152,248 8,045,687 0.9% Genesis Land Development Corp. 76,842 302,036 0.0% # Genworth MI Canada, Inc. 149,254 5,217,699 0.6% Gluskin Sheff + Associates, Inc. 156,321 4,083,306 0.5% GMP Capital, Inc. 298,487 1,766,477 0.2% Guardian Capital Group, Ltd. Class A 11,327 183,616 0.0% * Heritage Global, Inc. 4,253 1,405 0.0% Home Capital Group, Inc. 241,200 11,560,822 1.4% # Killam Properties, Inc. 300,269 2,941,280 0.3% * Kingsway Financial Services, Inc. 22,481 145,613 0.0% Laurentian Bank of Canada 163,720 7,202,198 0.8% * Mainstreet Equity Corp. 19,910 720,579 0.1% Melcor Developments, Ltd. 24,561 536,308 0.1% # Sprott, Inc. 690,588 1,482,829 0.2% TMX Group, Ltd. 10,776 518,315 0.1% ----------- --- Total Financials 73,065,471 8.6% ----------- --- Health Care -- (1.4%) Amica Mature Lifestyles, Inc. 36,241 231,842 0.0% * Endo International P.L.C. 82,099 5,485,893 0.7% # Extendicare, Inc. 500,612 3,624,501 0.4% #* Imris, Inc. 73,479 24,774 0.0% * Knight Therapeutics, Inc. 53,575 276,657 0.0% # Leisureworld Senior Care Corp. 178,254 2,241,124 0.3% # Medical Facilities Corp. 144,169 2,305,067 0.3% * QLT, Inc. 226,610 902,781 0.1% #* Resverlogix Corp. 106,820 57,815 0.0% #* Theratechnologies, Inc. 10,101 3,406 0.0% * Transition Therapeutics, Inc. 33,541 208,320 0.0% * TSO3, Inc. 55,206 76,903 0.0% Zenith Epigenetics Corp. 111,820 8,036 0.0% ----------- --- Total Health Care 15,447,119 1.8% ----------- --- Industrials -- (13.1%) # AG Growth International, Inc. 86,732 3,595,332 0.4% * Air Canada Class A 313,328 2,610,487 0.3% # Algoma Central Corp. 26,690 380,322 0.0% * ATS Automation Tooling Systems, Inc. 500,030 6,255,643 0.7% Badger Daylighting, Ltd. 212,981 5,232,637 0.6% #* Ballard Power Systems, Inc. 530,151 1,486,427 0.2% # Bird Construction, Inc. 143,090 1,710,148 0.2% # Black Diamond Group, Ltd. 221,641 3,785,626 0.4% Bumi Serpong Damai Tbk PT 344,068 4,472,380 0.5%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- Industrials -- (Continued) # CanWel Building Materials Group, Ltd. 78,884 $ 435,348 0.1% Cervus Equipment Corp. 20,122 327,615 0.0% # Clarke, Inc. 52,294 453,318 0.1% Contrans Group, Inc. Class A 116,170 1,538,901 0.2% # DirectCash Payments, Inc. 53,015 747,916 0.1% # Exchange Income Corp. 79,168 1,351,486 0.2% Exco Technologies, Ltd. 103,336 1,005,808 0.1% * GLV, Inc. Class A 93,231 190,259 0.0% * Heroux-Devtek, Inc. 128,954 1,162,480 0.1% # HNZ Group, Inc. 23,888 421,148 0.0% # Horizon North Logistics, Inc. 478,383 1,349,770 0.2% # K-Bro Linen, Inc. 21,093 741,123 0.1% MacDonald Dettwiler & Associates, Ltd. 112,170 8,553,205 1.0% Magellan Aerospace Corp. 60,000 658,533 0.1% Morneau Shepell, Inc. 233,427 3,446,365 0.4% # New Flyer Industries, Inc. 188,205 2,170,858 0.3% Newalta Corp. 265,636 4,796,320 0.6% Richelieu Hardware, Ltd. 72,185 3,424,632 0.4% # Ritchie Bros Auctioneers, Inc. 378,801 9,259,543 1.1% # Rocky Mountain Dealerships, Inc. 71,391 675,872 0.1% # Russel Metals, Inc. 332,255 9,684,199 1.1% Stantec, Inc. 228,285 14,464,160 1.7% Stuart Olson, Inc. 91,759 621,198 0.1% # Student Transportation, Inc. 429,699 2,699,320 0.3% Toromont Industries, Ltd. 262,225 6,261,013 0.7% Transcontinental, Inc. Class A 366,876 5,009,735 0.6% TransForce, Inc. 442,709 10,825,660 1.3% Vicwest, Inc. 46,519 428,435 0.1% # Wajax Corp. 91,238 2,919,972 0.3% WesternOne, Inc. 110,100 617,392 0.1% # Westshore Terminals Investment Corp. 274,032 8,351,891 1.0% # WSP Global, Inc. 234,492 7,138,477 0.8% ------------ ---- Total Industrials 141,260,954 16.6% ------------ ---- Information Technology -- (5.1%) * 5N Plus, Inc. 276,808 594,362 0.1% Absolute Software Corp. 219,888 1,383,262 0.2% * AgJunction, Inc. 20,300 10,987 0.0% #* Avigilon Corp. 115,293 1,594,799 0.2% Calian Technologies, Ltd. 21,337 351,183 0.0% * Celestica, Inc. 949,607 10,430,890 1.2% COM DEV International, Ltd. 406,924 1,335,894 0.2% Computer Modelling Group, Ltd. 291,757 3,031,342 0.4% * Descartes Systems Group, Inc. (The) 262,529 3,703,661 0.4% DH Corp. 438,495 14,006,317 1.6% #* DragonWave, Inc. 162,023 172,510 0.0% Enghouse Systems, Ltd. 91,266 3,065,819 0.4% Evertz Technologies, Ltd. 138,381 2,086,059 0.2% #* EXFO, Inc. 106,980 397,716 0.0% # Mediagrif Interactive Technologies, Inc. 7,676 122,593 0.0% * Mitel Networks Corp. 135,710 1,265,525 0.2% #* Points International, Ltd. 37,659 563,022 0.1%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- Information Technology -- (Continued) Pure Technologies, Ltd. 114 $ 806 0.0% #* Redknee Solutions, Inc. 110,711 416,499 0.0% * Sandvine Corp. 886,876 2,203,321 0.3% #* Sierra Wireless, Inc. 164,792 4,509,281 0.5% * Smart Technologies, Inc. Class A 7,408 9,991 0.0% * Solium Capital, Inc. 71,851 519,574 0.1% Vecima Networks, Inc. 6,059 45,481 0.0% Wi-Lan, Inc. 765,533 2,533,551 0.3% ----------- --- Total Information Technology 54,354,445 6.4% ----------- --- Materials -- (14.9%) * Aberdeen International, Inc. 122,333 20,623 0.0% # Acadian Timber Corp. 14,713 186,026 0.0% AirBoss of America Corp. 8,602 76,323 0.0% Alacer Gold Corp. 1,025,827 1,702,051 0.2% Alamos Gold, Inc. 637,867 4,759,737 0.6% #* Alexco Resource Corp. 278,307 138,283 0.0% #* Almaden Minerals, Ltd. 98,343 112,562 0.0% #* Altius Minerals Corp. 112,600 1,055,016 0.1% #* Alumasc Group P.L.C. (The) 532,862 1,229,263 0.2% * Amerigo Resources, Ltd. 553,854 174,454 0.0% #* Argonaut Gold, Inc. 552,671 1,176,887 0.1% #* Asanko Gold, Inc. 271,644 409,738 0.1% AuRico Gold, Inc. 1,371,487 4,392,944 0.5% #* Avalon Rare Metals, Inc. 352,025 78,085 0.0% #* B2Gold Corp. 3,027,290 5,049,736 0.6% #* Banro Corp. 14,500 2,058 0.0% Canam Group, Inc. Class A 218,124 1,896,646 0.2% # Canexus Corp. 488,286 1,676,649 0.2% * Canfor Corp. 118,977 2,770,025 0.3% Canfor Pulp Products, Inc. 212,815 2,379,193 0.3% * Capstone Mining Corp. 1,716,256 3,213,079 0.4% Cascades, Inc. 489,976 2,725,832 0.3% CCL Industries, Inc. Class B 111,467 11,268,843 1.3% Centerra Gold, Inc. 569,608 2,223,748 0.3% * Chaparral Gold Corp. 77,900 41,471 0.0% #* China Gold International Resources Corp., Ltd. 765,025 1,466,176 0.2% * Claude Resources, Inc. 861,200 168,106 0.0% #* Copper Mountain Mining Corp. 665,831 1,234,716 0.2% * Dominion Diamond Corp. 385,640 5,395,983 0.6% #* Dundee Precious Metals, Inc. 554,138 1,578,264 0.2% * Dynasty Metals & Mining, Inc. 39,369 31,438 0.0% #* Eastern Platinum, Ltd. 321,096 247,863 0.0% * Eastmain Resources, Inc. 215,252 41,062 0.0% * EcoSynthetix, Inc. 1,500 2,023 0.0% * Endeavour Mining Corp. 2,334,876 994,402 0.1% #* Endeavour Silver Corp. 547,276 1,670,405 0.2% #* Energy Fuels, Inc. 74,391 449,493 0.1% #* Entree Gold, Inc. 286,898 66,185 0.0% * Excellon Resources, Inc. 185,380 134,876 0.0% * Exeter Resource Corp. 70,137 39,828 0.0% #* First Majestic Silver Corp. 601,528 3,084,897 0.4%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- Materials -- (Continued) #* Fortress Paper, Ltd. Class A 69,284 $ 127,865 0.0% * Fortuna Silver Mines, Inc. 800,706 2,770,732 0.3% #* Fortune Minerals, Ltd. 146,172 23,993 0.0% #* Golden Star Resources, Ltd. 1,155,362 328,039 0.0% #* Great Panther Silver, Ltd. 725,301 508,396 0.1% #* Guyana Goldfields, Inc. 441,183 900,334 0.1% * Hanfeng Evergreen, Inc. 45,837 10,523 0.0% HudBay Minerals, Inc. 1,202,315 9,206,316 1.1% * IAMGOLD Corp. 1,548,669 2,940,554 0.4% #* Imperial Metals Corp. 208,818 1,765,703 0.2% * Interfor Corp. 373,031 5,672,997 0.7% #* International Tower Hill Mines, Ltd. 220,027 78,090 0.0% Intertape Polymer Group, Inc. 332,527 4,871,142 0.6% #* Katanga Mining, Ltd. 1,025,162 354,743 0.1% #* Kirkland Lake Gold, Inc. 361,968 1,124,074 0.1% #* Lake Shore Gold Corp. 2,147,181 1,562,210 0.2% # Lucara Diamond Corp. 934,465 1,890,404 0.2% # Major Drilling Group International, Inc. 431,959 2,521,885 0.3% # Mandalay Resources Corp. 411,992 350,927 0.1% * McEwen Mining--Minera Andes Acquisition Corp. 2,366 2,960 0.0% * Migao Corp. 169,168 219,143 0.0% Minco Base Metals Corp. 2,780 -- 0.0% * Minco Silver Corp. 40,069 23,820 0.0% #* Nautilus Minerals, Inc. 89,354 41,226 0.0% #* Nevada Copper Corp. 160,491 256,319 0.0% # Nevsun Resources, Ltd. 1,007,766 3,406,760 0.4% * New Gold, Inc. 812,201 2,947,431 0.4% * New Millennium Iron Corp. 55,528 8,868 0.0% Norbord, Inc. 185,489 3,628,972 0.4% #* North American Palladium, Ltd. 565,789 90,362 0.0% #* Northern Dynasty Minerals, Ltd. 148,624 56,704 0.0% #* Novagold Resources, Inc. 569,999 1,400,911 0.2% #* OceanaGold Corp. 1,664,714 2,717,780 0.3% * Orvana Minerals Corp. 56,750 15,358 0.0% * Osisko Gold Royalties, Ltd. 155,142 1,938,150 0.2% Pan American Silver Corp. 711,104 6,574,423 0.8% * Phoscan Chemical Corp. 432,579 109,387 0.0% #* Pilot Gold, Inc. 65,895 45,019 0.0% #* Platinum Group Metals, Ltd. 241,887 195,304 0.0% #* Polymet Mining Corp. 635,065 676,171 0.1% * Primero Mining Corp. 844,647 2,885,311 0.3% * RB Energy, Inc. 396,013 26,353 0.0% * Richmont Mines, Inc. 119,607 246,208 0.0% #* Rubicon Minerals Corp. 508,405 428,539 0.1% #* Sabina Gold & Silver Corp. 383,055 125,753 0.0% #* San Gold Corp. 1,277,995 62,366 0.0% #* Sandstorm Gold, Ltd. 538,611 1,548,378 0.2% * Scorpio Mining Corp. 978,870 165,020 0.0% #* Seabridge Gold, Inc. 115,135 731,437 0.1% * SEMAFO, Inc. 1,350,146 3,294,354 0.4% Sherritt International Corp. 1,706,561 4,239,715 0.5% * Shore Gold, Inc. 152,435 26,374 0.0%
THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- Materials -- (Continued) #* Silver Standard Resources, Inc. 423,541 $ 1,845,159 0.2% * St Andrew Goldfields, Ltd. 774,028 161,392 0.0% Stella-Jones, Inc. 180,100 5,230,179 0.6% #* Stornoway Diamond Corp. 297,297 150,357 0.0% #* Sulliden Mining Capital, Inc. 65,953 21,066 0.0% #* Tanzanian Royalty Exploration Corp. 298,950 389,917 0.1% * Taseko Mines, Ltd. 993,766 1,304,976 0.2% #* Tembec, Inc. 389,365 988,052 0.1% #* Teranga Gold Corp. 1,297,615 506,589 0.1% * Thompson Creek Metals Co., Inc. 972,770 1,838,428 0.2% Timminco, Ltd. 69,822 137 0.0% * Timmins Gold Corp. 902,974 865,278 0.1% * Wesdome Gold Mines, Ltd. 325,464 210,806 0.0% Western Forest Products, Inc. 1,681,227 3,460,757 0.4% Winpak, Ltd. 98,223 2,592,728 0.3% -------------- ----- Total Materials 160,074,613 18.9% -------------- ----- Telecommunication Services -- (0.4%) Axia NetMedia Corp. 191,967 456,477 0.1% -------------- ----- # Manitoba Telecom Services, Inc. 140,584 3,705,914 0.4% -------------- ----- Total Telecommunication Services 4,162,391 0.5% -------------- ----- Utilities -- (4.4%) Algonquin Power & Utilities Corp. 930,215 7,593,255 0.9% #* Alterra Power Corp. 1,066,070 302,686 0.0% Boralex, Inc. Class A 113,668 1,326,236 0.2% Capital Power Corp. 459,109 10,420,131 1.2% # Capstone Infrastructure Corp. 495,000 1,875,383 0.2% # Innergex Renewable Energy, Inc. 514,227 5,032,540 0.6% # Just Energy Group, Inc. 675,567 3,290,770 0.4% #* Maxim Power Corp. 92,234 212,775 0.0% # Northland Power, Inc. 517,996 7,707,549 0.9% # Superior Plus Corp. 668,843 7,245,972 0.9% # Valener, Inc. 195,585 2,793,947 0.3% -------------- ----- Total Utilities 47,801,244 5.6% -------------- ----- TOTAL COMMON STOCKS 846,900,931 99.7% -------------- ----- RIGHTS/WARRANTS -- (0.0%) * HudBay Minerals, Inc. Warrants 07/20/18 37,453 26,252 0.0% -------------- ----- SECURITIES LENDING COLLATERAL -- (21.2%) (S)@ DFA Short Term Investment Fund 19,706,531 228,004,569 26.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,214,058,509) $1,074,931,752 126.5% ============== =====
THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 91,358,383 -- -- $ 91,358,383 Consumer Staples 31,690,241 -- -- 31,690,241 Energy 227,685,821 $ 249 -- 227,686,070 Financials 73,065,471 -- -- 73,065,471 Health Care 15,439,083 8,036 -- 15,447,119 Industrials 141,260,954 -- -- 141,260,954 Information Technology 54,354,445 -- -- 54,354,445 Materials 160,037,600 37,013 -- 160,074,613 Telecommunication Services 4,162,391 -- -- 4,162,391 Utilities 47,801,244 -- -- 47,801,244 Rights/Warrants -- 26,252 -- 26,252 Securities Lending Collateral -- 228,004,569 -- 228,004,569 ------------- ------------ -- -------------- TOTAL $846,855,633 $228,076,119 -- $1,074,931,752 ============= ============ == ==============
THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- COMMON STOCKS -- (89.3%) BRAZIL -- (6.2%) AES Tiete SA 76,084 $ 459,049 0.0% ALL--America Latina Logistica SA 508,831 1,389,643 0.0% AMBEV SA 855,320 5,662,555 0.1% # AMBEV SA ADR 4,395,524 29,362,100 0.7% Banco Bradesco SA 678,482 9,993,764 0.2% Banco do Brasil SA 851,292 9,526,747 0.2% Banco Santander Brasil SA ADR 712,554 3,904,796 0.1% BB Seguridade Participacoes SA 593,854 7,922,484 0.2% BM&FBovespa SA 2,319,008 10,204,428 0.2% BR Malls Participacoes SA 617,123 4,954,892 0.1% # Braskem SA Sponsored ADR 153,394 2,250,290 0.1% BRF SA 97,000 2,526,700 0.1% BRF SA ADR 539,479 14,053,428 0.3% CCR SA 1,083,968 8,069,215 0.2% Centrais Eletricas Brasileiras SA 262,600 658,869 0.0% # Centrais Eletricas Brasileiras SA ADR 86,923 342,477 0.0% # Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 253,506 0.0% CETIP SA--Mercados Organizados 341,500 4,319,619 0.1% Cia Brasileira de Distribuicao ADR 85,830 3,587,694 0.1% Cia de Saneamento Basico do Estado de Sao Paulo 287,000 2,246,173 0.1% # Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,386,464 0.0% Cia Energetica de Minas Gerais 87,787 531,627 0.0% Cia Paranaense de Energia 26,200 259,188 0.0% # Cia Paranaense de Energia Sponsored ADR 57,783 814,740 0.0% Cia Siderurgica Nacional SA 633,652 2,105,030 0.1% # Cia Siderurgica Nacional SA Sponsored ADR 911,142 2,988,546 0.1% Cielo SA 801,650 13,153,856 0.3% * Cosan Logistica SA 177,069 296,556 0.0% Cosan SA Industria e Comercio 177,069 2,471,498 0.1% CPFL Energia SA 209,893 1,573,754 0.0% # CPFL Energia SA ADR 63,516 946,388 0.0% Cyrela Brazil Realty SA Empreendimentos e Participacoes 139,797 694,661 0.0% Duratex SA 569,365 2,046,721 0.1% EcoRodovias Infraestrutura e Logistica SA 249,477 1,114,923 0.0% Embraer SA 75,370 728,154 0.0% Embraer SA ADR 133,319 5,151,446 0.1% Estacio Participacoes SA 306,718 3,550,612 0.1% #* Fibria Celulose SA Sponsored ADR 514,098 6,287,419 0.2% Gerdau SA 146,632 543,553 0.0% Gerdau SA Sponsored ADR 326,326 1,478,257 0.0% Guararapes Confeccoes SA 8,056 302,356 0.0% * Hypermarcas SA 528,724 3,689,074 0.1% Itau Unibanco Holding SA 277,589 3,661,309 0.1% JBS SA 1,052,281 4,690,086 0.1% Klabin SA 889,300 4,396,434 0.1% Kroton Educacional SA 1,061,399 7,562,770 0.2% Localiza Rent a Car SA 184,260 2,654,546 0.1% Lojas Americanas SA 195,637 960,331 0.0% Lojas Renner SA 147,987 4,423,801 0.1% M Dias Branco SA 40,000 1,554,385 0.0% Multiplan Empreendimentos Imobiliarios SA 89,300 1,846,213 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ------------ --------------- BRAZIL -- (Continued) Natura Cosmeticos SA 214,350 $ 3,114,350 0.1% Oi SA 1,090,646 603,183 0.0% # Oi SA ADR(670851104) 7,319 4,391 0.0% # Oi SA ADR(670851203) 107,889 57,181 0.0% Petroleo Brasileiro SA 598,900 3,528,735 0.1% # Petroleo Brasileiro SA ADR 1,308,418 15,308,491 0.4% Porto Seguro SA 201,599 2,417,937 0.1% * Qualicorp SA 162,500 1,652,716 0.0% Raia Drogasil SA 229,600 2,082,011 0.1% Souza Cruz SA 463,113 3,737,678 0.1% Tim Participacoes SA 465,000 2,527,801 0.1% Tim Participacoes SA ADR 63,679 1,752,446 0.0% Totvs SA 128,775 1,876,930 0.1% Tractebel Energia SA 214,717 2,922,974 0.1% Transmissora Alianca de Energia Eletrica SA 243,034 1,806,142 0.0% Ultrapar Participacoes SA 235,741 5,137,560 0.1% Ultrapar Participacoes SA Sponsored ADR 254,308 5,518,484 0.1% * Usinas Siderurgicas de Minas Gerais SA 39,100 104,230 0.0% Vale SA 137,800 1,389,947 0.0% # Vale SA Sponsored ADR 1,238,400 12,495,456 0.3% WEG SA 289,825 3,419,701 0.1% ------------ --- TOTAL BRAZIL 277,011,471 6.6% ------------ --- CHILE -- (1.4%) AES Gener SA 2,290,458 1,267,346 0.0% Aguas Andinas SA Class A 3,123,344 1,869,786 0.0% # Banco de Chile ADR 38,411 2,842,409 0.1% Banco de Credito e Inversiones 37,214 2,075,400 0.1% # Banco Santander Chile ADR 190,579 4,038,369 0.1% CAP SA 131,403 1,250,399 0.0% Cencosud SA 1,050,142 3,001,122 0.1% Cencosud SA ADR 8,408 75,924 0.0% Cia Cervecerias Unidas SA 25,052 263,080 0.0% # Cia Cervecerias Unidas SA ADR 54,549 1,162,439 0.0% Cia General de Electricidad SA 68,358 554,032 0.0% Colbun SA 6,939,743 1,874,700 0.1% Corpbanca SA 150,023,959 2,014,158 0.1% # Corpbanca SA ADR 28,066 566,933 0.0% # Embotelladora Andina SA Class A ADR 22,244 346,673 0.0% # Embotelladora Andina SA Class B ADR 19,587 364,514 0.0% Empresa Nacional de Electricidad SA Sponsored ADR 111,030 5,182,880 0.1% Empresas CMPC SA 1,838,271 4,480,144 0.1% Empresas COPEC SA 391,235 4,735,526 0.1% Enersis SA Sponsored ADR 508,369 8,027,147 0.2% ENTEL Chile SA 248,124 2,676,899 0.1% Inversiones Aguas Metropolitanas SA 377,408 571,435 0.0% #* Latam Airlines Group SA Sponsored ADR 390,954 4,769,639 0.1% Molibdenos y Metales SA 21,739 170,179 0.0% Parque Arauco SA 29,449 60,426 0.0% SACI Falabella 794,192 5,803,042 0.1% Sigdo Koppers SA 354,942 551,064 0.0% Sociedad Quimica y Minera de Chile SA Sponsored ADR 91,271 2,165,861 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHILE -- (Continued) Sonda SA 538,585 $ 1,310,945 0.0% ----------- --- TOTAL CHILE 64,072,471 1.5% ----------- --- CHINA -- (14.2%) Agricultural Bank of China, Ltd. Class H 18,743,000 8,709,743 0.2% Air China, Ltd. Class H 2,124,000 1,372,759 0.0% #* Aluminum Corp. of China, Ltd. ADR 112,680 1,253,002 0.0% #* Aluminum Corp. of China, Ltd. Class H 1,560,000 698,459 0.0% # Angang Steel Co., Ltd. Class H 1,422,000 1,045,390 0.0% # Anhui Conch Cement Co., Ltd. Class H 1,017,500 3,332,173 0.1% Anta Sports Products, Ltd. 432,000 847,924 0.0% Bank of China, Ltd. Class H 64,409,100 30,829,478 0.7% Bank of Communications Co., Ltd. Class H 7,443,515 5,562,001 0.1% BBMG Corp. Class H 1,155,500 817,067 0.0% Beijing Enterprises Holdings, Ltd. 653,472 5,331,179 0.1% # Beijing Enterprises Water Group, Ltd. 928,000 663,247 0.0% Belle International Holdings, Ltd. 3,431,000 4,361,608 0.1% Brilliance China Automotive Holdings, Ltd. 1,568,000 2,707,440 0.1% # Byd Co., Ltd. Class H 351,386 2,234,522 0.1% China CITIC Bank Corp., Ltd. Class H 6,922,928 4,509,935 0.1% # China Coal Energy Co., Ltd. Class H 4,683,777 2,875,381 0.1% China Communications Construction Co., Ltd. Class H 5,313,000 4,078,701 0.1% China Communications Services Corp., Ltd. Class H 2,892,000 1,354,223 0.0% China Construction Bank Corp. Class H 60,826,590 45,382,653 1.1% #* China COSCO Holdings Co., Ltd. Class H 2,263,000 1,019,131 0.0% * China Eastern Airlines Corp., Ltd. ADR 2,800 52,528 0.0% #* China Eastern Airlines Corp., Ltd. Class H 1,664,000 633,549 0.0% # China Everbright International, Ltd. 2,755,000 3,832,324 0.1% China Gas Holdings, Ltd. 1,500,000 2,674,090 0.1% China Hongqiao Group, Ltd. 689,500 530,568 0.0% China International Marine Containers Group Co., Ltd. Class H 338,700 789,327 0.0% # China Life Insurance Co., Ltd. ADR 321,472 14,385,872 0.4% China Life Insurance Co., Ltd. Class H 784,000 2,339,433 0.1% China Longyuan Power Group Corp., Ltd. Class H 1,931,000 2,059,193 0.1% China Mengniu Dairy Co., Ltd. 732,000 3,209,790 0.1% # China Merchants Bank Co., Ltd. Class H 3,724,554 6,912,048 0.2% China Merchants Holdings International Co., Ltd. 1,048,006 3,312,745 0.1% China Minsheng Banking Corp., Ltd. Class H 5,307,000 5,331,368 0.1% China Mobile, Ltd. 179,500 2,238,059 0.1% China Mobile, Ltd. Sponsored ADR 926,803 57,545,198 1.4% # China Molybdenum Co., Ltd. Class H 691,322 414,020 0.0% # China National Building Material Co., Ltd. Class H 4,793,916 4,444,749 0.1% # China Oilfield Services, Ltd. Class H 1,628,000 3,402,592 0.1% China Overseas Land & Investment, Ltd. 3,260,000 9,479,694 0.2% China Pacific Insurance Group Co., Ltd. Class H 1,729,600 6,483,596 0.2% China Petroleum & Chemical Corp. ADR 138,191 12,019,827 0.3% China Petroleum & Chemical Corp. Class H 8,186,800 7,099,687 0.2% # China Railway Construction Corp., Ltd. Class H 2,896,000 3,061,211 0.1% China Railway Group, Ltd. Class H 3,805,000 2,342,404 0.1% # China Resources Cement Holdings, Ltd. 2,175,335 1,473,612 0.0% China Resources Enterprise, Ltd. 1,117,000 2,656,776 0.1% China Resources Gas Group, Ltd. 640,000 1,825,299 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) China Resources Land, Ltd. 1,734,000 $ 4,119,887 0.1% China Resources Power Holdings Co., Ltd. 1,250,000 3,638,305 0.1% China Shenhua Energy Co., Ltd. Class H 2,682,500 7,543,422 0.2% #* China Shipping Container Lines Co., Ltd. Class H 3,946,000 1,125,383 0.0% China South City Holdings, Ltd. 1,814,000 826,279 0.0% China Southern Airlines Co., Ltd. Class H 1,424,000 500,007 0.0% China Southern Airlines Co., Ltd. Sponsored ADR 12,606 221,109 0.0% China State Construction International Holdings, Ltd. 1,318,000 2,040,904 0.1% * China Taiping Insurance Holdings Co., Ltd. 618,600 1,319,969 0.0% China Telecom Corp., Ltd. ADR 55,758 3,545,094 0.1% China Telecom Corp., Ltd. Class H 4,118,000 2,625,041 0.1% China Unicom Hong Kong, Ltd. 166,000 248,134 0.0% China Unicom Hong Kong, Ltd. ADR 483,030 7,235,789 0.2% Chongqing Rural Commercial Bank Co., Ltd. Class H 2,589,000 1,245,988 0.0% CITIC Securities Co., Ltd. Class H 721,000 1,795,286 0.0% # CITIC, Ltd. 1,425,000 2,496,844 0.1% CNOOC, Ltd. 3,783,000 5,914,031 0.1% # CNOOC, Ltd. ADR 127,716 19,970,951 0.5% COSCO Pacific, Ltd. 2,297,502 3,029,222 0.1% Country Garden Holdings Co., Ltd. 7,902,686 3,104,788 0.1% CSPC Pharmaceutical Group, Ltd. 978,000 899,740 0.0% # CSR Corp., Ltd. 1,471,000 1,496,578 0.0% Datang International Power Generation Co., Ltd. Class H 3,050,000 1,601,195 0.0% # Dongfang Electric Corp., Ltd. Class H 377,400 638,592 0.0% Dongfeng Motor Group Co., Ltd. Class H 2,302,000 3,559,945 0.1% ENN Energy Holdings, Ltd. 752,000 4,859,876 0.1% # Evergrande Real Estate Group, Ltd. 10,588,000 4,068,736 0.1% # Fosun International, Ltd. 1,544,441 1,831,951 0.1% #* GCL-Poly Energy Holdings, Ltd. 5,859,814 1,974,888 0.1% # Geely Automobile Holdings, Ltd. 3,655,000 1,631,439 0.0% Great Wall Motor Co., Ltd. Class H 932,500 4,091,991 0.1% Guangdong Investment, Ltd. 2,560,000 3,360,881 0.1% Guangshen Railway Co., Ltd. Sponsored ADR 28,517 608,838 0.0% Guangzhou Automobile Group Co., Ltd. Class H 1,996,259 1,773,551 0.0% Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 112,000 382,782 0.0% # Guangzhou R&F Properties Co., Ltd. 2,102,000 2,292,645 0.1% Haier Electronics Group Co., Ltd. 700,000 1,877,062 0.1% Haitian International Holdings, Ltd. 79,000 168,443 0.0% # Hanergy Thin Film Power Group, Ltd. 7,134,000 1,627,700 0.0% Hengan International Group Co., Ltd. 619,500 6,514,019 0.2% Huadian Power International Corp., Ltd. Class H 1,394,000 1,068,405 0.0% Huaneng Power International, Inc. Class H 810,000 994,801 0.0% # Huaneng Power International, Inc. Sponsored ADR 34,452 1,707,097 0.0% Industrial & Commercial Bank of China, Ltd. Class H 70,069,185 46,432,446 1.1% Jiangsu Expressway Co., Ltd. Class H 1,250,000 1,401,127 0.0% Jiangxi Copper Co., Ltd. Class H 1,356,000 2,401,641 0.1% Kunlun Energy Co., Ltd. 3,218,000 4,279,931 0.1% # Lenovo Group, Ltd. 5,665,278 8,365,267 0.2% Longfor Properties Co., Ltd. 1,530,000 1,776,832 0.0% Metallurgical Corp. of China, Ltd. Class H 3,003,000 824,587 0.0% New China Life Insurance Co., Ltd. Class H 490,700 1,839,452 0.1% New World China Land, Ltd. 2,554,000 1,549,310 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- CHINA -- (Continued) # Nine Dragons Paper Holdings, Ltd. 1,643,000 $ 1,271,348 0.0% # PetroChina Co., Ltd. ADR 141,297 17,732,773 0.4% PetroChina Co., Ltd. Class H 2,524,000 3,163,159 0.1% PICC Property & Casualty Co., Ltd. Class H 2,357,920 4,325,458 0.1% Ping An Insurance Group Co. of China, Ltd. Class H 1,408,000 11,510,018 0.3% Shandong Weigao Group Medical Polymer Co., Ltd. Class H 988,000 999,100 0.0% Shanghai Electric Group Co., Ltd. Class H 2,114,000 1,061,882 0.0% Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 180,500 649,853 0.0% Shanghai Industrial Holdings, Ltd. 680,274 2,093,117 0.1% Shanghai Pharmaceuticals Holding Co., Ltd. Class H 625,500 1,565,342 0.0% Shenzhou International Group Holdings, Ltd. 412,000 1,417,090 0.0% Shimao Property Holdings, Ltd. 1,892,371 4,077,711 0.1% Sihuan Pharmaceutical Holdings Group, Ltd. 2,286,000 1,831,269 0.1% Sino Biopharmaceutical, Ltd. 2,620,000 2,634,406 0.1% Sino-Ocean Land Holdings, Ltd. 2,746,243 1,559,589 0.0% Sinopec Shanghai Petrochemical Co., Ltd. Class H 1,693,000 524,911 0.0% Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 9,818 304,637 0.0% # Sinopharm Group Co., Ltd. Class H 778,000 3,054,372 0.1% SOHO China, Ltd. 2,899,263 2,123,765 0.1% # Sun Art Retail Group, Ltd. 1,994,000 2,137,628 0.1% Tencent Holdings, Ltd. 4,238,200 68,117,466 1.6% Tingyi Cayman Islands Holding Corp. 1,644,000 4,068,637 0.1% Tsingtao Brewery Co., Ltd. Class H 186,000 1,371,347 0.0% # Uni-President China Holdings, Ltd. 910,799 842,299 0.0% # Want Want China Holdings, Ltd. 4,988,000 6,772,827 0.2% # Weichai Power Co., Ltd. Class H 539,200 2,069,813 0.1% # Xinjiang Goldwind Science & Technology Co., Ltd. Class H 309,400 555,285 0.0% # Yanzhou Coal Mining Co., Ltd. Class H 1,172,000 992,555 0.0% # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 108,916 915,984 0.0% Zhejiang Expressway Co., Ltd. Class H 1,358,000 1,369,357 0.0% Zhuzhou CSR Times Electric Co., Ltd. Class H 302,000 1,298,711 0.0% Zijin Mining Group Co., Ltd. Class H 5,343,000 1,368,134 0.0% # Zoomlion Heavy Industry Science and Technology Co., Ltd. 1,565,200 752,943 0.0% ZTE Corp. Class H 422,438 1,020,069 0.0% ------------ ---- TOTAL CHINA 635,536,611 15.2% ------------ ---- COLOMBIA -- (0.6%) Almacenes Exito SA 211,196 2,978,813 0.1% Banco de Bogota SA 27,435 906,722 0.0% Bancolombia SA 178,596 2,447,829 0.1% # Bancolombia SA Sponsored ADR 89,105 5,040,670 0.1% Cementos Argos SA 383,731 1,958,287 0.1% * Cemex Latam Holdings SA 100,021 892,532 0.0% * Corp. Financiera Colombiana 560 10,343 0.0% Corp. Financiera Colombiana SA 26,002 511,826 0.0% Ecopetrol SA 1,016,730 1,358,934 0.0% # Ecopetrol SA Sponsored ADR 220,479 5,908,837 0.2% Empresa de Energia de Bogota SA ESP 980,096 776,455 0.0% Grupo Aval Acciones y Valores 743,280 498,530 0.0% Grupo de Inversiones Suramericana SA 17,591 365,756 0.0% Grupo Nutresa SA 49,756 672,280 0.0% Interconexion Electrica SA ESP 498,514 2,132,162 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- COLOMBIA -- (Continued) Isagen SA ESP 938,889 $ 1,236,641 0.0% ----------- --- TOTAL COLOMBIA 27,696,617 0.7% ----------- --- CZECH REPUBLIC -- (0.2%) CEZ A.S. 209,841 5,804,656 0.1% Komercni Banka A.S. 10,237 2,193,189 0.1% O2 Czech Republic AS 175,288 1,958,317 0.0% Philip Morris CR A.S. 542 240,568 0.0% * Unipetrol A.S. 12,131 70,963 0.0% ----------- --- TOTAL CZECH REPUBLIC 10,267,693 0.2% ----------- --- EGYPT -- (0.1%) Commercial International Bank Egypt S.A.E. GDR 601,851 4,109,129 0.1% * Egyptian Financial Group-Hermes Holding GDR 676 3,046 0.0% * Global Telecom Holding SAE GDR 464,751 1,392,257 0.0% ----------- --- TOTAL EGYPT 5,504,432 0.1% ----------- --- GREECE -- (0.5%) * Alpha Bank AE 3,194,379 2,082,472 0.1% Athens Water Supply & Sewage Co. SA (The) 39,244 271,030 0.0% * Ellaktor SA 7,610 21,481 0.0% FF Group 38,413 1,257,193 0.0% * Hellenic Petroleum SA 102,964 528,677 0.0% * Hellenic Telecommunications Organization SA 340,319 3,843,758 0.1% JUMBO SA 158,506 1,738,124 0.0% Motor Oil Hellas Corinth Refineries SA 49,975 366,114 0.0% * Mytilineos Holdings SA 26,241 168,982 0.0% * National Bank of Greece SA 997,317 2,405,627 0.1% OPAP SA 270,897 3,281,902 0.1% * Piraeus Bank SA 1,969,835 2,864,579 0.1% * Public Power Corp. SA 144,358 1,096,580 0.0% Titan Cement Co. SA 60,549 1,341,955 0.0% ----------- --- TOTAL GREECE 21,268,474 0.5% ----------- --- HUNGARY -- (0.2%) * FHB Mortgage Bank P.L.C. 4,179 12,192 0.0% * Magyar Telekom Telecommunications P.L.C. 661,284 915,214 0.0% MOL Hungarian Oil and Gas P.L.C. 44,647 2,124,460 0.0% OTP Bank P.L.C. 266,404 4,412,083 0.1% Richter Gedeon Nyrt 145,205 2,215,064 0.1% # Tisza Chemical Group P.L.C. 23,981 406,916 0.0% ----------- --- TOTAL HUNGARY 10,085,929 0.2% ----------- --- INDIA -- (8.5%) ABB India, Ltd. 30,731 585,731 0.0% ACC, Ltd. 30,853 751,013 0.0% Adani Enterprises, Ltd. 242,527 1,905,035 0.1% Adani Ports & Special Economic Zone, Ltd. 495,151 2,312,998 0.1% * Adani Power, Ltd. 722,177 562,707 0.0% Aditya Birla Nuvo, Ltd. 68,958 1,889,185 0.1% Ambuja Cements, Ltd. 725,767 2,683,683 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Apollo Hospitals Enterprise, Ltd. 80,934 $ 1,468,215 0.0% Asian Paints, Ltd. 335,412 3,572,807 0.1% Aurobindo Pharma, Ltd. 257,701 4,070,282 0.1% Axis Bank, Ltd. 1,281,699 9,181,682 0.2% Bajaj Auto, Ltd. 105,965 4,500,401 0.1% Bajaj Finserv, Ltd. 39,655 690,724 0.0% Bajaj Holdings & Investment, Ltd. 40,269 908,060 0.0% Bank of Baroda 106,717 1,612,203 0.0% Bank of India 187,125 863,465 0.0% Bharat Electronics, Ltd. 17,301 585,369 0.0% Bharat Forge, Ltd. 140,919 1,861,264 0.1% Bharat Heavy Electricals, Ltd. 948,553 3,953,136 0.1% Bharat Petroleum Corp., Ltd. 216,003 2,535,956 0.1% Bharti Airtel, Ltd. 702,394 4,574,799 0.1% Bhushan Steel, Ltd. 68,315 117,645 0.0% Bosch, Ltd. 10,090 2,439,798 0.1% Britannia Industries, Ltd. 26,712 668,329 0.0% Cadila Healthcare, Ltd. 67,421 1,544,956 0.0% Cairn India, Ltd. 781,206 3,612,115 0.1% Canara Bank 204,956 1,337,906 0.0% Cipla, Ltd. 310,053 3,389,198 0.1% Colgate-Palmolive India, Ltd. 46,572 1,285,404 0.0% Container Corp. Of India, Ltd. 54,732 1,199,774 0.0% Crompton Greaves, Ltd. 168,242 514,234 0.0% Cummins India, Ltd. 80,411 962,090 0.0% Dabur India, Ltd. 381,940 1,419,083 0.0% Divi's Laboratories, Ltd. 47,917 1,461,949 0.0% DLF, Ltd. 659,597 1,334,383 0.0% Dr Reddy's Laboratories, Ltd. 39,086 2,022,334 0.1% # Dr. Reddy's Laboratories, Ltd. ADR 82,013 4,288,460 0.1% Eicher Motors, Ltd. 6,764 1,400,407 0.0% Emami, Ltd. 63,025 831,209 0.0% * Essar Oil, Ltd. 375,544 739,466 0.0% Exide Industries, Ltd. 307,619 789,746 0.0% GAIL India, Ltd. 237,057 2,038,236 0.1% GAIL India, Ltd. GDR 28,791 1,519,824 0.0% GlaxoSmithKline Consumer Healthcare, Ltd. 8,564 772,350 0.0% Glenmark Pharmaceuticals, Ltd. 83,982 984,415 0.0% GMR Infrastructure, Ltd. 454,854 160,861 0.0% Godrej Consumer Products, Ltd. 117,644 1,842,550 0.1% Godrej Industries, Ltd. 84,496 413,992 0.0% Grasim Industries, Ltd. 6,300 359,543 0.0% Havells India, Ltd. 236,925 1,100,437 0.0% HCL Technologies, Ltd. 260,051 6,840,843 0.2% HDFC Bank, Ltd. 1,530,953 22,816,462 0.6% Hero MotoCorp, Ltd. 79,048 3,945,984 0.1% Hindalco Industries, Ltd. 1,568,921 4,170,191 0.1% Hindustan Petroleum Corp., Ltd. 112,669 960,059 0.0% Hindustan Unilever, Ltd. 168,082 2,015,343 0.1% ICICI Bank, Ltd. 219,984 5,837,019 0.2% ICICI Bank, Ltd. Sponsored ADR 208,679 11,761,148 0.3% IDBI Bank, Ltd. 232,762 267,491 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Idea Cellular, Ltd. 1,354,238 $ 3,588,098 0.1% IDFC, Ltd. 601,656 1,530,812 0.0% Indian Oil Corp., Ltd. 215,415 1,262,172 0.0% IndusInd Bank, Ltd. 233,807 2,738,554 0.1% Infosys, Ltd. 246,907 16,378,721 0.4% # Infosys, Ltd. Sponsored ADR 211,972 14,172,448 0.3% ING Vysya Bank, Ltd. 25,010 262,567 0.0% Ipca Laboratories, Ltd. 18,943 226,755 0.0% ITC, Ltd. 2,345,449 13,543,182 0.3% * Jaiprakash Associates, Ltd. 1,393,318 706,760 0.0% Jindal Steel & Power, Ltd. 437,143 1,146,544 0.0% JSW Energy, Ltd. 493,373 641,502 0.0% JSW Steel, Ltd. 193,723 3,963,675 0.1% Kotak Mahindra Bank, Ltd. 319,023 5,826,801 0.2% Larsen & Toubro, Ltd. 289,033 7,779,970 0.2% Larsen & Toubro, Ltd. GDR 3,222 88,160 0.0% LIC Housing Finance, Ltd. 53,635 315,824 0.0% Lupin, Ltd. 134,973 2,999,124 0.1% Mahindra & Mahindra, Ltd. 513,195 10,843,822 0.3% * Mangalore Refinery & Petrochemicals, Ltd. 267,907 256,059 0.0% * Marico Kaya Enterprises, Ltd. 2,327 22,535 0.0% Marico, Ltd. 135,185 685,494 0.0% Maruti Suzuki India, Ltd. 82,439 4,474,258 0.1% Motherson Sumi Systems, Ltd. 300,891 2,063,263 0.1% Mphasis, Ltd. 68,214 444,450 0.0% National Aluminium Co., Ltd. 256,606 238,686 0.0% Nestle India, Ltd. 16,603 1,698,607 0.1% NHPC, Ltd. 1,928,209 645,815 0.0% NTPC, Ltd. 1,220,718 2,983,326 0.1% Oil & Natural Gas Corp., Ltd. 699,873 4,580,369 0.1% Oil India, Ltd. 151,215 1,556,816 0.0% Oracle Financial Services Software, Ltd. 19,531 1,073,861 0.0% Petronet LNG, Ltd. 234,560 758,929 0.0% Pidilite Industries, Ltd. 144,452 971,875 0.0% Piramal Enterprises, Ltd. 59,322 778,445 0.0% Power Grid Corp. of India, Ltd. 896,116 2,122,003 0.1% Procter & Gamble Hygiene & Health Care, Ltd. 8,044 703,938 0.0% * Ranbaxy Laboratories, Ltd. 137,683 1,418,653 0.0% * Reliance Communications, Ltd. 700,196 1,204,596 0.0% Reliance Industries, Ltd. 1,386,691 22,471,396 0.5% Reliance Infrastructure, Ltd. 147,484 1,524,005 0.0% * Reliance Power, Ltd. 807,301 1,003,463 0.0% Rural Electrification Corp., Ltd. 47,495 233,052 0.0% Sesa Sterlite, Ltd. 1,622,881 6,762,383 0.2% Shree Cement, Ltd. 10,489 1,551,463 0.0% Shriram Transport Finance Co., Ltd. 76,457 1,180,993 0.0% Siemens, Ltd. 100,767 1,425,442 0.0% State Bank of India 150,711 6,625,421 0.2% Sun Pharmaceutical Industries, Ltd. 776,665 10,658,232 0.3% Sun TV Network, Ltd. 120,543 641,822 0.0% Tata Consultancy Services, Ltd. 504,640 21,528,073 0.5% Tata Motors, Ltd. 679,237 5,931,956 0.2%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- INDIA -- (Continued) # Tata Motors, Ltd. Sponsored ADR 80,428 $ 3,788,159 0.1% Tata Power Co., Ltd. 1,326,540 2,039,140 0.1% Tata Steel, Ltd. 557,363 4,440,805 0.1% Tech Mahindra, Ltd. 140,767 5,777,861 0.1% Titan Co., Ltd. 207,778 1,326,181 0.0% Torrent Pharmaceuticals, Ltd. 11,752 168,627 0.0% Ultratech Cement, Ltd. 52,355 2,171,717 0.1% Union Bank of India 151,552 554,087 0.0% United Breweries, Ltd. 66,842 759,825 0.0% UPL, Ltd. 111,496 628,922 0.0% Wipro, Ltd. 654,733 6,040,848 0.2% Yes Bank, Ltd. 384,074 4,270,047 0.1% Zee Entertainment Enterprises, Ltd. 374,353 2,096,713 0.1% ------------ --- TOTAL INDIA 382,532,051 9.1% ------------ --- INDONESIA -- (3.0%) Ace Hardware Indonesia Tbk PT 6,120,900 410,821 0.0% Adaro Energy Tbk PT 23,480,100 2,208,015 0.1% AKR Corporindo Tbk PT 2,003,700 816,342 0.0% Astra Agro Lestari Tbk PT 865,100 1,682,587 0.1% Astra International Tbk PT 22,454,810 12,590,659 0.3% Bank Central Asia Tbk PT 12,941,000 13,970,328 0.3% Bank Danamon Indonesia Tbk PT 4,289,179 1,495,844 0.0% Bank Mandiri Persero Tbk PT 10,449,217 8,974,350 0.2% Bank Negara Indonesia Persero Tbk PT 8,271,722 4,076,841 0.1% * Bank Pan Indonesia Tbk PT 7,175,000 593,689 0.0% Bank Rakyat Indonesia Persero Tbk PT 12,911,600 11,832,138 0.3% * Bank Tabungan Pensiunan Nasional Tbk PT 768,500 269,078 0.0% * Bayan Resources Tbk PT 79,500 45,548 0.0% Bumi Serpong Damai PT 9,795,700 1,301,768 0.0% Charoen Pokphand Indonesia Tbk PT 9,152,400 3,182,966 0.1% Ciputra Development Tbk PT 14,737,800 1,397,592 0.0% Global Mediacom Tbk PT 13,084,700 2,123,653 0.1% Gudang Garam Tbk PT 499,600 2,390,816 0.1% Holcim Indonesia Tbk PT 2,158,900 419,748 0.0% Indo Tambangraya Megah Tbk PT 753,100 1,321,403 0.0% Indocement Tunggal Prakarsa Tbk PT 1,700,800 3,370,960 0.1% Indofood CBP Sukses Makmur Tbk PT 863,900 790,028 0.0% Indofood Sukses Makmur Tbk PT 6,886,600 3,889,804 0.1% Indomobil Sukses Internasional Tbk PT 22,000 7,014 0.0% * Indosat Tbk PT 1,720,800 521,999 0.0% Japfa Comfeed Indonesia Tbk PT 2,644,500 274,879 0.0% Jasa Marga Persero Tbk PT 2,146,600 1,128,585 0.0% Kalbe Farma Tbk PT 26,275,300 3,709,878 0.1% Lippo Karawaci Tbk PT 32,705,300 2,896,797 0.1% Matahari Putra Prima Tbk PT 1,815,200 472,626 0.0% Mayora Indah Tbk PT 862,133 2,017,091 0.1% Media Nusantara Citra Tbk PT 6,037,700 1,399,719 0.0% MNC Investama Tbk PT 13,972,500 387,349 0.0% MNC Sky Vision Tbk PT 173,100 27,245 0.0% Pakuwon Jati Tbk PT 32,446,500 1,208,297 0.0% * Panasia Indo Resources Tbk PT 75,100 2,479 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- INDONESIA -- (Continued) Perusahaan Gas Negara Persero Tbk PT 10,431,100 $ 5,138,251 0.1% Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 4,579,900 737,332 0.0% Semen Indonesia Persero Tbk PT 3,380,500 4,440,465 0.1% Sinar Mas Agro Resources & Technology Tbk PT 1,116,500 713,021 0.0% Sumber Alfaria Trijaya Tbk PT 40,000 1,739 0.0% Summarecon Agung Tbk PT 6,626,300 690,756 0.0% Surya Citra Media Tbk PT 5,505,400 1,541,067 0.1% Tambang Batubara Bukit Asam Persero Tbk PT 1,651,700 1,772,034 0.1% Telekomunikasi Indonesia Persero Tbk PT 39,175,700 8,922,161 0.2% Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 18,151 823,148 0.0% Tempo Scan Pacific Tbk PT 72,500 17,111 0.0% Tower Bersama Infrastructure Tbk PT 2,231,200 1,643,490 0.1% * Trada Maritime Tbk PT 4,280,400 490,112 0.0% Unilever Indonesia Tbk PT 1,776,600 4,473,064 0.1% United Tractors Tbk PT 2,413,496 3,666,080 0.1% Vale Indonesia Tbk PT 3,069,200 961,845 0.0% Wijaya Karya Persero Tbk PT 4,286,500 1,014,952 0.0% XL Axiata Tbk PT 4,348,500 1,988,569 0.1% ------------ --- TOTAL INDONESIA 132,244,133 3.2% ------------ --- MALAYSIA -- (4.3%) Aeon Co. M Bhd 705,900 804,607 0.0% # Affin Holdings Bhd 932,200 916,039 0.0% # AirAsia Bhd 2,979,300 2,264,685 0.1% Alliance Financial Group Bhd 1,664,700 2,426,254 0.1% # AMMB Holdings Bhd 3,331,559 6,868,960 0.2% Astro Malaysia Holdings Bhd 1,915,000 1,921,944 0.1% Axiata Group Bhd 2,921,375 6,262,537 0.2% Batu Kawan Bhd 92,000 515,871 0.0% Berjaya Land Bhd 95,000 24,271 0.0% Berjaya Sports Toto Bhd 872,176 957,319 0.0% # BIMB Holdings Bhd 858,600 1,115,802 0.0% Boustead Holdings Bhd 476,786 732,176 0.0% British American Tobacco Malaysia Bhd 156,100 3,300,548 0.1% #* Bumi Armada Bhd 2,210,200 1,055,459 0.0% # Bursa Malaysia Bhd 347,600 855,450 0.0% # Cahya Mata Sarawak Bhd 589,200 776,482 0.0% # CIMB Group Holdings Bhd 5,461,457 10,784,417 0.3% Dialog Group Bhd 3,268,618 1,612,316 0.0% DiGi.Com Bhd 3,732,620 7,026,416 0.2% DRB-Hicom Bhd 1,371,400 888,098 0.0% # Fraser & Neave Holdings Bhd 90,500 439,798 0.0% # Gamuda Bhd 1,654,900 2,578,709 0.1% # Genting Bhd 1,962,900 5,819,339 0.1% # Genting Malaysia Bhd 3,070,400 4,015,328 0.1% # Genting Plantations Bhd 320,800 1,031,347 0.0% # Guinness Anchor Bhd 135,200 531,974 0.0% # HAP Seng Consolidated Bhd 859,900 1,150,820 0.0% # Hartalega Holdings Bhd 289,100 615,310 0.0% # Hong Leong Bank Bhd 676,360 3,006,973 0.1% Hong Leong Financial Group Bhd 382,929 2,107,043 0.1% IJM Corp. Bhd 2,828,481 5,946,856 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- MALAYSIA -- (Continued) IJM Land Bhd 614,200 $ 641,954 0.0% # IOI Corp. Bhd 3,256,605 4,841,612 0.1% IOI Properties Group Bhd 1,536,552 1,285,075 0.0% KPJ Healthcare Bhd 9,850 11,710 0.0% # Kuala Lumpur Kepong Bhd 513,400 3,589,413 0.1% * Kulim Malaysia Bhd 470,200 488,579 0.0% Lafarge Malaysia Bhd 603,380 1,922,011 0.1% Magnum Bhd 218,300 198,440 0.0% # Malayan Banking Bhd 5,072,736 14,965,200 0.4% # Malaysia Airports Holdings Bhd 827,121 1,815,800 0.0% # Malaysia Marine and Heavy Engineering Holdings Bhd 414,500 285,928 0.0% #* Malaysian Airline System Bhd 4,055,900 314,690 0.0% # Maxis Bhd 2,398,100 4,914,657 0.1% MISC Bhd 1,288,598 2,688,398 0.1% # MMC Corp. Bhd 1,481,800 1,189,646 0.0% Nestle Malaysia Bhd 188,300 3,921,438 0.1% * Parkson Holdings Bhd 484,815 371,619 0.0% # Petronas Chemicals Group Bhd 2,951,600 5,515,767 0.1% # Petronas Dagangan Bhd 288,900 1,794,109 0.0% Petronas Gas Bhd 633,100 4,341,223 0.1% # PPB Group Bhd 696,400 3,349,316 0.1% Public Bank Bhd 2,028,314 11,435,000 0.3% # QL Resources Bhd 323,000 337,944 0.0% RHB Capital Bhd 1,028,051 2,749,994 0.1% # Sapurakencana Petroleum Bhd 4,962,200 5,144,111 0.1% * Shell Refining Co. Federation of Malaya Bhd 76,400 133,376 0.0% # Sime Darby Bhd 3,096,429 9,112,388 0.2% # SP Setia Bhd Group 624,278 624,070 0.0% Sunway Bhd 783,200 821,779 0.0% # Telekom Malaysia Bhd 1,054,761 2,309,386 0.1% Tenaga Nasional Bhd 2,613,850 10,619,445 0.3% # UEM Sunrise Bhd 2,131,737 1,218,688 0.0% UMW Holdings Bhd 992,566 3,528,585 0.1% United Plantations Bhd 61,000 474,862 0.0% # YTL Corp. Bhd 12,469,186 6,294,208 0.2% YTL Power International Bhd 2,247,647 1,086,586 0.0% ------------ --- TOTAL MALAYSIA 192,690,155 4.6% ------------ --- MEXICO -- (5.4%) Alfa S.A.B. de C.V. Class A 4,080,319 13,026,114 0.3% # Alpek S.A.B. de C.V. 40,209 70,766 0.0% # America Movil S.A.B. de C.V. Series L 37,750,669 46,171,244 1.1% America Movil S.A.B. de C.V. Series L ADR 22,528 549,908 0.0% # Arca Continental S.A.B. de C.V. 470,179 3,027,162 0.1% * Cemex S.A.B. de C.V. 2,349,264 2,895,965 0.1% #* Cemex S.A.B. de C.V. Sponsored ADR 1,449,200 17,825,160 0.4% Coca-Cola Femsa S.A.B. de C.V. Series L 298,900 3,165,405 0.1% Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 13,716 1,451,153 0.0% # Controladora Comercial Mexicana S.A.B. de C.V. 628,374 2,485,732 0.1% * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 8,726 5,800 0.0% El Puerto de Liverpool S.A.B. de C.V. 181,160 2,124,212 0.1% # Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 17,279,694 0.4%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- MEXICO -- (Continued) Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 25,918 $ 2,494,348 0.1% * Gruma S.A.B. de C.V. Class B 186,577 2,049,593 0.1% * Gruma S.A.B. de C.V. Sponsored ADR 3,338 146,805 0.0% Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 5,745 391,522 0.0% Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 73,377 501,140 0.0% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 34,897 4,699,928 0.1% # Grupo Bimbo S.A.B. de C.V. Series A 1,682,198 4,946,815 0.1% # Grupo Carso S.A.B. de C.V. Series A1 840,555 4,777,579 0.1% # Grupo Comercial Chedraui S.A. de C.V. 320,456 1,111,319 0.0% Grupo Elektra S.A.B. de C.V. 7,227 274,778 0.0% Grupo Financiero Banorte S.A.B. de C.V. 2,706,211 17,343,062 0.4% Grupo Financiero Inbursa S.A.B. de C.V. 2,448,606 7,387,867 0.2% # Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 772,701 2,059,962 0.1% Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 152,244 2,024,845 0.0% # Grupo Mexico S.A.B. de C.V. Series B 4,225,397 14,543,555 0.3% * Grupo Qumma S.A. de C.V. Series B 1,591 -- 0.0% Grupo Televisa S.A.B. Series CPO 2,556,698 18,522,711 0.4% Grupo Televisa S.A.B. Sponsored ADR 104,814 3,787,978 0.1% #* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 2,373,426 7,458,898 0.2% Industrias Penoles S.A.B. de C.V. 156,088 3,535,271 0.1% # Infraestructura Energetica Nova S.A.B. de C.V. 168,664 1,029,049 0.0% Kimberly-Clark de Mexico S.A.B. de C.V. Class A 1,823,400 4,243,598 0.1% Megacable Holdings S.A.B. de C.V. 26,891 123,130 0.0% Mexichem S.A.B. de C.V. 1,224,530 5,008,604 0.1% #* Minera Frisco S.A.B. de C.V. 783,633 1,384,978 0.0% #* OHL Mexico S.A.B. de C.V. 889,397 2,495,893 0.1% # Organizacion Soriana S.A.B. de C.V. Class B 1,109,375 3,633,865 0.1% * Promotora y Operadora de Infraestructura S.A.B. de C.V. 263,523 3,634,969 0.1% * Savia SA Class A 120,000 -- 0.0% # Wal-Mart de Mexico S.A.B. de C.V. Series V 5,248,185 12,171,229 0.3% ------------ --- TOTAL MEXICO 241,861,606 5.8% ------------ --- PERU -- (0.3%) Cementos Pacasmayo SAA ADR 6,659 59,931 0.0% Cia de Minas Buenaventura SAA ADR 139,674 1,285,001 0.0% Credicorp, Ltd. 66,978 10,783,458 0.3% Grana y Montero SAA Sponsored ADR 36,337 498,543 0.0% * Rio Alto Mining, Ltd. 41,656 89,144 0.0% ------------ --- TOTAL PERU 12,716,077 0.3% ------------ --- PHILIPPINES -- (1.3%) Aboitiz Equity Ventures, Inc. 1,711,300 1,983,754 0.1% Aboitiz Power Corp. 1,495,200 1,366,253 0.0% Alliance Global Group, Inc. 5,127,600 2,889,852 0.1% Ayala Corp. 167,047 2,567,479 0.1% Ayala Land, Inc. 5,722,818 4,276,220 0.1% Bank of the Philippine Islands 931,913 1,974,718 0.0% BDO Unibank, Inc. 1,765,371 3,853,410 0.1% DMCI Holdings, Inc. 6,647,200 2,401,402 0.1% Energy Development Corp. 15,223,400 2,611,569 0.1% * Fwbc Holdings, Inc. 2,006,957 -- 0.0% Globe Telecom, Inc. 39,320 1,476,362 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- PHILIPPINES -- (Continued) International Container Terminal Services, Inc. 962,320 $ 2,486,532 0.1% JG Summit Holdings, Inc. 939,830 1,335,571 0.0% Jollibee Foods Corp. 517,840 2,261,465 0.1% LT Group, Inc. 1,869,700 593,077 0.0% Manila Electric Co. 197,030 1,150,226 0.0% Megaworld Corp. 20,707,000 2,288,342 0.1% Metro Pacific Investments Corp. 15,430,300 1,746,201 0.0% Metropolitan Bank & Trust Co. 1,022,059 1,879,064 0.0% Philippine Long Distance Telephone Co. 51,225 3,581,817 0.1% Philippine Long Distance Telephone Co. Sponsored ADR 11,067 776,129 0.0% * Philippine National Bank 442,328 832,946 0.0% Puregold Price Club, Inc. 165,200 127,430 0.0% Robinsons Land Corp. 2,244,600 1,227,872 0.0% San Miguel Corp. 627,520 1,014,660 0.0% Semirara Mining and Power Corp. 356,700 962,057 0.0% SM Investments Corp. 218,942 3,822,852 0.1% SM Prime Holdings, Inc. 6,854,410 2,669,838 0.1% * Top Frontier Investment Holdings, Inc. 42,789 104,733 0.0% Universal Robina Corp. 879,930 3,644,855 0.1% ----------- --- TOTAL PHILIPPINES 57,906,686 1.4% ----------- --- POLAND -- (1.7%) #* Alior Bank SA 31,483 699,818 0.0% Asseco Poland SA 8,070 119,796 0.0% Bank Handlowy w Warszawie SA 46,824 1,583,190 0.0% Bank Millennium SA 679,790 1,685,882 0.1% Bank Pekao SA 108,758 5,692,217 0.1% Bank Zachodni WBK SA 28,838 3,269,785 0.1% CCC SA 9,329 357,792 0.0% Cyfrowy Polsat SA 141,949 1,086,732 0.0% Enea SA 151,114 718,482 0.0% Eurocash SA 86,391 849,362 0.0% * Getin Noble Bank SA 1,281,667 990,373 0.0% Grupa Azoty SA 31,599 588,309 0.0% * Grupa Lotos SA 19,391 149,800 0.0% Grupa Zywiec SA 8,938 1,040,377 0.0% ING Bank Slaski SA 34,793 1,439,296 0.0% #* Jastrzebska Spolka Weglowa SA 38,639 332,048 0.0% KGHM Polska Miedz SA 214,136 8,258,871 0.2% LPP SA 651 1,943,458 0.1% # mBank 17,078 2,528,105 0.1% Orange Polska SA 835,079 2,502,255 0.1% PGE SA 1,137,995 7,466,441 0.2% Polski Koncern Naftowy Orlen SA 453,185 5,645,869 0.1% Polskie Gornictwo Naftowe i Gazownictwo SA 1,617,383 2,416,608 0.1% Powszechna Kasa Oszczednosci Bank Polski SA 967,168 10,758,180 0.3% Powszechny Zaklad Ubezpieczen SA 62,366 9,357,394 0.2% Synthos SA 621,035 771,767 0.0% Tauron Polska Energia SA 1,838,551 2,871,500 0.1% * TVN SA 82,499 370,003 0.0% ----------- --- TOTAL POLAND 75,493,710 1.8% ----------- ---
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- RUSSIA -- (2.4%) Eurasia Drilling Co., Ltd. GDR 119,227 $ 3,006,413 0.1% Gazprom OAO Sponsored ADR 5,965,736 39,527,845 1.0% Globaltrans Investment P.L.C. GDR 58,829 437,507 0.0% Lukoil OAO Sponsored ADR 266,454 13,061,396 0.3% * Magnitogorsk Iron & Steel Works OJSC GDR 148,750 423,042 0.0% * Mail.ru Group, Ltd. GDR 23,478 570,112 0.0% * Mechel Sponsored ADR 148,869 133,982 0.0% MegaFon OAO GDR 27,790 651,102 0.0% MMC Norilsk Nickel OJSC ADR 295,317 5,510,369 0.1% Novolipetsk Steel OJSC GDR 92,776 1,190,518 0.0% Novorossiysk Commercial Sea Port PJSC GDR 11,508 31,127 0.0% O'Key Group SA GDR 30,438 183,388 0.0% Phosagro OAO GDR 51,527 554,005 0.0% Rosneft OAO GDR 732,210 4,075,195 0.1% Rostelecom OJSC Sponsored ADR 59,257 887,758 0.0% RusHydro JSC ADR 1,421,369 2,376,556 0.1% Sberbank of Russia Sponsored ADR 1,429,666 10,886,821 0.3% Severstal OAO GDR 213,156 2,257,797 0.1% Tatneft OAO Sponsored ADR 266,980 9,542,633 0.2% TMK OAO GDR 29,680 233,916 0.0% Uralkali OJSC GDR 240,379 4,300,818 0.1% VimpelCom, Ltd. Sponsored ADR 366,796 2,376,838 0.1% VTB Bank OJSC GDR 2,093,133 3,964,741 0.1% * X5 Retail Group NV GDR 99,077 1,815,934 0.0% ------------ --- TOTAL RUSSIA 107,999,813 2.6% ------------ --- SOUTH AFRICA -- (7.4%) African Bank Investments, Ltd. 709,671 19,946 0.0% African Rainbow Minerals, Ltd. 180,656 2,228,585 0.1% * Anglo American Platinum, Ltd. 80,583 2,546,229 0.1% * AngloGold Ashanti, Ltd. Sponsored ADR 745,374 6,164,243 0.2% Aspen Pharmacare Holdings, Ltd. 350,313 12,515,338 0.3% Assore, Ltd. 42,544 790,194 0.0% AVI, Ltd. 247,747 1,615,627 0.0% Barclays Africa Group, Ltd. 395,609 6,252,303 0.2% Barloworld, Ltd. 324,434 2,818,523 0.1% Bidvest Group, Ltd. (The) 472,687 13,009,137 0.3% # Capitec Bank Holdings, Ltd. 63,198 1,668,527 0.0% Coronation Fund Managers, Ltd. 258,136 2,235,045 0.1% Discovery, Ltd. 542,016 4,935,230 0.1% Distell Group, Ltd. 32,823 397,043 0.0% # Exxaro Resources, Ltd. 186,477 1,947,665 0.0% FirstRand, Ltd. 3,475,911 14,888,452 0.4% # Foschini Group, Ltd. (The) 261,243 2,953,226 0.1% Gold Fields, Ltd. Sponsored ADR 1,216,761 3,881,468 0.1% * Impala Platinum Holdings, Ltd. 756,929 5,520,780 0.1% Imperial Holdings, Ltd. 240,258 4,141,683 0.1% Investec, Ltd. 377,135 3,441,214 0.1% # Kumba Iron Ore, Ltd. 89,688 2,250,641 0.1% Liberty Holdings, Ltd. 207,981 2,406,766 0.1% Life Healthcare Group Holdings, Ltd. 1,081,237 4,088,805 0.1% # Massmart Holdings, Ltd. 103,729 1,121,340 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- SOUTH AFRICA -- (Continued) Mediclinic International, Ltd. 434,871 $ 3,887,697 0.1% MMI Holdings, Ltd. 1,850,766 4,730,873 0.1% Mondi, Ltd. 243,323 4,074,736 0.1% Mr Price Group, Ltd. 278,233 5,760,627 0.1% MTN Group, Ltd. 1,869,995 41,407,390 1.0% Nampak, Ltd. 917,727 3,742,467 0.1% Naspers, Ltd. Class N 330,032 41,164,606 1.0% Nedbank Group, Ltd. 341,928 7,456,584 0.2% Netcare, Ltd. 1,842,541 5,574,396 0.1% # Pick n Pay Stores, Ltd. 279,886 1,353,664 0.0% PSG Group, Ltd. 61,341 639,942 0.0% Sanlam, Ltd. 2,156,341 13,626,005 0.3% Santam, Ltd. 29,914 554,440 0.0% Sasol, Ltd. 35,602 1,777,793 0.0% Sasol, Ltd. Sponsored ADR 609,116 30,571,532 0.7% Shoprite Holdings, Ltd. 532,853 7,726,188 0.2% Spar Group, Ltd. (The) 81,756 956,551 0.0% Standard Bank Group, Ltd. 1,470,731 18,520,581 0.4% # Steinhoff International Holdings, Ltd. 2,434,530 12,455,080 0.3% * Telkom SA SOC, Ltd. 66,186 351,720 0.0% Tiger Brands, Ltd. 170,081 5,119,242 0.1% Truworths International, Ltd. 572,487 3,923,435 0.1% Tsogo Sun Holdings, Ltd. 311,671 782,388 0.0% # Vodacom Group, Ltd. 418,672 5,083,218 0.1% Woolworths Holdings, Ltd. 961,853 6,847,921 0.2% ------------ --- TOTAL SOUTH AFRICA 331,927,086 7.9% ------------ --- SOUTH KOREA -- (13.5%) Amorepacific Corp. 2,883 6,190,486 0.2% AMOREPACIFIC Group 3,010 3,330,287 0.1% BS Financial Group, Inc. 294,076 4,576,015 0.1% #* Celltrion, Inc. 56,704 2,231,265 0.1% #* Cheil Worldwide, Inc. 87,060 1,355,691 0.0% # CJ CheilJedang Corp. 10,545 3,850,262 0.1% # CJ Corp. 25,808 4,192,592 0.1% #* CJ Korea Express Co., Ltd. 5,587 1,009,095 0.0% CJ O Shopping Co., Ltd. 821 201,645 0.0% Coway Co., Ltd. 56,187 4,295,309 0.1% # Daelim Industrial Co., Ltd. 38,533 2,552,428 0.1% #* Daewoo Engineering & Construction Co., Ltd. 133,508 818,614 0.0% # Daewoo International Corp. 35,239 1,115,879 0.0% * Daewoo Securities Co., Ltd. 227,394 2,386,616 0.1% # Daewoo Shipbuilding & Marine Engineering Co., Ltd. 150,399 2,571,438 0.1% Dongbu Insurance Co., Ltd. 67,707 3,785,218 0.1% # Doosan Corp. 17,487 1,816,576 0.0% # Doosan Heavy Industries & Construction Co., Ltd. 101,375 2,227,489 0.1% #* Doosan Infracore Co., Ltd. 243,016 2,459,431 0.1% # E-Mart Co., Ltd. 25,989 4,822,231 0.1% # Grand Korea Leisure Co., Ltd. 28,282 1,012,759 0.0% #* GS Engineering & Construction Corp. 66,674 1,756,916 0.0% # GS Holdings Corp. 70,767 2,737,456 0.1% Halla Holdings Corp. 8,573 566,879 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) # Halla Visteon Climate Control Corp. 29,397 $ 1,310,069 0.0% Hana Financial Group, Inc. 408,553 14,148,126 0.3% Hankook Tire Co., Ltd. 78,627 4,051,160 0.1% # Hanssem Co., Ltd. 7,850 935,691 0.0% # Hanwha Chemical Corp. 144,145 1,642,466 0.0% Hanwha Corp. 49,201 1,260,647 0.0% Hanwha Life Insurance Co., Ltd. 283,608 2,179,411 0.1% # Hite Jinro Co., Ltd. 22,640 560,438 0.0% # Hotel Shilla Co., Ltd. 29,607 2,787,331 0.1% Hyosung Corp. 44,694 2,653,707 0.1% Hyundai Department Store Co., Ltd. 21,149 2,681,086 0.1% Hyundai Development Co. 30,277 1,141,842 0.0% Hyundai Engineering & Construction Co., Ltd. 77,500 3,517,091 0.1% # Hyundai Glovis Co., Ltd. 12,294 3,057,911 0.1% # Hyundai Heavy Industries Co., Ltd. 59,257 5,505,751 0.1% Hyundai Marine & Fire Insurance Co., Ltd. 98,312 2,596,439 0.1% Hyundai Mobis Co., Ltd. 67,404 15,770,151 0.4% Hyundai Motor Co. 153,078 24,290,657 0.6% # Hyundai Steel Co. 96,235 6,133,435 0.2% Hyundai Wia Corp. 14,396 2,481,334 0.1% Industrial Bank of Korea 428,049 6,259,494 0.2% Kangwon Land, Inc. 108,215 3,538,669 0.1% KB Financial Group, Inc. 311,972 12,229,225 0.3% KB Financial Group, Inc. ADR 97,918 3,789,427 0.1% KCC Corp. 5,772 3,195,574 0.1% # KEPCO Engineering & Construction Co., Inc. 8,507 516,652 0.0% KEPCO Plant Service & Engineering Co., Ltd. 13,109 1,074,211 0.0% Kia Motors Corp. 270,079 13,118,396 0.3% # Korea Aerospace Industries, Ltd. 34,130 1,317,937 0.0% Korea Electric Power Corp. 200,434 8,798,206 0.2% Korea Electric Power Corp. Sponsored ADR 18,399 402,202 0.0% * Korea Gas Corp. 36,454 1,709,013 0.0% Korea Investment Holdings Co., Ltd. 37,812 1,912,036 0.0% Korea Zinc Co., Ltd. 7,978 3,004,456 0.1% * Korean Air Lines Co., Ltd. 9,321 330,875 0.0% KT Corp. 68,477 2,109,746 0.1% KT Corp. Sponsored ADR 36,655 561,921 0.0% KT&G Corp. 104,996 9,296,632 0.2% # Kumho Petrochemical Co., Ltd. 15,006 1,085,202 0.0% #* Kwangju Bank 26,713 269,805 0.0% * Kyongnam Bank 40,823 476,292 0.0% LG Chem, Ltd. 46,860 8,782,265 0.2% LG Corp. 114,126 6,790,505 0.2% * LG Display Co., Ltd. 203,730 5,997,611 0.1% #* LG Display Co., Ltd. ADR 508,564 7,638,631 0.2% # LG Electronics, Inc. 186,252 11,374,718 0.3% # LG Household & Health Care, Ltd. 10,184 5,930,595 0.1% #* LG Innotek Co., Ltd. 14,800 1,166,952 0.0% LG Uplus Corp. 392,512 4,036,580 0.1% # Lotte Chemical Corp. 26,759 3,629,225 0.1% Lotte Chilsung Beverage Co., Ltd. 168 265,925 0.0% Lotte Confectionery Co., Ltd. 362 650,993 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- SOUTH KOREA -- (Continued) Lotte Shopping Co., Ltd. 15,161 $ 4,202,863 0.1% LS Corp. 21,498 1,203,748 0.0% # Macquarie Korea Infrastructure Fund 332,038 2,217,583 0.1% #* Mando Corp. 9,354 1,763,641 0.0% Naver Corp. 28,421 20,111,321 0.5% # NCSoft Corp. 14,464 1,992,619 0.1% #* OCI Co., Ltd. 21,118 1,822,848 0.0% # Orion Corp. 3,321 2,559,717 0.1% # Paradise Co., Ltd. 25,759 792,851 0.0% POSCO 47,828 13,814,499 0.3% POSCO ADR 67,985 4,865,007 0.1% S-1 Corp. 15,382 1,071,127 0.0% # S-Oil Corp. 49,672 1,887,007 0.0% Samsung C&T Corp. 143,779 9,726,209 0.2% Samsung Card Co., Ltd. 23,720 1,019,980 0.0% # Samsung Electro-Mechanics Co., Ltd. 99,467 4,536,303 0.1% Samsung Electronics Co., Ltd. 82,858 96,624,233 2.3% Samsung Electronics Co., Ltd. GDR 49,372 28,491,043 0.7% * Samsung Engineering Co., Ltd. 20,417 1,177,590 0.0% Samsung Fire & Marine Insurance Co., Ltd. 40,490 10,902,348 0.3% Samsung Heavy Industries Co., Ltd. 173,721 4,233,949 0.1% Samsung Life Insurance Co., Ltd. 59,292 6,467,361 0.2% # Samsung SDI Co., Ltd. 62,545 7,375,361 0.2% Samsung Securities Co., Ltd. 70,938 3,178,131 0.1% Samsung Techwin Co., Ltd. 34,401 1,056,556 0.0% # Seoul Semiconductor Co., Ltd. 18,042 309,427 0.0% Shinhan Financial Group Co., Ltd. 356,215 16,765,534 0.4% Shinhan Financial Group Co., Ltd. ADR 86,082 4,051,880 0.1% Shinsegae Co., Ltd. 8,494 1,575,691 0.0% # SK C&C Co., Ltd. 19,871 4,509,340 0.1% SK Holdings Co., Ltd. 64,837 10,163,125 0.2% * SK Hynix, Inc. 591,090 26,359,238 0.6% # SK Innovation Co., Ltd. 82,690 6,764,049 0.2% * SK Networks Co., Ltd. 85,448 876,622 0.0% SK Telecom Co., Ltd. 8,358 2,094,506 0.1% * Woori Finance Holdings Co., Ltd. 416,192 4,727,941 0.1% * Woori Finance Holdings Co., Ltd. ADR 1,026 34,966 0.0% Woori Investment & Securities Co., Ltd. 176,033 1,929,451 0.1% Young Poong Corp. 305 338,385 0.0% Youngone Corp. 8,605 514,864 0.0% ------------ ---- TOTAL SOUTH KOREA 605,936,205 14.5% ------------ ---- SPAIN -- (0.1%) * Banco Santander SA 863,400 2,648,146 0.1% ------------ ---- TAIWAN -- (13.7%) #* Acer, Inc. 3,709,040 2,548,813 0.1% Advanced Semiconductor Engineering, Inc. 6,951,929 8,386,488 0.2% Advanced Semiconductor Engineering, Inc. ADR 77,739 479,650 0.0% # Advantech Co., Ltd. 321,254 2,235,117 0.1% # Airtac International Group 117,000 855,456 0.0% # Asia Cement Corp. 3,228,758 4,168,160 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Asustek Computer, Inc. 861,180 $ 8,792,804 0.2% # AU Optronics Corp. 18,813,873 8,966,151 0.2% AU Optronics Corp. Sponsored ADR 326,626 1,564,539 0.0% # Catcher Technology Co., Ltd. 866,429 7,314,170 0.2% Cathay Financial Holding Co., Ltd. 7,740,450 12,759,088 0.3% # Cathay Real Estate Development Co., Ltd. 839,000 437,585 0.0% # Chang Hwa Commercial Bank, Ltd. 6,813,963 4,296,146 0.1% # Cheng Shin Rubber Industry Co., Ltd. 2,072,965 4,841,581 0.1% # Cheng Uei Precision Industry Co., Ltd. 384,109 641,429 0.0% Chicony Electronics Co., Ltd. 731,871 2,107,595 0.1% * China Airlines, Ltd. 6,660,536 2,607,576 0.1% China Development Financial Holding Corp. 19,411,121 6,239,480 0.2% China Life Insurance Co., Ltd. 4,067,176 3,547,318 0.1% China Motor Corp. 649,000 591,536 0.0% * China Petrochemical Development Corp. 1,336,613 423,005 0.0% China Steel Chemical Corp. 165,000 898,727 0.0% # China Steel Corp. 12,348,932 10,653,682 0.3% # Chipbond Technology Corp. 1,106,000 2,039,336 0.1% Chunghwa Telecom Co., Ltd. 1,193,000 3,639,880 0.1% # Chunghwa Telecom Co., Ltd. ADR 236,502 7,175,471 0.2% # Clevo Co. 557,075 989,161 0.0% Compal Electronics, Inc. 7,595,541 5,613,990 0.1% CTBC Financial Holding Co., Ltd. 13,502,117 9,468,773 0.2% CTCI Corp. 712,000 1,164,022 0.0% # Delta Electronics, Inc. 1,992,366 11,952,589 0.3% E.Sun Financial Holding Co., Ltd. 8,966,402 5,679,169 0.1% # Eclat Textile Co., Ltd. 195,644 1,866,283 0.1% # Epistar Corp. 1,230,000 2,224,214 0.1% Eternal Materials Co., Ltd. 230,510 228,334 0.0% * Eva Airways Corp. 3,438,600 2,014,677 0.1% * Evergreen Marine Corp. Taiwan, Ltd. 2,443,249 1,444,132 0.0% Far Eastern Department Stores, Ltd. 1,560,592 1,411,098 0.0% # Far Eastern New Century Corp. 4,242,221 4,460,877 0.1% Far EasTone Telecommunications Co., Ltd. 2,054,000 4,545,652 0.1% # Farglory Land Development Co., Ltd. 648,393 641,296 0.0% Feng TAY Enterprise Co., Ltd. 324,120 837,605 0.0% # Firich Enterprises Co., Ltd. 19,437 70,563 0.0% First Financial Holding Co., Ltd. 10,515,566 6,474,173 0.2% # Formosa Chemicals & Fibre Corp. 3,611,518 8,409,129 0.2% Formosa International Hotels Corp. 52,406 542,709 0.0% # Formosa Petrochemical Corp. 1,175,000 2,758,101 0.1% # Formosa Plastics Corp. 4,659,153 10,759,688 0.3% Formosa Taffeta Co., Ltd. 848,000 857,409 0.0% Foxconn Technology Co., Ltd. 1,364,198 3,639,912 0.1% Fubon Financial Holding Co., Ltd. 7,900,233 13,374,482 0.3% Giant Manufacturing Co., Ltd. 295,506 2,392,705 0.1% # Gigasolar Materials Corp. 22,800 384,100 0.0% # Ginko International Co., Ltd. 33,000 444,405 0.0% # Gourmet Master Co., Ltd. 51,000 322,818 0.0% # HannStar Display Corp. 5,668,660 1,427,961 0.0% # Highwealth Construction Corp. 930,300 1,610,115 0.0% # Hiwin Technologies Corp. 203,788 1,612,289 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Hon Hai Precision Industry Co., Ltd. 13,621,302 $43,111,377 1.0% Hotai Motor Co., Ltd. 278,000 4,068,002 0.1% #* HTC Corp. 1,028,235 4,552,888 0.1% Hua Nan Financial Holdings Co., Ltd. 8,587,812 5,088,554 0.1% # Innolux Corp. 20,889,241 9,546,291 0.2% #* Inotera Memories, Inc. 3,117,000 4,817,248 0.1% # Inventec Corp. 3,305,551 2,300,053 0.1% # Kenda Rubber Industrial Co., Ltd. 804,091 1,641,627 0.0% # King Slide Works Co., Ltd. 54,000 709,019 0.0% # King's Town Bank Co., Ltd. 1,038,000 1,135,246 0.0% Kinsus Interconnect Technology Corp. 552,000 2,077,374 0.1% # Largan Precision Co., Ltd. 105,860 7,436,591 0.2% # LCY Chemical Corp. 434,123 210,999 0.0% Lite-On Technology Corp. 3,290,741 4,618,282 0.1% Lung Yen Life Service Corp. 117,000 344,612 0.0% * Macronix International 181,218 40,721 0.0% # MediaTek, Inc. 1,280,995 18,296,396 0.4% Mega Financial Holding Co., Ltd. 10,445,904 8,663,806 0.2% Merida Industry Co., Ltd. 221,287 1,528,570 0.0% # Micro-Star International Co., Ltd. 588,000 720,160 0.0% Nan Kang Rubber Tire Co., Ltd. 534,780 586,821 0.0% # Nan Ya Plastics Corp. 4,619,599 9,560,581 0.2% #* Nan Ya Printed Circuit Board Corp. 288,000 399,810 0.0% # Novatek Microelectronics Corp. 631,000 3,266,092 0.1% Oriental Union Chemical Corp. 67,000 50,684 0.0% # Pegatron Corp. 4,139,345 7,543,930 0.2% Phison Electronics Corp. 222,000 1,499,446 0.0% # Pou Chen Corp. 3,634,487 4,007,706 0.1% # Powertech Technology, Inc. 1,906,819 3,205,840 0.1% President Chain Store Corp. 696,831 5,220,107 0.1% # Quanta Computer, Inc. 2,622,000 6,600,921 0.2% # Radiant Opto-Electronics Corp. 730,170 2,551,439 0.1% # Realtek Semiconductor Corp. 551,950 1,829,555 0.1% # Ruentex Development Co., Ltd. 1,010,351 1,508,217 0.0% # Ruentex Industries, Ltd. 1,000,182 2,138,168 0.1% #* Sanyang Industry Co., Ltd. 776,000 685,948 0.0% # ScinoPharm Taiwan, Ltd. 255,257 517,041 0.0% # Shin Kong Financial Holding Co., Ltd. 14,247,661 4,327,513 0.1% # Siliconware Precision Industries Co. 3,473,324 4,954,747 0.1% Siliconware Precision Industries Co. Sponsored ADR 67,173 478,943 0.0% Simplo Technology Co., Ltd. 443,000 2,155,222 0.1% # SinoPac Financial Holdings Co., Ltd. 13,582,553 5,897,205 0.2% # St Shine Optical Co., Ltd. 52,000 913,533 0.0% Standard Foods Corp. 334,394 771,529 0.0% # Synnex Technology International Corp. 1,493,756 2,100,002 0.1% # Tainan Spinning Co., Ltd. 317,240 176,028 0.0% Taishin Financial Holding Co., Ltd. 19,542,197 9,322,280 0.2% * Taiwan Business Bank 5,805,145 1,746,373 0.1% Taiwan Cement Corp. 4,679,720 7,158,748 0.2% Taiwan Cooperative Financial Holding Co., Ltd. 8,492,789 4,542,445 0.1% # Taiwan FamilyMart Co., Ltd. 41,000 262,673 0.0% # Taiwan Fertilizer Co., Ltd. 1,141,000 2,024,261 0.1%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- TAIWAN -- (Continued) # Taiwan Glass Industry Corp. 1,253,253 $ 972,267 0.0% Taiwan Mobile Co., Ltd. 1,801,300 5,845,080 0.1% # Taiwan Secom Co., Ltd. 235,670 624,908 0.0% Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 109,190,220 2.6% Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 223,463 4,920,655 0.1% # Teco Electric and Machinery Co., Ltd. 2,671,000 2,971,954 0.1% # Ton Yi Industrial Corp. 1,254,000 745,590 0.0% # TPK Holding Co., Ltd. 402,000 2,373,139 0.1% Transcend Information, Inc. 231,181 781,103 0.0% # Tripod Technology Corp. 482,870 903,830 0.0% # TSRC Corp. 682,965 768,441 0.0% U-Ming Marine Transport Corp. 551,860 865,355 0.0% Uni-President Enterprises Corp. 5,735,725 9,862,508 0.2% # Unimicron Technology Corp. 2,268,896 1,746,496 0.1% # United Microelectronics Corp. 21,808,000 9,682,730 0.2% # Vanguard International Semiconductor Corp. 1,242,000 1,865,953 0.1% #* Walsin Lihwa Corp. 4,532,000 1,504,576 0.0% Wan Hai Lines, Ltd. 1,284,800 950,234 0.0% #* Winbond Electronics Corp. 4,050,000 1,299,416 0.0% * Wintek Corp. 1,198,760 76,457 0.0% Wistron Corp. 4,175,420 4,386,761 0.1% # WPG Holdings, Ltd. 2,051,869 2,499,443 0.1% # Yageo Corp. 692,278 1,075,988 0.0% * Yang Ming Marine Transport Corp. 1,948,300 891,889 0.0% Yuanta Financial Holding Co., Ltd. 12,643,966 6,369,091 0.2% Yulon Motor Co., Ltd. 1,237,000 1,824,979 0.1% # Yungtay Engineering Co., Ltd. 122,000 270,916 0.0% # Zhen Ding Technology Holding, Ltd. 471,700 1,295,997 0.0% ------------ ---- TOTAL TAIWAN 613,310,814 14.7% ------------ ---- THAILAND -- (2.6%) Advanced Info Service PCL 1,088,500 7,987,458 0.2% Airports of Thailand PCL 423,700 3,148,155 0.1% Bangchak Petroleum PCL (The) 361,000 371,308 0.0% Bangkok Bank PCL(6077019) 283,900 1,760,755 0.1% Bangkok Bank PCL(6368360) 424,900 2,583,058 0.1% Bangkok Dusit Medical Services PCL 5,300,000 3,010,439 0.1% Bangkok Life Assurance PCL 674,800 1,196,491 0.0% Bangkokland PCL 2,999,000 184,157 0.0% Banpu PCL 1,525,700 1,323,335 0.0% BEC World PCL 810,000 1,199,954 0.0% Berli Jucker PCL 862,600 1,205,044 0.0% Big C Supercenter PCL(6763932) 24,600 175,984 0.0% Big C Supercenter PCL(6368434) 333,200 2,383,654 0.1% Bumrungrad Hospital PCL 293,400 1,198,103 0.0% Central Pattana PCL 1,308,100 1,937,852 0.1% Central Plaza Hotel PCL 709,700 822,572 0.0% CH Karnchang PCL 366,000 309,027 0.0% Charoen Pokphand Foods PCL 2,881,300 2,764,526 0.1% CP ALL PCL 3,242,700 4,530,023 0.1% Delta Electronics Thailand PCL 480,400 951,360 0.0% Electricity Generating PCL 233,300 1,232,042 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- THAILAND -- (Continued) Energy Absolute PCL 665,100 $ 494,179 0.0% Glow Energy PCL 445,700 1,368,437 0.0% Home Product Center PCL 4,325,531 1,235,107 0.0% Indorama Ventures PCL 1,887,300 1,384,908 0.0% Intouch Holdings PCL 732,700 1,664,716 0.1% IRPC PCL 13,263,500 1,392,729 0.0% Jasmine International PCL 4,658,200 1,065,508 0.0% Kasikornbank PCL(6888794) 1,146,600 8,308,185 0.2% Kasikornbank PCL(6364766) 52,000 376,788 0.0% Krung Thai Bank PCL 4,345,687 3,108,827 0.1% Land & Houses PCL(6581941) 2,208,040 691,495 0.0% Land & Houses PCL(6581930) 790,000 247,406 0.0% Minor International PCL 1,542,100 1,645,317 0.1% Pruksa Real Estate PCL 1,448,900 1,490,272 0.0% PTT Exploration & Production PCL(B1359J0) 1,463,555 6,583,077 0.2% PTT Exploration & Production PCL(B1359L2) 65,409 294,210 0.0% PTT Global Chemical PCL 1,716,872 3,268,224 0.1% PTT PCL 1,203,800 13,601,425 0.3% Ratchaburi Electricity Generating Holding PCL(6362771) 81,700 152,388 0.0% Ratchaburi Electricity Generating Holding PCL(6294249) 542,400 1,011,692 0.0% Robinson Department Store PCL 428,200 673,787 0.0% Siam Cement PCL (The)(6609906) 166,400 2,309,266 0.1% Siam Cement PCL (The)(6609928) 126,100 1,742,247 0.1% Siam City Cement PCL 127,413 1,643,029 0.1% Siam Commercial Bank PCL (The) 1,203,066 6,556,470 0.2% Siam Global House PCL 1,033,316 412,438 0.0% Supalai PCL 305,300 241,372 0.0% Thai Oil PCL 1,007,500 1,384,268 0.0% Thai Union Frozen Products PCL 575,860 1,317,211 0.0% Thaicom PCL 386,700 466,011 0.0% Thanachart Capital PCL 282,200 303,255 0.0% TMB Bank PCL 17,270,700 1,633,213 0.0% Total Access Communication PCL(B1YWK08) 918,000 2,917,194 0.1% Total Access Communication PCL(B231MK7) 214,100 680,361 0.0% * True Corp. PCL 8,064,893 2,921,883 0.1% TTW PCL 775,300 288,030 0.0% ------------ --- TOTAL THAILAND 115,150,222 2.8% ------------ --- TURKEY -- (1.7%) Akbank TAS 1,932,568 6,978,394 0.2% Akcansa Cimento A.S. 13,438 86,437 0.0% * Anadolu Efes Biracilik Ve Malt Sanayii A.S. 191,672 2,239,797 0.1% Arcelik A.S. 387,176 2,376,936 0.1% # Aselsan Elektronik Sanayi Ve Ticaret A.S. 105,631 479,792 0.0% BIM Birlesik Magazalar A.S. 236,317 5,398,488 0.1% Coca-Cola Icecek A.S. 80,111 1,824,841 0.1% # Enka Insaat ve Sanayi A.S. 429,411 1,039,096 0.0% Eregli Demir ve Celik Fabrikalari TAS 2,250,277 4,690,122 0.1% #* Ford Otomotiv Sanayi A.S. 96,251 1,229,398 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 163,549 209,600 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 85,031 103,541 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 1,229,168 1,370,995 0.0%
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- TURKEY -- (Continued) # KOC Holding A.S. 612,841 $ 3,124,157 0.1% # Koza Altin Isletmeleri A.S. 85,671 552,187 0.0% * Migros Ticaret A.S. 33,309 308,945 0.0% # Petkim Petrokimya Holding A.S. 342,895 546,046 0.0% TAV Havalimanlari Holding A.S. 197,035 1,652,938 0.0% Tofas Turk Otomobil Fabrikasi A.S. 171,952 1,078,876 0.0% Tupras Turkiye Petrol Rafinerileri A.S. 89,166 1,933,925 0.1% * Turk Hava Yollari 1,104,888 3,621,426 0.1% Turk Telekomunikasyon A.S. 563,410 1,618,403 0.0% # Turk Traktor ve Ziraat Makineleri A.S. 15,465 487,732 0.0% #* Turkcell Iletisim Hizmetleri A.S. 712,109 4,139,680 0.1% #* Turkcell Iletisim Hizmetleri A.S. ADR 73,838 1,080,250 0.0% Turkiye Garanti Bankasi A.S. 2,543,390 9,926,579 0.2% Turkiye Halk Bankasi A.S. 731,737 4,886,207 0.1% Turkiye Is Bankasi 1,910,546 4,777,135 0.1% Turkiye Sinai Kalkinma Bankasi A.S. 34,301 30,095 0.0% Turkiye Sise ve Cam Fabrikalari A.S. 1,277,056 1,941,828 0.1% Turkiye Vakiflar Bankasi Tao 1,209,629 2,599,681 0.1% Ulker Biskuvi Sanayi A.S. 183,757 1,354,553 0.0% Yapi ve Kredi Bankasi A.S. 1,011,449 2,215,026 0.1% -------------- ---- TOTAL TURKEY 75,903,106 1.8% -------------- ---- TOTAL COMMON STOCKS 3,999,763,508 95.6% -------------- ---- PREFERRED STOCKS -- (3.7%) BRAZIL -- (3.6%) AES Tiete SA 135,998 1,028,176 0.0% Banco Bradesco SA 2,233,995 33,650,617 0.8% Braskem SA Class A 73,800 540,005 0.0% Centrais Eletricas Brasileiras SA Class B 206,100 779,671 0.0% Cia Brasileira de Distribuicao 124,509 5,212,648 0.1% Cia de Gas de Sao Paulo COMGAS Class A 22,527 444,407 0.0% Cia de Transmissao de Energia Eletrica Paulista 40,058 621,491 0.0% Cia Energetica de Minas Gerais 972,324 5,582,245 0.1% Cia Energetica de Sao Paulo Class B 261,210 2,575,606 0.1% Cia Paranaense de Energia 78,800 1,100,917 0.0% Empresa Nacional de Comercio Redito e Participacoes SA 380 4,133 0.0% Gerdau SA 836,068 3,744,708 0.1% Itau Unibanco Holding SA 2,825,064 41,923,253 1.0% Itau Unibanco Holding SA ADR 128,657 1,898,972 0.1% Lojas Americanas SA 607,283 3,585,172 0.1% Oi SA 3,838,915 2,017,729 0.1% Petroleo Brasileiro SA 935,300 5,752,895 0.1% Petroleo Brasileiro SA Sponsored ADR 1,884,456 23,046,897 0.6% Suzano Papel e Celulose SA Class A 419,600 1,773,062 0.1% Telefonica Brasil SA 278,174 5,685,931 0.1% * Usinas Siderurgicas de Minas Gerais SA Class A 609,817 1,402,186 0.0% Vale SA 1,529,491 13,308,584 0.3% # Vale SA Sponsored ADR 483,572 4,236,091 0.1% -------------- ---- TOTAL BRAZIL 159,915,396 3.8% -------------- ----
THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- CHILE -- (0.0%) Embotelladora Andina SA Class B 9,255 $ 29,097 0.0% -------------- ----- COLOMBIA -- (0.1%) Banco Davivienda SA 128,737 1,920,888 0.1% Bancolombia SA 30,330 426,315 0.0% Grupo Aval Acciones y Valores 2,202,589 1,493,371 0.0% Grupo de Inversiones Suramericana SA 88,842 1,791,089 0.0% -------------- ----- TOTAL COLOMBIA 5,631,663 0.1% -------------- ----- TOTAL PREFERRED STOCKS 165,576,156 3.9% -------------- ----- RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) * China Taiping Insurance Holdings Co., Ltd. Rights 11/18/14 129,906 79,567 0.0% -------------- ----- THAILAND -- (0.0%) * Minor International PCL Warrants 12/31/15 77,105 -- 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS 79,567 0.0% -------------- ----- VALUE+ -------------- SECURITIES LENDING COLLATERAL -- (7.0%) (S)@ DFA Short Term Investment Fund 27,038,515 312,835,617 7.5% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,254,198,535) $4,478,254,848 107.0% ============== =====
THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $112,939,346 $ 164,072,125 -- $ 277,011,471 Chile 29,542,788 34,529,683 -- 64,072,471 China 137,498,699 498,037,912 -- 635,536,611 Colombia 27,696,617 -- -- 27,696,617 Czech Republic -- 10,267,693 -- 10,267,693 Egypt -- 5,504,432 -- 5,504,432 Greece -- 21,268,474 -- 21,268,474 Hungary -- 10,085,929 -- 10,085,929 India 43,191,897 339,340,154 -- 382,532,051 Indonesia 825,627 131,418,506 -- 132,244,133 Malaysia -- 192,690,155 -- 192,690,155 Mexico 241,861,606 -- -- 241,861,606 Peru 12,716,077 -- -- 12,716,077 Philippines 776,129 57,130,557 -- 57,906,686 Poland -- 75,493,710 -- 75,493,710 Russia 2,510,820 105,488,993 -- 107,999,813 South Africa 40,617,243 291,309,843 -- 331,927,086 South Korea 23,107,675 582,828,530 -- 605,936,205 Spain 2,648,146 -- -- 2,648,146 Taiwan 14,619,258 598,691,556 -- 613,310,814 Thailand 115,150,222 -- -- 115,150,222 Turkey 1,080,250 74,822,856 -- 75,903,106 Preferred Stocks Brazil 29,186,093 130,729,303 -- 159,915,396 Chile -- 29,097 -- 29,097 Colombia 5,631,663 -- -- 5,631,663 Rights/Warrants Hong Kong -- 79,567 -- 79,567 Thailand -- -- -- -- Securities Lending Collateral -- 312,835,617 -- 312,835,617 ------------ -------------- -- -------------- TOTAL $841,600,156 $3,636,654,692 -- $4,478,254,848 ============ ============== == ==============
THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- COMMON STOCKS -- (86.4%) ARGENTINA -- (0.0%) Ferrum SA de Ceramica y Metalurgia 1 $ 1 0.0% ----------- --- BRAZIL -- (6.5%) * Abril Educacao SA 769,344 3,555,022 0.1% AES Tiete SA 216,800 1,308,053 0.0% Aliansce Shopping Centers SA 790,849 5,815,543 0.1% ALL--America Latina Logistica SA 2,092,128 5,713,705 0.1% Alpargatas SA 76,003 262,905 0.0% Alupar Investimento SA 175,100 1,284,410 0.0% Arezzo Industria e Comercio SA 397,935 4,607,784 0.1% * B2W Cia Digital 1,010,922 13,179,115 0.3% Banco Alfa de Investimento SA 500 1,170 0.0% * Banco Mercantil do Brasil SA 1,327 3,481 0.0% Bematech SA 399,037 1,250,620 0.0% * BHG SA--Brazil Hospitality Group 185,702 1,341,457 0.0% Brasil Brokers Participacoes SA 1,250,811 1,600,089 0.0% Brasil Insurance Participacoes e Administracao SA 572,226 1,721,748 0.0% BrasilAgro--Co. Brasileira de Propriedades Agricolas 48,100 134,401 0.0% * Brazil Pharma SA 927,800 1,360,998 0.0% * Brookfield Incorporacoes SA 1,364,667 869,392 0.0% Cia de Locacao das Americas 232,300 351,383 0.0% Cia de Saneamento de Minas Gerais-COPASA 597,421 6,802,650 0.1% Cia Hering 1,170,190 11,805,299 0.2% # Cia Paranaense de Energia Sponsored ADR 10,259 144,652 0.0% Cia Providencia Industria e Comercio SA 99,750 333,671 0.0% Contax Participacoes SA 214,335 1,235,206 0.0% * CR2 Empreendimentos Imobiliarios SA 9,400 10,009 0.0% Cyrela Brazil Realty SA Empreendimentos e Participacoes 1,928,800 9,584,339 0.2% Cyrela Commercial Properties SA Empreendimentos e Participacoes 46,800 296,469 0.0% Dimed SA Distribuidora da Medicamentos 300 24,118 0.0% Direcional Engenharia SA 810,509 3,334,522 0.1% Duratex SA 1,971,100 7,085,597 0.2% EcoRodovias Infraestrutura e Logistica SA 470,900 2,104,472 0.1% EDP--Energias do Brasil SA 2,710,808 10,583,122 0.2% * Eneva SA 209,119 45,457 0.0% Equatorial Energia SA 1,644,794 16,780,731 0.3% Estacio Participacoes SA 1,461,804 16,922,055 0.4% Eternit SA 1,254,378 1,752,556 0.0% Even Construtora e Incorporadora SA 2,116,367 4,583,998 0.1% Ez Tec Empreendimentos e Participacoes SA 519,358 4,443,676 0.1% * Fertilizantes Heringer SA 176,800 446,566 0.0% Fleury SA 617,551 4,098,907 0.1% Fras-Le SA 37,875 65,115 0.0% Gafisa SA 2,762,200 3,012,939 0.1% # Gafisa SA ADR 1,246,302 2,667,086 0.1% * General Shopping Brasil SA 126,117 342,752 0.0% # Gol Linhas Aereas Inteligentes SA ADR 195,800 1,012,286 0.0% Grendene SA 652,534 4,605,235 0.1% Guararapes Confeccoes SA 61,000 2,289,439 0.1% Helbor Empreendimentos SA 1,228,893 3,003,111 0.1% * IdeiasNet SA 463,300 303,650 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- BRAZIL -- (Continued) Iguatemi Empresa de Shopping Centers SA 667,200 $ 6,755,026 0.1% * Industria de Bebidas Antarctica Polar SA 23,000 -- 0.0% Industrias Romi SA 168,200 233,548 0.0% International Meal Co. Holdings SA 492,394 3,518,941 0.1% Iochpe-Maxion SA 690,508 4,752,821 0.1% JHSF Participacoes SA 800,647 1,017,825 0.0% Joao Fortes Engenharia SA 66,552 133,882 0.0% JSL SA 631,500 3,463,700 0.1% Kepler Weber SA 131,446 2,464,000 0.1% Kroton Educacional SA 2,457,240 17,508,535 0.4% Light SA 1,039,607 8,543,366 0.2% Localiza Rent a Car SA 142,052 2,046,475 0.0% * Log-in Logistica Intermodal SA 470,450 907,114 0.0% LPS Brasil Consultoria de Imoveis SA 609,479 2,091,095 0.1% Magnesita Refratarios SA 1,325,571 1,578,819 0.0% Mahle-Metal Leve SA Industria e Comercio 363,800 3,432,223 0.1% Marcopolo SA 28,000 47,963 0.0% * Marfrig Global Foods SA 2,444,059 5,976,676 0.1% Marisa Lojas SA 421,364 2,666,635 0.1% Mills Estruturas e Servicos de Engenharia SA 710,926 4,638,083 0.1% * Minerva SA 1,191,869 6,133,408 0.1% MRV Engenharia e Participacoes SA 3,395,133 11,229,446 0.2% Multiplus SA 432,484 6,064,106 0.1% Odontoprev SA 3,083,796 11,141,528 0.2% * Paranapanema SA 1,451,356 1,320,425 0.0% * PDG Realty SA Empreendimentos e Participacoes 11,912,853 5,866,495 0.1% Portobello SA 244,400 454,962 0.0% Positivo Informatica SA 108,300 94,830 0.0% Profarma Distribuidora de Produtos Farmaceuticos SA 157,763 693,727 0.0% QGEP Participacoes SA 801,694 2,912,384 0.1% * Qualicorp SA 505,400 5,140,202 0.1% Raia Drogasil SA 1,124,075 10,193,104 0.2% Redentor Energia SA 7,800 18,139 0.0% * Restoque Comercio e Confeccoes de Roupas SA 790,808 2,711,622 0.1% Rodobens Negocios Imobiliarios SA 168,138 677,094 0.0% * Rossi Residencial SA 3,233,729 1,280,443 0.0% Santos Brasil Participacoes SA 423,288 2,689,037 0.1% Sao Carlos Empreendimentos e Participacoes SA 47,859 645,119 0.0% Sao Martinho SA 473,662 7,451,034 0.2% SLC Agricola SA 506,818 3,457,047 0.1% Smiles SA 161,700 2,794,600 0.1% Sonae Sierra Brasil SA 249,646 1,803,398 0.0% * Springs Global Participacoes SA 278,188 77,386 0.0% Sul America SA 1,801,909 9,564,666 0.2% * T4F Entretenimento SA 213,800 241,823 0.0% Technos SA 203,400 805,535 0.0% Tecnisa SA 1,078,756 2,145,346 0.1% Tegma Gestao Logistica 228,435 1,676,195 0.0% Tempo Participacoes SA 291,802 618,340 0.0% Tereos Internacional SA 635,183 542,041 0.0% Totvs SA 976,100 14,226,921 0.3% TPI--Triunfo Participacoes e Investimentos SA 334,301 788,014 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- BRAZIL -- (Continued) Transmissora Alianca de Energia Eletrica SA 195,200 $ 1,450,657 0.0% Trisul SA 37,542 55,300 0.0% UNICASA Industria de Moveis SA 227,700 262,072 0.0% Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A 517,450 8,302,597 0.2% * Vanguarda Agro SA 1,753,336 869,806 0.0% Via Varejo SA 205,862 602,324 0.0% ------------ --- TOTAL BRAZIL 362,858,861 7.4% ------------ --- CAYMAN ISLANDS -- (0.0%) China Zhongsheng Resources Holdings, Ltd. 1,420,000 173,949 0.0% ------------ --- CHILE -- (1.2%) Banmedica SA 1,697,057 2,857,227 0.1% Besalco SA 2,277,748 1,532,772 0.0% CAP SA 6,276 59,721 0.0% Cementos BIO BIO SA 452,622 415,158 0.0% Cia General de Electricidad SA 74,704 605,465 0.0% * Cia Pesquera Camanchaca SA 194,645 10,981 0.0% * Cia Sud Americana de Vapores SA 38,854,946 1,465,345 0.0% Cintac SA 324,650 62,913 0.0% * Clinica LAS Condes SA 349 23,988 0.0% Cristalerias de Chile SA 156,836 1,132,917 0.0% Cruz Blanca Salud SA 794,071 689,656 0.0% E.CL SA 4,332,381 6,380,088 0.1% Empresa Electrica Pilmaiquen 46,897 258,756 0.0% * Empresas AquaChile SA 1,281,212 862,347 0.0% Empresas Hites SA 1,245,628 557,748 0.0% Empresas Iansa SA 23,220,040 826,327 0.0% * Empresas La Polar SA 5,705,798 367,162 0.0% Enjoy SA 1,299,391 155,576 0.0% Forus SA 757,778 3,372,614 0.1% Gasco SA 189,488 1,379,164 0.0% Grupo Security SA 1,718,102 656,444 0.0% Inversiones Aguas Metropolitanas SA 3,525,589 5,338,109 0.1% Inversiones La Construccion SA 137,111 1,968,762 0.1% * Invexans SA 27,288,748 358,664 0.0% * Latam Airlines Group SA 134,619 1,702,737 0.1% Masisa SA 14,224,085 584,717 0.0% Molibdenos y Metales SA 5,009 39,212 0.0% * Multiexport Foods SA 3,502,735 825,395 0.0% Parque Arauco SA 5,929,777 12,167,289 0.3% PAZ Corp. SA 1,238,668 837,635 0.0% Ripley Corp. SA 6,413,974 3,499,206 0.1% Salfacorp SA 2,292,391 1,974,936 0.1% Sigdo Koppers SA 735,025 1,141,160 0.0% Sociedad Matriz SAAM SA 31,005,151 2,608,045 0.1% Socovesa SA 2,895,998 625,037 0.0% Sonda SA 221,045 538,035 0.0% * Tech Pack SA 272,888 137,762 0.0% Vina Concha y Toro SA 4,608,688 8,859,441 0.2% Vina Concha y Toro SA Sponsored ADR 2,025 76,160 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHILE -- (Continued) Vina San Pedro Tarapaca SA 35,626,766 $ 299,618 0.0% ----------- --- TOTAL CHILE 67,254,289 1.4% ----------- --- CHINA -- (13.0%) # 361 Degrees International, Ltd. 3,581,000 1,025,147 0.0% # Agile Property Holdings, Ltd. 8,288,000 4,703,298 0.1% Ajisen China Holdings, Ltd. 2,696,000 1,857,569 0.0% * Alibaba Health Information Technology, Ltd. 4,807,200 2,996,487 0.1% #* Alibaba Pictures Group, Ltd. 12,460,000 2,586,746 0.1% AMVIG Holdings, Ltd. 2,228,000 1,040,357 0.0% # Angang Steel Co., Ltd. Class H 3,124,000 2,296,623 0.1% # Anhui Expressway Co., Ltd. Class H 2,746,000 1,671,584 0.0% Anta Sports Products, Ltd. 3,499,000 6,867,791 0.1% # Anton Oilfield Services Group 5,632,000 1,197,444 0.0% # Anxin-China Holdings, Ltd. 14,103,000 1,310,232 0.0% Asia Cement China Holdings Corp. 2,534,000 1,439,840 0.0% * Asia Energy Logistics Group, Ltd. 2,470,000 43,048 0.0% # Asian Citrus Holdings, Ltd. 3,627,000 650,395 0.0% Ausnutria Dairy Corp., Ltd. 365,000 120,017 0.0% * AVIC International Holdings, Ltd. 1,318,000 859,815 0.0% AviChina Industry & Technology Co., Ltd. Class H 10,706,788 8,141,756 0.2% # Baoxin Auto Group, Ltd. 2,810,000 2,147,842 0.1% Baoye Group Co., Ltd. Class H 1,860,000 1,118,084 0.0% BBMG Corp. Class H 1,993,000 1,409,273 0.0% Beijing Capital International Airport Co., Ltd. Class H 9,730,000 7,141,351 0.2% Beijing Capital Land, Ltd. Class H 6,196,500 2,143,405 0.1% Beijing Enterprises Water Group, Ltd. 253,660 181,292 0.0% # Beijing Jingneng Clean Energy Co., Ltd. Class H 5,156,000 2,295,766 0.1% Beijing North Star Co., Ltd. Class H 4,170,000 1,258,538 0.0% # Biostime International Holdings, Ltd. 913,000 2,067,173 0.1% # Bloomage Biotechnology Corp., Ltd. 840,000 1,339,379 0.0% Boer Power Holdings, Ltd. 1,689,000 2,114,782 0.1% # Bosideng International Holdings, Ltd. 14,294,000 2,102,081 0.1% BYD Electronic International Co., Ltd. 4,058,815 4,833,900 0.1% C C Land Holdings, Ltd. 8,048,343 1,454,081 0.0% C.banner International Holdings, Ltd. 62,000 19,594 0.0% Carrianna Group Holdings Co., Ltd. 2,127,257 345,757 0.0% CECEP COSTIN New Materials Group, Ltd. 1,466,000 639,851 0.0% Central China Real Estate, Ltd. 3,972,626 913,006 0.0% Changshouhua Food Co., Ltd. 1,696,000 1,409,915 0.0% #* Chaoda Modern Agriculture Holdings, Ltd. 6,771,138 196,363 0.0% # Chaowei Power Holdings, Ltd. 3,086,000 1,734,419 0.0% * Chigo Holding, Ltd. 24,026,000 576,780 0.0% * Chiho-Tiande Group, Ltd. 64,000 23,920 0.0% # China Aerospace International Holdings, Ltd. 13,488,500 1,964,072 0.0% China Agri-Industries Holdings, Ltd. 11,310,800 4,306,611 0.1% # China All Access Holdings, Ltd. 3,184,000 1,256,849 0.0% China Animal Healthcare, Ltd. 3,671,000 3,025,699 0.1% China Aoyuan Property Group, Ltd. 6,676,000 1,051,485 0.0% * China Automation Group, Ltd. 3,303,000 634,878 0.0% # China BlueChemical, Ltd. 8,628,000 3,063,899 0.1% * China Chengtong Development Group, Ltd. 2,412,000 167,953 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- CHINA -- (Continued) # China Child Care Corp., Ltd. 3,070,000 $ 641,793 0.0% China Communications Services Corp., Ltd. Class H 12,128,000 5,679,119 0.1% # China Datang Corp. Renewable Power Co., Ltd. Class H 14,482,000 2,092,464 0.1% # China Dongxiang Group Co., Ltd. 13,246,985 2,429,069 0.1% #* China Dredging Environment Protection Holdings, Ltd. 3,088,000 741,296 0.0% * China Energine International Holdings, Ltd. 3,526,000 441,263 0.0% China Everbright, Ltd. 3,554,000 6,876,527 0.1% # China Fiber Optic Network System Group, Ltd. 5,540,000 1,680,598 0.0% #* China Foods, Ltd. 3,764,000 1,408,566 0.0% China Glass Holdings, Ltd. 4,522,000 524,651 0.0% * China High Precision Automation Group, Ltd. 1,289,000 202,779 0.0% * China High Speed Transmission Equipment Group Co., Ltd. 5,250,000 4,138,608 0.1% # China Hongqiao Group, Ltd. 3,378,000 2,599,360 0.1% * China Household Holdings, Ltd. 5,205,000 631,072 0.0% #* China Huiyuan Juice Group, Ltd. 3,050,500 1,216,156 0.0% # China ITS Holdings Co., Ltd. 4,003,412 557,701 0.0% #* China Jiuhao Health Industry Corp., Ltd. 6,480,000 618,790 0.0% # China Lesso Group Holdings, Ltd. 6,105,000 3,189,428 0.1% China Lilang, Ltd. 2,817,000 2,030,706 0.1% # China Lumena New Materials Corp. 14,530,000 1,756,494 0.0% China Machinery Engineering Corp. Class H 3,624,000 2,053,293 0.1% # China Medical System Holdings, Ltd. 5,090,500 9,385,336 0.2% China Merchants Land, Ltd. 6,844,000 980,304 0.0% #* China Metal Recycling Holdings, Ltd. 2,401,686 547,530 0.0% * China Mining Resources Group, Ltd. 2,198,000 19,565 0.0% #* China Modern Dairy Holdings, Ltd. 8,654,000 3,829,295 0.1% China National Materials Co., Ltd. 6,269,000 1,423,760 0.0% * China New Town Development Co., Ltd. 7,713,148 383,420 0.0% # China Oil & Gas Group, Ltd. 23,060,000 3,694,726 0.1% China Outfitters Holdings, Ltd. 24,000 3,219 0.0% # China Overseas Grand Oceans Group, Ltd. 4,864,500 2,566,437 0.1% # China Power International Development, Ltd. 13,742,000 6,207,568 0.1% #* China Power New Energy Development Co., Ltd. 31,840,000 2,218,924 0.1% #* China Precious Metal Resources Holdings Co., Ltd. 19,634,318 2,074,460 0.1% * China Properties Group, Ltd. 2,464,000 470,159 0.0% * China Qinfa Group, Ltd. 2,656,000 114,800 0.0% #* China Rare Earth Holdings, Ltd. 6,816,000 870,508 0.0% #* China Rongsheng Heavy Industries Group Holdings, Ltd. 15,127,500 2,416,345 0.1% * China Ruifeng Renewable Energy, Ltd. 2,684,000 485,921 0.0% # China Sanjiang Fine Chemicals Co., Ltd. 3,157,000 1,565,026 0.0% # China SCE Property Holdings, Ltd. 6,015,200 1,187,170 0.0% # China Shanshui Cement Group, Ltd. 10,313,000 3,822,099 0.1% China Shineway Pharmaceutical Group, Ltd. 1,696,200 3,086,731 0.1% * China Shipping Container Lines Co., Ltd. Class H 6,987,000 1,992,664 0.1% #* China Shipping Development Co., Ltd. Class H 8,656,000 5,708,565 0.1% # China Singyes Solar Technologies Holdings, Ltd. 2,768,200 5,301,305 0.1% # China South City Holdings, Ltd. 12,770,000 5,816,752 0.1% # China Southern Airlines Co., Ltd. Class H 3,230,000 1,134,145 0.0% China Southern Airlines Co., Ltd. Sponsored ADR 2,821 49,480 0.0% China Starch Holdings, Ltd. 6,470,000 158,583 0.0% # China Suntien Green Energy Corp., Ltd. Class H 9,737,000 2,586,166 0.1% * China Taifeng Beddings Holdings, Ltd. 1,500,000 240,072 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- CHINA -- (Continued) * China Taiping Insurance Holdings Co., Ltd. 2,439,000 $5,204,338 0.1% #* China Tian Lun Gas Holdings, Ltd. 852,000 983,324 0.0% China Tianyi Holdings, Ltd. 2,336,000 307,390 0.0% * China Tontine Wines Group, Ltd. 1,610,000 68,527 0.0% * China Traditional Chinese Medicine Co., Ltd. 2,158,000 1,216,613 0.0% China Travel International Investment Hong Kong, Ltd. 14,349,900 4,426,293 0.1% China Vanadium Titano--Magnetite Mining Co., Ltd. 6,231,000 634,463 0.0% # China Water Affairs Group, Ltd. 6,502,000 3,310,712 0.1% #* China Water Industry Group, Ltd. 2,272,000 445,545 0.0% * China WindPower Group, Ltd. 24,894,964 2,055,774 0.1% #* China Yurun Food Group, Ltd. 8,026,000 3,417,104 0.1% China ZhengTong Auto Services Holdings, Ltd. 4,505,000 2,552,087 0.1% # China Zhongwang Holdings, Ltd. 8,740,800 4,603,456 0.1% #* Chinasoft International, Ltd. 6,164,000 2,092,183 0.1% * Chinese People Holdings Co., Ltd. 11,423,844 270,565 0.0% * Chongqing Iron & Steel Co., Ltd. Class H 2,247,400 493,814 0.0% Chongqing Machinery & Electric Co., Ltd. Class H 6,444,000 1,162,714 0.0% Chongqing Rural Commercial Bank Co., Ltd. Class H 502,000 241,594 0.0% * Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,662,000 799,983 0.0% # CIMC Enric Holdings, Ltd. 2,868,000 2,887,776 0.1% * CITIC Dameng Holdings, Ltd. 1,299,000 105,484 0.0% #* CITIC Resources Holdings, Ltd. 11,982,600 1,685,455 0.0% Citychamp Watch & Jewellery Group, Ltd. 11,388,000 1,543,700 0.0% Clear Media, Ltd. 251,000 255,690 0.0% * CNNC International, Ltd. 374,000 143,395 0.0% * Coastal Greenland, Ltd. 5,672,000 197,569 0.0% # Comba Telecom Systems Holdings, Ltd. 5,265,234 2,415,733 0.1% #* Comtec Solar Systems Group, Ltd. 4,320,000 719,640 0.0% Coolpad Group, Ltd. 13,696,000 2,950,430 0.1% # Cosco International Holdings, Ltd. 2,703,000 1,184,448 0.0% COSCO Pacific, Ltd. 551,792 727,529 0.0% * Coslight Technology International Group Co., Ltd. 728,000 468,633 0.0% # CP Pokphand Co., Ltd. 24,752,594 2,843,215 0.1% CPMC Holdings, Ltd. 2,098,000 1,582,774 0.0% * DaChan Food Asia, Ltd. 1,725,955 222,589 0.0% # Dah Chong Hong Holdings, Ltd. 4,286,000 2,527,629 0.1% Dalian Port PDA Co., Ltd. Class H 6,070,000 2,122,252 0.1% DaMing International Holdings, Ltd. 542,000 193,774 0.0% # Daphne International Holdings, Ltd. 6,410,000 3,226,739 0.1% Dawnrays Pharmaceutical Holdings, Ltd. 2,630,943 2,614,545 0.1% #* DBA Telecommunication Asia Holdings, Ltd. 2,108,000 103,563 0.0% Digital China Holdings, Ltd. 4,689,800 4,364,604 0.1% Dongfang Electric Corp., Ltd. Class H 183,600 310,666 0.0% # Dongjiang Environmental Co., Ltd. Class H 76,150 301,917 0.0% # Dongyue Group, Ltd. 7,163,000 2,685,233 0.1% #* Dynasty Fine Wines Group, Ltd. 1,614,000 56,192 0.0% Embry Holdings, Ltd. 473,000 238,230 0.0% EVA Precision Industrial Holdings, Ltd. 5,958,435 1,600,359 0.0% * EverChina International Holdings Co., Ltd. 17,180,000 941,929 0.0% Evergreen International Holdings, Ltd. 1,246,000 152,699 0.0% * Extrawell Pharmaceutical Holdings, Ltd. 2,707,921 118,546 0.0% # Fantasia Holdings Group Co., Ltd. 11,091,000 1,187,042 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) # First Tractor Co., Ltd. Class H 3,351,176 $ 2,145,778 0.1% Franshion Properties China, Ltd. 19,178,300 4,551,995 0.1% Freetech Road Recycling Technology Holdings, Ltd. 1,030,000 211,195 0.0% Fufeng Group, Ltd. 6,004,600 2,820,598 0.1% # Geely Automobile Holdings, Ltd. 26,870,000 11,993,642 0.3% * Global Bio-Chem Technology Group Co., Ltd. 9,996,800 380,513 0.0% * Global Sweeteners Holdings, Ltd. 770,951 39,212 0.0% * Glorious Property Holdings, Ltd. 14,328,501 2,069,905 0.1% Goldbond Group Holdings, Ltd. 210,000 8,938 0.0% # Golden Eagle Retail Group, Ltd. 3,089,000 3,786,893 0.1% # Golden Meditech Holdings, Ltd. 4,855,193 795,032 0.0% * Goldin Properties Holdings, Ltd. 258,000 156,891 0.0% Goldlion Holdings, Ltd. 1,104,962 463,084 0.0% GOME Electrical Appliances Holding, Ltd. 51,812,000 8,162,748 0.2% Good Friend International Holdings, Inc. 404,667 132,367 0.0% # Goodbaby International Holdings, Ltd. 3,283,000 1,323,559 0.0% # Greatview Aseptic Packaging Co., Ltd. 3,655,000 2,394,303 0.1% # Greenland Hong Kong Holdings, Ltd. 2,101,000 846,395 0.0% # Greentown China Holdings, Ltd. 3,563,148 3,707,700 0.1% #* Guangdong Land Holdings, Ltd. 4,396,800 935,365 0.0% Guangshen Railway Co., Ltd. Class H 7,452,000 3,200,677 0.1% Guangshen Railway Co., Ltd. Sponsored ADR 5,067 108,180 0.0% Guangzhou R&F Properties Co., Ltd. 948,800 1,034,853 0.0% Guangzhou Shipyard International Co., Ltd. Class H 159,400 210,679 0.0% # Guodian Technology & Environment Group Corp., Ltd. Class H 3,678,000 750,007 0.0% Hainan Meilan International Airport Co., Ltd. Class H 720,000 560,014 0.0% Haitian International Holdings, Ltd. 2,380,000 5,074,601 0.1% # Hanergy Thin Film Power Group, Ltd. 42,960,000 9,801,792 0.2% Harbin Electric Co., Ltd. Class H 3,931,413 2,372,658 0.1% Henderson Investment, Ltd. 596,000 55,372 0.0% * Heng Tai Consumables Group, Ltd. 14,673,193 215,657 0.0% # Hengdeli Holdings, Ltd. 11,765,399 1,893,625 0.0% #* Hidili Industry International Development, Ltd. 5,079,000 550,575 0.0% # Hilong Holding, Ltd. 3,673,000 1,184,076 0.0% * Hisense Kelon Electrical Holdings Co., Ltd. Class H 2,030,000 1,814,346 0.0% * HKC Holdings, Ltd. 17,896,447 438,823 0.0% # Honghua Group, Ltd. 8,143,000 1,575,696 0.0% Hopefluent Group Holdings, Ltd. 787,670 233,729 0.0% Hopewell Highway Infrastructure, Ltd. 4,252,000 2,056,382 0.1% #* Hopson Development Holdings, Ltd. 3,584,000 3,189,387 0.1% # HOSA International, Ltd. 878,000 353,479 0.0% Hua Han Bio-Pharmaceutical Holdings, Ltd. 7,298,277 2,608,150 0.1% * Hua Lien International Holding Co., Ltd. 998,000 57,898 0.0% # Huabao International Holdings, Ltd. 9,322,014 6,665,751 0.1% # Huaneng Renewables Corp., Ltd. Class H 15,148,000 5,440,470 0.1% * Huili Resources Group, Ltd. 102,000 15,795 0.0% #* Hunan Nonferrous Metal Corp., Ltd. Class H 10,634,000 3,414,332 0.1% # Hutchison Harbour Ring, Ltd. 7,098,000 650,136 0.0% Inspur International, Ltd. 2,056,000 523,304 0.0% # Intime Retail Group Co., Ltd. 6,140,500 5,323,940 0.1% #* Jinchuan Group International Resources Co., Ltd. 2,262,000 227,627 0.0% Jingwei Textile Machinery Class H 1,272,000 1,276,698 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- CHINA -- (Continued) # Ju Teng International Holdings, Ltd. 4,556,000 $2,547,554 0.1% Jutal Offshore Oil Services, Ltd. 728,000 223,363 0.0% * Kai Yuan Holdings, Ltd. 15,260,000 201,676 0.0% # Kaisa Group Holdings, Ltd. 9,721,000 3,600,076 0.1% Kasen International Holdings, Ltd. 222,000 31,552 0.0% Kingboard Chemical Holdings, Ltd. 3,591,921 7,030,259 0.2% Kingboard Laminates Holdings, Ltd. 4,689,000 1,912,172 0.0% #* Kingdee International Software Group Co., Ltd. 8,871,200 2,910,385 0.1% # Kingsoft Corp., Ltd. 2,937,000 6,904,319 0.1% KWG Property Holding, Ltd. 7,633,950 5,300,951 0.1% #* Labixiaoxin Snacks Group, Ltd. 2,222,000 297,797 0.0% Lai Fung Holdings, Ltd. 26,020,440 557,927 0.0% # Le Saunda Holdings, Ltd. 1,778,000 894,671 0.0% Lee & Man Chemical Co., Ltd. 998,785 624,753 0.0% # Lee & Man Paper Manufacturing, Ltd. 8,268,000 4,526,626 0.1% * Leoch International Technology, Ltd. 1,436,000 266,600 0.0% #* Li Ning Co., Ltd. 128,750 67,922 0.0% #* Lianhua Supermarket Holdings Co., Ltd. Class H 2,067,600 1,026,224 0.0% * Lifetech Scientific Corp. 510,000 746,935 0.0% # Lijun International Pharmaceutical Holding Co., Ltd. 8,518,000 4,146,549 0.1% * Lingbao Gold Co., Ltd. Class H 682,000 109,800 0.0% Livzon Pharmaceutical Group, Inc. Class H 125,800 945,161 0.0% * LK Technology Holdings, Ltd. 837,500 80,841 0.0% Lonking Holdings, Ltd. 12,626,000 2,165,845 0.1% * Loudong General Nice Resources China Holdings, Ltd. 7,842,140 515,805 0.0% #* Maanshan Iron & Steel Co., Ltd. Class H 9,564,000 2,481,430 0.1% Maoye International Holdings, Ltd. 6,490,000 1,003,821 0.0% #* Microport Scientific Corp. 2,233,000 1,132,503 0.0% # MIE Holdings Corp. 5,212,000 719,806 0.0% MIN XIN Holdings, Ltd. 418,000 252,792 0.0% #* Mingfa Group International Co., Ltd. 6,150,000 1,711,492 0.0% * Mingyuan Medicare Development Co., Ltd. 6,950,000 228,557 0.0% Minmetals Land, Ltd. 6,738,000 781,439 0.0% # Minth Group, Ltd. 3,199,000 6,141,131 0.1% # MMG, Ltd. 8,022,000 2,694,361 0.1% MOBI Development Co., Ltd. 1,211,000 279,744 0.0% * Nan Hai Corp., Ltd. 29,650,000 168,553 0.0% Nature Home Holding Co., Ltd. 520,000 79,323 0.0% # NetDragon Websoft, Inc. 979,544 1,670,518 0.0% New World Department Store China, Ltd. 2,547,462 919,563 0.0% # Nine Dragons Paper Holdings, Ltd. 9,746,000 7,541,426 0.2% #* North Mining Shares Co., Ltd. 19,560,000 907,372 0.0% # NVC Lighting Holdings, Ltd. 7,010,000 1,608,970 0.0% * O-Net Communications Group, Ltd. 1,308,000 357,582 0.0% Overseas Chinese Town Asia Holdings, Ltd. 764,183 285,764 0.0% # Pacific Online, Ltd. 2,040,365 1,105,798 0.0% Parkson Retail Group, Ltd. 6,696,500 1,969,824 0.0% #* PAX Global Technology, Ltd. 1,141,000 1,225,492 0.0% Peak Sport Products Co., Ltd. 2,750,000 822,888 0.0% # Phoenix Satellite Television Holdings, Ltd. 5,986,000 1,845,561 0.0% # Poly Property Group Co., Ltd. 10,952,000 4,242,634 0.1% Ports Design, Ltd. 2,093,500 725,995 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- CHINA -- (Continued) * Pou Sheng International Holdings, Ltd. 8,759,806 $ 802,835 0.0% * Powerlong Real Estate Holdings, Ltd. 6,377,000 887,446 0.0% * Prosperity International Holdings HK, Ltd. 5,020,000 178,081 0.0% Qingling Motors Co., Ltd. Class H 1,694,000 539,588 0.0% * Qunxing Paper Holdings Co., Ltd. 669,913 32,653 0.0% * Real Gold Mining, Ltd. 300,500 10,191 0.0% Real Nutriceutical Group, Ltd. 4,359,000 1,484,751 0.0% #* Renhe Commercial Holdings Co., Ltd. 63,128,000 2,524,575 0.1% # REXLot Holdings, Ltd. 52,801,502 5,449,690 0.1% # Road King Infrastructure, Ltd. 1,409,000 1,221,676 0.0% Samson Holding, Ltd. 3,499,000 446,951 0.0% #* Sany Heavy Equipment International Holdings Co., Ltd. 5,010,000 1,110,446 0.0% Sateri Holdings, Ltd. 119,500 36,144 0.0% Scud Group, Ltd. 1,876,000 285,596 0.0% #* Semiconductor Manufacturing International Corp. 113,913,000 11,810,133 0.2% * Semiconductor Manufacturing International Corp. ADR 31,979 164,372 0.0% Shandong Chenming Paper Holdings, Ltd. Class H 1,863,000 861,651 0.0% Shanghai Industrial Holdings, Ltd. 1,824,000 5,612,217 0.1% #* Shanghai Industrial Urban Development Group, Ltd. 9,080,000 1,675,790 0.0% Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 5,906,000 2,026,817 0.1% Shanghai Prime Machinery Co., Ltd. Class H 4,298,000 824,185 0.0% * Shanghai Zendai Property, Ltd. 8,390,000 113,549 0.0% Shengli Oil & Gas Pipe Holdings, Ltd. 4,506,000 266,983 0.0% # Shenguan Holdings Group, Ltd. 5,768,000 1,631,099 0.0% Shenzhen Expressway Co., Ltd. Class H 3,662,400 2,343,110 0.1% Shenzhen International Holdings, Ltd. 4,811,751 7,647,056 0.2% # Shenzhen Investment, Ltd. 13,791,378 3,983,549 0.1% Shenzhou International Group Holdings, Ltd. 926,000 3,185,013 0.1% * Shougang Concord International Enterprises Co., Ltd. 25,538,000 1,185,806 0.0% # Shougang Fushan Resources Group, Ltd. 21,052,000 4,833,248 0.1% Shui On Land, Ltd. 19,170,643 4,401,163 0.1% * Shunfeng Photovoltaic International, Ltd. 48,000 40,189 0.0% Sichuan Expressway Co., Ltd. Class H 4,606,000 1,776,386 0.0% * Sijia Group Co. 1,076,350 35,669 0.0% Silver Grant International Industries, Ltd. 4,750,000 649,276 0.0% * SIM Technology Group, Ltd. 1,050,000 58,983 0.0% Sino Biopharmaceutical, Ltd. 13,536,000 13,610,428 0.3% #* Sino Oil And Gas Holdings, Ltd. 62,822,766 1,635,240 0.0% # Sino-Ocean Land Holdings, Ltd. 12,169,604 6,911,109 0.2% #* Sinofert Holdings, Ltd. 12,637,327 1,924,690 0.0% * Sinolink Worldwide Holdings, Ltd. 10,218,800 830,801 0.0% # SinoMedia Holding, Ltd. 1,983,000 1,230,343 0.0% # Sinopec Kantons Holdings, Ltd. 1,632,000 1,351,340 0.0% #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 2,598,001 1,148,195 0.0% # Sinosoft Technology Group, Ltd. 754,000 259,718 0.0% #* Sinotrans Shipping, Ltd. 6,209,086 1,698,384 0.0% Sinotrans, Ltd. Class H 8,358,000 6,632,109 0.1% # Sinotruk Hong Kong, Ltd. 3,250,500 1,689,070 0.0% SITC International Holdings Co., Ltd. 4,037,000 2,150,501 0.1% Skyworth Digital Holdings, Ltd. 9,764,760 5,340,829 0.1% SMI Corp., Ltd. 14,404,066 557,747 0.0% SOHO China, Ltd. 279,500 204,739 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- CHINA -- (Continued) * Solargiga Energy Holdings, Ltd. 9,199,000 $ 493,349 0.0% * Sparkle Roll Group, Ltd. 6,616,000 294,311 0.0% Springland International Holdings, Ltd. 3,824,000 1,462,497 0.0% # SPT Energy Group, Inc. 4,150,000 1,307,440 0.0% SRE Group, Ltd. 16,652,346 474,513 0.0% Sun King Power Electronics Group 132,000 14,501 0.0% # Sunac China Holdings, Ltd. 8,590,000 7,459,814 0.2% # Sunny Optical Technology Group Co., Ltd. 3,495,000 5,673,746 0.1% * Superb Summit International Group, Ltd. 170,000 36,631 0.0% TCC International Holdings, Ltd. 5,131,098 2,084,372 0.1% # TCL Communication Technology Holdings, Ltd. 2,504,198 2,459,540 0.1% #* TCL Multimedia Technology Holdings, Ltd. 3,322,510 1,178,295 0.0% * Technovator International, Ltd. 28,000 12,478 0.0% Tenfu Cayman Holdings Co., Ltd. 153,000 56,432 0.0% # Texhong Textile Group, Ltd. 1,710,000 1,166,502 0.0% Tian An China Investment Co., Ltd. 1,383,000 927,690 0.0% Tian Shan Development Holding, Ltd. 1,428,000 613,304 0.0% # Tiangong International Co., Ltd. 6,548,000 1,672,400 0.0% Tianjin Capital Environmental Protection Group Co., Ltd. Class H 1,572,000 1,121,674 0.0% Tianjin Development Hldgs, Ltd. 2,116,000 1,831,655 0.0% * Tianjin Jinran Public Utilities Co., Ltd. Class H 2,970,000 595,264 0.0% Tianjin Port Development Holdings, Ltd. 10,408,800 2,349,735 0.1% # Tianneng Power International, Ltd. 4,016,048 1,436,581 0.0% # Tibet 5100 Water Resources Holdings, Ltd. 6,712,000 2,397,264 0.1% # Tomson Group, Ltd. 1,120,751 296,077 0.0% # Tong Ren Tang Technologies Co., Ltd. Class H 3,268,000 4,425,310 0.1% Tongda Group Holdings, Ltd. 15,180,000 1,978,400 0.0% Tonly Electronics Holdings, Ltd. 287,451 245,873 0.0% Top Spring International Holdings, Ltd. 150,500 42,506 0.0% # Towngas China Co., Ltd. 4,470,000 4,681,887 0.1% TPV Technology, Ltd. 4,465,964 876,294 0.0% Travelsky Technology, Ltd. Class H 4,569,090 4,768,303 0.1% # Trigiant Group, Ltd. 2,774,000 671,945 0.0% * Trony Solar Holdings Co., Ltd. 1,757,000 26,734 0.0% # Truly International Holdings, Ltd. 7,469,573 3,777,476 0.1% # Uni-President China Holdings, Ltd. 5,477,000 5,065,080 0.1% * United Energy Group, Ltd. 13,116,450 2,028,026 0.1% * V1 Group, Ltd. 16,925,600 1,792,130 0.0% Wanguo International Mining Group, Ltd. 308,000 99,264 0.0% Wasion Group Holdings, Ltd. 2,612,000 2,729,537 0.1% Weiqiao Textile Co. Class H 2,537,500 1,266,611 0.0% Welling Holding, Ltd. 5,402,000 1,171,111 0.0% West China Cement, Ltd. 16,444,000 1,633,469 0.0% * Winsway Enterprises Holdings, Ltd. 6,894,000 315,755 0.0% # Wisdom Holdings Group 2,570,000 1,989,084 0.0% World Wide Touch Technology Holdings, Ltd. 3,216,000 116,122 0.0% # Wumart Stores, Inc. Class H 2,513,000 2,176,912 0.1% Xiamen International Port Co., Ltd. Class H 5,518,000 1,452,392 0.0% Xiao Nan Guo Restaurants Holdings, Ltd. 792,000 109,361 0.0% Xingda International Holdings, Ltd. 5,376,000 1,860,893 0.0% Xinhua Winshare Publishing and Media Co., Ltd. Class H 307,103 287,049 0.0% Xinjiang Goldwind Science & Technology Co., Ltd. Class H 1,535,400 2,755,607 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- CHINA -- (Continued) * Xinjiang Xinxin Mining Industry Co., Ltd. Class H 4,152,598 $ 893,863 0.0% * Xiwang Property Holdings Co., Ltd. 1,642,344 93,182 0.0% Xiwang Special Steel Co., Ltd. 2,966,000 416,190 0.0% XTEP International Holdings, Ltd. 3,413,500 1,524,411 0.0% * Yanchang Petroleum International, Ltd. 23,970,000 1,222,827 0.0% # Yingde Gases Group Co., Ltd. 5,126,000 4,002,596 0.1% # Yip's Chemical Holdings, Ltd. 1,490,000 998,996 0.0% Youyuan International Holdings, Ltd. 1,403,700 321,932 0.0% Yuanda China Holdings, Ltd. 11,480,000 712,057 0.0% # Yuexiu Property Co., Ltd. 37,642,284 6,990,952 0.2% # Yuexiu Transport Infrastructure, Ltd. 3,808,018 2,302,893 0.1% Yuzhou Properties Co., Ltd. 5,245,120 1,218,314 0.0% * Zall Development Group, Ltd. 2,840,000 1,028,987 0.0% # Zhaojin Mining Industry Co., Ltd. 4,386,500 2,316,687 0.1% Zhejiang Expressway Co., Ltd. Class H 5,900,000 5,949,342 0.1% Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 859,600 570,964 0.0% # Zhong An Real Estate, Ltd. 4,669,400 535,979 0.0% # Zhongsheng Group Holdings, Ltd. 3,105,500 3,194,378 0.1% Zhuzhou CSR Times Electric Co., Ltd. Class H 1,824,000 7,843,871 0.2% ------------ ---- TOTAL CHINA 726,118,024 14.8% ------------ ---- COLOMBIA -- (0.1%) Bolsa de Valores de Colombia 22,283,259 238,266 0.0% Celsia SA ESP 553,442 1,613,926 0.1% Constructora Conconcreto SA 293,150 210,156 0.0% Empresa de Telecomunicaciones de Bogota 1,981,412 520,030 0.0% * Fabricato SA 13,706,296 89,266 0.0% Grupo Odinsa SA 39,599 149,928 0.0% Isagen SA ESP 602,440 793,493 0.0% Mineros SA 102,961 139,367 0.0% ------------ ---- TOTAL COLOMBIA 3,754,432 0.1% ------------ ---- GREECE -- (0.5%) Aegean Airlines SA 261,316 2,276,500 0.1% * Astir Palace Hotel SA 73,995 351,381 0.0% Athens Water Supply & Sewage Co. SA (The) 166,816 1,152,079 0.0% * Attica Bank SA 1,077,474 83,732 0.0% Bank of Greece 142,930 1,845,109 0.1% * Corinth Pipeworks SA 6,729 10,996 0.0% * Ellaktor SA 909,399 2,566,982 0.1% Elval--Hellenic Aluminium Industry SA 61,004 91,073 0.0% * Fourlis Holdings SA 283,268 1,114,200 0.0% * Frigoglass SA 167,513 463,873 0.0% * GEK Terna Holding Real Estate Construction SA 475,188 1,215,948 0.0% Hellenic Exchanges--Athens Stock Exchange SA Holding 536,300 3,608,549 0.1% * Iaso SA 234,070 259,345 0.0% * Intracom Holdings SA 686,768 345,188 0.0% * Intralot SA-Integrated Lottery Systems & Services 865,039 1,225,209 0.0% * J&P-Avax SA 242,137 260,493 0.0% * Lamda Development SA 44,085 185,070 0.0% * Marfin Investment Group Holdings SA 6,320,159 1,670,581 0.0% Metka SA 185,058 1,809,732 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- GREECE -- (Continued) Motor Oil Hellas Corinth Refineries SA 361,798 $ 2,650,511 0.1% * Mytilineos Holdings SA 564,245 3,633,520 0.1% Piraeus Port Authority 41,359 637,628 0.0% Sarantis SA 95,423 836,690 0.0% * Sidenor Holdings SA 90,590 102,938 0.0% Terna Energy SA 257,713 739,787 0.0% Thessaloniki Water Supply & Sewage Co. SA 15,807 60,632 0.0% ----------- --- TOTAL GREECE 29,197,746 0.6% ----------- --- HONG KONG -- (0.0%) * China Culiangwang Beverages Holdings, Ltd. 829,500 50,829 0.0% Time Watch Investments, Ltd. 904,000 152,762 0.0% #* Wanda Hotel Development Co., Ltd. 767,000 163,265 0.0% ----------- --- TOTAL HONG KONG 366,856 0.0% ----------- --- HUNGARY -- (0.0%) * Danubius Hotel and SpA P.L.C. 34,868 676,531 0.0% * FHB Mortgage Bank P.L.C. 27,009 78,794 0.0% ----------- --- TOTAL HUNGARY 755,325 0.0% ----------- --- INDIA -- (10.7%) * 3M India, Ltd. 5,470 551,564 0.0% Aarti Industries 70,135 347,632 0.0% Aban Offshore, Ltd. 175,035 1,768,037 0.1% * ABG Shipyard, Ltd. 174,417 647,330 0.0% * Adani Power, Ltd. 341,678 266,229 0.0% * Advanta, Ltd. 142,847 784,724 0.0% Aegis Logistics, Ltd. 69,188 419,335 0.0% Agro Tech Foods, Ltd. 54,133 546,869 0.0% Ahmednagar Forgings, Ltd. 89,307 591,710 0.0% AIA Engineering, Ltd. 129,314 1,977,008 0.1% Ajanta Pharma, Ltd. 105,088 3,261,273 0.1% Akzo Nobel India, Ltd. 67,372 1,428,416 0.0% Alembic Pharmaceuticals, Ltd. 500,292 3,301,738 0.1% Alembic, Ltd. 539,380 413,609 0.0% Allahabad Bank 1,087,083 2,035,086 0.1% Allcargo Logistics, Ltd. 30,248 118,703 0.0% Alok Industries, Ltd. 5,490,403 1,119,679 0.0% Alstom India, Ltd. 148,374 1,286,324 0.0% Amara Raja Batteries, Ltd. 470,856 5,006,590 0.1% Amtek Auto, Ltd. 691,784 1,858,239 0.1% Amtek India, Ltd. 465,266 701,704 0.0% Anant Raj, Ltd. 1,147,745 1,004,159 0.0% Andhra Bank 1,077,921 1,473,994 0.0% Apar Industries, Ltd. 85,905 531,240 0.0% Apollo Hospitals Enterprise, Ltd. 65,541 1,188,972 0.0% Apollo Tyres, Ltd. 1,634,550 5,812,076 0.1% Arvind, Ltd. 1,340,968 6,508,092 0.1% * Asahi India Glass, Ltd. 307,262 583,160 0.0% * Ashok Leyland, Ltd. 8,562,959 6,472,526 0.1% Atul, Ltd. 69,305 1,437,169 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Aurobindo Pharma, Ltd. 1,129,123 $17,834,037 0.4% Automotive Axles, Ltd. 11,648 128,728 0.0% Bajaj Corp., Ltd. 229,151 1,059,622 0.0% Bajaj Electricals, Ltd. 207,026 952,856 0.0% Bajaj Finance, Ltd. 62,702 2,833,903 0.1% Bajaj Finserv, Ltd. 120,632 2,101,210 0.1% * Bajaj Hindusthan, Ltd. 1,601,606 506,507 0.0% Bajaj Holdings & Investment, Ltd. 92,719 2,090,800 0.1% Balkrishna Industries, Ltd. 182,757 2,290,360 0.1% Ballarpur Industries, Ltd. 1,807,146 497,123 0.0% Balmer Lawrie & Co., Ltd. 80,522 816,345 0.0% * Balrampur Chini Mills, Ltd. 1,218,398 1,085,717 0.0% Bank Of Maharashtra 974,900 686,102 0.0% Bannari Amman Sugars, Ltd. 15,663 319,937 0.0% BASF India, Ltd. 59,490 1,179,180 0.0% Bata India, Ltd. 145,561 3,015,931 0.1% BEML, Ltd. 102,325 1,125,788 0.0% Berger Paints India, Ltd. 803,453 5,200,241 0.1% BGR Energy Systems, Ltd. 161,858 441,056 0.0% Bharat Forge, Ltd. 737,890 9,746,080 0.2% Bhushan Steel, Ltd. 376,746 648,791 0.0% Biocon, Ltd. 508,356 3,698,865 0.1% Birla Corp., Ltd. 148,418 1,262,958 0.0% Blue Dart Express, Ltd. 27,720 2,409,004 0.1% Blue Star, Ltd. 167,317 914,529 0.0% Bombay Burmah Trading Co. 40,974 173,014 0.0% Bombay Dyeing & Manufacturing Co., Ltd. 785,565 854,944 0.0% Brigade Enterprises, Ltd. 99,090 235,406 0.0% Britannia Industries, Ltd. 230,022 5,755,106 0.1% Capital First, Ltd. 3,316 18,019 0.0% Carborundum Universal, Ltd. 329,688 1,028,620 0.0% CCL Products India, Ltd. 206,170 439,587 0.0% Ceat, Ltd. 94,161 1,318,942 0.0% * Central Bank Of India 540,226 591,203 0.0% Century Plyboards India, Ltd. 137,295 307,292 0.0% Century Textiles & Industries, Ltd. 356,772 3,209,153 0.1% CESC, Ltd. 546,678 6,006,922 0.1% Chambal Fertilizers & Chemicals, Ltd. 1,158,654 1,163,238 0.0% * Chennai Petroleum Corp., Ltd. 393,287 653,595 0.0% Cholamandalam Investment and Finance Co., Ltd. 71,956 563,618 0.0% City Union Bank, Ltd. 1,302,914 1,794,891 0.1% Clariant Chemicals India, Ltd. 54,229 862,855 0.0% Claris Lifesciences, Ltd. 82,834 228,935 0.0% CMC, Ltd. 65,297 2,065,826 0.1% Coromandel International, Ltd. 517,941 2,793,267 0.1% Corp. Bank 216,216 1,186,759 0.0% Cox & Kings, Ltd. 368,646 1,715,071 0.0% CRISIL, Ltd. 27,089 807,261 0.0% Crompton Greaves, Ltd. 2,205,917 6,742,411 0.2% Cyient, Ltd. 253,296 1,962,978 0.1% Dalmia Bharat, Ltd. 79,538 546,117 0.0% DB Corp., Ltd. 43,770 253,785 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) * DB Realty, Ltd. 815,914 $ 903,721 0.0% * DCB Bank, Ltd. 1,475,813 2,204,744 0.1% DCM Shriram, Ltd. 213,725 772,338 0.0% Deepak Fertilisers & Petrochemicals Corp., Ltd. 236,944 600,900 0.0% Delta Corp., Ltd. 535,652 777,941 0.0% * DEN Networks, Ltd. 343,697 923,521 0.0% Dena Bank 1,211,874 1,259,174 0.0% Dewan Housing Finance Corp., Ltd. 27,941 167,869 0.0% * Dish TV India, Ltd. 3,087,132 2,891,665 0.1% Dishman Pharmaceuticals & Chemicals, Ltd. 215,255 550,187 0.0% Dredging Corp. Of India, Ltd. 11,933 86,372 0.0% eClerx Services, Ltd. 69,202 1,462,688 0.0% Edelweiss Financial Services, Ltd. 1,248,730 1,109,405 0.0% * Educomp Solutions, Ltd. 34,411 17,228 0.0% Eicher Motors, Ltd. 44,217 9,154,615 0.2% * EID Parry India, Ltd. 486,900 1,736,542 0.0% EIH, Ltd. 714,368 1,185,476 0.0% Electrosteel Castings, Ltd. 711,611 221,536 0.0% Elgi Equipments, Ltd. 230,271 493,366 0.0% Emami, Ltd. 142,377 1,877,755 0.1% Engineers India, Ltd. 395,610 1,745,752 0.0% Entertainment Network India, Ltd. 48,584 399,580 0.0% * Era Infra Engineering, Ltd. 247,434 43,497 0.0% * Eros International Media, Ltd. 199,846 813,271 0.0% Escorts, Ltd. 523,565 1,443,267 0.0% Ess Dee Aluminium, Ltd. 125,607 725,278 0.0% * Essar Oil, Ltd. 2,063,648 4,063,434 0.1% Essar Ports, Ltd. 434,115 678,049 0.0% * Essar Shipping, Ltd. 44,136 16,286 0.0% Essel Propack, Ltd. 299,518 558,148 0.0% Exide Industries, Ltd. 1,310,267 3,363,832 0.1% FAG Bearings India, Ltd. 29,702 1,499,987 0.0% FDC, Ltd. 458,029 1,169,306 0.0% Federal Bank, Ltd. 3,805,760 8,828,723 0.2% * Federal-Mogul Goetze India, Ltd. 61,495 304,494 0.0% Financial Technologies India, Ltd. 124,447 354,343 0.0% Finolex Cables, Ltd. 452,858 1,651,844 0.0% Finolex Industries, Ltd. 330,505 1,718,673 0.0% * Firstsource Solutions, Ltd. 1,587,764 1,011,001 0.0% * Fortis Healthcare, Ltd. 795,081 1,566,126 0.0% * Future Consumer Enterprise, Ltd. 1,611,772 290,979 0.0% Future Lifestyle Fashions, Ltd. 21,868 33,598 0.0% Future Retail, Ltd. 415,146 780,627 0.0% Gabriel India, Ltd. 300,830 405,524 0.0% * Gammon Infrastructure Projects, Ltd. 110,324 26,227 0.0% Gateway Distriparks, Ltd. 476,197 2,225,380 0.1% Gati, Ltd. 220,146 730,060 0.0% GHCL, Ltd. 66,113 91,937 0.0% Gillette India, Ltd. 14,470 662,230 0.0% * Gitanjali Gems, Ltd. 126,872 118,839 0.0% Global Offshore Services, Ltd. 34,122 267,864 0.0% GMR Infrastructure, Ltd. 9,412,702 3,328,836 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) Godfrey Phillips India, Ltd. 4,304 $ 208,709 0.0% Godrej Industries, Ltd. 291,033 1,425,931 0.0% Godrej Properties, Ltd. 387,553 1,531,728 0.0% Graphite India, Ltd. 372,609 568,626 0.0% Great Eastern Shipping Co., Ltd. (The) 407,286 2,624,329 0.1% Greaves Cotton, Ltd. 557,173 1,175,276 0.0% Grindwell Norton, Ltd. 18,171 156,897 0.0% Gruh Finance, Ltd. 222,390 770,471 0.0% * GTL Infrastructure, Ltd. 1,158,583 52,728 0.0% Gujarat Alkalies & Chemicals, Ltd. 178,029 572,435 0.0% Gujarat Fluorochemicals, Ltd. 167,284 2,090,925 0.1% Gujarat Gas Co., Ltd. 98,905 778,624 0.0% Gujarat Industries Power Co., Ltd. 69,388 100,721 0.0% Gujarat Mineral Development Corp., Ltd. 536,132 1,334,027 0.0% Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 334,797 467,753 0.0% * Gujarat NRE Coke, Ltd. 1,625,158 197,775 0.0% * Gujarat Pipavav Port, Ltd. 720,632 1,941,137 0.1% Gujarat State Fertilisers & Chemicals, Ltd. 969,096 1,909,807 0.1% Gujarat State Petronet, Ltd. 1,141,942 1,800,405 0.1% Gulf Oil Corp., Ltd. 76,450 214,327 0.0% Gulf Oil Lubricants India, Ltd. 76,450 410,947 0.0% * GVK Power & Infrastructure, Ltd. 5,583,655 1,058,967 0.0% * Hathway Cable & Datacom, Ltd. 336,419 1,688,938 0.0% Havells India, Ltd. 1,856,255 8,621,682 0.2% * HCL Infosystems, Ltd. 626,484 745,855 0.0% HEG, Ltd. 94,448 465,025 0.0% * HeidelbergCement India, Ltd. 568,126 819,637 0.0% * Hexa Tradex, Ltd. 73,518 30,320 0.0% Hexaware Technologies, Ltd. 1,467,575 4,716,743 0.1% Hikal, Ltd. 9,657 111,081 0.0% * Himachal Futuristic Communications, Ltd. 3,622,058 1,083,095 0.0% Hinduja Global Solutions, Ltd. 30,903 339,530 0.0% Hinduja Ventures, Ltd. 36,075 185,019 0.0% * Hindustan Construction Co., Ltd. 1,572,759 845,232 0.0% * Hindustan Oil Exploration Co., Ltd. 69,160 67,934 0.0% Hindustan Petroleum Corp., Ltd. 682,702 5,817,344 0.1% Hitachi Home & Life Solutions India, Ltd. 55,505 580,404 0.0% Honeywell Automation India, Ltd. 13,295 1,212,688 0.0% * Hotel Leela Venture, Ltd. 540,246 199,842 0.0% * Housing Development & Infrastructure, Ltd. 2,481,124 3,369,000 0.1% HSIL, Ltd. 171,564 1,044,949 0.0% HT Media, Ltd. 406,397 776,300 0.0% Huhtamaki PPL, Ltd. 43,501 124,336 0.0% IDBI Bank, Ltd. 1,346,315 1,547,191 0.0% IIFL Holdings, Ltd. 1,190,766 3,298,804 0.1% IL&FS Transportation Networks, Ltd. 336,705 1,087,583 0.0% India Cements, Ltd. (The) 1,733,197 3,142,401 0.1% Indiabulls Housing Finance, Ltd. 357,294 2,442,410 0.1% Indian Bank 444,338 1,203,698 0.0% * Indian Hotels Co., Ltd. 2,387,814 4,073,150 0.1% Indian Overseas Bank 1,554,951 1,492,591 0.0% Indoco Remedies, Ltd. 228,250 1,092,958 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) Indraprastha Gas, Ltd. 468,548 $3,026,137 0.1% Info Edge India, Ltd. 158,914 2,185,066 0.1% ING Vysya Bank, Ltd. 21,126 221,791 0.0% Ingersoll-Rand India, Ltd. 56,522 824,716 0.0% * Inox Leisure, Ltd. 128,257 386,795 0.0% Intellect Design Arena, Ltd. 628,348 491,217 0.0% * International Paper APPM, Ltd. 57,705 286,139 0.0% Ipca Laboratories, Ltd. 370,908 4,439,903 0.1% IRB Infrastructure Developers, Ltd. 1,021,009 4,191,252 0.1% Jagran Prakashan, Ltd. 623,706 1,311,754 0.0% Jain Irrigation Systems, Ltd. 2,710,285 4,001,903 0.1% * Jaiprakash Associates, Ltd. 7,015,959 3,558,844 0.1% * Jaiprakash Power Ventures, Ltd. 6,325,569 1,377,437 0.0% Jammu & Kashmir Bank, Ltd. (The) 1,652,680 3,737,626 0.1% * Jaypee Infratech, Ltd. 3,103,300 1,159,577 0.0% JB Chemicals & Pharmaceuticals, Ltd. 39,763 148,761 0.0% JBF Industries, Ltd. 75,357 181,964 0.0% Jindal Drilling & Industries, Ltd. 13,908 51,009 0.0% Jindal Poly Films, Ltd. 77,588 383,866 0.0% * Jindal Poly Investment & Finance Co., Ltd. 7,223 16,360 0.0% Jindal Saw, Ltd. 1,093,711 1,384,672 0.0% * Jindal Stainless, Ltd. 380,310 210,243 0.0% JK Cement, Ltd. 177,509 1,760,463 0.1% JK Lakshmi Cement, Ltd. 352,255 2,140,818 0.1% JK Tyre & Industries, Ltd. 100,221 797,590 0.0% JM Financial, Ltd. 2,073,645 1,598,235 0.0% JSW Energy, Ltd. 2,053,448 2,669,972 0.1% * Jubilant Foodworks, Ltd. 278,198 5,745,725 0.1% Jubilant Life Sciences, Ltd. 404,153 943,458 0.0% Jyothy Laboratories, Ltd. 390,764 1,594,653 0.0% Kajaria Ceramics, Ltd. 223,469 2,182,846 0.1% Kakinada Fertilizers, Ltd. 632,948 21,669 0.0% Kalpataru Power Transmission, Ltd. 367,994 1,017,385 0.0% Kansai Nerolac Paints, Ltd. 12,854 403,033 0.0% Karnataka Bank, Ltd. (The) 1,085,634 2,198,060 0.1% Karur Vysya Bank, Ltd. (The) 308,591 2,757,769 0.1% Kaveri Seed Co., Ltd. 177,585 2,667,897 0.1% KEC International, Ltd. 743,980 1,317,508 0.0% * Kesoram Industries, Ltd. 263,878 532,656 0.0% Kewal Kiran Clothing, Ltd. 1,598 44,696 0.0% Kirloskar Brothers, Ltd. 817 3,436 0.0% Kirloskar Oil Engines, Ltd. 223,454 938,146 0.0% Kolte-Patil Developers, Ltd. 33,868 103,608 0.0% KPIT Technologies, Ltd. 851,895 2,296,414 0.1% KRBL, Ltd. 318,882 471,827 0.0% KSB Pumps, Ltd. 43,376 377,467 0.0% * KSK Energy Ventures, Ltd. 137,285 141,816 0.0% Lakshmi Machine Works, Ltd. 22,475 1,457,611 0.0% Lakshmi Vilas Bank, Ltd. (The) 529,392 649,809 0.0% * Lanco Infratech, Ltd. 4,921,870 547,504 0.0% * Mahanagar Telephone Nigam, Ltd. 361,078 174,991 0.0% Maharashtra Seamless, Ltd. 186,678 951,935 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) Mahindra & Mahindra Financial Services, Ltd. 214,465 $1,019,396 0.0% Mahindra Holidays & Resorts India, Ltd. 137,908 643,167 0.0% Mahindra Lifespace Developers, Ltd. 94,782 783,006 0.0% Man Infraconstruction, Ltd. 37,735 15,770 0.0% Mandhana Industries, Ltd. 54,218 219,036 0.0% * Mangalore Refinery & Petrochemicals, Ltd. 1,186,063 1,133,610 0.0% * Marico Kaya Enterprises, Ltd. 6,469 62,649 0.0% Marico, Ltd. 54,684 277,291 0.0% MAX India, Ltd. 931,335 5,386,128 0.1% McLeod Russel India, Ltd. 298,850 1,265,298 0.0% Mercator, Ltd. 612,469 287,093 0.0% Merck, Ltd. 46,604 615,771 0.0% MindTree, Ltd. 291,025 5,193,742 0.1% MOIL, Ltd. 158,280 798,196 0.0% Monnet Ispat & Energy, Ltd. 58,491 79,535 0.0% Monsanto India, Ltd. 37,272 1,817,558 0.1% Motherson Sumi Systems, Ltd. 1,229,584 8,431,473 0.2% Motilal Oswal Financial Services, Ltd. 8,131 28,324 0.0% Mphasis, Ltd. 359,650 2,343,306 0.1% MRF, Ltd. 9,265 4,719,366 0.1% * Nagarjuna Oil Refinery, Ltd. 294,114 21,696 0.0% Natco Pharma, Ltd. 94,555 2,226,876 0.1% National Aluminium Co., Ltd. 233,916 217,581 0.0% Nava Bharat Ventures, Ltd. 13,117 46,166 0.0% Navneet Education, Ltd. 586,476 980,578 0.0% NCC, Ltd.() 1,468,496 1,426,642 0.0% NCC, Ltd.(B0FXGP0) 1,343,524 1,294,996 0.0% NESCO, Ltd. 38,589 783,203 0.0% NIIT Technologies, Ltd. 251,992 1,585,175 0.0% NIIT, Ltd. 167,888 126,939 0.0% Nitin Fire Protection Industries, Ltd. 618,739 634,697 0.0% Noida Toll Bridge Co., Ltd. 126,184 73,337 0.0% Oberoi Realty, Ltd. 281,915 1,129,038 0.0% OCL India, Ltd. 51,578 261,748 0.0% OMAXE, Ltd. 450,427 964,073 0.0% Orient Cement, Ltd. 351,095 846,810 0.0% Orient Paper & Industries, Ltd. 14,822 7,754 0.0% Oriental Bank of Commerce 598,876 2,780,412 0.1% Orissa Minerals Development Co., Ltd. 6,645 370,156 0.0% * Oswal Chemicals & Fertilizers, Ltd. 29,723 15,557 0.0% Page Industries, Ltd. 25,589 3,712,396 0.1% * Panacea Biotec, Ltd. 7,183 18,379 0.0% * Pantaloons Fashions and Retail, Ltd. 515 1,016 0.0% * Parsvnath Developers, Ltd. 652,167 215,045 0.0% * Patel Engineering, Ltd. 17,376 28,192 0.0% PC Jeweller, Ltd. 307,936 1,212,376 0.0% Peninsula Land, Ltd. 559,353 327,392 0.0% Persistent Systems, Ltd. 81,500 1,723,784 0.0% Petronet LNG, Ltd. 1,060,870 3,432,491 0.1% Pfizer, Ltd. 59,280 1,595,828 0.0% Phoenix Mills, Ltd. (The) 191,022 1,186,911 0.0% PI Industries, Ltd. 256,614 1,860,474 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) Pidilite Industries, Ltd. 404,232 $2,719,678 0.1% * Pipavav Defence & Offshore Engineering Co., Ltd. 1,532,809 958,855 0.0% Piramal Enterprises, Ltd. 237,828 3,120,865 0.1% * Plethico Pharmaceuticals, Ltd. 68,473 46,097 0.0% Polaris Financial Technology, Ltd. 628,348 1,915,805 0.1% Praj Industries, Ltd. 498,336 511,233 0.0% Prakash Industries, Ltd. 219,127 207,497 0.0% Prestige Estates Projects, Ltd. 620,571 2,270,365 0.1% * Prism Cement, Ltd. 645,641 788,021 0.0% Procter & Gamble Hygiene & Health Care, Ltd. 4,185 366,233 0.0% PTC India Financial Services, Ltd. 1,323,605 1,089,731 0.0% PTC India, Ltd. 2,122,558 3,173,365 0.1% * Punj Lloyd, Ltd. 1,344,331 836,374 0.0% Punjab & Sind Bank 252,456 240,360 0.0% Puravankara Projects, Ltd. 309,126 503,350 0.0% Radico Khaitan, Ltd. 493,729 731,157 0.0% Rain Industries, Ltd. 811,842 656,536 0.0% Rajesh Exports, Ltd. 106,849 247,857 0.0% Rallis India, Ltd. 595,300 2,225,660 0.1% Ramco Cements, Ltd. (The) 431,652 2,428,855 0.1% Ratnamani Metals & Tubes, Ltd. 14,355 105,922 0.0% Raymond, Ltd. 249,192 1,874,188 0.1% Redington India, Ltd. 1,097,079 1,827,416 0.1% REI Agro, Ltd. 2,869,565 114,713 0.0% Relaxo Footwears, Ltd. 5,783 48,692 0.0% Rolta India, Ltd. 724,825 1,303,330 0.0% Ruchi Soya Industries, Ltd. 884,500 545,361 0.0% Sadbhav Engineering, Ltd. 301,858 1,150,254 0.0% Sanofi India, Ltd. 24,992 1,348,247 0.0% * Schneider Electric Infrastructure, Ltd. 192,641 480,293 0.0% Selan Exploration Technology, Ltd. 10,599 82,608 0.0% Shasun Pharmaceuticals, Ltd. 147,908 482,340 0.0% * Shipping Corp. of India, Ltd. 1,056,249 1,035,926 0.0% Shoppers Stop, Ltd. 104,486 911,820 0.0% * Shree Renuka Sugars, Ltd. 3,333,657 922,144 0.0% Simplex Infrastructures, Ltd. 26,558 130,886 0.0% Sintex Industries, Ltd. 1,531,929 2,408,790 0.1% SJVN, Ltd. 1,792,698 699,386 0.0% SKF India, Ltd. 90,529 1,823,506 0.1% Sobha Developers, Ltd. 369,482 2,596,179 0.1% Solar Industries India, Ltd. 25,668 1,051,686 0.0% Sona Koyo Steering Systems, Ltd. 76,531 69,433 0.0% Sonata Software, Ltd. 51,331 115,903 0.0% South Indian Bank, Ltd. (The) 2,782,692 1,258,386 0.0% Spice Mobility, Ltd. 27,538 12,889 0.0% SREI Infrastructure Finance, Ltd. 223,216 173,117 0.0% SRF, Ltd. 144,710 1,988,641 0.1% Star Ferro and Cement, Ltd. 137,796 158,690 0.0% State Bank of Bikaner & Jaipur 121,104 1,120,736 0.0% State Bank of Travancore 45,318 312,005 0.0% Sterlite Technologies, Ltd. 1,142,451 1,324,468 0.0% Strides Arcolab, Ltd. 338,221 3,642,630 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- INDIA -- (Continued) Styrolution ABS India, Ltd. 23,441 $ 241,692 0.0% * Sun Pharma Advanced Research Co., Ltd. 683,215 2,200,847 0.1% Sun TV Network, Ltd. 21,965 116,951 0.0% Sundaram Finance, Ltd. 34,562 771,086 0.0% Sundaram-Clayton, Ltd. 3,890 106,960 0.0% Sundram Fasteners, Ltd. 520,827 1,313,479 0.0% Supreme Industries, Ltd. 207,676 2,028,682 0.1% Supreme Petrochem, Ltd. 103,075 133,318 0.0% * Surana Industries, Ltd. 14,879 13,439 0.0% * Suzlon Energy, Ltd. 3,526,636 763,301 0.0% Swaraj Engines, Ltd. 14,236 222,086 0.0% Syndicate Bank 1,199,412 2,451,736 0.1% Tamil Nadu Newsprint & Papers, Ltd. 115,331 264,771 0.0% Tata Chemicals, Ltd. 421,074 2,789,419 0.1% Tata Communications, Ltd. 663,303 4,356,216 0.1% Tata Elxsi, Ltd. 155,165 1,568,671 0.0% Tata Global Beverages, Ltd. 1,925,124 5,019,319 0.1% Tata Sponge Iron, Ltd. 43,421 507,512 0.0% * Tata Teleservices Maharashtra, Ltd. 4,047,567 606,667 0.0% Tech Mahindra, Ltd. 51,993 2,134,070 0.1% Techno Electric & Engineering Co., Ltd. 83,594 365,275 0.0% Texmaco Rail & Engineering, Ltd. 275,783 431,256 0.0% Thermax, Ltd. 218,319 3,151,900 0.1% Time Technoplast, Ltd. 391,814 301,535 0.0% Timken India, Ltd. 43,278 293,266 0.0% Torrent Pharmaceuticals, Ltd. 365,996 5,251,595 0.1% Torrent Power, Ltd. 543,572 1,452,042 0.0% Transport Corp. of India, Ltd. 129,481 477,632 0.0% Tree House Education and Accessories, Ltd. 91,610 661,950 0.0% Trent, Ltd. 44,342 958,299 0.0% Triveni Turbine, Ltd. 262,694 383,690 0.0% TTK Prestige, Ltd. 31,862 2,034,422 0.1% Tube Investments of India, Ltd. 462,951 2,633,095 0.1% * TV18 Broadcast, Ltd. 3,759,896 1,781,844 0.1% TVS Motor Co., Ltd. 1,420,718 5,986,938 0.1% UCO Bank 1,711,048 2,433,341 0.1% Uflex, Ltd. 159,358 415,884 0.0% Unichem Laboratories, Ltd. 263,459 840,140 0.0% Union Bank of India 1,015,855 3,714,052 0.1% * Unitech, Ltd. 12,902,107 4,294,407 0.1% UPL, Ltd. 2,016,992 11,377,374 0.2% * Usha Martin, Ltd. 681,264 292,061 0.0% * Uttam Galva Steels, Ltd. 151,190 181,020 0.0% V-Guard Industries, Ltd. 84,617 1,256,578 0.0% VA Tech Wabag, Ltd. 76,489 1,984,004 0.1% Vakrangee, Ltd. 645,382 1,334,815 0.0% * Vardhman Special Steels, Ltd. 7,273 4,152 0.0% Vardhman Textiles, Ltd. 115,426 824,240 0.0% Vesuvius India, Ltd. 1,802 20,486 0.0% Videocon Industries, Ltd. 577,596 1,579,593 0.0% Vijaya Bank 1,632,111 1,266,805 0.0% VIP Industries, Ltd. 509,858 925,079 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ------------ --------------- INDIA -- (Continued) Voltas, Ltd. 993,937 $ 4,058,303 0.1% VST Industries, Ltd. 21,362 630,489 0.0% WABCO India, Ltd. 12,546 740,689 0.0% Welspun Corp., Ltd. 706,339 878,718 0.0% * Welspun Enterprises, Ltd. 35,317 116,477 0.0% Welspun India, Ltd. 163,779 794,286 0.0% Wockhardt, Ltd. 216,153 2,666,175 0.1% Wyeth, Ltd. 39,587 701,399 0.0% Zensar Technologies, Ltd. 108,058 1,064,635 0.0% Zuari Agro Chemicals, Ltd. 42,970 178,000 0.0% Zydus Wellness, Ltd. 67,180 687,690 0.0% ------------ ---- TOTAL INDIA 596,007,786 12.1% ------------ ---- INDONESIA -- (3.0%) Ace Hardware Indonesia Tbk PT 32,168,700 2,159,090 0.1% Adhi Karya Persero Tbk PT 9,983,100 2,275,533 0.1% Agung Podomoro Land Tbk PT 44,518,800 1,300,472 0.0% AKR Corporindo Tbk PT 6,651,000 2,709,731 0.1% Alam Sutera Realty Tbk PT 81,359,500 3,123,786 0.1% Aneka Tambang Persero Tbk PT 32,303,800 2,594,494 0.1% Arwana Citramulia Tbk PT 22,123,600 1,675,106 0.0% Asahimas Flat Glass Tbk PT 983,000 545,884 0.0% Astra Graphia Tbk PT 2,211,000 405,982 0.0% * Bakrie and Brothers Tbk PT 319,498,500 1,321,880 0.0% * Bakrie Sumatera Plantations Tbk PT 58,428,800 241,766 0.0% * Bakrie Telecom Tbk PT 80,514,398 333,117 0.0% * Bakrieland Development Tbk PT 204,925,750 847,852 0.0% Bank Bukopin Tbk PT 30,530,366 1,906,666 0.0% * Bank Pan Indonesia Tbk PT 16,508,200 1,365,956 0.0% Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 18,834,900 1,177,047 0.0% Bank Tabungan Negara Persero Tbk PT 34,158,549 3,166,629 0.1% * Barito Pacific Tbk PT 11,044,500 244,770 0.0% * Benakat Integra Tbk PT 153,781,700 1,768,864 0.0% * Berau Coal Energy Tbk PT 40,089,600 318,447 0.0% * Berlian Laju Tanker Tbk PT 35,106,366 -- 0.0% BISI International Tbk PT 9,272,000 376,108 0.0% * Borneo Lumbung Energi & Metal Tbk PT 26,226,700 147,545 0.0% * Budi Starch & Sweetener Tbk PT 5,947,000 50,282 0.0% * Bumi Resources Minerals Tbk PT 25,413,900 781,019 0.0% * Bumi Resources Tbk PT 137,456,100 1,572,353 0.0% BW Plantation Tbk PT 14,620,500 660,083 0.0% * Central Proteinaprima Tbk PT 21,920,000 90,691 0.0% Chandra Asri Petrochemical Tbk PT 13,500 3,436 0.0% Charoen Pokphand Indonesia Tbk PT 2,295,500 798,315 0.0% Ciputra Development Tbk PT 61,125,680 5,796,575 0.1% Ciputra Property Tbk PT 22,483,300 1,404,764 0.0% Ciputra Surya Tbk PT 6,946,000 1,393,777 0.0% Citra Marga Nusaphala Persada Tbk PT 12,391,100 3,235,401 0.1% * Clipan Finance Indonesia Tbk PT 1,482,000 53,839 0.0% * Darma Henwa Tbk PT 72,303,600 299,146 0.0% * Davomas Abadi Tbk PT 37,629,500 -- 0.0% * Delta Dunia Makmur Tbk PT 33,775,800 604,321 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ---------- --------------- INDONESIA -- (Continued) Elnusa Tbk PT 21,629,800 $ 926,721 0.0% * Energi Mega Persada Tbk PT 279,455,300 2,621,550 0.1% * Erajaya Swasembada Tbk PT 10,224,800 864,271 0.0% * Ever Shine Textile Tbk PT 3,654,640 66,531 0.0% * Exploitasi Energi Indonesia Tbk PT 50,011,000 761,672 0.0% Express Transindo Utama Tbk PT 7,814,900 753,725 0.0% * Fajar Surya Wisesa Tbk PT 672,500 89,594 0.0% Gajah Tunggal Tbk PT 14,159,800 1,687,662 0.0% * Garuda Indonesia Persero Tbk PT 31,709,749 1,390,791 0.0% * Golden Eagle Energy Tbk PT 7,919,950 1,179,605 0.0% * Gozco Plantations Tbk PT 10,666,000 85,564 0.0% * Hanson International Tbk PT 64,400,400 3,304,595 0.1% Harum Energy Tbk PT 6,750,300 883,155 0.0% Hexindo Adiperkasa Tbk PT 1,326,000 394,162 0.0% Holcim Indonesia Tbk PT 3,474,400 675,517 0.0% Indah Kiat Pulp & Paper Corp. Tbk PT 20,848,200 1,982,843 0.1% * Indika Energy Tbk PT 16,945,000 891,095 0.0% * Indo-Rama Synthetics Tbk PT 479,000 41,481 0.0% Indomobil Sukses Internasional Tbk PT 33,000 10,521 0.0% * Inovisi Infracom Tbk PT 6,112,767 263,032 0.0% Intiland Development Tbk PT 47,926,632 2,360,351 0.1% Japfa Comfeed Indonesia Tbk PT 29,271,200 3,042,560 0.1% Jaya Real Property Tbk PT 9,837,500 812,608 0.0% Kawasan Industri Jababeka Tbk PT 162,617,377 3,663,183 0.1% * Krakatau Steel Persero Tbk PT 12,979,100 511,316 0.0% * Lippo Cikarang Tbk PT 3,276,700 2,305,913 0.1% Malindo Feedmill Tbk PT 7,671,000 1,983,697 0.1% Matahari Putra Prima Tbk PT 11,225,028 2,922,673 0.1% Mayora Indah Tbk PT 2,971,550 6,952,392 0.2% Medco Energi Internasional Tbk PT 12,172,100 3,876,736 0.1% Mitra Adiperkasa Tbk PT 7,948,300 3,489,635 0.1% * Mitra International Resources Tbk PT 463,300 1,917 0.0% * Mitra Pinasthika Mustika Tbk PT 510,100 43,901 0.0% MNC Investama Tbk PT 154,302,900 4,277,620 0.1% MNC Sky Vision Tbk PT 1,540,200 242,423 0.0% Modern Internasional Tbk PT 4,017,800 240,859 0.0% Modernland Realty Tbk PT 59,404,400 2,444,251 0.1% Multipolar Tbk PT 58,448,100 4,551,124 0.1% Multistrada Arah Sarana Tbk PT 6,875,500 236,082 0.0% Nippon Indosari Corpindo Tbk PT 9,403,200 965,181 0.0% * Nusantara Infrastructure Tbk PT 78,200,000 1,269,035 0.0% Pabrik Kertas Tjiwi Kimia Tbk PT 1,844,300 139,151 0.0% Pakuwon Jati Tbk PT 24,111,100 897,889 0.0% Pan Brothers Tbk PT 17,232,100 663,208 0.0% * Panasia Indo Resources Tbk PT 79,000 2,608 0.0% * Panin Financial Tbk PT 109,840,300 2,428,660 0.1% Panin Sekuritas Tbk PT 31,500 13,349 0.0% * Paninvest Tbk PT 8,124,500 447,460 0.0% Pembangunan Perumahan Persero Tbk PT 23,207,900 5,051,391 0.1% Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 23,130,400 3,723,834 0.1% Petrosea Tbk PT 3,520,500 309,093 0.0% * Polaris Investama Tbk PT 2,730,500 360,459 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ------------ --------------- INDONESIA -- (Continued) * PT Texmaco Jaya Tbk 93,000 $ -- 0.0% Ramayana Lestari Sentosa Tbk PT 25,093,200 1,684,952 0.0% Resource Alam Indonesia Tbk PT 2,489,000 259,559 0.0% Salim Ivomas Pratama Tbk PT 22,921,000 1,468,919 0.0% Samindo Resources Tbk PT 475,750 20,086 0.0% Sampoerna Agro PT 5,317,000 924,044 0.0% Selamat Sempurna Tbk PT 5,481,000 2,038,522 0.1% Semen Baturaja Persero Tbk PT 12,552,900 388,596 0.0% * Sentul City Tbk PT 216,989,600 1,600,234 0.0% * Sigmagold Inti Perkasa Tbk PT 12,930,500 502,943 0.0% Sinar Mas Agro Resources & Technology Tbk PT 1,037,460 662,544 0.0% Sri Rejeki Isman Tbk PT 53,162,500 734,704 0.0% * Sugih Energy Tbk PT 116,941,500 4,081,484 0.1% Summarecon Agung Tbk PT 55,329,164 5,767,766 0.1% * Surabaya Agung Industri Pulp & Kertas Tbk PT 64,500 -- 0.0% * Surya Dumai Industri Tbk 3,298,500 -- 0.0% Surya Semesta Internusa Tbk PT 30,722,000 1,930,548 0.1% * Suryainti Permata Tbk PT 7,252,000 -- 0.0% Tempo Scan Pacific Tbk PT 528,000 124,612 0.0% * Tiga Pilar Sejahtera Food Tbk 15,893,000 2,881,054 0.1% Timah Persero Tbk PT 24,752,714 2,532,231 0.1% * Tiphone Mobile Indonesia Tbk PT 15,832,300 1,232,836 0.0% Total Bangun Persada Tbk PT 11,120,000 834,177 0.0% * Trada Maritime Tbk PT 12,248,113 1,402,427 0.0% Trias Sentosa Tbk PT 37,122,100 1,165,521 0.0% * Trimegah Securities Tbk PT 9,161,000 51,732 0.0% * Truba Alam Manunggal Engineering PT 21,316,500 14,111 0.0% Tunas Baru Lampung Tbk PT 12,409,400 718,933 0.0% Tunas Ridean Tbk PT 13,838,000 710,106 0.0% Ultrajaya Milk Industry & Trading Co. Tbk PT 3,667,600 1,160,593 0.0% Unggul Indah Cahaya Tbk PT 48,239 7,643 0.0% * Visi Media Asia Tbk PT 34,771,100 1,320,899 0.0% Waskita Karya Persero Tbk PT 13,428,300 1,078,084 0.0% Wijaya Karya Persero Tbk PT 18,002,400 4,262,584 0.1% Wintermar Offshore Marine Tbk PT 2,432,057 231,414 0.0% ------------ --- TOTAL INDONESIA 167,649,231 3.4% ------------ --- ISRAEL -- (0.0%) * Knafaim Holdings, Ltd. 7,307 11,979 0.0% * Metis Capital, Ltd. 919 -- 0.0% ------------ --- TOTAL ISRAEL 11,979 0.0% ------------ --- MALAYSIA -- (5.1%) A & M Realty Bhd 264,200 91,636 0.0% * Adventa Bhd 4,600 1,343 0.0% Aeon Co. M Bhd 3,863,200 4,403,400 0.1% # Aeon Credit Service M Bhd 46,800 223,983 0.0% # Affin Holdings Bhd 1,002,320 984,943 0.0% * Ahmad Zaki Resources Bhd 761,300 165,556 0.0% # Alam Maritim Resources Bhd 3,550,800 1,190,097 0.0% Allianz Malaysia Bhd 59,200 232,250 0.0% Amcorp Properties Bhd 449,300 127,777 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- MALAYSIA -- (Continued) Amway Malaysia Hldgs Bhd 399,300 $1,412,722 0.0% Ann Joo Resources Bhd 1,141,450 417,121 0.0% * Anson Perdana Bhd 10,000 -- 0.0% APM Automotive Holdings Bhd 256,900 437,288 0.0% Benalec Holdings Bhd 4,577,100 1,203,757 0.0% Berjaya Assets Bhd 848,300 227,038 0.0% Berjaya Corp. Bhd 20,740,900 3,216,083 0.1% Berjaya Land Bhd 3,734,000 953,982 0.0% BIMB Holdings Bhd 1,434,008 1,863,579 0.1% Bintulu Port Holdings Bhd 25,900 56,877 0.0% BLD Plantation Bhd 21,400 51,863 0.0% Bonia Corp. Bhd 857,800 297,100 0.0% Boustead Holdings Bhd 963,072 1,478,940 0.0% Boustead Plantations Bhd 199,900 92,352 0.0% # Bursa Malaysia Bhd 3,632,100 8,938,671 0.2% # Cahya Mata Sarawak Bhd 3,237,000 4,265,907 0.1% Can-One Bhd 497,700 367,779 0.0% # Carlsberg Brewery Malaysia Bhd Class B 1,144,000 3,861,005 0.1% Carotech Bhd 230,650 280 0.0% # CB Industrial Product Holding Bhd 2,697,240 1,976,016 0.1% Chin Teck Plantations Bhd 33,000 97,116 0.0% # Coastal Contracts Bhd 1,749,466 2,125,783 0.1% Crescendo Corp. Bhd 64,200 54,673 0.0% CSC Steel Holdings Bhd 564,800 190,481 0.0% # Cypark Resources Bhd 1,493,300 1,180,464 0.0% * D&O Green Technologies Bhd 149,900 12,274 0.0% Daibochi Plastic & Packaging Industry Bhd 46,200 60,126 0.0% * Datuk Keramik Holdings Bhd 24,000 -- 0.0% * Daya Materials Bhd 15,996,000 1,194,060 0.0% # Dayang Enterprise Holdings Bhd 2,409,196 2,152,806 0.1% DKSH Holdings Malaysia Bhd 160,600 302,635 0.0% DRB-Hicom Bhd 7,280,700 4,714,870 0.1% Dutch Lady Milk Industries Bhd 140,200 1,982,024 0.1% Eastern & Oriental Bhd 6,142,200 5,230,990 0.1% * ECM Libra Financial Group Bhd 367,466 112,863 0.0% Ekovest BHD 125,600 43,537 0.0% Engtex Group Bhd 451,700 266,593 0.0% * Evergreen Fibreboard Bhd 696,200 113,238 0.0% Eversendai Corp. Bhd 1,278,200 314,255 0.0% Faber Group Bhd 1,767,200 1,743,048 0.1% FAR East Holdings Bhd 61,500 151,498 0.0% * Fountain View Development Bhd 808,200 -- 0.0% George Kent Malaysia BHD 389,066 171,807 0.0% Globetronics Technology Bhd 1,731,760 2,384,719 0.1% Glomac Bhd 2,945,400 993,641 0.0% * Golden Plus Holding Bhd 216,000 -- 0.0% * Goldis Bhd 604,277 468,578 0.0% * Green Packet Bhd 3,430,800 365,322 0.0% * Guan Chong Bhd 212,100 70,897 0.0% Guinness Anchor Bhd 877,000 3,450,746 0.1% GuocoLand Malaysia Bhd 1,499,800 716,817 0.0% Hai-O Enterprise Bhd 722,380 568,859 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- MALAYSIA -- (Continued) # HAP Seng Consolidated Bhd 3,730,840 $4,993,051 0.1% Hap Seng Plantations Holdings Bhd 1,686,900 1,328,078 0.0% # Hartalega Holdings Bhd 1,457,100 3,101,239 0.1% Hiap Teck Venture Bhd 1,386,900 312,366 0.0% * Ho Wah Genting Bhd 1,947,000 106,268 0.0% Hock Seng LEE BHD 1,309,416 779,436 0.0% Hong Leong Industries Bhd 605,900 881,437 0.0% Hovid Bhd 2,894,200 347,705 0.0% Hua Yang Bhd 1,360,000 958,859 0.0% * Hume Industries Bhd 654,372 795,365 0.0% Hup Seng Industries Bhd 253,333 77,006 0.0% Hwang Capital Malaysia Bhd 476,900 279,745 0.0% I Bhd 425,000 98,991 0.0% IGB Corp. Bhd 5,809,555 5,087,927 0.1% # IJM Land Bhd 3,270,200 3,417,969 0.1% # IJM Plantations Bhd 1,730,500 1,889,055 0.1% # Inari Amertron Bhd 280,100 255,541 0.0% Inch Kenneth Kajang Rubber 1,045,300 258,754 0.0% # Insas Bhd 4,478,281 1,498,830 0.0% Integrax Bhd 191,900 126,652 0.0% # Iris Corp. Bhd 9,726,800 1,050,491 0.0% * Iskandar Waterfront City Bhd 3,000,600 1,360,683 0.0% * JAKS Resources Bhd 3,430,900 683,081 0.0% # Jaya Tiasa Holdings Bhd 2,723,627 1,756,868 0.1% JCY International Bhd 4,164,400 728,314 0.0% * K&N Kenanga Holdings Bhd 1,781,560 352,249 0.0% * Karambunai Corp. Bhd 4,654,100 120,522 0.0% Keck Seng Malaysia Bhd 828,150 1,523,933 0.0% Kian JOO CAN Factory Bhd 1,893,880 1,664,115 0.0% Kim Loong Resources Bhd 292,760 251,059 0.0% Kimlun Corp. Bhd 813,900 346,402 0.0% * Kinsteel Bhd 365,300 25,030 0.0% KLCCP Stapled Group 874,200 1,828,372 0.1% * KNM Group Bhd 11,072,950 2,709,317 0.1% # Kossan Rubber Industries 3,543,700 4,956,838 0.1% # KPJ Healthcare Bhd 6,458,025 7,677,401 0.2% * Kretam Holdings Bhd 3,112,600 487,260 0.0% * KSL Holdings Bhd 2,036,466 2,800,718 0.1% * KUB Malaysia Bhd 1,353,500 207,944 0.0% * Kulim Malaysia Bhd 2,845,300 2,956,518 0.1% * Kumpulan Europlus Bhd 684,400 218,584 0.0% Kumpulan Fima Bhd 897,450 567,640 0.0% Kumpulan Perangsang Selangor Bhd 2,317,900 1,113,817 0.0% Kwantas Corp. Bhd 390,200 237,341 0.0% Land & General Bhd 7,240,100 1,255,407 0.0% * Landmarks Bhd 1,577,800 580,800 0.0% LBS Bina Group Bhd 2,206,100 1,107,061 0.0% Lingkaran Trans Kota Holdings Bhd 999,500 1,185,009 0.0% Lion Industries Corp. Bhd 3,189,100 591,333 0.0% LPI Capital Bhd 110,680 614,445 0.0% Magnum Bhd 3,785,200 3,440,839 0.1% # Mah Sing Group Bhd 7,451,024 5,391,250 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- MALAYSIA -- (Continued) Malayan Flour Mills Bhd 1,707,450 $ 971,271 0.0% # Malaysia Building Society Bhd 615,605 484,493 0.0% #* Malaysian Airline System Bhd 31,866,900 2,472,496 0.1% Malaysian Bulk Carriers Bhd 3,246,700 1,540,509 0.0% Malaysian Pacific Industries Bhd 562,313 902,785 0.0% # Malaysian Resources Corp. Bhd 10,516,349 5,052,368 0.1% Malton Bhd 816,600 263,445 0.0% * Mancon Bhd 12,000 -- 0.0% # Matrix Concepts Holdings Bhd 312,900 285,579 0.0% MBM Resources Bhd 1,277,396 1,111,015 0.0% Media Chinese International, Ltd. 3,632,300 1,027,131 0.0% # Media Prima Bhd 6,973,103 4,155,355 0.1% Mega First Corp. Bhd 472,600 372,301 0.0% * MEMS Technology Bhd 1,917,000 -- 0.0% MHC Plantations Bhd 22,300 7,319 0.0% MK Land Holdings BHD 3,560,800 514,577 0.0% # MKH Bhd 1,490,390 1,521,983 0.0% MNRB Holdings Bhd 778,600 1,044,464 0.0% * MPHB Capital Bhd 549,700 402,893 0.0% Muda Holdings Bhd 358,600 187,052 0.0% # Mudajaya Group Bhd 1,826,566 1,155,102 0.0% # Muhibbah Engineering M Bhd 3,118,350 2,749,154 0.1% #* Mulpha International Bhd 12,935,100 1,672,013 0.1% # My EG Services Bhd 2,910,000 3,556,338 0.1% Naim Holdings Bhd 1,382,200 1,435,840 0.0% NCB Holdings Bhd 1,147,200 840,538 0.0% * Nikko Electronics Bhd 36,600 -- 0.0% NTPM Holdings Bhd 825,900 178,320 0.0% Oldtown Bhd 1,836,550 994,176 0.0% Oriental Holdings Bhd 182,700 405,914 0.0% # OSK Holdings Bhd 4,781,170 3,260,506 0.1% Pacific & Orient Bhd 231,100 97,682 0.0% # Padini Holdings Bhd 3,437,000 1,923,416 0.1% Panasonic Manufacturing Malaysia Bhd 159,584 921,895 0.0% * Panglobal Bhd 14,000 -- 0.0% Pantech Group Holdings Bhd 1,693,600 501,284 0.0% Paramount Corp. Bhd 387,625 176,859 0.0% * Parkson Holdings Bhd 3,428,027 2,627,645 0.1% #* Perdana Petroleum Bhd 4,471,740 2,202,574 0.1% #* Perisai Petroleum Teknologi Bhd 7,311,700 2,468,819 0.1% Pharmaniaga Bhd 353,360 496,488 0.0% Pie Industrial Bhd 174,720 355,883 0.0% PJ Development Holdings Bhd 2,618,500 1,250,475 0.0% # Pos Malaysia Bhd 2,861,100 4,394,218 0.1% Power Root Bhd 109,100 58,055 0.0% Press Metal Bhd 1,298,300 2,611,341 0.1% # Prestariang Bhd 2,107,600 1,089,631 0.0% * Prime Utilities Bhd 3,000 -- 0.0% Protasco Bhd 1,508,300 702,190 0.0% * Puncak Niaga Holding Bhd 1,353,220 1,361,961 0.0% # QL Resources Bhd 3,954,330 4,137,289 0.1% RCE Capital Bhd 1,535,850 156,469 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- MALAYSIA -- (Continued) * Rimbunan Sawit Bhd 3,389,100 $ 685,612 0.0% Salcon Bhd 5,027,500 1,131,488 0.0% Sarawak Oil Palms Bhd 471,360 824,161 0.0% Sarawak Plantation Bhd 106,600 76,825 0.0% Scientex Bhd 525,862 1,143,306 0.0% * Scomi Energy Services Bhd 3,824,700 878,535 0.0% #* Scomi Group Bhd 10,047,900 1,066,582 0.0% * Seal, Inc. BHD 913,200 280,755 0.0% SEG International Bhd 85,100 37,823 0.0% Selangor Dredging Bhd 1,118,200 370,541 0.0% Selangor Properties Bhd 180,800 322,336 0.0% Shangri-La Hotels Malaysia Bhd 365,900 784,388 0.0% * Shell Refining Co. Federation of Malaya Bhd 30,000 52,373 0.0% * Shin Yang Shipping Corp. Bhd 40,000 6,148 0.0% SHL Consolidated Bhd 277,400 291,889 0.0% Southern Acids Malaysia Bhd 41,000 56,842 0.0% # Star Publications Malaysia Bhd 1,633,100 1,280,959 0.0% Subur Tiasa Holdings Bhd 140,075 91,471 0.0% Sunway Bhd 4,652,260 4,881,423 0.1% # Supermax Corp. Bhd 5,402,500 3,829,388 0.1% Suria Capital Holdings Bhd 715,500 565,938 0.0% Syarikat Takaful Malaysia Bhd 454,100 1,642,995 0.0% Symphony Life Bhd 1,071,526 342,451 0.0% Ta Ann Holdings Bhd 1,150,508 1,346,719 0.0% TA Enterprise Bhd 9,078,000 2,402,349 0.1% TA Global Bhd 9,407,440 1,001,783 0.0% TAHPS Group Bhd 4,000 9,607 0.0% * Talam Transform Bhd 5,106,500 163,360 0.0% Taliworks Corp. Bhd 120,700 72,668 0.0% Tambun Indah Land Bhd 1,291,400 966,254 0.0% # TAN Chong Motor Holdings Bhd 1,992,000 2,507,219 0.1% * Tanjung Offshore Bhd 2,906,700 404,694 0.0% Tasek Corp. Bhd 75,900 385,110 0.0% # TDM Bhd 6,981,400 1,964,231 0.1% #* TH Heavy Engineering Bhd 6,433,100 1,248,938 0.0% TH Plantations Bhd 1,665,860 856,370 0.0% #* Time dotCom Bhd 1,821,888 2,868,966 0.1% Tiong NAM Logistics Holdings 1,927,200 650,658 0.0% # Top Glove Corp. Bhd 3,212,160 4,778,793 0.1% # Tropicana Corp. Bhd 4,108,800 1,636,560 0.0% # TSH Resources Bhd 3,704,100 2,680,245 0.1% # Tune Ins Holdings Bhd 1,108,200 731,384 0.0% Uchi Technologies Bhd 1,476,400 633,178 0.0% Unisem M Bhd 4,669,690 2,399,236 0.1% United Malacca Bhd 396,150 821,642 0.0% United Plantations Bhd 484,400 3,770,868 0.1% United U-Li Corp. BHD 257,900 135,019 0.0% # UOA Development Bhd 3,211,900 2,068,638 0.1% #* Uzma Bhd 610,200 640,380 0.0% VS Industry Bhd 762,026 574,930 0.0% Wah Seong Corp. Bhd 2,471,638 1,246,456 0.0% # WCT Holdings Bhd 6,637,861 4,383,894 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- MALAYSIA -- (Continued) Wellcall Holdings Bhd 293,600 $ 145,565 0.0% Wing Tai Malaysia Bhd 724,500 440,385 0.0% WTK Holdings Bhd 3,019,100 1,138,829 0.0% # Yinson Holdings BHD 2,891,600 2,558,920 0.1% YNH Property Bhd 2,159,885 1,359,057 0.0% YTL E-Solutions Bhd 3,485,600 630,735 0.0% * YTL Land & Development Bhd 1,352,200 376,237 0.0% Zhulian Corp. Bhd 1,171,233 762,890 0.0% ------------ --- TOTAL MALAYSIA 283,665,087 5.8% ------------ --- MEXICO -- (4.3%) # Alpek S.A.B. de C.V. 1,145,410 2,015,870 0.0% #* Alsea S.A.B. de C.V. 4,466,994 14,001,806 0.3% Arca Continental S.A.B. de C.V. 408,956 2,632,989 0.1% #* Axtel S.A.B. de C.V. 8,265,993 2,203,651 0.1% # Banregio Grupo Financiero S.A.B. de C.V. 1,587,291 9,194,000 0.2% * Bio Pappel S.A.B. de C.V. 547,937 1,086,414 0.0% # Bolsa Mexicana de Valores S.A.B. de C.V. 3,784,064 7,955,210 0.2% # Cia Minera Autlan S.A.B. de C.V. Series B 885,151 998,455 0.0% # Compartamos S.A.B. de C.V. 3,957,362 8,816,178 0.2% #* Consorcio ARA S.A.B. de C.V. Series * 7,488,137 3,414,251 0.1% Controladora Comercial Mexicana S.A.B. de C.V. 327,677 1,296,230 0.0% Corp. Actinver S.A.B. de C.V. 161,282 195,940 0.0% #* Corp. GEO S.A.B. de C.V. Series B 3,194,830 24,360 0.0% # Corp. Inmobiliaria Vesta S.A.B. de C.V. 2,629,182 5,779,173 0.1% * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 960,372 638,287 0.0% * Corp. Mexicana de Restaurantes S.A.B. de C.V. 1,323 540 0.0% Corp. Moctezuma S.A.B. de C.V. Series * 861,300 2,892,267 0.1% Corporativo Fragua S.A.B. de C.V. 3 54 0.0% * Corporativo GBM S.A.B. de C.V. 22,477 26,289 0.0% Cydsa S.A.B. de C.V. 3,875 9,493 0.0% #* Desarrolladora Homex S.A.B. de C.V. 781,820 130,303 0.0% * Empaques Ponderosa S.A. de C.V. 206,000 -- 0.0% #* Empresas ICA S.A.B. de C.V. 3,558,526 6,328,911 0.1% #* Empresas ICA S.A.B. de C.V. Sponsored ADR 776,820 5,538,727 0.1% * Financiera Independencia S.A.B. de C.V. 199,935 103,187 0.0% #* Genomma Lab Internacional S.A.B. de C.V. Class B 7,354,004 18,627,686 0.4% #* Gruma S.A.B. de C.V. Class B 1,606,949 17,652,722 0.4% * Gruma S.A.B. de C.V. Sponsored ADR 31,770 1,397,245 0.0% #* Grupo Aeromexico S.A.B. de C.V. 1,575,626 2,465,307 0.1% # Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 1,896,020 9,405,301 0.2% Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 3,642 144,223 0.0% Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 74,739 5,093,463 0.1% # Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 2,116,469 14,454,778 0.3% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 100,208 13,496,013 0.3% # Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 724,790 9,771,512 0.2% Grupo Cementos de Chihuahua S.A.B. de C.V. 822,000 2,135,842 0.0% # Grupo Comercial Chedraui S.A. de C.V. 1,876,709 6,508,294 0.1% #* Grupo Famsa S.A.B. de C.V. Class A 1,682,548 1,749,238 0.0% Grupo Financiero Interacciones S.A. de C.V. 335,784 2,742,127 0.1% # Grupo Herdez S.A.B. de C.V. Series * 1,190,783 3,059,582 0.1% Grupo Industrial Maseca S.A.B. de C.V. Class B 592,181 923,479 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- MEXICO -- (Continued) Grupo Industrial Saltillo S.A.B. de C.V. 244,931 $ 618,227 0.0% Grupo KUO S.A.B. de C.V. Series B 708,433 1,547,202 0.0% #* Grupo Pochteca S.A.B. de C.V. 547,728 603,604 0.0% * Grupo Posadas S.A.B. de C.V. 198,900 347,101 0.0% * Grupo Qumma S.A. de C.V. Series B 105,334 -- 0.0% # Grupo Sanborns S.A.B. de C.V. 225,221 359,584 0.0% #* Grupo Simec S.A.B. de C.V. Series B 960,646 4,236,009 0.1% #* Grupo Simec S.A.B. de C.V. Sponsored ADR 5,180 67,185 0.0% #* Grupo Sports World S.A.B. de C.V. 384,528 728,151 0.0% Industrias Bachoco S.A.B. de C.V. ADR 23,558 1,440,572 0.0% # Industrias Bachoco S.A.B. de C.V. Series B 713,845 3,629,590 0.1% #* Industrias CH S.A.B. de C.V. Series B 1,696,510 9,294,979 0.2% #* Inmuebles Carso S.A.B. de C.V. 340,447 372,902 0.0% #* Maxcom Telecomunicaciones S.A.B. de C.V. 4,234,853 754,750 0.0% Megacable Holdings S.A.B. de C.V. 797,354 3,650,968 0.1% * Minera Frisco S.A.B. de C.V. 45,547 80,499 0.0% # Organizacion Cultiba S.A.B. de C.V. 954,940 1,506,914 0.0% * Promotora y Operadora de Infraestructura S.A.B. de C.V. 1,454,679 20,065,469 0.4% # Qualitas Controladora S.A.B. de C.V. 507,002 1,317,744 0.0% * Sanluis Corp. S.A.B. de C.V.(2385783) 4,642 -- 0.0% * Sanluis Corp. S.A.B. de C.V.(B0507N6) 90,235 319,629 0.0% * Sanluis Corp. S.A.B. de C.V. Class B 4,642 -- 0.0% * Sanluis Rassini S.A.P.I. de C.V. Series A 3,300 -- 0.0% * Savia SA Class A 610,700 -- 0.0% # TV Azteca S.A.B. de C.V. 8,731,190 4,564,565 0.1% #* Urbi Desarrollos Urbanos S.A.B. de C.V. 2,371,991 712 0.0% #* Vitro S.A.B. de C.V. Series A 791,268 2,030,723 0.0% ------------ --- TOTAL MEXICO 242,446,476 4.9% ------------ --- PHILIPPINES -- (1.3%) A Soriano Corp. 3,430,211 538,314 0.0% Alsons Consolidated Resources, Inc. 8,261,000 357,211 0.0% Atlas Consolidated Mining & Development 4,970,900 1,327,478 0.0% Belle Corp. 32,827,700 3,830,207 0.1% Cebu Air, Inc. 1,363,330 2,233,475 0.1% Cebu Holdings, Inc. 3,291,900 378,151 0.0% Century Properties Group, Inc. 24,686,722 594,745 0.0% China Banking Corp. 972,061 1,063,559 0.0% COL Financial Group, Inc. 130,900 42,335 0.0% Cosco Capital, Inc. 567,300 98,714 0.0% D&L Industries, Inc. 8,726,700 2,662,246 0.1% * East West Banking Corp. 898,500 518,623 0.0% EEI Corp. 3,567,700 889,510 0.0% * Empire East Land Holdings, Inc. 20,479,000 401,556 0.0% Energy Development Corp. 1,254,800 215,261 0.0% Filinvest Development Corp. 3,314,322 335,308 0.0% Filinvest Land, Inc. 97,563,577 3,349,758 0.1% First Gen Corp. 10,673,100 6,156,272 0.1% First Philippine Holdings Corp. 2,105,270 4,080,310 0.1% Leisure & Resorts World Corp. 2,750,840 588,221 0.0% * Lepanto Consolidated Mining Co. 38,640,000 284,431 0.0% Lopez Holdings Corp. 15,513,300 2,298,452 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- PHILIPPINES -- (Continued) Manila Water Co., Inc. 7,136,500 $ 4,592,800 0.1% * Megawide Construction Corp. 2,050,531 407,172 0.0% Megaworld Corp. 5,477,300 605,299 0.0% * Metro Pacific Corp. Series A 1,827,193 -- 0.0% Metro Pacific Investments Corp. 380,500 43,060 0.0% * Pepsi-Cola Products Philippines, Inc. 10,979,900 1,142,846 0.0% Petron Corp. 2,741,200 721,313 0.0% * Philex Petroleum Corp. 287,100 41,234 0.0% * Philippine Bank of Communications 14,726 12,491 0.0% * Philippine National Bank 1,575,305 2,966,449 0.1% * Philippine National Construction Corp. 173,000 3,543 0.0% Philippine Savings Bank 356,863 893,003 0.0% Philippine Stock Exchange, Inc. (The) 113,232 732,845 0.0% * Philippine Townships, Inc. 318,732 -- 0.0% * Philtown Properties, Inc. 111,562 -- 0.0% Philweb Corp. 3,070,740 363,478 0.0% Phinma Corp. 135,549 31,160 0.0% Phoenix Petroleum Philippines, Inc. 892,880 81,130 0.0% Puregold Price Club, Inc. 2,443,000 1,884,455 0.0% RFM Corp. 8,845,668 983,377 0.0% Rizal Commercial Banking Corp. 2,713,620 3,205,830 0.1% Robinsons Land Corp. 12,110,305 6,624,744 0.1% San Miguel Pure Foods Co., Inc. 83,210 427,458 0.0% Security Bank Corp. 1,547,208 4,954,794 0.1% Semirara Mining and Power Corp. 1,034,800 2,790,963 0.1% Shang Properties, Inc. 63,970 4,647 0.0% Trans-Asia Oil & Energy Development Corp. 13,406,000 717,488 0.0% Union Bank of the Philippines 743,260 1,949,115 0.1% * Universal Rightfield Property Holdings, Inc. 1,062,000 -- 0.0% Universal Robina Corp. 434,245 1,798,734 0.0% * Victorias Milling Co., Inc. 231,600 24,578 0.0% Vista Land & Lifescapes, Inc. 33,060,800 4,531,239 0.1% ----------- --- TOTAL PHILIPPINES 74,779,382 1.5% ----------- --- POLAND -- (1.8%) ABC Data SA 129,926 147,718 0.0% Action SA 19,311 266,687 0.0% * Agora SA 260,754 622,631 0.0% * Alchemia SA 295,903 440,297 0.0% * Alior Bank SA 40,066 890,605 0.0% # Amica Wronki SA 12,959 413,423 0.0% * AmRest Holdings SE 58,462 1,545,644 0.1% Apator SA 54,682 609,081 0.0% Asseco Poland SA 656,782 9,749,693 0.2% ATM SA 64,541 222,993 0.0% * Bioton SA 488,557 609,543 0.0% * Boryszew SA 1,238,906 2,355,279 0.1% Budimex SA 106,377 4,246,709 0.1% CCC SA 129,831 4,979,358 0.1% #* CD Projekt SA 727,757 3,610,543 0.1% Ciech SA 295,749 3,570,436 0.1% ComArch SA 2,740 77,614 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- POLAND -- (Continued) Dom Development SA 4,673 $ 62,701 0.0% Eko Export SA 46,236 406,059 0.0% Elektrobudowa SA 8,568 197,959 0.0% Emperia Holding SA 82,621 1,179,815 0.0% Eurocash SA 199,667 1,963,046 0.1% Fabryki Mebli Forte SA 106,283 1,798,206 0.1% Famur SA 350,412 345,548 0.0% * Farmacol SA 50,868 768,090 0.0% Firma Oponiarska Debica SA 29,862 961,194 0.0% #* Getin Holding SA 2,582,004 1,871,333 0.1% * Getin Noble Bank SA 309,777 239,372 0.0% * Global City Holdings NV 53,690 619,617 0.0% Grupa Azoty SA 98,081 1,826,059 0.1% Grupa Azoty Zaklady Chemiczne Police SA 76,751 493,589 0.0% Grupa Kety SA 52,232 4,315,203 0.1% * Grupa Lotos SA 645,490 4,986,549 0.1% * Hawe SA 846,548 591,375 0.0% * Impexmetal SA 925,041 741,610 0.0% #* Integer.pl SA 17,419 1,035,754 0.0% Inter Cars SA 23,846 1,444,793 0.0% #* Jastrzebska Spolka Weglowa SA 157,382 1,352,479 0.0% * Kernel Holding SA 321,429 2,538,559 0.1% * Kopex SA 214,308 725,582 0.0% * KRUK SA 40,424 1,293,535 0.0% * LC Corp. SA 192,664 103,512 0.0% Lentex SA 203,837 513,571 0.0% LPP SA 689 2,056,901 0.1% Lubelski Wegiel Bogdanka SA 274,756 9,120,473 0.2% * MCI Management SA 225,220 674,590 0.0% #* Midas SA 2,169,441 392,380 0.0% * Mostostal Zabrze SA 453,910 302,023 0.0% Netia SA 2,145,858 3,548,221 0.1% Neuca SA 16,095 1,062,586 0.0% Orbis SA 132,247 1,442,274 0.0% Pelion SA 47,515 1,023,629 0.0% * Pfleiderer Grajewo SA 26,312 244,227 0.0% * Polimex-Mostostal SA 3,287,314 88,113 0.0% * Polnord SA 227,279 494,849 0.0% * Polski Koncern Miesny Duda SA 161,488 338,287 0.0% * Rafako SA 320,028 487,666 0.0% * Rovese SA 2,276,863 993,055 0.0% * Stalexport Autostrady SA 282,703 230,861 0.0% Stalprodukt SA 9,034 738,064 0.0% * Sygnity SA 54,489 267,678 0.0% # Synthos SA 950,811 1,181,584 0.0% #* Trakcja SA 2,364,349 780,400 0.0% * TVN SA 1,351,909 6,063,227 0.1% * Vistula Group SA 905,469 456,824 0.0% Warsaw Stock Exchange 171,071 2,236,688 0.1% Wawel SA 646 176,616 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- POLAND -- (Continued) Zespol Elektrowni Patnow Adamow Konin SA 47,291 $ 442,525 0.0% ------------ --- TOTAL POLAND 101,577,105 2.1% ------------ --- SOUTH AFRICA -- (7.3%) #* Adcock Ingram Holdings, Ltd. 945,633 4,239,474 0.1% Adcorp Holdings, Ltd. 638,727 1,969,285 0.0% Advtech, Ltd. 2,067,028 1,545,615 0.0% Aeci, Ltd. 874,500 9,805,655 0.2% # African Bank Investments, Ltd. 5,287,877 148,620 0.0% African Oxygen, Ltd. 853,971 1,501,729 0.0% Allied Electronics Corp., Ltd. 194,270 365,611 0.0% * ArcelorMittal South Africa, Ltd. 1,256,981 3,722,625 0.1% # Astral Foods, Ltd. 336,669 4,628,437 0.1% #* Aveng, Ltd. 3,738,805 6,872,954 0.1% AVI, Ltd. 2,864,947 18,683,109 0.4% Barloworld, Ltd. 1,322,234 11,486,919 0.2% * Basil Read Holdings, Ltd. 325,585 144,523 0.0% * Bell Equipment, Ltd. 62,283 77,235 0.0% Blue Label Telecoms, Ltd. 3,010,829 2,661,811 0.1% * Brait SE 490,067 3,683,677 0.1% Business Connexion Group, Ltd. 1,486,408 859,724 0.0% # Capitec Bank Holdings, Ltd. 238,749 6,303,351 0.1% Cashbuild, Ltd. 181,247 2,550,095 0.1% Caxton and CTP Publishers and Printers, Ltd. 305,099 411,985 0.0% City Lodge Hotels, Ltd. 271,241 3,024,270 0.1% # Clicks Group, Ltd. 2,503,733 17,074,770 0.4% Clover Industries, Ltd. 876,952 1,569,646 0.0% * Consolidated Infrastructure Group, Ltd. 369,409 1,069,714 0.0% Coronation Fund Managers, Ltd. 1,346,747 11,660,676 0.2% * Corpgro, Ltd. 241,136 -- 0.0% Cullinan Holdings, Ltd. 197,115 40,212 0.0% Datacentrix Holdings, Ltd. 641,400 226,164 0.0% DataTec, Ltd. 1,594,491 8,026,779 0.2% Distell Group, Ltd. 234,978 2,842,411 0.1% Distribution and Warehousing Network, Ltd. 258,997 173,876 0.0% DRDGOLD, Ltd. 2,796,971 778,292 0.0% EOH Holdings, Ltd. 815,234 7,955,474 0.2% * Eqstra Holdings, Ltd. 1,879,251 882,569 0.0% * Evraz Highveld Steel and Vanadium, Ltd. 113,631 41,619 0.0% # Famous Brands, Ltd. 482,507 4,747,058 0.1% # Foschini Group, Ltd. (The) 1,278,900 14,457,346 0.3% Grand Parade Investments, Ltd. 2,269,420 1,463,629 0.0% Grindrod, Ltd. 3,782,084 7,754,224 0.2% Group Five, Ltd. 928,791 3,176,658 0.1% * Harmony Gold Mining Co., Ltd. 601,700 971,981 0.0% #* Harmony Gold Mining Co., Ltd. Sponsored ADR 2,826,385 4,578,744 0.1% Holdsport, Ltd. 107,084 442,416 0.0% * Howden Africa Holdings, Ltd. 9,069 34,618 0.0% Hudaco Industries, Ltd. 229,223 2,014,804 0.0% * Hulamin, Ltd. 808,759 500,602 0.0% Iliad Africa, Ltd. 233,033 145,854 0.0% Illovo Sugar, Ltd. 1,768,890 4,237,662 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- SOUTH AFRICA -- (Continued) Invicta Holdings, Ltd. 116,323 $ 1,068,458 0.0% * JCI, Ltd. 3,131,151 -- 0.0% #* JD Group, Ltd. 1,277,054 2,857,222 0.1% JSE, Ltd. 715,512 6,966,675 0.1% KAP Industrial Holdings, Ltd. 2,542,018 1,030,676 0.0% # Lewis Group, Ltd. 970,759 5,844,320 0.1% Massmart Holdings, Ltd. 53,721 580,739 0.0% Merafe Resources, Ltd. 9,455,242 874,318 0.0% Metair Investments, Ltd. 958,518 3,259,725 0.1% Mpact, Ltd. 1,292,778 4,169,798 0.1% Murray & Roberts Holdings, Ltd. 3,362,776 6,907,898 0.1% Mustek, Ltd. 740,975 524,760 0.0% Nampak, Ltd. 2,719,764 11,091,128 0.2% * Northam Platinum, Ltd. 2,703,360 8,353,799 0.2% Nu-World Holdings, Ltd. 28,894 70,786 0.0% Oceana Group, Ltd. 369,193 2,543,232 0.1% Octodec Investments, Ltd. 15,312 31,722 0.0% Omnia Holdings, Ltd. 586,831 11,713,180 0.2% Peregrine Holdings, Ltd. 1,120,797 2,337,657 0.1% Petmin, Ltd. 1,215,428 181,891 0.0% # Pick n Pay Stores, Ltd. 1,270,977 6,147,059 0.1% Pinnacle Holdings, Ltd. 1,141,564 1,259,762 0.0% Pioneer Foods, Ltd. 738,246 7,965,567 0.2% PPC, Ltd. 4,672,984 12,536,595 0.3% # PSG Group, Ltd. 804,926 8,397,414 0.2% * Quantum Foods Holdings 714,130 197,475 0.0% Raubex Group, Ltd. 980,209 1,979,583 0.0% RCL Foods, Ltd. 490,053 709,670 0.0% Resilient Property Income Fund, Ltd. 225,124 1,663,057 0.0% # Reunert, Ltd. 1,480,382 7,813,220 0.2% * Royal Bafokeng Platinum, Ltd. 441,740 2,343,953 0.1% Santam, Ltd. 123,232 2,284,040 0.0% * Sappi, Ltd. 4,863,405 19,262,207 0.4% Sibanye Gold, Ltd. 4,294,147 8,090,957 0.2% Sibanye Gold, Ltd. Sponsored ADR 611,009 4,490,916 0.1% # Spar Group, Ltd. (The) 1,304,149 15,258,631 0.3% Spur Corp., Ltd. 580,548 1,640,521 0.0% * Stefanutti Stocks Holdings, Ltd. 524,569 318,457 0.0% Sun International, Ltd. 901,369 10,096,536 0.2% * Super Group, Ltd. 2,673,574 7,655,591 0.2% * Telkom SA SOC, Ltd. 2,411,246 12,813,649 0.3% Times Media Group, Ltd. 82,884 146,629 0.0% Tongaat Hulett, Ltd. 819,141 10,808,964 0.2% Trencor, Ltd. 1,033,773 6,234,479 0.1% Truworths International, Ltd. 56,331 386,054 0.0% Tsogo Sun Holdings, Ltd. 72,564 182,158 0.0% Value Group, Ltd. 363,719 144,834 0.0% Wilson Bayly Holmes-Ovcon, Ltd. 447,982 5,279,619 0.1% Zeder Investments, Ltd. 4,089,733 2,151,771 0.0% ------------ --- TOTAL SOUTH AFRICA 410,221,854 8.3% ------------ ---
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (12.7%) #* 3S Korea Co., Ltd. 15,208 $ 41,731 0.0% # Able C&C Co., Ltd. 55,911 1,198,943 0.0% #* Actoz Soft Co., Ltd. 29,003 856,979 0.0% #* Advanced Process Systems Corp. 112,505 701,900 0.0% # Aekyung Petrochemical Co., Ltd. 6,167 423,598 0.0% # AfreecaTV Co., Ltd. 55,144 1,513,447 0.0% # Agabang&Company 143,268 1,107,994 0.0% Ahn-Gook Pharmaceutical Co., Ltd. 25,660 356,108 0.0% # Ahnlab, Inc. 5,838 197,411 0.0% #* AJ Rent A Car Co., Ltd. 76,565 1,215,365 0.0% # AK Holdings, Inc. 14,568 970,756 0.0% #* Aminologics Co., Ltd. 36,345 41,260 0.0% #* Amotech Co., Ltd. 45,129 373,254 0.0% * Anam Electronics Co., Ltd. 112,430 80,762 0.0% # Anapass, Inc. 42,039 427,175 0.0% # Asia Cement Co., Ltd. 9,994 1,018,755 0.0% # ASIA Holdings Co., Ltd. 5,611 778,798 0.0% # Asia Paper Manufacturing Co., Ltd. 28,021 776,030 0.0% * Asiana Airlines, Inc. 595,701 2,238,357 0.1% AtlasBX Co., Ltd. 38,736 1,413,643 0.0% * AUK Corp. 199,140 299,919 0.0% # Autech Corp. 52,319 299,040 0.0% * Avaco Co., Ltd. 44,746 150,625 0.0% # Baiksan Co., Ltd. 58,310 248,186 0.0% # Basic House Co., Ltd. (The) 37,960 680,084 0.0% #* BH Co., Ltd. 71,979 419,970 0.0% # BHI Co., Ltd. 26,142 327,972 0.0% # Binggrae Co., Ltd. 26,617 2,059,465 0.1% # Bioland, Ltd. 45,866 1,052,526 0.0% #* Biotoxtech Co., Ltd. 4,621 13,330 0.0% # Bluecom Co., Ltd. 48,205 536,067 0.0% * Bongshin Co., Ltd. 2 -- 0.0% Bookook Securities Co., Ltd. 7,410 103,128 0.0% #* Boryung Medience Co., Ltd. 28,638 272,106 0.0% # Boryung Pharmaceutical Co., Ltd. 23,013 902,516 0.0% Bukwang Pharmaceutical Co., Ltd. 81,519 1,517,888 0.0% BYC Co., Ltd. 710 188,677 0.0% # Byucksan Corp. 181,908 1,079,971 0.0% # CammSys Corp. 176,838 253,678 0.0% #* Capro Corp. 153,464 404,367 0.0% #* Celltrion Pharm, Inc. 62,265 544,067 0.0% #* Chabiotech Co., Ltd. 151,362 2,082,826 0.1% * Chadiostech Co., Ltd. 57,058 146,921 0.0% #* Charm Engineering Co., Ltd. 42,800 54,505 0.0% # Chemtronics Co., Ltd. 42,261 324,453 0.0% #* Chin Hung International, Inc. 116,265 149,762 0.0% #* China Great Star International, Ltd. 313,956 683,678 0.0% #* China Ocean Resources Co., Ltd. 457,275 567,787 0.0% #* Choa Pharmaceutical Co. 53,419 188,517 0.0% Chokwang Paint, Ltd. 41,364 332,570 0.0% Chong Kun Dang Pharmaceutical Corp. 34,126 2,271,818 0.1% Chongkundang Holdings Corp. 16,130 1,188,356 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) # Choong Ang Vaccine Laboratory 20,890 $ 343,393 0.0% Chosun Refractories Co., Ltd. 4,389 546,410 0.0% # Chungdahm Learning, Inc. 17,619 203,411 0.0% # CJ CGV Co., Ltd. 63,320 3,105,164 0.1% * CJ E&M Corp. 97,431 3,051,191 0.1% * CJ Freshway Corp. 12,400 539,576 0.0% #* CJ Korea Express Co., Ltd. 16,826 3,039,026 0.1% CJ O Shopping Co., Ltd. 8,514 2,091,111 0.1% #* CJ Seafood Corp. 91,710 219,723 0.0% # CKD Bio Corp. 22,282 497,299 0.0% #* CNK International Co., Ltd. 59,774 96,479 0.0% #* Com2uSCorp 16,817 3,061,524 0.1% # Cosmax BTI, Inc. 90,252 4,309,212 0.1% #* CosmoAM&T Co., Ltd. 51,209 157,910 0.0% #* Cosmochemical Co., Ltd. 52,090 248,883 0.0% # Credu Corp. 11,472 775,561 0.0% # Crown Confectionery Co., Ltd. 3,241 565,577 0.0% #* CTC BIO, Inc. 67,304 878,971 0.0% #* CUROCOM Co., Ltd. 182,360 200,367 0.0% #* D.I Corp. 87,180 625,103 0.0% #* D.ID Corp. 68,169 103,748 0.0% Dae Dong Industrial Co., Ltd. 59,724 579,494 0.0% Dae Han Flour Mills Co., Ltd. 6,486 1,201,859 0.0% # Dae Hyun Co., Ltd. 108,890 312,236 0.0% Dae Won Kang Up Co., Ltd. 115,802 695,025 0.0% #* Dae Young Packaging Co., Ltd. 355,967 296,981 0.0% # Dae-Il Corp. 75,338 460,269 0.0% #* Daea TI Co., Ltd. 327,849 461,919 0.0% #* Daechang Co., Ltd. 319,448 240,034 0.0% Daechang Forging Co., Ltd. 1,367 59,471 0.0% # Daeduck Electronics Co. 182,896 1,549,123 0.1% # Daeduck GDS Co., Ltd. 94,712 940,097 0.0% Daegu Department Store 27,282 389,904 0.0% #* Daehan New Pharm Co., Ltd. 27,066 465,063 0.0% Daehan Steel Co., Ltd. 79,022 459,023 0.0% * Daeho International Corp. 543 -- 0.0% Daehwa Pharmaceutical Co., Ltd. 63,319 514,301 0.0% Daekyo Co., Ltd. 72,780 506,969 0.0% #* Daekyung Machinery & Engineering Co., Ltd. 139,260 234,875 0.0% # Daesang Corp. 116,870 4,539,700 0.1% # Daesang Holdings Co., Ltd. 68,612 1,337,755 0.0% Daesung Holdings Co., Ltd. 25,502 293,566 0.0% Daewon Pharmaceutical Co., Ltd. 54,481 842,770 0.0% Daewon San Up Co., Ltd. 44,650 481,193 0.0% Daewoong Co., Ltd. 5,293 254,893 0.0% Daewoong Pharmaceutical Co., Ltd. 23,674 1,544,977 0.1% * Dahaam E-Tec Co., Ltd. 2,100 6,632 0.0% Daishin Securities Co., Ltd. 198,340 1,903,593 0.1% #* Danal Co., Ltd. 4,730 38,498 0.0% # Daou Data Corp. 57,148 296,080 0.0% Daou Technology, Inc. 167,950 1,748,130 0.1% #* Dasan Networks, Inc. 97,981 565,806 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) # Daum Communications Corp. 55,806 $ 7,652,822 0.2% # Dawonsys Co., Ltd. 43,550 618,899 0.0% # Dayou Automotive Seat Technology Co., Ltd. 315,450 557,861 0.0% DCM Corp. 23,263 340,499 0.0% #* Deutsch Motors, Inc. 57,548 226,883 0.0% DGB Financial Group, Inc. 721,377 10,286,948 0.2% Digital Chosun Co., Ltd. 4,745 25,227 0.0% # Digital Power Communications Co., Ltd. 50,540 176,507 0.0% #* Digitech Systems Co., Ltd. 68,918 51,266 0.0% #* DIO Corp. 66,510 473,559 0.0% Dong Ah Tire & Rubber Co., Ltd. 26,398 476,085 0.0% #* Dong Yang Gang Chul Co., Ltd. 144,840 322,655 0.0% Dong-A Socio Holdings Co., Ltd. 13,294 1,825,270 0.1% # Dong-Ah Geological Engineering Co., Ltd. 30,200 224,004 0.0% Dong-Il Corp. 3,566 306,837 0.0% # Dongaone Co., Ltd. 111,180 325,226 0.0% # Dongbang Transport Logistics Co., Ltd. 75,370 132,851 0.0% #* Dongbu CNI Co., Ltd. 20,390 44,311 0.0% #* Dongbu Corp. 50,557 56,254 0.0% #* Dongbu HiTek Co., Ltd. 151,833 752,429 0.0% * Dongbu Securities Co., Ltd. 187,454 702,079 0.0% #* Dongbu Steel Co., Ltd. 244,720 396,318 0.0% Dongil Industries Co., Ltd. 5,791 342,753 0.0% # Dongjin Semichem Co., Ltd. 140,811 506,801 0.0% #* Dongkook Industrial Co., Ltd. 124,790 341,740 0.0% # DongKook Pharmaceutical Co., Ltd. 26,266 1,085,092 0.0% Dongkuk Industries Co., Ltd. 81,013 325,445 0.0% # Dongkuk Steel Mill Co., Ltd. 343,023 2,035,712 0.1% # Dongkuk Structure & Construction Co., Ltd. 138,512 529,225 0.0% Dongsuh Co., Inc. 28,699 560,502 0.0% # Dongsung Chemical Co., Ltd. 8,700 131,903 0.0% # Dongsung Holdings Co., Ltd. 124,153 820,933 0.0% # Dongsung Pharmaceutical Co., Ltd. 78,985 388,560 0.0% * Dongwha Enterprise Co., Ltd. 5,538 128,695 0.0% # Dongwha Pharm Co., Ltd. 119,165 680,379 0.0% Dongwon F&B Co., Ltd. 6,814 2,235,200 0.1% # Dongwon Industries Co., Ltd. 5,912 1,814,015 0.1% #* Dongwon Systems Corp. 5,977 156,238 0.0% * Dongwoo Co., Ltd. 58,857 180,838 0.0% Dongyang E&P, Inc. 35,068 320,817 0.0% Dongyang Mechatronics Corp. 148,648 1,093,248 0.0% #* Doosan Engine Co., Ltd. 152,602 877,714 0.0% #* Doosan Engineering & Construction Co., Ltd. 24,154 239,094 0.0% * Doosan Infracore Co., Ltd. 113,280 1,146,444 0.0% #* Dragonfly GF Co., Ltd. 32,142 309,744 0.0% # DRB Holding Co., Ltd. 57,798 887,679 0.0% #* Duksan Hi-Metal Co., Ltd. 70,322 708,761 0.0% # DuzonBIzon Co., Ltd. 124,375 819,030 0.0% * e Tec E&C, Ltd. 1,669 135,899 0.0% # e-LITECOM Co., Ltd. 39,437 537,473 0.0% #* e-Starco Co., Ltd. 153,747 442,883 0.0% E1 Corp. 15,150 1,016,580 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) # Eagon Industries Co., Ltd. 29,742 $ 455,287 0.0% # Easy Bio, Inc. 180,267 944,864 0.0% #* Ecopro Co., Ltd. 51,772 440,664 0.0% # EG Corp. 25,782 455,223 0.0% #* ELK Corp. 84,447 287,125 0.0% #* EMKOREA Co., Ltd. 20,391 91,859 0.0% # ENF Technology Co., Ltd. 46,783 275,116 0.0% # Eo Technics Co., Ltd. 41,683 4,310,494 0.1% # Estechpharma Co., Ltd. 52,820 299,381 0.0% #* ESTsoft Corp. 4,772 69,618 0.0% Eugene Corp. 241,224 721,819 0.0% #* Eugene Investment & Securities Co., Ltd. 532,610 901,499 0.0% # Eugene Technology Co., Ltd. 77,838 1,258,494 0.0% # EVERDIGM Corp. 39,100 255,214 0.0% #* Farmsco 10,730 168,599 0.0% # Fila Korea, Ltd. 46,332 4,838,664 0.1% * Fine Technix Co., Ltd. 84,743 193,621 0.0% #* Finetex EnE, Inc. 86,393 166,122 0.0% # Firstec Co., Ltd. 164,190 308,619 0.0% #* Flexcom, Inc. 53,658 255,988 0.0% #* Foosung Co., Ltd. 142,799 333,621 0.0% # Fursys, Inc. 14,315 429,872 0.0% #* Gamevil, Inc. 25,264 3,196,009 0.1% Gaon Cable Co., Ltd. 19,649 484,503 0.0% #* GeneOneLifeScience, Inc. 47,483 80,667 0.0% #* Genexine Co., Ltd. 3,715 200,435 0.0% #* Genic Co., Ltd. 23,585 476,866 0.0% GIIR, Inc. 10,990 81,946 0.0% Global & Yuasa Battery Co., Ltd. 28,740 997,637 0.0% # Global Display Co., Ltd. 73,673 447,454 0.0% #* GNCO Co., Ltd. 270,836 349,362 0.0% Golfzon Co., Ltd. 84,536 2,121,759 0.1% # Grand Korea Leisure Co., Ltd. 150,160 5,377,129 0.1% Green Cross Corp. 33,326 4,265,047 0.1% # Green Cross Holdings Corp. 114,382 2,400,410 0.1% * Green Non-Life Insurance Co., Ltd. 22,357 -- 0.0% #* GS Engineering & Construction Corp. 223,398 5,886,725 0.1% # GS Global Corp. 64,716 537,393 0.0% GS Home Shopping, Inc. 9,886 1,993,694 0.1% # GS retail Co., Ltd. 140,152 3,267,019 0.1% # Gwangju Shinsegae Co., Ltd. 3,400 981,046 0.0% #* Halla Corp. 92,360 631,424 0.0% # Halla Holdings Corp. 29,140 1,926,846 0.1% # Halla Visteon Climate Control Corp. 51,040 2,274,584 0.1% # Han Kuk Carbon Co., Ltd. 176,647 1,015,549 0.0% #* Hana Micron, Inc. 82,433 672,662 0.0% # Hana Tour Service, Inc. 44,458 2,791,602 0.1% #* Hanall Biopharma Co., Ltd. 92,648 343,536 0.0% # Hancom, Inc. 56,684 1,226,107 0.0% Handok, Inc. 27,343 610,367 0.0% # Handsome Co., Ltd. 73,942 2,221,360 0.1% Hanil Cement Co., Ltd. 20,147 2,591,793 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) #* Hanil E-Hwa Co., Ltd. 76,753 $1,285,528 0.0% #* Hanjin Heavy Industries & Construction Co., Ltd. 375,558 1,522,253 0.1% Hanjin Heavy Industries & Construction Holdings Co., Ltd. 71,648 604,503 0.0% #* Hanjin P&C Co., Ltd. 110,818 173,943 0.0% #* Hanjin Shipping Co., Ltd. 70,781 335,241 0.0% #* Hanjin Shipping Holdings Co., Ltd. 41,499 392,526 0.0% Hanjin Transportation Co., Ltd. 50,181 2,519,392 0.1% Hankook Shell Oil Co., Ltd. 3,445 1,575,065 0.1% * Hankook Synthetics, Inc. 550 -- 0.0% * Hankuk Glass Industries, Inc. 11,460 267,689 0.0% Hankuk Paper Manufacturing Co., Ltd. 12,824 372,443 0.0% #* Hanmi Pharm Co., Ltd. 29,500 2,344,659 0.1% #* Hanmi Science Co., Ltd. 55,607 759,531 0.0% # Hanmi Semiconductor Co., Ltd. 53,050 789,094 0.0% # Hansae Co., Ltd. 85,981 2,944,477 0.1% Hansae Yes24 Holdings Co., Ltd. 58,604 790,692 0.0% # Hanshin Construction 11,249 127,894 0.0% # Hansol Chemical Co., Ltd. 49,483 1,588,392 0.1% #* Hansol HomeDeco Co., Ltd. 294,113 553,308 0.0% # Hansol Logistics Co., Ltd. 205,620 449,969 0.0% # Hansol Paper Co. 211,892 1,968,229 0.1% #* Hansol Technics Co., Ltd. 83,230 914,682 0.0% # Hanssem Co., Ltd. 49,360 5,883,531 0.1% Hanwha Corp. 245,170 6,281,843 0.1% Hanwha Galleria Timeworld Co., Ltd. 9,944 601,078 0.0% #* Hanwha General Insurance Co., Ltd. 173,490 875,783 0.0% * Hanwha Investment & Securities Co., Ltd. 368,771 1,294,491 0.0% Hanyang Eng Co., Ltd. 56,842 343,549 0.0% Hanyang Securities Co., Ltd. 18,538 118,920 0.0% #* Harim Co., Ltd. 119,844 468,684 0.0% * Harim Holdings Co., Ltd. 102,741 454,206 0.0% # Heung-A Shipping Co., Ltd. 519,442 1,063,724 0.0% * Heungkuk Fire & Marine Insurance Co., Ltd. 92,139 332,872 0.0% High Tech Pharm Co., Ltd. 28,464 387,969 0.0% # Hite Jinro Co., Ltd. 140,668 3,482,140 0.1% Hitejinro Holdings Co., Ltd. 44,060 516,723 0.0% * HMC Investment Securities Co., Ltd. 108,200 1,115,809 0.0% HS R&A Co., Ltd. 18,858 549,221 0.0% Huchems Fine Chemical Corp. 109,178 2,375,043 0.1% Humax Co., Ltd. 90,725 882,443 0.0% # Huons Co., Ltd. 31,243 1,884,841 0.1% # Husteel Co., Ltd. 21,565 336,660 0.0% Huvis Corp. 83,090 957,734 0.0% # Huvitz Co., Ltd. 39,094 613,663 0.0% # Hwa Shin Co., Ltd. 98,341 798,278 0.0% Hwacheon Machine Tool Co., Ltd. 4,979 320,670 0.0% HwaSung Industrial Co., Ltd. 45,937 512,569 0.0% # Hy-Lok Corp. 39,193 1,070,434 0.0% Hyosung Corp. 121,019 7,185,506 0.2% * Hyundai BNG Steel Co., Ltd. 51,160 829,378 0.0% # Hyundai Corp. 58,941 2,020,658 0.1% Hyundai Development Co. 226,695 8,549,390 0.2%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) #* Hyundai Elevator Co., Ltd. 64,859 $2,745,449 0.1% # Hyundai Engineering Plastics Co., Ltd. 93,890 671,349 0.0% # Hyundai Greenfood Co., Ltd. 232,990 3,964,469 0.1% Hyundai Home Shopping Network Corp. 29,313 3,727,961 0.1% Hyundai Hy Communications & Networks Co., Ltd. 173,909 740,151 0.0% # Hyundai Hysco Co., Ltd. 35,553 2,308,228 0.1% Hyundai Livart Co., Ltd. 44,540 1,883,224 0.1% Hyundai Marine & Fire Insurance Co., Ltd. 27,130 716,509 0.0% #* Hyundai Merchant Marine Co., Ltd. 39,429 426,681 0.0% # Hyundai Mipo Dockyard Co., Ltd. 2,711 192,660 0.0% #* Hyundai Securities Co., Ltd. 590,660 3,837,484 0.1% #* Hyunjin Materials Co., Ltd. 76,293 273,722 0.0% # HyVision System, Inc. 60,492 397,396 0.0% #* ICD Co., Ltd. 77,465 444,773 0.0% * IHQ, Inc. 61,325 137,742 0.0% # Il Dong Pharmaceutical Co., Ltd. 62,230 946,669 0.0% # Iljin Electric Co., Ltd. 100,639 750,828 0.0% # Iljin Holdings Co., Ltd. 100,932 708,294 0.0% #* Iljin Materials Co., Ltd. 77,327 570,978 0.0% Ilshin Spinning Co., Ltd. 7,739 1,411,550 0.0% # Ilsung Pharmaceuticals Co., Ltd. 2,864 241,610 0.0% #* IM Co., Ltd. 65,996 195,836 0.0% # iMarketKorea, Inc. 88,230 2,180,748 0.1% # InBody Co., Ltd. 48,097 1,342,015 0.0% #* Infinitt Healthcare Co., Ltd. 8,517 65,634 0.0% #* Infopia Co., Ltd. 36,952 511,846 0.0% #* Infraware, Inc. 88,556 542,907 0.0% #* InkTec Co., Ltd. 35,807 370,746 0.0% # Innochips Technology, Inc. 31,294 405,710 0.0% #* InnoWireless, Inc. 21,995 216,176 0.0% #* Innox Corp. 63,904 849,756 0.0% #* Insun ENT Co., Ltd. 146,886 452,209 0.0% Intelligent Digital Integrated Securities Co., Ltd. 24,166 296,467 0.0% #* Interflex Co., Ltd. 48,886 513,233 0.0% Intergis Co., Ltd. 5,610 42,868 0.0% # Interojo Co., Ltd. 35,292 665,346 0.0% # Interpark Corp. 169,412 1,439,120 0.0% INTOPS Co., Ltd. 37,053 540,565 0.0% # Inzi Controls Co., Ltd. 45,990 218,037 0.0% INZI Display Co., Ltd. 64,622 108,379 0.0% #* IS Dongseo Co., Ltd. 52,132 2,233,222 0.1% # ISU Chemical Co., Ltd. 59,130 570,664 0.0% # IsuPetasys Co., Ltd. 171,914 694,836 0.0% # Jahwa Electronics Co., Ltd. 66,762 701,521 0.0% JB Financial Group Co., Ltd. 490,419 3,011,733 0.1% * Jcontentree Corp. 115,864 422,886 0.0% Jeil Pharmaceutical Co. 32,520 727,239 0.0% #* Jeju Semiconductor Corp. 33,053 87,494 0.0% Jinro Distillers Co., Ltd. 8,605 258,077 0.0% # Jinsung T.E.C. 70,489 325,238 0.0% JLS Co., Ltd. 2,340 14,505 0.0% # JNK Heaters Co., Ltd. 11,537 55,089 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) #* JoyCity Corp. 9,129 $ 173,664 0.0% #* Joymax Co., Ltd. 21,192 496,337 0.0% #* Jusung Engineering Co., Ltd. 152,103 445,160 0.0% #* JVM Co., Ltd. 17,141 933,185 0.0% JW Holdings Co., Ltd. 186,156 417,073 0.0% JW Pharmaceutical Corp. 54,412 753,708 0.0% # JW Shinyak Corp. 5,653 27,217 0.0% #* JYP Entertainment Corp. 11,644 45,245 0.0% # KB Capital Co., Ltd. 57,250 1,141,803 0.0% KC Cottrell Co., Ltd. 28,203 153,682 0.0% # KC Green Holdings Co., Ltd. 66,208 640,958 0.0% # KC Tech Co., Ltd. 123,092 884,595 0.0% #* KCC Engineering & Construction Co., Ltd. 30,123 231,035 0.0% * KCO Energy, Inc. 120 -- 0.0% # KCP Co., Ltd. 51,119 1,176,471 0.0% #* Keangnam Enterprises, Ltd. 5,833 24,254 0.0% #* KEC Corp. 146,960 249,045 0.0% # KEPCO Engineering & Construction Co., Inc. 17,746 1,077,759 0.0% # Keyang Electric Machinery Co., Ltd. 122,355 454,902 0.0% KG Chemical Corp. 39,218 608,184 0.0% # Kginicis Co., Ltd. 79,383 1,135,982 0.0% # KGMobilians Co., Ltd. 57,044 691,401 0.0% # KH Vatec Co., Ltd. 69,462 2,114,100 0.1% # KISCO Corp. 19,917 619,290 0.0% KISCO Holdings Co., Ltd. 2,292 110,485 0.0% # Kishin Corp. 49,420 343,757 0.0% KISWIRE, Ltd. 27,443 1,337,059 0.0% # KIWOOM Securities Co., Ltd. 61,811 2,627,833 0.1% * KMH Co., Ltd. 45,130 374,091 0.0% #* KMW Co., Ltd. 52,135 541,388 0.0% # Koentec Co., Ltd. 246,300 666,490 0.0% # Koh Young Technology, Inc. 63,733 1,967,270 0.1% # Kolao Holdings 131,554 2,022,018 0.1% Kolon Corp. 38,619 929,644 0.0% #* Kolon Global Corp. 34,852 242,263 0.0% Kolon Industries, Inc. 98,486 5,009,075 0.1% # Kolon Life Science, Inc. 22,796 1,098,022 0.0% #* Komipharm International Co., Ltd. 11,873 110,287 0.0% # KONA I Co., Ltd. 55,203 2,253,699 0.1% # Kook Je Electric Korea Co., Ltd. 24,109 558,794 0.0% Kook Soon Dang Brewery Co., Ltd. 62,473 380,157 0.0% Korea Airport Service Co., Ltd. 934 29,024 0.0% * Korea Alcohol Industrial Co., Ltd. 28,653 136,462 0.0% # Korea Cast Iron Pipe Industries Co., Ltd. 8,530 48,718 0.0% # Korea Circuit Co., Ltd. 58,384 432,734 0.0% # Korea District Heating Corp. 15,388 864,522 0.0% Korea Electric Terminal Co., Ltd. 30,429 1,567,149 0.1% Korea Electronic Power Industrial Development Co., Ltd. 58,831 360,463 0.0% Korea Export Packaging Industrial Co., Ltd. 5,621 131,787 0.0% # Korea Flange Co., Ltd. 24,041 513,368 0.0% #* Korea Info & Comm 61,340 528,431 0.0% Korea Investment Holdings Co., Ltd. 155,875 7,882,119 0.2%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) # Korea Kolmar Co., Ltd. 69,030 $3,365,674 0.1% # Korea Kolmar Holdings Co., Ltd. 33,913 1,594,237 0.1% * Korea Line Corp. 11,468 320,164 0.0% Korea Petrochemical Ind Co., Ltd. 18,138 1,328,623 0.0% # Korea United Pharm, Inc. 50,081 688,665 0.0% * Korean Air Lines Co., Ltd. 145,330 5,158,899 0.1% Korean Reinsurance Co. 487,744 5,209,797 0.1% # Kortek Corp. 47,488 518,391 0.0% # KPF 42,149 164,510 0.0% KPX Chemical Co., Ltd. 6,479 360,596 0.0% #* KR Motors Co., Ltd. 102,980 88,016 0.0% #* KSCB Co., Ltd. 7,972 20,104 0.0% * KT Hitel Co., Ltd. 66,319 501,271 0.0% KT Skylife Co., Ltd. 103,427 1,880,646 0.1% * KTB Investment & Securities Co., Ltd. 307,884 620,755 0.0% Kukdo Chemical Co., Ltd. 20,758 803,852 0.0% # Kumho Electric Co., Ltd. 22,347 356,398 0.0% * Kumho Industrial Co., Ltd. 901 10,127 0.0% # Kumho Petrochemical Co., Ltd. 2,013 145,576 0.0% #* Kumho Tire Co., Inc. 341,696 3,419,330 0.1% Kumkang Kind Co., Ltd. 14,256 805,567 0.0% Kunsul Chemical Industrial Co., Ltd. 20,675 862,466 0.0% Kwang Dong Pharmaceutical Co., Ltd. 194,647 1,886,314 0.1% #* Kwang Myung Electric Engineering Co., Ltd. 192,960 436,258 0.0% * Kyeryong Construction Industrial Co., Ltd. 25,068 281,242 0.0% * Kyobo Securities Co., Ltd. 120,640 1,521,037 0.0% # Kyung Dong Navien Co., Ltd. 28,750 783,662 0.0% # Kyung-In Synthetic Corp. 115,845 554,454 0.0% Kyungbang, Ltd. 4,015 716,805 0.0% Kyungchang Industrial Co., Ltd. 63,745 585,221 0.0% KyungDong City Gas Co., Ltd. 11,986 1,312,986 0.0% Kyungdong Pharm Co., Ltd. 32,635 729,780 0.0% # L&F Co., Ltd. 50,139 321,846 0.0% #* LB Semicon, Inc. 164,971 224,617 0.0% # LEENO Industrial, Inc. 51,031 2,032,143 0.1% # LF Corp. 103,743 3,272,159 0.1% # LG Hausys, Ltd. 32,510 4,850,765 0.1% * LG Innotek Co., Ltd. 28,962 2,283,600 0.1% # LG International Corp. 178,905 3,626,568 0.1% #* LG Life Sciences, Ltd. 57,740 2,034,243 0.1% * LIG ADP Co., Ltd. 13,957 60,984 0.0% LIG Insurance Co., Ltd. 203,911 5,323,896 0.1% # LMS Co., Ltd. 29,983 499,620 0.0% # Lock&Lock Co., Ltd. 202,888 2,162,695 0.1% #* Logistics Energy Korea Co., Ltd. 113,943 180,395 0.0% # Lotte Chilsung Beverage Co., Ltd. 3,217 5,092,141 0.1% Lotte Confectionery Co., Ltd. 2,368 4,258,428 0.1% # Lotte Food Co., Ltd. 3,776 2,344,218 0.1% # LOTTE Himart Co., Ltd. 43,798 2,710,609 0.1% #* Lotte Non-Life Insurance Co., Ltd. 141,571 385,391 0.0% LS Corp. 31,333 1,754,443 0.1% # LS Industrial Systems Co., Ltd. 73,815 4,350,945 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SOUTH KOREA -- (Continued) #* Lumens Co., Ltd. 228,049 $ 1,164,657 0.0% Macquarie Korea Infrastructure Fund 1,514,061 10,111,962 0.2% #* Macrogen, Inc. 28,340 1,172,132 0.0% # Maeil Dairy Industry Co., Ltd. 40,992 1,297,916 0.0% #* Mando Corp. 31,793 5,994,294 0.1% #* Medifron DBT Co., Ltd. 93,432 256,670 0.0% #* Medipost Co., Ltd. 3,841 179,541 0.0% # Medy-Tox, Inc. 21,135 4,924,072 0.1% MegaStudy Co., Ltd. 25,476 1,277,659 0.0% #* Melfas, Inc. 87,011 430,951 0.0% # Meritz Financial Group, Inc. 152,406 1,345,913 0.0% Meritz Fire & Marine Insurance Co., Ltd. 308,196 3,692,183 0.1% Meritz Securities Co., Ltd. 1,043,095 4,240,380 0.1% #* Mgame Corp. 5,454 25,452 0.0% Mi Chang Oil Industrial Co., Ltd. 2,262 152,385 0.0% Mirae Asset Securities Co., Ltd. 129,254 5,552,380 0.1% #* Mirae Corp. 1,931,820 284,673 0.0% Miwon Chemicals Co., Ltd. 1,890 64,082 0.0% * Miwon Commercial Co., Ltd. 716 111,605 0.0% Miwon Specialty Chemical Co., Ltd. 1,041 289,894 0.0% # MK Electron Co., Ltd. 86,407 453,349 0.0% #* MNTech Co., Ltd. 99,776 383,625 0.0% # Modetour Network, Inc. 59,242 1,160,883 0.0% #* Monalisa Co., Ltd. 68,050 201,623 0.0% Moorim P&P Co., Ltd. 133,920 616,765 0.0% Moorim Paper Co., Ltd. 98,440 215,888 0.0% Motonic Corp. 57,760 701,993 0.0% #* Muhak Co., Ltd. 46,130 1,455,667 0.0% Namhae Chemical Corp. 120,134 951,984 0.0% * Namsun Aluminum Co., Ltd. 129,275 138,512 0.0% # Namyang Dairy Products Co., Ltd. 1,390 889,973 0.0% National Plastic Co. 56,060 308,173 0.0% #* Neowiz Games Corp. 75,015 1,615,140 0.1% * NEOWIZ HOLDINGS Corp. 24,844 444,451 0.0% #* NEPES Corp. 100,067 583,629 0.0% # Nexen Corp. 33,168 2,701,215 0.1% # Nexen Tire Corp. 173,236 2,121,674 0.1% #* Nexolon Co., Ltd. 29,760 4,763 0.0% #* Nexon GT Co., Ltd. 77,052 1,371,050 0.0% NH Investment & Securities Co., Ltd. 151,949 1,138,556 0.0% # NICE Holdings Co., Ltd. 77,946 1,292,394 0.0% NICE Information Service Co., Ltd. 160,224 696,755 0.0% #* NK Co., Ltd. 116,313 509,898 0.0% # Nong Shim Holdings Co., Ltd. 8,976 1,054,118 0.0% # Nong Woo Bio Co., Ltd. 40,249 959,935 0.0% # NongShim Co., Ltd. 17,374 4,337,699 0.1% Noroo Holdings Co., Ltd. 8,622 204,415 0.0% NOROO Paint & Coatings Co., Ltd. 47,451 313,424 0.0% # OCI Materials Co., Ltd. 35,023 1,667,425 0.1% #* OPTRON-TEC, Inc. 86,759 342,570 0.0% #* Orientbio, Inc. 218,393 165,857 0.0% #* OSANGJAIEL Co., Ltd. 45,028 624,640 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) #* Osstem Implant Co., Ltd. 56,145 $2,288,803 0.1% #* Osung LST Co., Ltd. 24,751 21,384 0.0% Ottogi Corp. 5,962 3,155,061 0.1% #* Paik Kwang Industrial Co., Ltd. 85,406 234,364 0.0% #* Pan Ocean Co., Ltd. 17,111 57,244 0.0% # Pan-Pacific Co., Ltd. 145,295 880,898 0.0% Pang Rim Co., Ltd. 1,352 28,708 0.0% #* PaperCorea, Inc. 531,176 377,395 0.0% # Partron Co., Ltd. 209,167 1,722,327 0.1% #* Pharmicell Co., Ltd. 153,801 691,876 0.0% Poongsan Corp. 120,728 2,987,135 0.1% # Poongsan Holdings Corp. 22,248 962,964 0.0% # POSCO Chemtech Co., Ltd. 9,949 1,378,674 0.0% * POSCO Coated & Color Steel Co., Ltd. 4,130 53,361 0.0% # Posco ICT Co., Ltd. 261,024 1,491,180 0.0% # Posco M-Tech Co., Ltd. 109,182 321,339 0.0% #* Posco Plantec Co., Ltd. 21,301 55,957 0.0% #* Power Logics Co., Ltd. 134,027 436,490 0.0% # PSK, Inc. 58,750 814,528 0.0% # Pulmuone Co., Ltd. 5,952 802,427 0.0% # Pyeong Hwa Automotive Co., Ltd. 59,253 961,741 0.0% #* Redrover Co., Ltd. 111,045 708,970 0.0% # Reyon Pharmaceutical Co., Ltd. 18,952 424,158 0.0% # RFsemi Technologies, Inc. 30,415 193,036 0.0% # RFTech Co., Ltd. 43,940 279,803 0.0% # Romanson Co., Ltd. 40,410 737,499 0.0% #* S&C Engine Group, Ltd. 122,917 238,321 0.0% # S&T Corp. 5,003 72,765 0.0% S&T Dynamics Co., Ltd. 147,292 1,150,885 0.0% # S&T Holdings Co., Ltd. 26,504 427,302 0.0% # S&T Motiv Co., Ltd. 50,410 1,824,819 0.1% S-1 Corp. 12,723 885,968 0.0% # S-Energy Co., Ltd. 59,160 441,222 0.0% # S-MAC Co., Ltd. 82,037 311,440 0.0% # Saeron Automotive Corp. 2,640 26,822 0.0% #* Sajo Industries Co., Ltd. 13,239 465,229 0.0% Sam Young Electronics Co., Ltd. 63,000 694,785 0.0% # Sam Yung Trading Co., Ltd. 54,602 1,220,439 0.0% Samchully Co., Ltd. 15,646 2,212,934 0.1% Samho Development Co., Ltd. 75,697 236,079 0.0% #* Samho International Co., Ltd. 24,712 379,213 0.0% # SAMHWA Paints Industrial Co., Ltd. 48,118 566,714 0.0% # Samick Musical Instruments Co., Ltd. 257,520 985,167 0.0% # Samick THK Co., Ltd. 42,891 362,156 0.0% # Samjin Pharmaceutical Co., Ltd. 59,596 1,415,804 0.0% Samkwang Glass 17,041 1,094,016 0.0% # Samlip General Foods Co., Ltd. 9,750 1,537,878 0.1% # Samsung Fine Chemicals Co., Ltd. 101,544 2,831,069 0.1% # Samsung Techwin Co., Ltd. 67,077 2,060,132 0.1% #* SAMT Co., Ltd. 76,958 121,249 0.0% # Samyang Foods Co., Ltd. 17,230 354,433 0.0% Samyang Holdings Corp. 20,208 1,681,462 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- SOUTH KOREA -- (Continued) # Samyang Tongsang Co., Ltd. 8,284 $ 637,973 0.0% #* Samyoung Chemical Co., Ltd. 173,170 250,973 0.0% #* Sangbo Corp. 70,530 503,884 0.0% #* Sapphire Technology Co., Ltd. 13,763 214,568 0.0% Satrec Initiative Co., Ltd. 9,000 177,313 0.0% Savezone I&C Corp. 58,190 384,667 0.0% SBS Contents Hub Co., Ltd. 48,305 683,338 0.0% SBS Media Holdings Co., Ltd. 260,156 801,411 0.0% #* SBW 357,075 360,550 0.0% Seah Besteel Corp. 77,248 2,309,934 0.1% SeAH Holdings Corp. 4,694 790,635 0.0% # SeAH Steel Corp. 15,092 1,169,121 0.0% # Sebang Co., Ltd. 53,803 975,052 0.0% #* Seegene, Inc. 38,981 2,144,147 0.1% # Sejong Industrial Co., Ltd. 58,198 815,149 0.0% Sempio Foods Co. 7,350 274,473 0.0% #* Seobu T&D 56,299 1,125,361 0.0% # Seohan Co., Ltd. 245,591 523,072 0.0% #* Seohee Construction Co., Ltd. 787,809 513,484 0.0% # Seoul Semiconductor Co., Ltd. 155,284 2,663,176 0.1% SEOWONINTECH Co., Ltd. 49,169 450,299 0.0% # Seoyeon Co., Ltd. 35,174 502,900 0.0% #* Sewon Cellontech Co., Ltd. 141,557 396,712 0.0% Sewon Precision Industry Co., Ltd. 16,231 476,712 0.0% # SEWOONMEDICAL Co., Ltd. 95,161 748,143 0.0% # SFA Engineering Corp. 50,853 2,165,726 0.1% #* SG Corp. 660,590 380,699 0.0% # SH Energy & Chemical Co., Ltd. 438,586 447,552 0.0% Shin Poong Pharmaceutical Co., Ltd. 152,256 601,525 0.0% #* Shinil Industrial Co., Ltd. 228,580 363,059 0.0% Shinsegae Co., Ltd. 35,692 6,621,101 0.2% Shinsegae Information & Communication Co., Ltd. 5,829 508,333 0.0% # Shinsegae International Co., Ltd. 12,829 1,503,814 0.0% #* Shinsung Solar Energy Co., Ltd. 269,802 271,937 0.0% #* Shinsung Tongsang Co., Ltd. 349,750 408,977 0.0% * Shinwha Intertek Corp. 112,961 321,416 0.0% * Shinwon Corp. 162,054 433,855 0.0% Shinyoung Securities Co., Ltd. 14,050 795,413 0.0% #* Signetics Corp. 261,082 346,139 0.0% #* SIGONG TECH Co., Ltd. 67,831 252,354 0.0% # Silicon Works Co., Ltd. 59,582 1,304,896 0.0% # Silla Co., Ltd. 38,238 711,359 0.0% #* Simm Tech Co., Ltd. 121,398 1,020,609 0.0% # SIMPAC, Inc. 79,081 436,830 0.0% Sindoh Co., Ltd. 10,939 722,110 0.0% # SJM Co., Ltd. 46,475 336,886 0.0% * SK Broadband Co., Ltd. 788,263 3,341,211 0.1% # SK Chemicals Co., Ltd. 77,608 4,427,154 0.1% #* SK Communications Co., Ltd. 79,814 483,400 0.0% SK Gas, Ltd. 19,027 2,486,059 0.1% * SK Networks Co., Ltd. 660,780 6,779,025 0.2% #* SK Securities Co., Ltd. 1,903,038 1,660,447 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ---------- --------------- SOUTH KOREA -- (Continued) SKC Co., Ltd. 118,631 $3,047,960 0.1% #* SKC Solmics Co., Ltd. 43,587 86,976 0.0% SL Corp. 70,320 1,294,951 0.0% #* SM Culture & Contents Co., Ltd. 59,505 153,172 0.0% #* SM Entertainment Co. 82,349 2,179,529 0.1% * Softmax Co., Ltd. 3,419 66,888 0.0% #* Solborn, Inc. 82,934 317,389 0.0% * Solco Biomedical Co., Ltd. 56,341 39,153 0.0% # Solid, Inc. 76,653 543,120 0.0% # Songwon Industrial Co., Ltd. 97,923 569,393 0.0% # Soulbrain Co., Ltd. 52,386 1,324,375 0.0% * Ssangyong Cement Industrial Co., Ltd. 114,190 1,104,073 0.0% #* Steel Flower Co., Ltd. 29,816 107,756 0.0% #* STS Semiconductor & Telecommunications 251,742 755,939 0.0% #* STX Corp. 16,753 7,865 0.0% #* STX Engine Co., Ltd. 115,112 283,544 0.0% # Suheung Co., Ltd. 32,370 1,800,808 0.1% Sun Kwang Co., Ltd. 15,705 279,495 0.0% Sunchang Corp. 36,505 284,976 0.0% # Sung Kwang Bend Co., Ltd. 90,133 1,303,980 0.0% #* Sungchang Enterprise Holdings, Ltd. 27,044 529,932 0.0% #* Sungshin Cement Co., Ltd. 105,349 809,680 0.0% Sungwoo Hitech Co., Ltd. 166,659 2,402,395 0.1% Sunjin Co., Ltd. 25,055 892,147 0.0% #* Sunny Electronics Corp. 81,771 168,516 0.0% #* Suprema, Inc. 57,629 1,621,933 0.1% #* Synopex, Inc. 294,067 392,862 0.0% Tae Kyung Industrial Co., Ltd. 37,420 202,749 0.0% Taekwang Industrial Co., Ltd. 2,030 2,369,783 0.1% #* Taewoong Co., Ltd. 55,939 868,998 0.0% * Taeyoung Engineering & Construction Co., Ltd. 217,943 864,667 0.0% #* Taihan Electric Wire Co., Ltd. 189,922 349,282 0.0% # Tailim Packaging Industrial Co., Ltd. 157,168 359,893 0.0% # TCC Steel 38,096 106,962 0.0% # TechWing, Inc. 45,114 308,744 0.0% # TES Co., Ltd. 33,416 488,901 0.0% #* Theall Medi Bio 24,080 38,352 0.0% #* Theragen Etex Co., Ltd. 43,667 210,389 0.0% #* TK Chemical Corp. 222,222 452,981 0.0% #* TK Corp. 42,646 551,106 0.0% Tokai Carbon Korea Co., Ltd. 1,274 9,224 0.0% # Tong Yang Moolsan Co., Ltd. 22,590 163,878 0.0% # Tongyang Life Insurance 192,400 2,089,628 0.1% #* TONGYANG Securities, Inc. 12,966 37,177 0.0% #* Top Engineering Co., Ltd. 43,811 171,023 0.0% # Toptec Co., Ltd. 44,470 525,715 0.0% * Toray Chemical Korea, Inc. 121,710 1,472,579 0.0% # Tovis Co., Ltd. 68,690 1,148,981 0.0% #* Trais Co., Ltd. 59,456 101,661 0.0% * Trigem Computer, Inc. 1 -- 0.0% # TS Corp. 21,494 646,675 0.0% * TSM Tech Co., Ltd. 10,714 45,794 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- SOUTH KOREA -- (Continued) #* UBCare Co., Ltd. 31,444 $ 78,869 0.0% # Ubiquoss, Inc. 68,224 461,756 0.0% #* Ubivelox, Inc. 15,537 208,208 0.0% # UI Display Co., Ltd. 34,401 166,987 0.0% # Uju Electronics Co., Ltd. 38,229 375,406 0.0% # Unid Co., Ltd. 17,866 994,531 0.0% Union Steel 8,052 84,016 0.0% #* Uniquest Corp. 16,050 123,798 0.0% #* Unison Co., Ltd. 99,851 253,610 0.0% # Value Added Technologies Co., Ltd. 39,778 1,062,440 0.0% # Vieworks Co., Ltd. 37,657 1,276,759 0.0% # Visang Education, Inc. 29,722 225,275 0.0% #* Webzen, Inc. 44,001 617,262 0.0% #* WeMade Entertainment Co., Ltd. 27,945 972,976 0.0% # Whanin Pharmaceutical Co., Ltd. 43,130 993,981 0.0% #* WillBes & Co. (The) 288,928 334,403 0.0% #* WiSoL Co., Ltd. 68,668 411,446 0.0% #* Wonik Cube Corp. 20,753 59,610 0.0% #* Wonik IPS Co., Ltd. 256,672 3,243,819 0.1% * Wonik Materials Co., Ltd. 9,152 417,456 0.0% # Woojeon & Handan Co., Ltd. 90,141 212,803 0.0% #* Woongjin Energy Co., Ltd. 230,207 304,534 0.0% #* Woongjin Holdings Co., Ltd. 231,666 421,891 0.0% #* Woongjin Thinkbig Co., Ltd. 117,906 798,278 0.0% # Wooree ETI Co., Ltd. 161,548 237,678 0.0% Woori Investment & Securities Co., Ltd. 627,028 6,872,686 0.2% #* Woori Investment Bank Co., Ltd. 2,881,160 1,268,863 0.0% # WooSung Feed Co., Ltd. 86,370 248,334 0.0% # Y G-1 Co., Ltd. 85,954 768,549 0.0% YESCO Co., Ltd. 13,100 460,967 0.0% # YG Entertainment, Inc. 43,305 1,841,413 0.1% # Yoosung Enterprise Co., Ltd. 118,812 737,148 0.0% # Youlchon Chemical Co., Ltd. 59,750 759,221 0.0% # Young Heung Iron & Steel Co., Ltd. 287,784 544,769 0.0% Young Poong Corp. 2,389 2,650,495 0.1% * Young Poong Mining & Construction Corp. 1,580 -- 0.0% # Young Poong Precision Corp. 72,998 631,878 0.0% # Youngone Corp. 89,631 5,362,906 0.1% Youngone Holdings Co., Ltd. 28,420 2,806,552 0.1% # Yuhan Corp. 44,525 7,360,888 0.2% YuHwa Securities Co., Ltd. 13,060 178,091 0.0% #* Yungjin Pharmaceutical Co., Ltd. 469,292 626,434 0.0% * ZeroOne Interactive Co., Ltd. 3,200 -- 0.0% ------------ ---- TOTAL SOUTH KOREA 710,850,571 14.4% ------------ ---- TAIWAN -- (12.6%) # A-DATA Technology Co., Ltd. 1,085,879 1,954,419 0.1% Ability Enterprise Co., Ltd. 2,557,076 1,270,536 0.0% # AcBel Polytech, Inc. 2,265,599 2,563,140 0.1% Accton Technology Corp. 2,964,763 1,513,584 0.0% # Ace Pillar Co., Ltd. 254,008 170,989 0.0% ACES Electronic Co., Ltd. 454,000 558,443 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- TAIWAN -- (Continued) # ACHEM Technology Corp. 1,353,860 $ 777,845 0.0% * Acme Electronics Corp. 132,000 128,869 0.0% # Acter Co., Ltd. 200,000 511,606 0.0% * Action Electronics Co., Ltd. 761,635 137,887 0.0% Actron Technology Corp. 307,150 1,107,902 0.0% # Adlink Technology, Inc. 523,183 1,331,338 0.0% # Advanced Ceramic X Corp. 222,000 835,287 0.0% * Advanced Connectek, Inc. 1,220,000 456,510 0.0% Advanced International Multitech Co., Ltd. 477,000 315,358 0.0% #* Advanced Wireless Semiconductor Co. 715,000 638,595 0.0% # Advancetek Enterprise Co., Ltd. 807,917 633,716 0.0% #* AGV Products Corp. 2,980,801 786,681 0.0% # AimCore Technology Co., Ltd. 334,589 275,601 0.0% Alcor Micro Corp. 391,000 325,616 0.0% ALI Corp. 1,740,000 1,438,711 0.0% Allis Electric Co., Ltd. 54,000 14,587 0.0% Alltek Technology Corp. 416,640 390,032 0.0% Alltop Technology Co., Ltd. 54,000 49,654 0.0% # Alpha Networks, Inc. 1,951,763 983,829 0.0% Altek Corp. 1,648,945 1,781,240 0.1% # Ambassador Hotel (The) 1,514,000 1,375,215 0.0% AMPOC Far-East Co., Ltd. 520,444 487,818 0.0% # AmTRAN Technology Co., Ltd. 4,567,951 2,629,275 0.1% Anpec Electronics Corp. 534,590 486,176 0.0% # Apacer Technology, Inc. 723,576 727,363 0.0% # APCB, Inc. 769,000 497,484 0.0% # Apex Biotechnology Corp. 629,483 987,951 0.0% # Apex International Co., Ltd. 495,293 663,764 0.0% # Apex Medical Corp. 325,500 530,436 0.0% # Apex Science & Engineering 863,897 325,250 0.0% # Arcadyan Technology Corp. 717,581 892,924 0.0% # Ardentec Corp. 2,210,642 1,739,565 0.1% #* Arima Communications Corp. 1,206,719 547,150 0.0% #* Asia Optical Co., Inc. 1,300,000 1,657,032 0.1% # Asia Plastic Recycling Holding, Ltd. 882,460 1,115,127 0.0% # Asia Polymer Corp. 1,739,484 1,193,263 0.0% # Asia Vital Components Co., Ltd. 1,821,058 1,244,186 0.0% # ASROCK, Inc. 223,000 605,531 0.0% # Aten International Co., Ltd. 498,479 1,219,743 0.0% Audix Corp. 512,600 654,431 0.0% # AURAS Technology Co., Ltd. 99,585 55,996 0.0% # Aurora Corp. 626,499 1,038,477 0.0% # AV Tech Corp. 242,000 444,493 0.0% Avermedia Technologies 816,446 297,962 0.0% #* Avision, Inc. 960,000 260,772 0.0% # AVY Precision Technology, Inc. 263,000 755,624 0.0% # Awea Mechantronic Co., Ltd. 227,200 310,813 0.0% Bank of Kaohsiung Co., Ltd. 2,061,651 616,719 0.0% # Basso Industry Corp. 581,000 694,080 0.0% # BenQ Materials Corp. 853,000 863,920 0.0% # BES Engineering Corp. 8,138,750 2,092,138 0.1% #* Bin Chuan Enterprise Co., Ltd. 172,542 120,910 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) Bionet Corp. 191,000 $ 248,336 0.0% Biostar Microtech International Corp. 1,034,975 376,523 0.0% # Bizlink Holding, Inc. 456,034 1,613,639 0.1% # Boardtek Electronics Corp. 783,000 966,329 0.0% Bright Led Electronics Corp. 678,520 272,537 0.0% # C Sun Manufacturing, Ltd. 771,221 545,353 0.0% # Cameo Communications, Inc. 1,147,818 240,267 0.0% # Capital Securities Corp. 10,890,142 3,520,865 0.1% # Career Technology MFG. Co., Ltd. 1,732,000 1,986,799 0.1% # Carnival Industrial Corp. 1,753,000 449,506 0.0% Cathay Chemical Works 30,000 14,652 0.0% # Cathay Real Estate Development Co., Ltd. 4,399,000 2,294,324 0.1% # Celxpert Energy Corp. 164,000 103,695 0.0% Central Reinsurance Co., Ltd. 867,410 456,311 0.0% # ChainQui Construction Development Co., Ltd. 360,083 264,935 0.0% # Chaintech Technology Corp. 222,230 232,539 0.0% Champion Building Materials Co., Ltd. 1,987,851 629,600 0.0% # Chang Wah Electromaterials, Inc. 251,673 514,727 0.0% Channel Well Technology Co., Ltd. 918,000 489,922 0.0% # Charoen Pokphand Enterprise 951,350 786,999 0.0% # Chaun-Choung Technology Corp. 397,000 1,107,368 0.0% # CHC Resources Corp. 346,348 774,941 0.0% Chen Full International Co., Ltd. 495,000 456,242 0.0% # Chenbro Micom Co., Ltd. 402,000 642,694 0.0% Cheng Fwa Industrial Co., Ltd. 66,000 32,288 0.0% # Cheng Loong Corp. 4,957,383 2,171,587 0.1% # Cheng Uei Precision Industry Co., Ltd. 2,453,331 4,096,851 0.1% #* Chenming Mold Industry Corp. 665,437 492,552 0.0% # Chia Chang Co., Ltd. 820,000 791,268 0.0% # Chia Hsin Cement Corp. 2,128,121 1,005,024 0.0% # Chien Kuo Construction Co., Ltd. 1,471,312 575,997 0.0% * Chien Shing Stainless Steel Co., Ltd. 585,000 106,554 0.0% Chilisin Electronics Corp. 514,315 458,701 0.0% # Chime Ball Technology Co., Ltd. 143,000 359,404 0.0% # Chimei Materials Technology Corp. 1,152,900 1,264,366 0.0% # Chin-Poon Industrial Co., Ltd. 1,895,207 3,042,751 0.1% # China Chemical & Pharmaceutical Co., Ltd. 1,678,000 1,128,627 0.0% China Development Financial Holding Corp. 208,985 67,176 0.0% # China Ecotek Corp. 193,000 386,220 0.0% * China Electric Manufacturing Corp. 1,596,900 583,339 0.0% # China General Plastics Corp. 2,093,105 757,902 0.0% China Glaze Co., Ltd. 733,139 337,889 0.0% #* China Man-Made Fiber Corp. 5,236,879 1,385,504 0.0% # China Metal Products 1,478,603 1,215,095 0.0% China Motor Corp. 586,609 534,669 0.0% #* China Petrochemical Development Corp. 13,454,000 4,257,864 0.1% China Steel Chemical Corp. 187,554 1,021,574 0.0% # China Steel Structure Co., Ltd. 655,000 586,235 0.0% China Synthetic Rubber Corp. 2,457,563 2,537,357 0.1% * China United Trust & Investment Corp. 164,804 -- 0.0% * China Wire & Cable Co., Ltd. 711,000 282,048 0.0% # Chinese Maritime Transport, Ltd. 710,850 795,731 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) # Chipbond Technology Corp. 1,760,000 $3,245,236 0.1% # Chong Hong Construction Co., Ltd. 695,778 1,431,982 0.0% * Chou Chin Industrial Co., Ltd. 825 -- 0.0% # Chroma ATE, Inc. 1,531,821 3,821,024 0.1% Chun YU Works & Co., Ltd. 1,293,000 557,649 0.0% # Chun Yuan Steel 2,207,529 828,361 0.0% #* Chung Hsin Electric & Machinery Manufacturing Corp. 2,354,000 1,479,730 0.0% * Chung Hung Steel Corp. 4,954,979 1,209,493 0.0% #* Chung Hwa Pulp Corp. 2,738,031 781,025 0.0% Chunghwa Chemical Synthesis & Biotech Co., Ltd. 287,000 306,166 0.0% * Chunghwa Picture Tubes, Ltd. 16,151,000 831,289 0.0% Chyang Sheng Dyeing & Finishing Co., Ltd. 297,000 146,193 0.0% # Cleanaway Co., Ltd. 383,000 1,702,638 0.1% Clevo Co. 2,044,200 3,629,748 0.1% #* CMC Magnetics Corp. 14,781,960 2,180,040 0.1% * CoAsia Microelectronics Corp. 472,500 175,404 0.0% # Collins Co., Ltd. 618,431 271,768 0.0% Compeq Manufacturing Co., Ltd. 5,881,000 3,246,598 0.1% #* Concord Securities Corp. 3,268,000 847,590 0.0% Continental Holdings Corp. 2,705,320 1,001,633 0.0% Coretronic Corp. 3,022,750 4,549,448 0.1% * Cosmo Electronics Corp. 80,137 90,132 0.0% Coxon Precise Industrial Co., Ltd. 684,000 1,203,680 0.0% Creative Sensor, Inc. 85,000 65,125 0.0% #* Crystalwise Technology, Inc. 635,302 503,037 0.0% # CSBC Corp. Taiwan 2,631,610 1,384,060 0.0% # CTCI Corp. 215,000 351,495 0.0% # Cub Elecparts, Inc. 146,638 1,546,993 0.1% # CviLux Corp. 415,039 657,509 0.0% # Cyberlink Corp. 458,697 1,327,274 0.0% # CyberPower Systems, Inc. 211,000 416,324 0.0% CyberTAN Technology, Inc. 939,779 759,569 0.0% # D-Link Corp. 3,835,018 2,148,645 0.1% # DA CIN Construction Co., Ltd. 910,711 641,210 0.0% #* Da-Li Construction Co., Ltd. 395,206 455,265 0.0% # Dafeng TV, Ltd. 285,540 465,060 0.0% #* Danen Technology Corp. 2,334,000 809,095 0.0% # Darfon Electronics Corp. 1,520,550 822,159 0.0% # Davicom Semiconductor, Inc. 52,888 54,733 0.0% # Daxin Materials Corp. 246,750 320,689 0.0% * De Licacy Industrial Co., Ltd. 70,000 26,318 0.0% #* Delpha Construction Co., Ltd. 991,931 465,177 0.0% # Depo Auto Parts Ind Co., Ltd. 527,000 1,909,491 0.1% * Der Pao Construction Co., Ltd. 476,000 -- 0.0% # DFI, Inc. 362,524 406,785 0.0% Dimerco Express Corp. 469,000 373,152 0.0% # Dynacolor, Inc. 264,000 548,505 0.0% * Dynamic Electronics Co., Ltd. 1,550,321 779,522 0.0% # Dynapack International Technology Corp. 738,000 1,795,067 0.1% #* E Ink Holdings, Inc. 5,077,000 2,469,564 0.1% # E-Lead Electronic Co., Ltd. 406,942 731,212 0.0% # E-Life Mall Corp. 370,000 715,210 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) #* E-Ton Solar Tech Co., Ltd. 2,396,209 $1,220,494 0.0% Eastern Media International Corp. 2,346,889 789,305 0.0% # Edimax Technology Co., Ltd. 1,071,108 409,608 0.0% # Edison Opto Corp. 782,000 575,733 0.0% # Edom Technology Co., Ltd. 637,553 594,035 0.0% # eGalax_eMPIA Technology, Inc. 266,660 491,902 0.0% # Elan Microelectronics Corp. 2,204,715 3,500,540 0.1% # Elite Advanced Laser Corp. 396,000 1,245,219 0.0% Elite Material Co., Ltd. 1,576,350 1,857,373 0.1% # Elite Semiconductor Memory Technology, Inc. 1,365,200 2,076,729 0.1% Elitegroup Computer Systems Co., Ltd. 2,035,254 1,716,514 0.1% # eMemory Technology, Inc. 374,000 4,043,524 0.1% * Emerging Display Technologies Corp. 829,000 220,279 0.0% # ENG Electric Co., Ltd. 755,580 461,557 0.0% # EnTie Commercial Bank Co., Ltd. 1,884,603 830,970 0.0% #* Entire Technology Co., Ltd. 392,000 305,862 0.0% * Episil Holdings, Inc. 921,000 426,943 0.0% # Eternal Materials Co., Ltd. 3,721,647 3,686,508 0.1% #* Etron Technology, Inc. 1,395,000 651,814 0.0% # Everest Textile Co., Ltd. 1,366,562 636,776 0.0% Evergreen International Storage & Transport Corp. 3,037,000 1,779,134 0.1% # Everlight Chemical Industrial Corp. 2,350,829 1,954,955 0.1% # Everlight Electronics Co., Ltd. 2,155,000 4,088,766 0.1% # Everspring Industry Co., Ltd. 351,000 350,629 0.0% Excelsior Medical Co., Ltd. 495,654 836,731 0.0% Far Eastern International Bank 11,735,317 3,956,343 0.1% # Faraday Technology Corp. 1,883,648 2,006,265 0.1% * Farglory F T Z Investment Holding Co., Ltd. 521,000 352,102 0.0% # Farglory Land Development Co., Ltd. 489,000 483,647 0.0% Federal Corp. 2,562,359 1,521,290 0.1% Feedback Technology Corp. 172,000 269,701 0.0% # Feng Hsin Iron & Steel Co. 2,364,100 2,911,323 0.1% Feng TAY Enterprise Co., Ltd. 841,078 2,173,549 0.1% Fine Blanking & Tool Co., Ltd. 13,000 19,694 0.0% First Copper Technology Co., Ltd. 929,000 316,787 0.0% First Hotel 763,424 492,303 0.0% # First Insurance Co, Ltd. (The) 1,074,179 545,874 0.0% * First Steamship Co., Ltd. 2,104,218 1,374,187 0.0% # FLEXium Interconnect, Inc. 1,177,379 2,492,438 0.1% # Flytech Technology Co., Ltd. 544,698 1,947,970 0.1% #* Forhouse Corp. 2,204,635 856,209 0.0% # Formosa Advanced Technologies Co., Ltd. 915,000 613,859 0.0% #* Formosa Epitaxy, Inc. 1,937,811 993,299 0.0% # Formosa International Hotels Corp. 174,067 1,802,613 0.1% * Formosa Laboratories, Inc. 374,000 724,580 0.0% # Formosa Oilseed Processing Co., Ltd. 688,567 446,868 0.0% Formosa Optical Technology Co., Ltd. 229,000 638,246 0.0% Formosan Rubber Group, Inc. 2,421,000 2,640,436 0.1% Formosan Union Chemical 1,222,218 505,861 0.0% # Fortune Electric Co., Ltd. 576,078 281,272 0.0% Founding Construction & Development Co., Ltd. 940,082 634,619 0.0% # Foxlink Image Technology Co., Ltd. 619,000 372,299 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) * Froch Enterprise Co., Ltd. 1,017,000 $ 420,068 0.0% FSP Technology, Inc. 1,034,887 861,840 0.0% # Fullerton Technology Co., Ltd. 569,600 468,182 0.0% # Fulltech Fiber Glass Corp. 1,888,083 681,345 0.0% # Fwusow Industry Co., Ltd. 809,186 401,479 0.0% G Shank Enterprise Co., Ltd. 818,281 732,361 0.0% #* G Tech Optoelectronics Corp. 1,236,000 1,006,848 0.0% Gallant Precision Machining Co., Ltd. 929,000 368,388 0.0% # Gamania Digital Entertainment Co., Ltd. 669,000 635,290 0.0% * GEM Terminal Industrial Co., Ltd. 23,386 9,277 0.0% # Gemtek Technology Corp. 2,064,219 1,514,953 0.1% # General Plastic Industrial Co., Ltd. 199,553 216,374 0.0% #* Genesis Photonics, Inc. 1,847,990 916,092 0.0% #* Genius Electronic Optical Co., Ltd. 404,427 1,134,354 0.0% # GeoVision, Inc. 301,079 1,095,107 0.0% # Getac Technology Corp. 2,226,360 1,121,478 0.0% #* Giantplus Technology Co., Ltd. 1,268,900 436,676 0.0% # Giga Solution Tech Co., Ltd. 636,446 394,387 0.0% # Gigabyte Technology Co., Ltd. 3,078,800 3,544,238 0.1% # Gigasolar Materials Corp. 129,880 2,188,021 0.1% #* Gigastorage Corp. 1,912,561 1,685,638 0.1% #* Gintech Energy Corp. 2,307,936 1,805,967 0.1% * Global Brands Manufacture, Ltd. 1,795,359 565,929 0.0% Global Lighting Technologies, Inc. 449,000 606,099 0.0% # Global Mixed Mode Technology, Inc. 424,000 1,138,287 0.0% # Global Unichip Corp. 496,000 1,498,593 0.0% Globe Union Industrial Corp. 1,196,914 587,326 0.0% # Gloria Material Technology Corp. 2,745,565 1,816,756 0.1% Glory Science Co., Ltd. 239,296 327,926 0.0% * Glotech Industrial Corp. 465,000 108,185 0.0% #* Gold Circuit Electronics, Ltd. 2,468,227 1,022,033 0.0% * Goldsun Development & Construction Co., Ltd. 7,546,722 2,669,002 0.1% # Good Will Instrument Co., Ltd. 215,755 153,583 0.0% # Gourmet Master Co., Ltd. 223,000 1,411,537 0.0% # Grand Pacific Petrochemical 5,777,000 2,767,953 0.1% # Grape King Bio, Ltd. 533,000 2,227,958 0.1% Great China Metal Industry 869,000 802,090 0.0% Great Taipei Gas Co., Ltd. 1,561,000 1,196,362 0.0% # Great Wall Enterprise Co., Ltd. 2,956,774 2,681,607 0.1% #* Green Energy Technology, Inc. 1,855,457 1,211,187 0.0% * GTM Corp. 827,000 589,148 0.0% #* Hannstar Board Corp. 1,728,049 649,492 0.0% # HannStar Display Corp. 16,932,506 4,265,376 0.1% * HannsTouch Solution, Inc. 4,577,130 953,960 0.0% Harvatek Corp. 899,623 517,039 0.0% # Hey Song Corp. 1,828,750 2,189,053 0.1% # Hi-Clearance, Inc. 127,000 412,512 0.0% # Hiroca Holdings, Ltd. 296,448 924,727 0.0% * HiTi Digital, Inc. 730,935 364,059 0.0% # Hitron Technology, Inc. 1,493,213 745,729 0.0% * Hiyes International Co., Ltd. 5,043 9,203 0.0% # Ho Tung Chemical Corp. 4,497,400 1,582,908 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- TAIWAN -- (Continued) # Hocheng Corp. 1,737,700 $ 594,895 0.0% #* Hold-Key Electric Wire & Cable Co., Ltd. 205,908 53,562 0.0% # Holiday Entertainment Co., Ltd. 323,800 370,817 0.0% # Holtek Semiconductor, Inc. 945,000 1,606,680 0.1% Holy Stone Enterprise Co., Ltd. 1,059,728 1,406,568 0.0% Hong Ho Precision Textile Co., Ltd. 40,000 38,077 0.0% Hong TAI Electric Industrial 1,234,000 405,889 0.0% # Hong YI Fiber Industry Co. 75,652 30,556 0.0% Horizon Securities Co., Ltd. 2,380,000 648,582 0.0% # Hota Industrial Manufacturing Co., Ltd. 1,015,128 1,818,891 0.1% # Hsin Kuang Steel Co., Ltd. 1,317,443 748,879 0.0% # Hsin Yung Chien Co., Ltd. 179,100 648,216 0.0% # Hsing TA Cement Co. 620,000 270,523 0.0% # Hu Lane Associate, Inc. 417,866 1,462,670 0.0% HUA ENG Wire & Cable 2,359,565 780,556 0.0% * Hua Yu Lien Development Co., Ltd. 3,701 6,005 0.0% # Huaku Development Co., Ltd. 1,408,816 2,314,581 0.1% Huang Hsiang Construction Corp. 591,800 767,984 0.0% # Hung Ching Development & Construction Co., Ltd. 596,000 320,037 0.0% Hung Poo Real Estate Development Corp. 1,521,185 1,146,382 0.0% Hung Sheng Construction, Ltd. 2,573,400 1,578,235 0.1% # Huxen Corp. 293,244 409,479 0.0% # Hwa Fong Rubber Co., Ltd. 1,494,010 1,105,012 0.0% # Hwacom Systems, Inc. 564,000 299,568 0.0% # I-Chiun Precision Industry Co., Ltd. 1,059,313 619,423 0.0% # I-Sheng Electric Wire & Cable Co., Ltd. 592,000 799,377 0.0% # Ibase Technology, Inc. 491,605 880,506 0.0% # Ichia Technologies, Inc. 1,679,000 1,835,458 0.1% # Ideal Bike Corp. 501,263 218,337 0.0% # IEI Integration Corp. 588,209 937,629 0.0% # ILI Technology Corp. 388,383 872,306 0.0% Infortrend Technology, Inc. 1,292,163 721,100 0.0% # Inpaq Technology Co., Ltd. 157,000 218,452 0.0% Insyde Software Corp. 107,000 174,584 0.0% ITE Technology, Inc. 765,095 800,948 0.0% ITEQ Corp. 1,414,614 1,103,226 0.0% #* J Touch Corp. 759,000 410,265 0.0% * Janfusun Fancyworld Corp. 823,564 124,046 0.0% * Jenn Feng New Energy Co., Ltd. 286,000 56,605 0.0% # Jentech Precision Industrial Co., Ltd. 386,868 868,154 0.0% Jess-Link Products Co., Ltd. 861,900 768,141 0.0% Jih Sun Financial Holdings Co., Ltd. 5,852,843 1,561,578 0.1% # Johnson Health Tech Co., Ltd. 529,331 1,239,937 0.0% K Laser Technology, Inc. 889,000 440,446 0.0% # Kang Na Hsiung Enterprise Co., Ltd. 559,020 258,989 0.0% Kao Hsing Chang Iron & Steel 509,600 177,979 0.0% # Kaori Heat Treatment Co., Ltd. 403,270 785,508 0.0% # Kaulin Manufacturing Co., Ltd. 726,330 487,512 0.0% # KD Holding Corp. 110,000 594,717 0.0% # KEE TAI Properties Co., Ltd. 1,987,473 1,141,673 0.0% # Kenmec Mechanical Engineering Co., Ltd. 1,170,000 519,360 0.0% Kerry TJ Logistics Co., Ltd. 1,609,000 2,011,636 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) Keysheen Cayman Holdings Co., Ltd. 2,000 $ 3,090 0.0% # Kindom Construction Corp. 1,934,000 1,668,231 0.1% # King Slide Works Co., Ltd. 265,550 3,486,665 0.1% King Yuan Electronics Co., Ltd. 6,711,979 5,317,532 0.1% King's Town Bank Co., Ltd. 4,036,701 4,414,883 0.1% * King's Town Construction Co., Ltd. 929,210 814,136 0.0% # Kinik Co. 594,000 1,203,031 0.0% # Kinko Optical Co., Ltd. 812,000 559,640 0.0% #* Kinpo Electronics 6,764,157 2,952,726 0.1% # KMC Kuei Meng International, Inc. 189,875 782,153 0.0% # KS Terminals, Inc. 592,482 677,762 0.0% # Kung Long Batteries Industrial Co., Ltd. 321,000 1,079,304 0.0% Kung Sing Engineering Corp. 1,746,000 703,690 0.0% # Kuo Toong International Co., Ltd. 989,000 1,468,327 0.0% Kuoyang Construction Co., Ltd. 2,438,384 1,042,054 0.0% # Kwong Fong Industries Corp. 1,305,760 717,862 0.0% KYE Systems Corp. 1,576,381 543,105 0.0% L&K Engineering Co., Ltd. 623,048 509,592 0.0% LAN FA Textile 951,933 295,505 0.0% Laser Tek Taiwan Co., Ltd. 46,504 35,602 0.0% # LCY Chemical Corp. 1,265,383 615,022 0.0% Leader Electronics, Inc. 852,000 298,914 0.0% # Leadtrend Technology Corp. 207,086 262,171 0.0% * Lealea Enterprise Co., Ltd. 4,155,892 1,175,566 0.0% # Ledtech Electronics Corp. 592,000 295,596 0.0% # LEE CHI Enterprises Co., Ltd. 1,055,000 464,516 0.0% # Lelon Electronics Corp. 513,000 623,862 0.0% #* Leofoo Development Co. 1,436,000 520,150 0.0% * LES Enphants Co., Ltd. 1,217,754 689,533 0.0% # Lextar Electronics Corp. 2,155,500 1,799,033 0.1% #* Li Peng Enterprise Co., Ltd. 3,468,426 1,194,054 0.0% # Lian HWA Food Corp. 434,883 460,005 0.0% * Lien Chang Electronic Enter 366,000 220,185 0.0% # Lien Hwa Industrial Corp. 3,252,676 2,112,331 0.1% # Lingsen Precision Industries, Ltd. 2,220,506 1,131,322 0.0% Lite-On Semiconductor Corp. 1,173,539 772,988 0.0% # Long Bon International Co., Ltd. 1,851,945 1,130,628 0.0% # Long Chen Paper Co., Ltd. 2,939,709 1,471,577 0.0% # Longwell Co. 774,000 684,710 0.0% # Lotes Co., Ltd. 359,778 1,494,522 0.0% # Lucky Cement Corp. 1,355,000 448,478 0.0% # Lumax International Corp., Ltd. 487,769 1,042,558 0.0% Lung Yen Life Service Corp. 119,000 350,502 0.0% # Macroblock, Inc. 154,000 306,609 0.0% #* Macronix International 21,460,481 4,822,350 0.1% * MacroWell OMG Digital Entertainment Co., Ltd. 38,000 80,209 0.0% # Mag Layers Scientific-Technics Co., Ltd. 212,303 224,799 0.0% # Makalot Industrial Co., Ltd. 928,717 4,859,042 0.1% Marketech International Corp. 743,000 524,277 0.0% Masterlink Securities Corp. 6,150,896 1,960,180 0.1% Mayer Steel Pipe Corp. 842,567 400,475 0.0% Maywufa Co., Ltd. 170,322 78,384 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- TAIWAN -- (Continued) Meiloon Industrial Co. 393,809 $ 166,408 0.0% Mercuries & Associates, Ltd. 1,787,991 1,035,113 0.0% #* Mercuries Life Insurance Co., Ltd. 2,552,400 1,433,430 0.0% # Merry Electronics Co., Ltd. 1,014,477 4,102,640 0.1% Micro-Star International Co., Ltd. 3,455,075 4,231,645 0.1% #* Microbio Co., Ltd. 1,664,607 1,450,200 0.0% #* Microelectronics Technology, Inc. 739,019 356,760 0.0% # Microlife Corp. 231,600 493,579 0.0% # MIN AIK Technology Co., Ltd. 946,316 4,181,426 0.1% # Mirle Automation Corp. 855,009 711,645 0.0% # Mitac Holdings Corp. 2,729,000 2,112,653 0.1% # Mobiletron Electronics Co., Ltd. 347,000 724,355 0.0% #* Mosel Vitelic, Inc. 1,982,014 426,795 0.0% # Motech Industries, Inc. 1,899,000 2,347,848 0.1% # MPI Corp. 331,000 989,443 0.0% # Nak Sealing Technologies Corp. 267,954 926,096 0.0% # Namchow Chemical Industrial Co., Ltd. 823,000 1,326,564 0.0% # Nan Kang Rubber Tire Co., Ltd. 2,953,952 3,241,407 0.1% # Nan Ren Lake Leisure Amusement Co., Ltd. 1,080,000 408,240 0.0% #* Nan Ya Printed Circuit Board Corp. 1,426,000 1,979,613 0.1% Nantex Industry Co., Ltd. 1,282,157 640,346 0.0% # National Petroleum Co., Ltd. 1,045,824 1,194,639 0.0% # Neo Solar Power Corp. 3,887,187 3,685,485 0.1% # Netronix, Inc. 441,000 478,362 0.0% New Asia Construction & Development Corp. 732,835 192,620 0.0% # New Era Electronics Co., Ltd. 431,000 451,574 0.0% # Newmax Technology Co., Ltd. 515,009 600,940 0.0% # Nexcom International Co., Ltd. 444,094 735,146 0.0% Nichidenbo Corp. 692,620 542,427 0.0% # Nien Hsing Textile Co., Ltd. 1,331,436 1,100,915 0.0% Nishoku Technology, Inc. 171,000 235,814 0.0% # Nuvoton Technology Corp. 414,000 364,361 0.0% #* O-TA Precision Industry Co., Ltd. 17,000 9,343 0.0% #* Ocean Plastics Co., Ltd. 812,200 973,000 0.0% # OptoTech Corp. 3,002,886 1,226,861 0.0% #* Orient Semiconductor Electronics, Ltd. 2,971,000 1,155,573 0.0% # Oriental Union Chemical Corp. 3,021,267 2,285,524 0.1% # Orise Technology Co., Ltd. 579,000 691,311 0.0% * P-Two Industries, Inc. 49,000 20,946 0.0% Pacific Construction Co. 1,311,921 439,691 0.0% # Pacific Hospital Supply Co., Ltd. 356,000 761,128 0.0% #* Pan Jit International, Inc. 2,061,541 862,879 0.0% # Pan-International Industrial Corp. 2,164,747 1,348,523 0.0% # Parade Technologies, Ltd. 302,401 2,871,343 0.1% # Paragon Technologies Co., Ltd. 416,246 599,883 0.0% # PChome Online, Inc. 395,119 4,008,906 0.1% # Phihong Technology Co., Ltd. 1,506,901 794,446 0.0% Phison Electronics Corp. 136,000 918,579 0.0% # Phoenix Tours International, Inc. 273,000 372,868 0.0% # Pixart Imaging, Inc. 725,150 1,610,649 0.1% * Plotech Co., Ltd. 115,000 43,013 0.0% # Polytronics Technology Corp. 287,027 636,108 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) Portwell, Inc. 540,000 $ 741,791 0.0% # Posiflex Technology, Inc. 242,374 1,092,554 0.0% * Potrans Electrical Corp. 228,000 -- 0.0% Power Mate Technology Co., Ltd. 157,000 299,344 0.0% #* Power Quotient International Co., Ltd. 836,600 426,153 0.0% * Powercom Co., Ltd. 867,140 137,727 0.0% #* Powertech Industrial Co., Ltd. 367,000 266,090 0.0% # Poya Co., Ltd. 274,065 1,847,375 0.1% President Securities Corp. 4,557,488 2,384,139 0.1% # Prime Electronics Satellitics, Inc. 819,822 325,099 0.0% # Prince Housing & Development Corp. 6,585,644 2,471,123 0.1% #* Princeton Technology Corp. 974,000 357,142 0.0% * Prodisc Technology, Inc. 1,707,199 -- 0.0% # Promate Electronic Co., Ltd. 852,000 990,530 0.0% # Promise Technology, Inc. 821,286 971,995 0.0% * Protop Technology Co., Ltd. 192,000 -- 0.0% #* Qisda Corp. 8,887,900 3,992,591 0.1% # Qualipoly Chemical Corp. 275,000 198,804 0.0% # Quanta Storage, Inc. 723,000 796,685 0.0% #* Quintain Steel Co., Ltd. 2,024,824 417,494 0.0% # Radium Life Tech Co., Ltd. 4,112,059 2,364,130 0.1% # Ralec Electronic Corp. 192,209 362,007 0.0% # Rechi Precision Co., Ltd. 1,611,181 1,615,098 0.1% # Rexon Industrial Corp., Ltd. 94,392 36,226 0.0% # Rich Development Co., Ltd. 3,647,036 1,515,124 0.1% # Richtek Technology Corp. 801,000 3,865,234 0.1% #* Ritek Corp. 15,590,387 1,776,894 0.1% # Rotam Global Agrosciences, Ltd. 373,000 663,432 0.0% # Ruentex Engineering & Construction Co. 226,000 461,569 0.0% # Run Long Construction Co., Ltd. 380,000 355,854 0.0% * Sainfoin Technology Corp. 131,260 -- 0.0% Sampo Corp. 3,014,327 1,194,355 0.0% San Fang Chemical Industry Co., Ltd. 728,480 702,654 0.0% # San Shing Fastech Corp. 462,796 1,203,768 0.0% * Sanyang Industry Co., Ltd. 2,947,628 2,605,568 0.1% # SCI Pharmtech, Inc. 250,395 489,796 0.0% # Scientech Corp. 249,000 529,299 0.0% # SDI Corp. 747,000 957,976 0.0% # Sea Sonic Electronics Co., Ltd. 195,000 305,907 0.0% # Senao International Co., Ltd. 511,541 935,237 0.0% # Sercomm Corp. 1,197,000 2,672,775 0.1% # Sesoda Corp. 831,822 948,686 0.0% Shan-Loong Transportation Co., Ltd. 29,000 22,533 0.0% # Sheng Yu Steel Co., Ltd. 639,980 423,358 0.0% ShenMao Technology, Inc. 498,891 530,341 0.0% # Shih Her Technologies, Inc. 275,000 501,790 0.0% Shih Wei Navigation Co., Ltd. 1,274,183 784,204 0.0% Shihlin Electric & Engineering Corp. 1,663,000 2,172,759 0.1% * Shihlin Paper Corp. 404,000 521,516 0.0% Shin Hai Gas Corp. 1,157 1,619 0.0% Shin Zu Shing Co., Ltd. 827,144 1,819,046 0.1% #* Shining Building Business Co., Ltd. 1,776,401 1,072,726 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) # Shinkong Insurance Co., Ltd. 1,094,131 $ 816,913 0.0% # Shinkong Synthetic Fibers Corp. 8,269,395 2,938,517 0.1% Shinkong Textile Co., Ltd. 1,068,542 1,407,447 0.0% # Shiny Chemical Industrial Co., Ltd. 294,031 427,526 0.0% # Shuttle, Inc. 1,988,152 541,351 0.0% # Sigurd Microelectronics Corp. 1,894,974 1,813,748 0.1% #* Silicon Integrated Systems Corp. 2,908,820 806,267 0.0% # Silicon Power Computer & Communications, Inc. 275,000 260,412 0.0% # Silitech Technology Corp. 928,774 627,371 0.0% # Sinbon Electronics Co., Ltd. 1,140,000 1,477,428 0.0% Sincere Navigation Corp. 1,824,786 1,580,277 0.1% Singatron Enterprise Co., Ltd. 437,000 166,220 0.0% # Sinkang Industries Co., Ltd. 153,521 55,558 0.0% # Sinmag Equipment Corp. 192,938 1,237,929 0.0% # Sino-American Silicon Products, Inc. 2,921,000 4,514,184 0.1% # Sinon Corp. 2,000,510 1,088,835 0.0% Sinphar Pharmaceutical Co., Ltd. 742,595 1,043,790 0.0% # Sinyi Realty, Inc. 1,193,028 1,418,094 0.0% # Sirtec International Co., Ltd. 773,000 1,639,883 0.1% Sitronix Technology Corp. 628,879 1,520,569 0.1% Siward Crystal Technology Co., Ltd. 908,000 652,793 0.0% # Soft-World International Corp. 550,000 1,453,498 0.0% # Solar Applied Materials Technology Co. 1,790,581 1,410,040 0.0% #* Solartech Energy Corp. 2,076,616 1,329,877 0.0% Solomon Technology Corp. 134,159 81,992 0.0% * Solytech Enterprise Corp. 974,000 264,656 0.0% Sonix Technology Co., Ltd. 888,000 1,252,866 0.0% Southeast Cement Co., Ltd. 1,053,700 541,853 0.0% Spirox Corp. 66,000 50,802 0.0% # Sporton International, Inc. 365,505 1,771,280 0.1% # St Shine Optical Co., Ltd. 249,000 4,374,416 0.1% Standard Chemical & Pharmaceutical Co., Ltd. 493,571 611,559 0.0% Stark Technology, Inc. 677,860 635,409 0.0% # Sunonwealth Electric Machine Industry Co., Ltd. 764,487 502,087 0.0% #* Sunplus Technology Co., Ltd. 1,808,000 689,215 0.0% # Sunrex Technology Corp. 1,296,736 713,657 0.0% # Sunspring Metal Corp. 504,000 802,533 0.0% # Super Dragon Technology Co., Ltd. 159,382 91,593 0.0% # Supreme Electronics Co., Ltd. 1,416,579 787,312 0.0% # Swancor Ind Co., Ltd. 221,206 868,109 0.0% Sweeten Construction Co., Ltd. 594,522 340,121 0.0% # Syncmold Enterprise Corp. 663,000 1,268,296 0.0% # Sysage Technology Co., Ltd. 447,080 502,349 0.0% Systex Corp. 242,388 443,164 0.0% # T-Mac Techvest PCB Co., Ltd. 713,000 363,298 0.0% # TA Chen Stainless Pipe 3,550,248 2,186,724 0.1% #* Ta Chong Bank, Ltd. 10,125,528 3,365,621 0.1% Ta Chong Securities Co., Ltd. 1,204,000 401,236 0.0% # Ta Ya Electric Wire & Cable 3,118,306 670,922 0.0% # Ta Yih Industrial Co., Ltd. 194,000 455,355 0.0% # TA-I Technology Co., Ltd. 1,019,009 569,048 0.0% Tah Hsin Industrial Co., Ltd. 426,600 404,629 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- TAIWAN -- (Continued) TAI Roun Products Co., Ltd. 239,000 $ 79,817 0.0% # Tai Tung Communication Co., Ltd. 336,727 485,664 0.0% # Taichung Commercial Bank Co., Ltd. 10,456,831 3,510,177 0.1% # TaiDoc Technology Corp. 224,000 715,374 0.0% # Taiflex Scientific Co., Ltd. 865,000 1,283,649 0.0% # Taimide Tech, Inc. 468,000 616,881 0.0% # Tainan Enterprises Co., Ltd. 785,370 650,559 0.0% # Tainan Spinning Co., Ltd. 5,799,737 3,218,127 0.1% #* Taisun Enterprise Co., Ltd. 1,682,428 636,892 0.0% #* Taita Chemical Co., Ltd. 1,034,951 286,204 0.0% # Taiwan Acceptance Corp. 493,480 1,194,296 0.0% # Taiwan Calsonic Co., Ltd. 33,000 22,578 0.0% # Taiwan Chinsan Electronic Industrial Co., Ltd. 475,000 765,848 0.0% # Taiwan Cogeneration Corp. 1,895,566 1,502,083 0.0% Taiwan Fire & Marine Insurance Co., Ltd. 1,055,338 761,721 0.0% * Taiwan Flourescent Lamp Co., Ltd. 176,000 -- 0.0% # Taiwan FU Hsing Industrial Co., Ltd. 710,000 681,935 0.0% # Taiwan Hon Chuan Enterprise Co., Ltd. 1,338,814 2,194,138 0.1% # Taiwan Hopax Chemicals Manufacturing Co., Ltd. 911,120 623,263 0.0% * Taiwan Kolin Co., Ltd. 1,356,000 -- 0.0% Taiwan Land Development Corp. 3,673,616 1,305,166 0.0% #* Taiwan Life Insurance Co., Ltd. 2,289,586 1,372,096 0.0% # Taiwan Line Tek Electronic 505,545 382,887 0.0% Taiwan Mask Corp. 1,038,412 322,214 0.0% Taiwan Navigation Co., Ltd. 1,012,777 718,475 0.0% # Taiwan Paiho, Ltd. 1,457,287 2,029,021 0.1% Taiwan PCB Techvest Co., Ltd. 1,408,238 2,077,909 0.1% #* Taiwan Prosperity Chemical Corp. 950,000 676,115 0.0% #* Taiwan Pulp & Paper Corp. 1,940,980 727,255 0.0% # Taiwan Sakura Corp. 1,420,003 986,184 0.0% Taiwan Sanyo Electric Co., Ltd. 458,400 478,277 0.0% # Taiwan Secom Co., Ltd. 1,085,371 2,877,993 0.1% Taiwan Semiconductor Co., Ltd. 1,423,000 1,298,971 0.0% Taiwan Sogo Shin Kong SEC 1,305,710 1,651,296 0.1% # Taiwan Styrene Monomer 3,070,209 1,267,419 0.0% Taiwan Surface Mounting Technology Co., Ltd. 1,426,132 1,998,223 0.1% # Taiwan TEA Corp. 3,887,897 2,112,030 0.1% Taiwan Union Technology Corp. 1,288,000 1,070,660 0.0% # Taiyen Biotech Co., Ltd. 777,883 622,018 0.0% * Tang Eng Iron Works Co., Ltd. 7,000 10,408 0.0% * Tatung Co., Ltd. 12,209,015 3,467,397 0.1% # Te Chang Construction Co., Ltd. 412,482 338,010 0.0% * Tecom Co., Ltd. 108,114 9,353 0.0% #* Tekcore Co., Ltd. 360,000 105,559 0.0% Ten Ren Tea Co., Ltd. 187,980 289,378 0.0% Test Research, Inc. 877,821 1,433,278 0.0% Test-Rite International Co., Ltd. 1,680,495 1,110,420 0.0% Tex-Ray Industrial Co., Ltd. 598,000 259,277 0.0% ThaiLin Semiconductor Corp. 226,000 151,325 0.0% # Thinking Electronic Industrial Co., Ltd. 442,204 643,094 0.0% # Thye Ming Industrial Co., Ltd. 920,669 1,023,861 0.0% Ton Yi Industrial Corp. 1,624,644 965,964 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- TAIWAN -- (Continued) # Tong Hsing Electronic Industries, Ltd. 791,963 $3,017,272 0.1% # Tong Yang Industry Co., Ltd. 2,115,741 2,160,728 0.1% Tong-Tai Machine & Tool Co., Ltd. 1,149,599 1,020,537 0.0% Topco Scientific Co., Ltd. 824,363 1,490,376 0.0% # Topco Technologies Corp. 121,000 268,295 0.0% # Topoint Technology Co., Ltd. 839,776 798,527 0.0% # Toung Loong Textile Manufacturing 451,000 1,259,225 0.0% # Trade-Van Information Services Co. 253,000 221,892 0.0% # Transasia Airways Corp. 842,000 315,609 0.0% # Tripod Technology Corp. 2,338,000 4,376,237 0.1% Tsann Kuen Enterprise Co., Ltd. 514,686 541,683 0.0% # TSC Auto ID Technology Co., Ltd. 119,000 888,874 0.0% # TSRC Corp. 701,200 788,958 0.0% # Ttet Union Corp. 270,000 637,774 0.0% # TTFB Co., Ltd. 43,000 378,958 0.0% TTY Biopharm Co., Ltd. 908,979 1,694,710 0.1% # Tung Ho Steel Enterprise Corp. 4,359,000 3,437,389 0.1% # Tung Ho Textile Co., Ltd. 598,000 157,070 0.0% # Tung Thih Electronic Co., Ltd. 336,600 1,049,355 0.0% # TURVO International Co., Ltd. 269,112 843,996 0.0% TXC Corp. 1,688,053 2,092,252 0.1% * TYC Brother Industrial Co., Ltd. 1,051,980 580,646 0.0% #* Tycoons Group Enterprise 2,792,182 514,635 0.0% * Tyntek Corp. 1,264,686 283,153 0.0% TZE Shin International Co., Ltd. 275,425 79,984 0.0% # Ubright Optronics Corp. 235,500 340,496 0.0% Unic Technology Corp. 72,723 30,781 0.0% #* Union Bank Of Taiwan 5,395,707 1,830,229 0.1% #* Union Insurance Co., Ltd. 449,660 391,838 0.0% # Unitech Computer Co., Ltd. 621,804 358,461 0.0% # Unitech Printed Circuit Board Corp. 3,157,370 1,294,858 0.0% # United Integrated Services Co., Ltd. 1,186,439 1,127,820 0.0% # Unity Opto Technology Co., Ltd. 1,629,500 1,439,828 0.0% # Universal Cement Corp. 1,956,114 1,721,949 0.1% Unizyx Holding Corp. 2,160,430 1,275,169 0.0% # UPC Technology Corp. 3,978,447 1,361,608 0.0% # Userjoy Technology Co., Ltd. 74,000 111,502 0.0% # USI Corp. 4,221,734 1,999,811 0.1% Ve Wong Corp. 621,696 458,670 0.0% # Viking Tech Corp. 480,815 330,105 0.0% Visual Photonics Epitaxy Co., Ltd. 1,337,696 1,196,212 0.0% # Vivotek, Inc. 366,443 1,262,687 0.0% #* Wafer Works Corp. 2,098,580 870,331 0.0% # Wah Hong Industrial Corp. 354,021 371,895 0.0% # Wah Lee Industrial Corp. 898,000 1,567,717 0.1% * Walsin Lihwa Corp. 4,298,000 1,426,891 0.0% #* Walsin Technology Corp. 3,315,873 1,146,878 0.0% # Walton Advanced Engineering, Inc. 1,744,197 816,415 0.0% Wan Hai Lines, Ltd. 345,000 255,161 0.0% WAN HWA Enterprise Co. 658,083 320,284 0.0% Waterland Financial Holdings Co., Ltd. 5,457,197 1,517,298 0.1% #* Ways Technical Corp., Ltd. 436,000 434,798 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- TAIWAN -- (Continued) * WEI Chih Steel Industrial Co., Ltd. 433,000 $ 61,208 0.0% # Wei Chuan Foods Corp. 1,836,000 1,530,648 0.1% #* Wei Mon Industry Co., Ltd. 1,812,282 412,854 0.0% # Weikeng Industrial Co., Ltd. 1,105,100 843,583 0.0% # Well Shin Technology Co., Ltd. 418,000 623,068 0.0% Wha Yu Industrial Co., Ltd. 108,000 42,919 0.0% Win Semiconductors Corp. 3,511,000 3,167,734 0.1% * Winbond Electronics Corp. 12,634,138 4,053,581 0.1% * Wintek Corp. 10,777,000 687,360 0.0% # Wisdom Marine Lines Co., Ltd. 1,297,402 1,504,968 0.0% # Wistron NeWeb Corp. 1,259,682 2,840,288 0.1% WT Microelectronics Co., Ltd. 1,785,024 2,850,500 0.1% # WUS Printed Circuit Co., Ltd. 1,844,000 845,013 0.0% # X-Legend Entertainment Co., Ltd. 124,125 621,934 0.0% # XAC Automation Corp. 461,000 786,720 0.0% Xxentria Technology Materials Corp. 696,207 1,787,317 0.1% # Yageo Corp. 1,374,028 2,135,612 0.1% * Yang Ming Marine Transport Corp. 1,209,000 553,454 0.0% # YC Co., Ltd. 2,233,926 1,183,210 0.0% # YC INOX Co., Ltd. 1,701,171 1,300,289 0.0% # YeaShin International Development Co., Ltd. 1,002,350 567,121 0.0% # Yeong Guan Energy Technology Group Co., Ltd. 261,279 1,051,793 0.0% YFY, Inc. 7,314,212 3,032,088 0.1% # Yi Jinn Industrial Co., Ltd. 1,154,094 299,536 0.0% Yieh Phui Enterprise Co., Ltd. 5,791,804 1,715,116 0.1% # Yonyu Plastics Co., Ltd 376,600 387,022 0.0% #* Young Fast Optoelectronics Co., Ltd. 795,872 503,555 0.0% # Young Optics, Inc. 352,111 598,441 0.0% # Youngtek Electronics Corp. 583,412 1,118,755 0.0% Yufo Electronics Co., Ltd. 98,000 60,626 0.0% Yung Chi Paint & Varnish Manufacturing Co., Ltd. 383,869 1,027,344 0.0% # Yungshin Construction & Development Co., Ltd. 282,000 582,517 0.0% YungShin Global Holding Corp. 902,300 1,642,038 0.1% # Yungtay Engineering Co., Ltd. 2,036,000 4,521,195 0.1% # Zeng Hsing Industrial Co., Ltd. 278,107 1,399,903 0.0% # Zenitron Corp. 1,100,000 617,038 0.0% Zig Sheng Industrial Co., Ltd. 2,602,732 719,325 0.0% # Zinwell Corp. 1,809,586 1,745,339 0.1% # Zippy Technology Corp. 581,948 656,814 0.0% # ZongTai Real Estate Development Co., Ltd. 670,090 400,205 0.0% ------------ ---- TOTAL TAIWAN 706,354,207 14.4% ------------ ---- THAILAND -- (3.9%) AAPICO Hitech PCL(B013KZ2) 47,300 22,365 0.0% AAPICO Hitech PCL(B013L48) 964,380 455,986 0.0% Aeon Thana Sinsap Thailand PCL 142,500 474,708 0.0% * AJ Plast PCL 1,601,288 506,394 0.0% Amarin Printing & Publishing PCL 77,660 27,421 0.0% Amata Corp. PCL 5,111,800 2,432,696 0.1% Ananda Development PCL 12,378,400 1,444,210 0.0% AP Thailand PCL 12,378,916 2,527,473 0.1% * Apex Development PCL 3,536 -- 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ---------- --------------- THAILAND -- (Continued) Asia Green Energy PCL 1,711,270 $ 118,743 0.0% Asia Plus Securities PCL 10,379,800 1,249,273 0.0% Asian Insulators PCL 2,273,500 705,015 0.0% Bangchak Petroleum PCL (The) 4,817,500 4,955,058 0.1% Bangkok Aviation Fuel Services PCL 1,418,717 1,579,014 0.0% Bangkok Chain Hospital PCL 8,664,937 2,593,894 0.1% Bangkok Expressway PCL 2,873,100 3,352,097 0.1% Bangkok Insurance PCL 180,181 2,030,286 0.1% Bangkok Life Assurance PCL 305,200 541,151 0.0% * Bangkok Rubber PCL 14,600 -- 0.0% Bangkokland PCL 81,318,070 4,993,434 0.1% Bumrungrad Hospital PCL 350,700 1,432,088 0.0% Cal-Comp Electronics Thailand PCL 14,442,116 1,339,122 0.0% * Central Paper Industry P.L.C. 20 -- 0.0% Central Plaza Hotel PCL 4,356,900 5,049,830 0.1% CH Karnchang PCL 5,932,905 5,009,361 0.1% Charoong Thai Wire & Cable PCL 1,317,400 481,334 0.0% Christiani & Nielsen Thai 2,439,200 385,689 0.0% * CK Power PCL 2,517,800 1,584,738 0.0% Country Group Securities PCL 6,720,500 342,525 0.0% CS Loxinfo PCL 1,759,200 540,129 0.0% Delta Electronics Thailand PCL 1,621,200 3,210,543 0.1% Dhipaya Insurance PCL 901,500 1,107,154 0.0% Diamond Building Products PCL 3,674,800 665,684 0.0% DSG International Thailand PCL 4,018,840 980,957 0.0% Dynasty Ceramic PCL 1,353,400 2,451,661 0.1% Eastern Water Resources Development and Management PCL 4,628,800 1,549,092 0.0% Erawan Group PCL (The) 11,417,870 1,647,651 0.0% * Esso Thailand PCL 12,141,400 2,050,283 0.1% * G J Steel PCL 130,617,600 360,933 0.0% * G Steel PCL 27,015,300 165,891 0.0% GFPT PCL 4,603,000 2,727,599 0.1% * GMM Grammy PCL 1,277,460 541,263 0.0% * Golden Land Property Development PCL 5,024,500 1,380,696 0.0% Grand Canal Land PCL 2,898,200 313,223 0.0% * Grande Asset Hotels & Property PCL 8,319,800 643,718 0.0% Hana Microelectronics PCL 2,487,496 3,322,262 0.1% Hemaraj Land and Development PCL 33,959,700 4,983,954 0.1% ICC International PCL 204,600 252,845 0.0% * Italian-Thai Development PCL 19,673,827 3,443,071 0.1% * ITV PCL 2,785,600 -- 0.0% Jay Mart PCL 1,655,125 696,199 0.0% Jubilee Enterprise PCL 177,300 221,829 0.0% Kang Yong Electric PCL 36,400 286,104 0.0% KCE Electronics PCL 1,786,218 2,193,697 0.1% KGI Securities Thailand PCL 9,781,400 997,060 0.0% Khon Kaen Sugar Industry PCL 5,020,300 2,003,804 0.1% Kiatnakin Bank PCL 3,023,300 3,921,843 0.1% Laguna Resorts & Hotels PCL 197,000 192,040 0.0% Lanna Resources PCL 1,894,350 756,111 0.0% LH Financial Group PCL 27,662,484 1,545,770 0.0% Loxley PCL 7,786,676 1,099,745 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ---------- --------------- THAILAND -- (Continued) LPN Development PCL(B00PXK5) 411,500 $ 314,595 0.0% LPN Development PCL(B00Q643) 4,549,000 3,477,743 0.1% Major Cineplex Group PCL 3,105,500 2,269,294 0.1% Maybank Kim Eng Securities Thailand PCL 610,300 427,229 0.0% MBK PCL 5,671,100 2,803,338 0.1% MCOT PCL 2,352,600 1,473,535 0.0% Modernform Group PCL 1,570,700 491,899 0.0% Muang Thai Insurance PCL 61,288 310,486 0.0% Muramoto Electron Thailand PCL 14,000 93,276 0.0% Nation Multimedia Group PCL 14,377,900 693,070 0.0% * Natural Park PCL 57,383,200 123,329 0.0% Nava Nakorn PCL 1,715,500 106,396 0.0% Noble Development PCL 621,200 198,357 0.0% * Polyplex Thailand PCL 2,802,400 1,006,696 0.0% Precious Shipping PCL 3,309,400 2,164,268 0.1% Premier Marketing PCL 1,524,800 451,775 0.0% President Rice Products PCL 3,375 4,948 0.0% * Property Perfect PCL 21,874,700 987,283 0.0% Pruksa Real Estate PCL 4,902,100 5,042,074 0.1% PTG Energy PCL 3,697,800 652,820 0.0% Quality Houses PCL 39,563,708 5,223,333 0.1% * Raimon Land PCL 21,994,800 1,485,679 0.0% * Regional Container Lines PCL 3,236,400 1,073,169 0.0% * Rojana Industrial Park PCL 5,762,900 1,353,583 0.0% RS PCL 3,358,700 886,854 0.0% Saha Pathana Inter-Holding PCL 680,300 543,070 0.0% Saha-Union PCL 746,600 957,033 0.0% * Sahaviriya Steel Industries PCL 90,858,500 948,477 0.0% Samart Corp. PCL 3,498,300 3,544,486 0.1% Samart I-Mobile PCL 12,701,000 1,403,856 0.0% Samart Telcoms PCL 2,212,100 1,494,203 0.0% Sansiri PCL 45,081,210 2,851,314 0.1% SC Asset Corp PCL 14,046,225 1,630,173 0.0% Siam Future Development PCL 7,221,961 1,552,156 0.0% Siam Global House PCL 4,788,680 1,911,355 0.1% Siamgas & Petrochemicals PCL 3,056,200 1,182,319 0.0% Sino Thai Engineering & Construction PCL 5,251,500 4,232,480 0.1% SNC Former PCL 869,400 408,407 0.0% Somboon Advance Technology PCL 1,776,937 1,003,858 0.0% SPCG PCL 2,848,000 2,207,921 0.1% Sri Ayudhya Capital PCL 73,100 96,509 0.0% Sri Trang Agro-Industry PCL 4,616,690 2,069,502 0.1% Sriracha Construction PCL 891,000 964,315 0.0% Srithai Superware PCL 12,417,700 1,037,032 0.0% STP & I PCL 5,087,440 3,420,784 0.1% Supalai PCL 5,976,633 4,725,155 0.1% Susco PCL 1,939,800 252,525 0.0% SVI PCL 8,178,900 1,330,923 0.0% Symphony Communication PCL 692,400 378,407 0.0% * Tata Steel Thailand PCL 26,248,700 749,502 0.0% Thai Agro Energy PCL 378,870 53,509 0.0% * Thai Airways International PCL(6364971) 141,400 62,082 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- THAILAND -- (Continued) * Thai Airways International PCL(6888868) 6,713,400 $ 2,947,547 0.1% Thai Carbon Black PCL 504,600 429,925 0.0% Thai Central Chemical PCL 207,000 184,311 0.0% Thai Metal Trade PCL 629,300 206,740 0.0% Thai Rayon PCL 9,400 9,019 0.0% Thai Rung Union Car PCL 786,120 120,199 0.0% Thai Stanley Electric PCL 206,600 1,389,174 0.0% Thai Steel Cable PCL 3,400 1,566 0.0% Thai Vegetable Oil PCL 2,939,475 2,012,597 0.1% Thai Wacoal PCL 78,000 119,143 0.0% Thai-German Ceramic Industry PCL 3,855,000 402,426 0.0% Thaicom PCL 3,837,200 4,624,197 0.1% Thanachart Capital PCL 4,752,800 5,107,399 0.1% Thitikorn PCL 742,400 225,660 0.0% * Thoresen Thai Agencies PCL 4,868,396 3,258,552 0.1% Ticon Industrial Connection PCL 6,230,184 3,557,919 0.1% * Tipco Asphalt PCL 684,790 1,266,767 0.0% * TIPCO Foods PCL 1,278,482 270,848 0.0% Tisco Financial Group PCL(B3KFW10) 677,900 926,207 0.0% Tisco Financial Group PCL(B3KFW76) 2,247,400 3,070,596 0.1% Toyo-Thai Corp. PCL(B5ML0D8) 1,350,871 1,213,171 0.0% Toyo-Thai Corp. PCL(B5ML0B6) 446,528 401,012 0.0% TPI Polene PCL 75,786,600 4,211,659 0.1% TTW PCL 13,650,100 5,071,115 0.1% Union Mosaic Industry PCL (The) 272,000 61,382 0.0% Unique Engineering & Construction PCL 3,441,400 1,109,447 0.0% Univanich Palm Oil PCL 939,000 291,185 0.0% Univentures PCL 7,086,000 2,175,622 0.1% Vanachai Group PCL 4,928,959 1,180,408 0.0% Vibhavadi Medical Center PCL 4,111,920 2,032,604 0.1% Vinythai PCL 2,792,934 908,968 0.0% * Workpoint Entertainment PCL 1,082,100 1,245,893 0.0% ------------ --- TOTAL THAILAND 216,046,356 4.4% ------------ --- TURKEY -- (2.4%) * Adana Cimento Sanayii TAS Class A 507,598 1,182,869 0.0% # Adel Kalemcilik Ticaret ve Sanayi A.S. 22,672 516,582 0.0% #* Adese Alisveris Merkezleri Ticaret A.S. 331,389 1,225,986 0.0% Akcansa Cimento A.S. 429,680 2,763,810 0.1% #* Akenerji Elektrik Uretim A.S. 1,914,223 1,007,189 0.0% # Akfen Holding A.S. 885,501 1,892,155 0.1% * AKIS Gayrimenkul Yatirimi A.S. 52,982 54,326 0.0% Aksa Akrilik Kimya Sanayii A.S. 843,653 2,774,178 0.1% Aksigorta A.S. 995,287 1,204,491 0.0% * Aktas Elektrik Ticaret A.S. 370 -- 0.0% # Alarko Holding A.S. 682,424 1,233,929 0.0% # Albaraka Turk Katilim Bankasi A.S. 2,591,157 1,829,713 0.1% Alkim Alkali Kimya A.S. 6,300 45,131 0.0% * Anadolu Anonim Turk Sigorta Sirketi 1,936,423 1,228,752 0.0% # Anadolu Cam Sanayii A.S. 1,303,410 1,113,840 0.0% # Anadolu Hayat Emeklilik A.S. 800,433 1,785,466 0.1% # Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 105,289 1,095,947 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- TURKEY -- (Continued) * Asya Katilim Bankasi A.S. 5,934,410 $1,922,379 0.1% # Aygaz A.S. 124,525 525,189 0.0% #* Bagfas Bandirma Gubre Fabrikalari A.S. 270,720 1,523,394 0.0% * Banvit Bandirma Vitaminli Yem Sanayii ASA 297,934 490,265 0.0% Baticim Bati Anadolu Cimento Sanayii A.S. 294,655 911,057 0.0% #* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 885,060 1,051,827 0.0% # Bizim Toptan Satis Magazalari A.S. 181,001 1,481,348 0.0% * Bolu Cimento Sanayii A.S. 514,692 1,003,956 0.0% # Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 511,465 1,648,835 0.0% #* Bosch Fren Sistemleri 989 55,610 0.0% * Boyner Buyuk Magazacilik 107,290 211,046 0.0% * Boyner Perakende Ve Tekstil Yatirimlari AS 110,344 2,429,617 0.1% # Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 457,826 1,869,763 0.1% Bursa Cimento Fabrikasi A.S. 229,830 591,581 0.0% * Celebi Hava Servisi A.S. 45,555 537,934 0.0% Cimsa Cimento Sanayi VE Ticaret A.S. 505,224 3,736,718 0.1% #* Deva Holding A.S. 683,187 629,982 0.0% #* Dogan Sirketler Grubu Holding A.S. 8,190,404 2,468,173 0.1% Dogus Otomotiv Servis ve Ticaret A.S. 595,613 2,556,743 0.1% #* Dyo Boya Fabrikalari Sanayi ve Ticaret A.S. 541,645 484,830 0.0% * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 265,518 516,350 0.0% # Eczacibasi Yatirim Holding Ortakligi A.S. 354,065 978,156 0.0% EGE Endustri VE Ticaret A.S. 7,414 550,250 0.0% EGE Seramik Sanayi ve Ticaret A.S. 822,424 1,320,389 0.0% # EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 1,950,686 2,062,274 0.1% #* Fenerbahce Futbol A.S. 84,383 1,316,309 0.0% #* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 81,766 732,156 0.0% Gentas Genel Metal Sanayi ve Ticaret A.S. 669,428 493,708 0.0% * Global Yatirim Holding A.S. 2,051,887 1,291,542 0.0% * Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 8,540 -- 0.0% # Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 62,751 1,672,725 0.0% # Goodyear Lastikleri TAS 37,464 1,595,662 0.0% #* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 1,114,071 1,368,054 0.0% #* GSD Holding 2,604,393 1,674,919 0.0% Gubre Fabrikalari TAS 900,985 1,705,432 0.0% * Gunes Sigorta 330,927 293,234 0.0% #* Hurriyet Gazetecilik A.S. 1,335,504 372,244 0.0% #* Ihlas Holding A.S. 7,530,182 1,016,155 0.0% #* Ihlas Madencilik A.S. 148,484 93,494 0.0% # Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 82,829 182,663 0.0% #* Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 1,329,455 1,022,215 0.0% Is Finansal Kiralama A.S. 1,034,680 428,736 0.0% Is Yatirim Menkul Degerler A.S. Class A 272,347 139,769 0.0% #* Izmir Demir Celik Sanayi A.S. 819,232 1,093,301 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,565,502 2,006,303 0.1% #* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 748,561 911,516 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 6,697,063 7,469,799 0.2% #* Karsan Otomotiv Sanayii Ve Ticaret A.S. 1,639,695 1,003,025 0.0% # Kartonsan Karton Sanayi ve Ticaret A.S. 12,685 1,280,593 0.0% #* Kerevitas Gida Sanayi ve Ticaret A.S. 5,801 91,659 0.0% Konya Cimento Sanayii A.S. 8,645 960,100 0.0% # Koza Altin Isletmeleri A.S. 55,986 360,855 0.0%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- TURKEY -- (Continued) #* Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,427,863 $ 1,110,915 0.0% * Mardin Cimento Sanayii ve Ticaret A.S. 288,609 630,956 0.0% #* Marshall Boya ve Vernik 37,108 603,376 0.0% * Menderes Tekstil Sanayi ve Ticaret A.S. 822,847 410,878 0.0% #* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,278,836 553,298 0.0% * Migros Ticaret A.S. 65,476 607,297 0.0% #* Milpa 134,673 54,529 0.0% #* Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S. 149,549 75,308 0.0% * Mudurnu Tavukculuk A.S. 1,740 -- 0.0% * Nergis Holding A.S. 1,784 -- 0.0% #* NET Holding A.S. 1,444,578 1,871,882 0.1% #* Netas Telekomunikasyon A.S. 216,273 593,500 0.0% Nuh Cimento Sanayi A.S. 339,327 1,470,327 0.0% # Otokar Otomotiv Ve Savunma Sanayi A.S. 107,742 2,979,072 0.1% # Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 618,340 1,111,859 0.0% * Parsan Makina Parcalari 87,958 179,951 0.0% # Petkim Petrokimya Holding A.S. 2,004,897 3,192,717 0.1% Pinar Entegre Et ve Un Sanayi A.S. 139,619 573,465 0.0% Pinar SUT Mamulleri Sanayii A.S. 132,554 1,276,097 0.0% * Raks Elektronik Sanayi ve Ticaret A.S. 2,730 -- 0.0% Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 356,531 507,952 0.0% * Sasa Polyester Sanayi A.S. 756,712 687,372 0.0% #* Sekerbank TAS 3,190,761 2,913,405 0.1% # Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,294,214 1,229,231 0.0% Soda Sanayii A.S. 1,412,501 2,612,005 0.1% #* Tat Gida Sanayi A.S. 729,258 1,039,452 0.0% #* Tekfen Holding A.S. 1,393,413 3,503,678 0.1% # Teknosa Ic Ve Dis Ticaret A.S. 201,012 802,907 0.0% #* Tekstil Bankasi A.S. 1,337,315 1,100,463 0.0% Tofas Turk Otomobil Fabrikasi A.S. 1 6 0.0% Trakya Cam Sanayi A.S. 2,696,210 3,541,107 0.1% # Turcas Petrol A.S. 685,172 745,776 0.0% Turk Traktor ve Ziraat Makineleri A.S. 83,945 2,647,440 0.1% Turkiye Sinai Kalkinma Bankasi A.S. 7,582,370 6,652,713 0.2% Vestel Beyaz Esya Sanayi ve Ticaret A.S. 259,548 1,138,478 0.0% #* Vestel Elektronik Sanayi ve Ticaret A.S. 1,090,031 3,604,647 0.1% #* Zorlu Enerji Elektrik Uretim A.S. 1,738,991 2,068,344 0.1% -------------- ---- TOTAL TURKEY 135,178,601 2.7% -------------- ---- TOTAL COMMON STOCKS 4,835,268,118 98.3% -------------- ---- PREFERRED STOCKS -- (1.1%) BRAZIL -- (1.0%) AES Tiete SA 436,900 3,303,065 0.1% Alpargatas SA 998,118 3,497,727 0.1% Banco ABC Brasil SA 642,953 3,568,486 0.1% Banco Alfa de Investimento SA 2,600 7,462 0.0% Banco Daycoval SA 437,327 1,590,997 0.0% Banco do Estado do Rio Grande do Sul SA Class B 1,441,365 8,610,757 0.1% * Banco Industrial e Comercial SA 484,320 1,224,175 0.0% Banco Mercantil do Brasil SA 4,569 8,421 0.0% * Banco Pan SA 2,200,640 2,558,170 0.1%
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- BRAZIL -- (Continued) Banco Pine SA 296,003 $ 821,442 0.0% Banco Sofisa SA 75,000 75,754 0.0% Centrais Eletricas de Santa Catarina SA 79,600 457,606 0.0% Cia de Gas de Sao Paulo COMGAS Class A 157,587 3,108,835 0.1% Cia de Saneamento do Parana 185,001 439,050 0.0% * Cia de Tecidos do Norte de Minas--Coteminas 2 1 0.0% Cia de Transmissao de Energia Eletrica Paulista 356,993 5,538,668 0.1% Cia Energetica de Sao Paulo Class B 42,400 418,076 0.0% Cia Energetica do Ceara Class A 106,339 1,480,256 0.0% Cia Ferro Ligas da Bahia--Ferbasa 315,349 1,059,997 0.0% Cia Paranaense de Energia 27,200 380,012 0.0% Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 1,219,300 3,406,065 0.1% Empresa Metropolitana de Aguas e Energia SA 13,900 21,367 0.0% Eucatex SA Industria e Comercio 223,327 392,645 0.0% * Forjas Taurus SA 355,936 54,489 0.0% * Gol Linhas Aereas Inteligentes SA 586,517 3,026,691 0.1% Marcopolo SA 3,559,400 6,092,001 0.1% Parana Banco SA 52,900 231,701 0.0% Randon Participacoes SA 1,468,157 3,695,997 0.1% Saraiva SA Livreiros Editores 178,773 1,000,267 0.0% Schulz SA 9,000 26,359 0.0% * Sharp SA 30,200,000 -- 0.0% Unipar Carbocloro SA Class B 2,790,948 561,369 0.0% * Usinas Siderurgicas de Minas Gerais SA Class A 328,000 754,188 0.0% ----------- --- TOTAL BRAZIL 57,412,096 1.1% ----------- --- CHILE -- (0.0%) Coca-Cola Embonor SA Class B 8,190 14,136 0.0% ----------- --- COLOMBIA -- (0.1%) Avianca Holdings SA 1,847,698 3,466,398 0.1% ----------- --- MALAYSIA -- (0.0%) Amcorp Properties Bhd, 4.000% 224,650 29,710 0.0% ----------- --- TOTAL PREFERRED STOCKS 60,922,340 1.2% ----------- --- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * Banco Pan SA Rights 11/19/14 118,121 954 0.0% ----------- --- CHINA -- (0.0%) #* Golden Meditech Holdings, Ltd. Warrants 07/30/15 860,943 16,652 0.0% ----------- --- HONG KONG -- (0.0%) #* Agile Property Holdings, Ltd. Rights 11/11/14 987,500 66,214 0.0% * China Taiping Insurance Holdings Co., Ltd. Rights 11/18/14 538,020 329,535 0.0% #* HKC Holdings, Ltd. Warrants 10/15/15 3,579,289 18,000 0.0% * Tonly Electronics Holdings, Ltd. Rights 143,726 28,541 0.0% ----------- --- TOTAL HONG KONG 442,290 0.0% ----------- --- INDONESIA -- (0.0%) * Pabrik Kertas Tjiwi Kimia Tbk PT Warrants 07/11/17 185,833 2,968 0.0% ----------- ---
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- MALAYSIA -- (0.0%) * CB Industrial Product Holdings Bhd Warrants 12/31/15 449,540 $ -- 0.0% -------------- ----- POLAND -- (0.0%) * PZ Cormay SA Rights 40,772 2,864 0.0% -------------- ----- SOUTH KOREA -- (0.0%) * Shinil Industrial Co., Ltd. Rights 11/10/14 51,526 23,142 0.0% -------------- ----- TAIWAN -- (0.0%) * Neo Solar Power Corp. Rights 11/24/14 233,349 -- 0.0% * Silicon Power Computer & Communications, Inc. Rights 11/20/14 13,750 -- 0.0% * Tong-Tai Machine & Tool Co., Ltd. Rights 12/17/14 75,924 1,123 0.0% -------------- ----- TOTAL TAIWAN 1,123 0.0% -------------- ----- THAILAND -- (0.0%) * Loxley PCL Warrants 09/30/17 63,889 4,865 0.0% * Unique Engineering & Construction PCL Rights 11/14/14 172,070 7,924 0.0% -------------- ----- TOTAL THAILAND 12,789 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS 502,782 0.0% -------------- ----- VALUE+ -------------- SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund 60,395,887 698,780,414 14.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $5,112,385,384) $5,595,473,654 113.7% ============== =====
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 10,395,875 $ 352,462,986 -- 362,858,861 Cayman Islands 173,949 -- -- 173,949 Chile 3,448,774 63,805,515 -- 67,254,289 China 442,049 725,675,975 -- 726,118,024 Colombia 3,754,432 -- -- 3,754,432 Greece -- 29,197,746 -- 29,197,746 Hong Kong -- 366,856 -- 366,856 Hungary -- 755,325 -- 755,325 India 527,424 595,480,362 -- 596,007,786 Indonesia 2,642,819 165,006,412 -- 167,649,231 Israel -- 11,979 -- 11,979 Malaysia 97,116 283,567,971 -- 283,665,087 Mexico 242,291,101 155,375 -- 242,446,476 Philippines -- 74,779,382 -- 74,779,382 Poland -- 101,577,105 -- 101,577,105 South Africa 11,844,483 398,377,371 -- 410,221,854 South Korea 7,659,035 703,191,536 -- 710,850,571 Taiwan 831,572 705,522,635 -- 706,354,207 Thailand 216,046,356 -- -- 216,046,356 Turkey 1,922,379 133,256,222 -- 135,178,601 Preferred Stocks Brazil -- 57,412,096 -- 57,412,096 Chile -- 14,136 -- 14,136 Colombia 3,466,398 -- -- 3,466,398 Malaysia -- 29,710 -- 29,710 Rights/Warrants Brazil -- 954 -- 954 China -- 16,652 -- 16,652 Hong Kong -- 442,290 -- 442,290 Indonesia -- 2,968 -- 2,968 Malaysia -- -- -- -- Poland -- 2,864 -- 2,864 South Korea -- 23,142 -- 23,142 Taiwan -- 1,123 -- 1,123 Thailand -- 12,789 -- 12,789 Securities Lending Collateral -- 698,780,414 -- 698,780,414 ------------ -------------- -- -------------- TOTAL $505,543,763 $5,089,929,891 -- $5,595,473,654 ============ ============== == ==============
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2014
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (96.4%) Consumer Discretionary -- (17.3%) * 1-800-Flowers.com, Inc. Class A 44,330 $ 355,970 0.0% Aaron's, Inc. 4,830 119,591 0.0% # AH Belo Corp. Class A 14,556 167,540 0.0% Arctic Cat, Inc. 3,436 115,656 0.0% #* Ascent Capital Group, Inc. Class A 8,564 550,665 0.0% # Autoliv, Inc. 9,404 862,723 0.0% * Ballantyne Strong, Inc. 9,030 40,545 0.0% * Barnes & Noble, Inc. 12,200 266,204 0.0% Bassett Furniture Industries, Inc. 2,900 50,402 0.0% Beasley Broadcasting Group, Inc. Class A 9,471 44,514 0.0% #* Beazer Homes USA, Inc. 4,326 77,565 0.0% * Belmond, Ltd. Class A 75,198 861,769 0.0% Best Buy Co., Inc. 197,800 6,752,892 0.1% Big 5 Sporting Goods Corp. 8,501 104,647 0.0% * Biglari Holdings, Inc. 2,343 818,082 0.0% * BJ's Restaurants, Inc. 25,971 1,143,243 0.0% # Bob Evans Farms, Inc. 52,387 2,559,105 0.1% # Bon-Ton Stores, Inc. (The) 2,986 26,307 0.0% #* Books-A-Million, Inc. 14,887 21,586 0.0% Brown Shoe Co., Inc. 74,697 1,986,193 0.1% #* Build-A-Bear Workshop, Inc. 25,874 438,564 0.0% #* Cabela's, Inc. 53,051 2,547,509 0.1% #* Cache, Inc. 26,610 15,035 0.0% Callaway Golf Co. 38,543 302,177 0.0% * Cambium Learning Group, Inc. 37,733 57,731 0.0% * Canterbury Park Holding Corp. 2,755 26,310 0.0% Carnival Corp. 489,649 19,659,407 0.4% # Carriage Services, Inc. 20,916 417,483 0.0% * Cavco Industries, Inc. 7,600 553,812 0.0% CBS Corp. Class A 28,263 1,534,398 0.0% CBS Corp. Class B 201,625 10,932,107 0.2% * Christopher & Banks Corp. 56,231 367,188 0.0% Churchill Downs, Inc. 7,682 783,410 0.0% * Citi Trends, Inc. 3,415 77,350 0.0% # Columbia Sportswear Co. 8,634 332,754 0.0% Comcast Corp. Class A 3,446,875 190,784,531 3.7% Comcast Corp. Special Class A 1,088,341 60,011,123 1.2% #* Conn's, Inc. 25,450 791,750 0.0% Core-Mark Holding Co., Inc. 48,118 2,792,288 0.1% # CSS Industries, Inc. 13,050 372,708 0.0% CST Brands, Inc. 50,181 1,919,423 0.0% Culp, Inc. 10,036 190,383 0.0% #* Delta Apparel, Inc. 7,532 79,086 0.0% Destination Maternity Corp. 200 2,996 0.0% #* Destination XL Group, Inc. 15,601 81,749 0.0% DeVry Education Group, Inc. 8,757 423,926 0.0% # Dillard's, Inc. Class A 120,300 12,722,928 0.3% * Discovery Communications, Inc. 3,762 131,632 0.0% * Discovery Communications, Inc. Class B 3,762 141,978 0.0% #* Dixie Group, Inc. (The) 11,800 92,984 0.0% #* Dorman Products, Inc. 20,712 960,208 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Consumer Discretionary -- (Continued) Dover Motorsports, Inc. 15,098 $ 36,009 0.0% DR Horton, Inc. 208,125 4,743,169 0.1% #* DreamWorks Animation SKG, Inc. Class A 46,429 1,034,438 0.0% #* Education Management Corp. 13,202 7,857 0.0% Educational Development Corp. 1,679 7,337 0.0% * Eldorado Resorts, Inc. 18,512 76,269 0.0% # Escalade, Inc. 277 3,169 0.0% #* EW Scripps Co. (The) Class A 41,061 788,371 0.0% * Federal-Mogul Holdings Corp. 38,585 602,312 0.0% * Flanigan's Enterprises, Inc. 865 17,300 0.0% Flexsteel Industries, Inc. 2,068 70,953 0.0% # Foot Locker, Inc. 15,700 879,357 0.0% Ford Motor Co. 169,046 2,381,858 0.1% # Fred's, Inc. Class A 47,275 742,218 0.0% Frisch's Restaurants, Inc. 600 15,408 0.0% #* FTD Cos., Inc. 24,893 875,736 0.0% #* Fuel Systems Solutions, Inc. 3,398 31,364 0.0% #* G-III Apparel Group, Ltd. 11,394 904,114 0.0% * Gaiam, Inc. Class A 4,388 33,217 0.0% # GameStop Corp. Class A 104,752 4,479,196 0.1% #* Gaming Partners International Corp. 500 4,195 0.0% Gannett Co., Inc. 119,639 3,768,628 0.1% General Motors Co. 751,200 23,587,680 0.5% #* Genesco, Inc. 7,056 541,125 0.0% Graham Holdings Co. Class B 5,780 4,529,208 0.1% #* Gray Television, Inc. 46,874 433,116 0.0% # Group 1 Automotive, Inc. 57,936 4,949,472 0.1% Harte-Hanks, Inc. 12,432 80,932 0.0% Haverty Furniture Cos., Inc. 33,479 736,873 0.0% * Helen of Troy, Ltd. 64,389 3,982,460 0.1% #* hhgregg, Inc. 36,388 188,490 0.0% Hooker Furniture Corp. 14,814 226,506 0.0% * Hyatt Hotels Corp. Class A 14,601 864,671 0.0% #* Iconix Brand Group, Inc. 95,618 3,825,676 0.1% # International Speedway Corp. Class A 24,844 778,363 0.0% * Isle of Capri Casinos, Inc. 15,434 114,675 0.0% #* JAKKS Pacific, Inc. 13,103 83,597 0.0% * Jarden Corp. 162,075 10,549,462 0.2% #* JC Penney Co., Inc. 85,215 648,486 0.0% Johnson Outdoors, Inc. Class A 15,588 468,419 0.0% * Journal Communications, Inc. Class A 77,674 761,982 0.0% # KB Home 30,800 484,792 0.0% Kohl's Corp. 14,353 778,220 0.0% La-Z-Boy, Inc. 56,332 1,287,750 0.0% #* Lakeland Industries, Inc. 11,757 165,774 0.0% #* Lands' End, Inc. 21,056 999,528 0.0% #* Lee Enterprises, Inc. 38,128 142,217 0.0% # Lennar Corp. Class A 224,100 9,654,228 0.2% Lennar Corp. Class B 7,868 276,245 0.0% * Liberty Interactive Corp. Class A 882,463 23,067,583 0.5% #* Liberty Interactive Corp. Class B 35,706 945,673 0.0% * Liberty Media Corp. 208,010 9,969,919 0.2%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Consumer Discretionary -- (Continued) * Liberty Media Corp. Class A 96,383 $ 4,628,312 0.1% * Liberty Media Corp. Class B 7,622 356,938 0.0% * Liberty TripAdvisor Holdings, Inc. Class A 76,802 2,425,407 0.1% * Liberty TripAdvisor Holdings, Inc. Class B 3,570 123,094 0.0% * Liberty Ventures Series A 202,261 7,099,361 0.2% #* Liberty Ventures Series B 8,645 299,852 0.0% #* Life Time Fitness, Inc. 13,317 742,689 0.0% # Lifetime Brands, Inc. 16,431 281,134 0.0% Lithia Motors, Inc. Class A 34,933 2,711,499 0.1% * Live Nation Entertainment, Inc. 145,347 3,779,022 0.1% * Loral Space & Communications, Inc. 26,050 1,992,825 0.1% Lowe's Cos., Inc. 139,546 7,982,031 0.2% * Luby's, Inc. 44,415 221,631 0.0% * M/I Homes, Inc. 37,930 817,012 0.0% * Madison Square Garden Co. (The) Class A 29,558 2,239,314 0.1% Marcus Corp. (The) 18,899 323,740 0.0% #* MarineMax, Inc. 29,164 559,074 0.0% Marriott Vacations Worldwide Corp. 2,531 175,753 0.0% #* Martha Stewart Living Omnimedia, Inc. Class A 980 4,243 0.0% * McClatchy Co. (The) Class A 60,603 215,747 0.0% #* Media General, Inc. Class A 25,196 376,428 0.0% # Men's Wearhouse, Inc. (The) 52,860 2,486,006 0.1% # Meredith Corp. 32,676 1,703,727 0.0% * Meritage Homes Corp. 28,156 1,035,859 0.0% #* MGM Resorts International 251,100 5,838,075 0.1% * Modine Manufacturing Co. 14,650 187,960 0.0% * Mohawk Industries, Inc. 98,740 14,025,030 0.3% * Monarch Casino & Resort, Inc. 1,103 17,946 0.0% * Motorcar Parts of America, Inc. 13,074 379,669 0.0% Movado Group, Inc. 36,900 1,302,570 0.0% * Multimedia Games Holding Co., Inc. 23,224 810,518 0.0% * Murphy USA, Inc. 47,356 2,713,499 0.1% # NACCO Industries, Inc. Class A 6,832 400,150 0.0% * New York & Co., Inc. 6,926 22,648 0.0% * News Corp. Class A 402,247 6,226,784 0.1% #* News Corp. Class B 99,903 1,503,540 0.0% #* Office Depot, Inc. 181,609 947,999 0.0% #* Pacific Sunwear of California, Inc. 12,650 19,228 0.0% * Penn National Gaming, Inc. 63,446 830,508 0.0% Penske Automotive Group, Inc. 43,845 1,983,548 0.1% * Pep Boys-Manny, Moe & Jack (The) 75,098 715,684 0.0% #* Perry Ellis International, Inc. 21,492 439,511 0.0% #* Pinnacle Entertainment, Inc. 71,930 1,843,566 0.0% PulteGroup, Inc. 143,221 2,748,411 0.1% PVH Corp. 31,964 3,655,083 0.1% * Radio One, Inc. Class D 13,955 34,748 0.0% * RCI Hospitality Holdings, Inc. 12,026 143,109 0.0% * Red Robin Gourmet Burgers, Inc. 31,175 1,713,690 0.0% Regis Corp. 54,292 921,878 0.0% # Rent-A-Center, Inc. 76,435 2,367,192 0.1% Rocky Brands, Inc. 8,729 114,699 0.0% Royal Caribbean Cruises, Ltd. 322,500 21,920,325 0.4%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Consumer Discretionary -- (Continued) #* Ruby Tuesday, Inc. 70,361 $ 540,372 0.0% # Saga Communications, Inc. Class A 8,693 348,589 0.0% # Salem Communications Corp. Class A 10,922 84,209 0.0% # Scholastic Corp. 30,900 1,075,629 0.0% #* Scientific Games Corp. Class A 41,635 490,044 0.0% #* Sears Holdings Corp. 25,182 879,355 0.0% Service Corp. International 274,069 5,993,889 0.1% #* Shiloh Industries, Inc. 24,793 422,473 0.0% # Shoe Carnival, Inc. 33,450 615,480 0.0% * Skechers U.S.A., Inc. Class A 49,610 2,716,148 0.1% # Spartan Motors, Inc. 16,820 95,706 0.0% # Speedway Motorsports, Inc. 52,187 1,021,300 0.0% Stage Stores, Inc. 53,575 903,810 0.0% Standard Motor Products, Inc. 37,342 1,475,756 0.0% # Staples, Inc. 497,525 6,308,617 0.1% #* Starz 84,255 2,603,480 0.1% * Starz Class B 7,622 235,177 0.0% Stein Mart, Inc. 22,915 306,603 0.0% * Steiner Leisure, Ltd. 2,225 93,851 0.0% #* Stoneridge, Inc. 19,361 251,499 0.0% Strattec Security Corp. 5,224 541,833 0.0% # Superior Industries International, Inc. 37,089 723,606 0.0% # Superior Uniform Group, Inc. 8,978 215,472 0.0% Sypris Solutions, Inc. 8,460 28,849 0.0% #* Systemax, Inc. 11,750 179,775 0.0% Tandy Leather Factory, Inc. 500 4,620 0.0% Target Corp. 4,925 304,464 0.0% Time Warner Cable, Inc. 693,942 102,155,202 2.0% Time Warner, Inc. 1,534,860 121,975,324 2.4% #* Time, Inc. 191,857 4,334,050 0.1% * Toll Brothers, Inc. 203,299 6,495,403 0.1% Trans World Entertainment Corp. 5,781 19,077 0.0% #* Tuesday Morning Corp. 60,500 1,233,595 0.0% Twenty-First Century Fox, Inc. Class A 1,287,383 44,388,966 0.9% Twenty-First Century Fox, Inc. Class B 550,972 18,275,741 0.4% #* Unifi, Inc. 43,422 1,214,513 0.0% * Universal Electronics, Inc. 3,206 182,389 0.0% Vail Resorts, Inc. 11,600 1,001,776 0.0% #* Valuevision Media, Inc. Class A 3,998 22,629 0.0% #* VOXX International Corp. 24,496 208,951 0.0% Walt Disney Co. (The) 26,220 2,395,984 0.1% # Wendy's Co. (The) 242,704 1,946,486 0.0% * West Marine, Inc. 26,468 260,445 0.0% Whirlpool Corp. 30,049 5,169,930 0.1% Wyndham Worldwide Corp. 144,114 11,193,334 0.2% ------------ ---- Total Consumer Discretionary 920,438,391 17.9% ------------ ---- Consumer Staples -- (7.0%) # Alico, Inc. 960 35,424 0.0% * Alliance One International, Inc. 35,084 71,221 0.0% Andersons, Inc. (The) 23,660 1,507,852 0.0% Archer-Daniels-Midland Co. 813,476 38,233,372 0.8%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Consumer Staples -- (Continued) #* Boulder Brands, Inc. 76,099 $ 675,759 0.0% Bunge, Ltd. 121,368 10,759,273 0.2% * CCA Industries, Inc. 8,323 28,298 0.0% * Central Garden and Pet Co. 25,184 200,968 0.0% #* Central Garden and Pet Co. Class A 54,453 467,751 0.0% * Chiquita Brands International, Inc. 69,284 999,768 0.0% * Constellation Brands, Inc. Class A 249,042 22,797,305 0.5% * Constellation Brands, Inc. Class B 12,715 1,161,388 0.0% #* Craft Brew Alliance, Inc. 9,754 135,386 0.0% CVS Health Corp. 1,510,745 129,637,028 2.5% #* Farmer Bros. Co. 6,695 195,226 0.0% # Fresh Del Monte Produce, Inc. 39,437 1,266,322 0.0% #* Hain Celestial Group, Inc. (The) 43,646 4,724,680 0.1% Ingles Markets, Inc. Class A 11,437 307,655 0.0% # Ingredion, Inc. 62,117 4,798,538 0.1% JM Smucker Co. (The) 108,204 11,253,216 0.2% John B. Sanfilippo & Son, Inc. 10,428 387,400 0.0% Kraft Foods Group, Inc. 209,706 11,816,933 0.3% * Mannatech, Inc. 717 10,447 0.0% MGP Ingredients, Inc. 4,788 59,132 0.0% Molson Coors Brewing Co. Class A 1,908 150,141 0.0% Molson Coors Brewing Co. Class B 186,550 13,875,589 0.3% Mondelez International, Inc. Class A 2,081,099 73,379,551 1.4% * Nutraceutical International Corp. 14,615 328,545 0.0% # Oil-Dri Corp. of America 5,047 152,318 0.0% * Omega Protein Corp. 25,852 373,561 0.0% * Pantry, Inc. (The) 22,475 579,181 0.0% #* Post Holdings, Inc. 50,201 1,882,538 0.1% Safeway, Inc. 157,807 5,501,152 0.1% # Sanderson Farms, Inc. 16,100 1,352,078 0.0% * Seaboard Corp. 1,812 5,568,040 0.1% #* Seneca Foods Corp. Class A 6,301 169,371 0.0% * Seneca Foods Corp. Class B 300 9,068 0.0% # Snyder's-Lance, Inc. 28,337 844,159 0.0% SpartanNash Co. 34,281 768,237 0.0% Spectrum Brands Holdings, Inc. 46,130 4,178,917 0.1% #* TreeHouse Foods, Inc. 24,190 2,060,262 0.1% Tyson Foods, Inc. Class A 405,030 16,342,961 0.3% # Universal Corp. 22,290 991,905 0.0% # Weis Markets, Inc. 11,602 517,913 0.0% ------------ --- Total Consumer Staples 370,555,829 7.2% ------------ --- Energy -- (15.5%) Adams Resources & Energy, Inc. 6,004 252,468 0.0% Alon USA Energy, Inc. 33,484 537,083 0.0% Anadarko Petroleum Corp. 845,068 77,560,341 1.5% Apache Corp. 289,715 22,365,998 0.4% #* Approach Resources, Inc. 6,883 68,142 0.0% * Atwood Oceanics, Inc. 4,600 186,990 0.0% Baker Hughes, Inc. 127,976 6,777,609 0.1% * Barnwell Industries, Inc. 8,038 20,577 0.0% Bolt Technology Corp. 9,574 209,958 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Energy -- (Continued) Bristow Group, Inc. 43,589 $ 3,221,227 0.1% #* C&J Energy Services, Inc. 37,416 722,503 0.0% # Cabot Oil & Gas Corp. 568 17,665 0.0% * Callon Petroleum Co. 13,214 86,684 0.0% Chesapeake Energy Corp. 624,655 13,854,848 0.3% Chevron Corp. 1,026,536 123,132,993 2.4% * Cloud Peak Energy, Inc. 33,115 396,387 0.0% # Comstock Resources, Inc. 32,421 383,865 0.0% ConocoPhillips 1,766,829 127,476,712 2.5% * Contango Oil & Gas Co. 1,064 38,910 0.0% # Dawson Geophysical Co. 17,055 289,764 0.0% Delek US Holdings, Inc. 52,256 1,770,956 0.0% # Denbury Resources, Inc. 289,460 3,589,304 0.1% Devon Energy Corp. 81,126 4,867,560 0.1% # Energy XXI Bermuda, Ltd. 15,380 118,272 0.0% EOG Resources, Inc. 12,090 1,149,154 0.0% * Era Group, Inc. 36,653 857,314 0.0% * Escalera Resources Co. 6,444 7,282 0.0% # Exterran Holdings, Inc. 69,200 2,721,636 0.1% Exxon Mobil Corp. 719,910 69,622,496 1.4% # Green Plains, Inc. 26,534 907,463 0.0% Gulf Island Fabrication, Inc. 15,018 317,481 0.0% Gulfmark Offshore, Inc. Class A 35,505 1,070,831 0.0% #* Harvest Natural Resources, Inc. 48,645 180,959 0.0% * Helix Energy Solutions Group, Inc. 103,010 2,744,186 0.1% Helmerich & Payne, Inc. 108,670 9,434,729 0.2% Hess Corp. 378,130 32,069,205 0.6% * HKN, Inc. 564 37,224 0.0% HollyFrontier Corp. 32,210 1,461,690 0.0% #* Hornbeck Offshore Services, Inc. 29,719 911,185 0.0% * Key Energy Services, Inc. 49,745 151,225 0.0% #* Magnum Hunter Resources Corp. 42,916 199,130 0.0% Marathon Oil Corp. 903,937 31,999,370 0.6% Marathon Petroleum Corp. 451,968 41,083,891 0.8% #* Matador Resources Co. 6,400 155,328 0.0% * Matrix Service Co. 15,423 386,500 0.0% # Murphy Oil Corp. 189,426 10,113,454 0.2% Nabors Industries, Ltd. 272,782 4,869,159 0.1% National Oilwell Varco, Inc. 250,948 18,228,863 0.4% * Natural Gas Services Group, Inc. 15,026 386,619 0.0% * Newfield Exploration Co. 48,506 1,581,781 0.0% * Newpark Resources, Inc. 97,395 1,113,225 0.0% # Noble Corp. P.L.C. 74,243 1,553,164 0.0% Noble Energy, Inc. 133,794 7,710,548 0.2% #* Northern Oil and Gas, Inc. 16,372 185,004 0.0% Occidental Petroleum Corp. 223,749 19,897,999 0.4% #* Overseas Shipholding Group, Inc. 2,355 12,128 0.0% #* Paragon Offshore P.L.C. 24,747 120,518 0.0% * Parker Drilling Co. 142,573 633,024 0.0% Patterson-UTI Energy, Inc. 152,325 3,508,045 0.1% * PDC Energy, Inc. 24,103 1,053,783 0.0% * Penn Virginia Corp. 35,279 302,341 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- Energy -- (Continued) #* PHI, Inc. Non-Voting 21,843 $ 977,256 0.0% * PHI, Inc. Voting 1,099 46,718 0.0% Phillips 66 883,414 69,347,999 1.4% * Pioneer Energy Services Corp. 98,221 901,669 0.0% Pioneer Natural Resources Co. 88,400 16,712,904 0.3% QEP Resources, Inc. 33,043 828,388 0.0% #* Renewable Energy Group, Inc. 2,882 30,347 0.0% #* REX American Resources Corp. 4,050 294,678 0.0% #* Rex Energy Corp. 35,100 275,184 0.0% Rowan Cos. P.L.C. Class A 121,858 2,957,494 0.1% #* SEACOR Holdings, Inc. 36,653 3,022,040 0.1% SemGroup Corp. Class A 4,727 362,797 0.0% * Seventy Seven Energy, Inc. 44,617 583,144 0.0% # Ship Finance International, Ltd. 40,467 695,628 0.0% * Stone Energy Corp. 1,115 27,318 0.0% Superior Energy Services, Inc. 75,686 1,903,503 0.0% #* Swift Energy Co. 34,900 239,065 0.0% Teekay Corp. 37,720 2,205,111 0.1% # Tesco Corp. 3,745 71,305 0.0% Tesoro Corp. 168,807 12,054,508 0.2% #* TETRA Technologies, Inc. 25,510 243,110 0.0% #* TGC Industries, Inc. 1,787 5,611 0.0% # Tidewater, Inc. 49,127 1,811,312 0.0% # Transocean, Ltd. 274,265 8,181,325 0.2% #* Triangle Petroleum Corp. 7,779 60,287 0.0% * Unit Corp. 57,000 2,759,940 0.1% Valero Energy Corp. 605,899 30,349,481 0.6% * Weatherford International P.L.C. 281,383 4,620,309 0.1% Western Refining, Inc. 68,485 3,122,231 0.1% * Whiting Petroleum Corp. 16,007 980,269 0.0% * Willbros Group, Inc. 18,620 109,299 0.0% ------------ ---- Total Energy 822,464,980 16.0% ------------ ---- Financials -- (18.6%) # 1st Source Corp. 41,187 1,288,741 0.0% 1st United Bancorp, Inc. 863 7,638 0.0% ACE, Ltd. 59,493 6,502,585 0.1% Aflac, Inc. 26,992 1,612,232 0.0% # Alexander & Baldwin, Inc. 66,838 2,675,525 0.1% * Alleghany Corp. 2,626 1,166,679 0.0% Allied World Assurance Co. Holdings AG 76,431 2,904,378 0.1% Allstate Corp. (The) 199,921 12,964,877 0.3% # American Equity Investment Life Holding Co. 88,700 2,289,347 0.1% American Financial Group, Inc. 173,596 10,386,249 0.2% * American Independence Corp. 173 1,901 0.0% American International Group, Inc. 899,581 48,190,554 1.0% American National Insurance Co. 37,287 4,253,701 0.1% Ameris Bancorp 12,022 298,146 0.0% AmeriServ Financial, Inc. 33,075 104,186 0.0% Argo Group International Holdings, Ltd. 42,675 2,381,265 0.1% Aspen Insurance Holdings, Ltd. 102,623 4,477,441 0.1% # Associated Banc-Corp 31,434 590,959 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Financials -- (Continued) Assurant, Inc. 65,820 $ 4,490,240 0.1% Assured Guaranty, Ltd. 122,989 2,838,586 0.1% * Asta Funding, Inc. 7,527 63,453 0.0% Astoria Financial Corp. 19,344 254,374 0.0% #* Atlanticus Holdings Corp. 19,218 26,905 0.0% * AV Homes, Inc. 8,274 124,027 0.0% Axis Capital Holdings, Ltd. 4,903 236,030 0.0% Baldwin & Lyons, Inc. Class A 300 7,356 0.0% Baldwin & Lyons, Inc. Class B 6,556 176,488 0.0% #* Bancorp, Inc. 459 4,342 0.0% Bank Mutual Corp. 14,475 95,390 0.0% Bank of America Corp. 6,542,656 112,271,977 2.2% Bank of New York Mellon Corp. (The) 491,755 19,040,754 0.4% # BankFinancial Corp. 39,867 475,613 0.0% Banner Corp. 7,943 343,296 0.0% BB&T Corp. 43,723 1,656,227 0.0% BCB Bancorp, Inc. 1,059 13,651 0.0% Berkshire Hills Bancorp, Inc. 25,980 669,764 0.0% #* BofI Holding, Inc. 8,208 632,180 0.0% # Capital City Bank Group, Inc. 15,389 232,528 0.0% Capital One Financial Corp. 356,632 29,518,431 0.6% # Capital Southwest Corp. 20,844 764,141 0.0% * Cascade Bancorp 15,799 80,733 0.0% Cathay General Bancorp 17,730 468,249 0.0% # Centerstate Banks, Inc. 747 8,695 0.0% # Century Bancorp, Inc. Class A 495 18,800 0.0% Chicopee Bancorp, Inc. 1,000 14,890 0.0% Cincinnati Financial Corp. 7,895 398,461 0.0% CIT Group, Inc. 45,907 2,246,230 0.1% Citigroup, Inc. 2,248,344 120,353,854 2.4% Citizens Community Bancorp, Inc. 10,355 92,159 0.0% CME Group, Inc. 414,385 34,729,607 0.7% CNA Financial Corp. 277,671 10,851,383 0.2% CNO Financial Group, Inc. 301,264 5,461,916 0.1% Codorus Valley Bancorp, Inc. 132 2,860 0.0% Comerica, Inc. 16,431 784,416 0.0% Community West Bancshares 400 2,580 0.0% #* Cowen Group, Inc. Class A 15,961 64,482 0.0% Donegal Group, Inc. Class A 20,677 327,110 0.0% Donegal Group, Inc. Class B 300 6,300 0.0% * E*TRADE Financial Corp. 89,699 2,000,288 0.1% * Eastern Virginia Bankshares, Inc. 307 1,900 0.0% # EMC Insurance Group, Inc. 18,341 587,646 0.0% #* Encore Capital Group, Inc. 627 28,535 0.0% Endurance Specialty Holdings, Ltd. 76,288 4,420,890 0.1% Enterprise Financial Services Corp. 3,235 60,980 0.0% # ESB Financial Corp. 432 8,061 0.0% ESSA Bancorp, Inc. 8,217 94,413 0.0% Evans Bancorp, Inc. 1,681 39,075 0.0% Everest Re Group, Ltd. 34,913 5,957,903 0.1% #* Farmers Capital Bank Corp. 302 6,777 0.0% FBL Financial Group, Inc. Class A 24,660 1,222,643 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Financials -- (Continued) Federal Agricultural Mortgage Corp. Class A 177 $ 4,337 0.0% Federal Agricultural Mortgage Corp. Class C 9,200 306,360 0.0% Federated National Holding Co. 13,665 457,231 0.0% Fidelity Southern Corp. 7,213 110,720 0.0% Fifth Third Bancorp 62,451 1,248,395 0.0% * First Acceptance Corp. 30,158 77,204 0.0% # First American Financial Corp. 61,982 1,879,294 0.1% First Bancorp. 16,138 292,421 0.0% First Business Financial Services, Inc. 482 22,620 0.0% First Citizens BancShares, Inc. Class A 8,627 2,167,189 0.1% First Commonwealth Financial Corp. 30,547 285,614 0.0% First Community Bancshares, Inc. 183 2,996 0.0% First Defiance Financial Corp. 10,880 333,254 0.0% # First Federal of Northern Michigan Bancorp, Inc. 900 4,401 0.0% # First Financial Northwest, Inc. 25,371 294,304 0.0% First Merchants Corp. 46,827 1,060,632 0.0% First Midwest Bancorp, Inc. 7,168 120,351 0.0% First Niagara Financial Group, Inc. 77,106 577,524 0.0% First South Bancorp, Inc. 2,278 18,793 0.0% FNF Group 46,321 1,382,219 0.0% * FNFV Group 15,438 207,487 0.0% Fox Chase Bancorp, Inc. 351 5,749 0.0% * Genworth Financial, Inc. Class A 34,964 489,146 0.0% # German American Bancorp, Inc. 7,459 222,800 0.0% GFI Group, Inc. 2,875 15,812 0.0% * Global Indemnity P.L.C. 8,282 240,012 0.0% Goldman Sachs Group, Inc. (The) 154,508 29,354,975 0.6% # Great Southern Bancorp, Inc. 1,616 61,424 0.0% # Griffin Land & Nurseries, Inc. 1,500 39,225 0.0% Guaranty Federal Bancshares, Inc. 1,684 21,378 0.0% * Hallmark Financial Services, Inc. 25,666 299,266 0.0% # Hampden Bancorp, Inc. 5,886 101,239 0.0% Hanover Insurance Group, Inc. (The) 88,829 5,946,213 0.1% Hartford Financial Services Group, Inc. (The) 308,762 12,220,800 0.3% HCC Insurance Holdings, Inc. 17,700 923,763 0.0% # Heartland Financial USA, Inc. 465 12,369 0.0% HF Financial Corp. 400 5,436 0.0% * Hilltop Holdings, Inc. 26,171 576,547 0.0% Hingham Institution for Savings 500 41,360 0.0% * HMN Financial, Inc. 3,456 44,790 0.0% * Home Bancorp, Inc. 719 16,386 0.0% HopFed Bancorp, Inc. 6,781 77,575 0.0% Horace Mann Educators Corp. 58,206 1,770,044 0.0% Hudson City Bancorp, Inc. 28,191 272,043 0.0% Huntington Bancshares, Inc. 25,395 251,664 0.0% Iberiabank Corp. 697 47,995 0.0% #* Imperial Holdings, Inc. 2,882 18,070 0.0% # Independence Holding Co. 24,172 342,034 0.0% Infinity Property & Casualty Corp. 15,800 1,153,558 0.0% Intercontinental Exchange, Inc. 1,479 308,061 0.0% International Bancshares Corp. 800 22,696 0.0% Intervest Bancshares Corp. Class A 2,078 20,260 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Financials -- (Continued) * Investment Technology Group, Inc. 23,677 $ 424,529 0.0% Investors Title Co. 1,169 87,617 0.0% # Janus Capital Group, Inc. 24,840 372,352 0.0% JPMorgan Chase & Co. 1,785,675 107,997,624 2.1% Kemper Corp. 67,002 2,469,024 0.1% Kentucky First Federal Bancorp 2,400 19,656 0.0% KeyCorp 526,210 6,945,972 0.2% Lakeland Bancorp, Inc. 8,740 96,053 0.0% Landmark Bancorp, Inc. 1,968 47,035 0.0% Legg Mason, Inc. 93,283 4,850,716 0.1% Leucadia National Corp. 9,729 231,356 0.0% Lincoln National Corp. 378,093 20,704,373 0.4% LNB Bancorp, Inc. 13,395 188,066 0.0% Loews Corp. 243,798 10,629,593 0.2% Louisiana Bancorp, Inc. 5,606 117,053 0.0% # Macatawa Bank Corp. 18,892 98,427 0.0% # Maiden Holdings, Ltd. 5,792 69,214 0.0% MainSource Financial Group, Inc. 45,000 818,550 0.0% Marlin Business Services Corp. 14,241 301,055 0.0% MB Financial, Inc. 19,678 620,841 0.0% * MBIA, Inc. 82,267 802,926 0.0% * MBT Financial Corp. 24,724 114,967 0.0% Meadowbrook Insurance Group, Inc. 26,353 167,869 0.0% # Medallion Financial Corp. 9,550 110,302 0.0% # Mercantile Bank Corp. 4,422 87,246 0.0% Meta Financial Group, Inc. 1,083 40,623 0.0% MetLife, Inc. 1,125,923 61,070,064 1.2% * Metro Bancorp, Inc. 26,598 666,014 0.0% #* MGIC Investment Corp. 72,733 648,778 0.0% MicroFinancial, Inc. 5,900 49,501 0.0% # MidWestOne Financial Group, Inc. 346 9,231 0.0% # Montpelier Re Holdings, Ltd. 38,746 1,284,042 0.0% Morgan Stanley 1,476,248 51,594,868 1.0% MutualFirst Financial, Inc. 2,300 50,025 0.0% NASDAQ OMX Group, Inc. (The) 42,129 1,822,501 0.1% National Penn Bancshares, Inc. 1,074 11,047 0.0% # National Western Life Insurance Co. Class A 900 243,900 0.0% * Navigators Group, Inc. (The) 3,685 250,912 0.0% # New Hampshire Thrift Bancshares, Inc. 3,667 58,012 0.0% # New York Community Bancorp, Inc. 42,918 684,542 0.0% * NewBridge Bancorp 11,413 101,462 0.0% #* NewStar Financial, Inc. 41,166 563,151 0.0% Northeast Community Bancorp, Inc. 17,190 120,330 0.0% Northrim BanCorp, Inc. 5,734 165,713 0.0% OFG Bancorp 30,191 470,074 0.0% Old Republic International Corp. 280,714 4,146,146 0.1% Oppenheimer Holdings, Inc. Class A 3,097 76,031 0.0% * Pacific Mercantile Bancorp 16,236 114,301 0.0% PacWest Bancorp 1,076 45,902 0.0% Park Sterling Corp. 3,253 24,918 0.0% PartnerRe, Ltd. 52,224 6,041,795 0.1% # People's United Financial, Inc. 68,700 1,004,394 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ----------- --------------- Financials -- (Continued) Peoples Bancorp of North Carolina, Inc. 250 $ 4,375 0.0% # Peoples Bancorp, Inc. 17,608 434,037 0.0% #* PHH Corp. 91,804 2,174,837 0.1% #* Phoenix Cos., Inc. (The) 2,631 156,176 0.0% # Pinnacle Financial Partners, Inc. 23,924 937,821 0.0% * Piper Jaffray Cos. 312 17,616 0.0% Platinum Underwriters Holdings, Ltd. 21,715 1,360,010 0.0% PNC Financial Services Group, Inc. (The) 9,750 842,302 0.0% * Popular, Inc. 56,536 1,802,368 0.0% * Porter Bancorp, Inc. 1,737 1,218 0.0% * PRA Group, Inc. 28,203 1,783,840 0.0% Premier Financial Bancorp, Inc. 4,434 64,603 0.0% Principal Financial Group, Inc. 217,722 11,402,101 0.2% Protective Life Corp. 98,037 6,831,218 0.1% Provident Financial Holdings, Inc. 544 7,932 0.0% Provident Financial Services, Inc. 21,059 383,906 0.0% Prudential Financial, Inc. 497,625 44,059,717 0.9% Pulaski Financial Corp. 4,550 54,463 0.0% # Radian Group, Inc. 161,945 2,728,773 0.1% Regions Financial Corp. 1,302,555 12,934,371 0.3% Reinsurance Group of America, Inc. 169,166 14,252,235 0.3% RenaissanceRe Holdings, Ltd. 487 50,322 0.0% # Renasant Corp. 42,102 1,269,375 0.0% * Republic First Bancorp, Inc. 2,174 8,631 0.0% # Resource America, Inc. Class A 21,051 200,827 0.0% * Riverview Bancorp, Inc. 15,319 62,348 0.0% Safety Insurance Group, Inc. 26,197 1,634,169 0.0% # Sandy Spring Bancorp, Inc. 9,125 235,425 0.0% * Select Bancorp, Inc. 600 4,062 0.0% Selective Insurance Group, Inc. 45,200 1,167,064 0.0% SI Financial Group, Inc. 5,661 62,497 0.0% South State Corp. 8,549 515,590 0.0% (degrees)* Southern Community Financial Corp. 29,890 27,669 0.0% * Southern First Bancshares, Inc. 1,216 17,681 0.0% Southwest Bancorp, Inc. 16,974 306,041 0.0% StanCorp Financial Group, Inc. 15,636 1,087,640 0.0% State Auto Financial Corp. 15,100 316,043 0.0% State Street Corp. 4,112 310,292 0.0% Sterling Bancorp 70,552 991,961 0.0% Stewart Information Services Corp. 12,271 433,412 0.0% #* Stratus Properties, Inc. 3,069 42,414 0.0% Suffolk Bancorp 205 4,707 0.0% SunTrust Banks, Inc. 395,691 15,487,346 0.3% Susquehanna Bancshares, Inc. 97,547 956,936 0.0% Symetra Financial Corp. 20,319 481,560 0.0% Synovus Financial Corp. 22,796 578,107 0.0% Timberland Bancorp, Inc. 2,500 26,400 0.0% Travelers Cos., Inc. (The) 60,129 6,061,003 0.1% #* Tree.com, Inc. 5,635 208,439 0.0% Trico Bancshares 854 22,460 0.0% Trustmark Corp. 4,194 102,040 0.0% Umpqua Holdings Corp. 34,932 614,803 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Financials -- (Continued) #* Unico American Corp. 1,900 $ 22,116 0.0% Union Bankshares Corp. 37,042 832,704 0.0% # United Bankshares, Inc. 12,121 415,508 0.0% United Financial Bancorp, Inc. 9,193 128,978 0.0% United Fire Group, Inc. 38,612 1,254,118 0.0% * United Security Bancshares 401 2,266 0.0% Unity Bancorp, Inc. 3,636 33,306 0.0% Unum Group 517,445 17,313,710 0.4% Validus Holdings, Ltd. 4,399 174,992 0.0% Voya Financial, Inc. 2,725 106,956 0.0% # Washington Federal, Inc. 1,243 27,135 0.0% Waterstone Financial, Inc. 1,426 17,454 0.0% # WesBanco, Inc. 31,462 1,084,181 0.0% # West Bancorporation, Inc. 13,957 231,407 0.0% Westfield Financial, Inc. 10,811 76,434 0.0% Wintrust Financial Corp. 24,224 1,122,056 0.0% XL Group P.L.C. 240,766 8,157,152 0.2% # Zions Bancorporation 53,325 1,544,825 0.0% ------------ ---- Total Financials 989,947,203 19.2% ------------ ---- Health Care -- (9.9%) * Actavis P.L.C. 26,101 6,335,757 0.1% * Addus HomeCare Corp. 2,044 40,614 0.0% Aetna, Inc. 558,462 46,078,700 0.9% #* Affymetrix, Inc. 42,297 381,096 0.0% #* Albany Molecular Research, Inc. 34,587 804,494 0.0% * Alere, Inc. 45,800 1,830,626 0.0% * Allscripts Healthcare Solutions, Inc. 62,488 857,335 0.0% #* Amedisys, Inc. 19,727 514,875 0.0% * AMN Healthcare Services, Inc. 8,600 147,490 0.0% * Amsurg Corp. 30,743 1,660,429 0.0% Analogic Corp. 2,988 217,945 0.0% * AngioDynamics, Inc. 14,354 244,018 0.0% * Anika Therapeutics, Inc. 14,671 588,894 0.0% * Arrhythmia Research Technology, Inc. 1,200 7,740 0.0% #* BioScrip, Inc. 36,570 236,242 0.0% * BioTelemetry, Inc. 5,328 44,702 0.0% * Boston Scientific Corp. 1,204,199 15,991,763 0.3% * Cambrex Corp. 43,567 918,392 0.0% #* Capital Senior Living Corp. 54,559 1,227,577 0.0% * CareFusion Corp. 207,163 11,884,941 0.2% Cigna Corp. 42,954 4,276,930 0.1% * Community Health Systems, Inc. 105,314 5,789,111 0.1% CONMED Corp. 43,239 1,815,606 0.0% Cooper Cos., Inc. (The) 13,956 2,287,388 0.1% #* Cross Country Healthcare, Inc. 7,595 73,444 0.0% # CryoLife, Inc. 17,502 179,571 0.0% #* Cumberland Pharmaceuticals, Inc. 23,319 114,263 0.0% #* Cutera, Inc. 23,864 250,572 0.0% * Cynosure, Inc. Class A 8,077 204,267 0.0% Digirad Corp. 29,111 125,177 0.0% #* Emergent Biosolutions, Inc. 8,678 196,296 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Health Care -- (Continued) * Enzo Biochem, Inc. 47,997 $ 250,544 0.0% * Exactech, Inc. 3,390 72,207 0.0% * Express Scripts Holding Co. 493,239 37,890,620 0.8% * Five Star Quality Care, Inc. 28,953 119,576 0.0% * Gentiva Health Services, Inc. 31,640 623,308 0.0% * Greatbatch, Inc. 41,672 2,091,518 0.1% * Hanger, Inc. 16,897 404,345 0.0% #* Harvard Apparatus Regenerative Technology, Inc. 8,026 50,403 0.0% * Harvard Bioscience, Inc. 32,107 154,114 0.0% * Health Net, Inc. 44,958 2,135,955 0.1% #* Healthways, Inc. 46,297 717,604 0.0% #* Hologic, Inc. 305,036 7,988,893 0.2% Humana, Inc. 236,814 32,881,624 0.7% * Impax Laboratories, Inc. 4,700 136,159 0.0% Invacare Corp. 7,330 115,154 0.0% Kewaunee Scientific Corp. 1,631 28,379 0.0% Kindred Healthcare, Inc. 48,760 1,060,530 0.0% #* Lannett Co., Inc. 3,649 206,971 0.0% LeMaitre Vascular, Inc. 5,100 37,332 0.0% * LHC Group, Inc. 1,418 34,528 0.0% * LifePoint Hospitals, Inc. 82,208 5,754,560 0.1% * Magellan Health Services, Inc. 17,899 1,083,247 0.0% * MedAssets, Inc. 44,682 967,812 0.0% (degrees)* MedCath Corp. 29,240 -- 0.0% * Merit Medical Systems, Inc. 13,395 202,934 0.0% #* Misonix, Inc. 4,083 54,549 0.0% * Molina Healthcare, Inc. 24,941 1,213,130 0.0% National Healthcare Corp. 6,484 391,050 0.0% #* Natus Medical, Inc. 15,698 533,732 0.0% * NuVasive, Inc. 2,045 83,641 0.0% Omnicare, Inc. 197,388 13,144,067 0.3% * Omnicell, Inc. 35,405 1,143,936 0.0% # PerkinElmer, Inc. 76,500 3,321,630 0.1% Pfizer, Inc. 4,178,729 125,152,934 2.4% * PharMerica Corp. 33,305 955,520 0.0% * Prestige Brands Holdings, Inc. 111,489 3,948,940 0.1% #* Repligen Corp. 21,271 536,455 0.0% #* RTI Surgical, Inc. 73,086 372,008 0.0% #* Sciclone Pharmaceuticals, Inc. 13,028 99,534 0.0% Select Medical Holdings Corp. 42,204 608,582 0.0% #* Skilled Healthcare Group, Inc. Class A 9,380 65,003 0.0% * SunLink Health Systems, Inc. 1,750 3,063 0.0% #* SurModics, Inc. 5,593 121,088 0.0% * Symmetry Medical, Inc. 77,051 762,805 0.0% Teleflex, Inc. 37,223 4,247,889 0.1% Thermo Fisher Scientific, Inc. 499,520 58,728,566 1.2% * Triple-S Management Corp. Class B 20,684 457,944 0.0% UnitedHealth Group, Inc. 89,716 8,523,917 0.2% * Universal American Corp. 84,328 785,937 0.0% * VCA, Inc. 69,140 3,150,710 0.1% #* WellCare Health Plans, Inc. 18,375 1,247,111 0.0% # WellPoint, Inc. 504,640 63,932,842 1.3%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- Health Care -- (Continued) * Wright Medical Group, Inc. 32,357 $ 1,023,128 0.0% Zoetis, Inc. 805,208 29,921,529 0.6% ------------ ---- Total Health Care 524,865,812 10.2% ------------ ---- Industrials -- (13.9%) # AAR Corp. 32,906 872,009 0.0% ABM Industries, Inc. 64,500 1,782,780 0.1% Aceto Corp. 31,686 720,540 0.0% Acme United Corp. 1,030 17,768 0.0% Actuant Corp. Class A 44,986 1,425,606 0.0% #* Adept Technology, Inc. 20,476 144,970 0.0% # ADT Corp. (The) 197,193 7,067,397 0.2% #* AECOM Technology Corp. 55,837 1,817,480 0.1% #* Aegion Corp. 83,805 1,535,308 0.0% #* Aerovironment, Inc. 35,065 1,074,742 0.0% # AGCO Corp. 58,973 2,613,094 0.1% * Air Transport Services Group, Inc. 6,308 51,599 0.0% Alamo Group, Inc. 22,751 974,653 0.0% Alaska Air Group, Inc. 105,252 5,602,564 0.1% Albany International Corp. Class A 20,551 776,417 0.0% Allegion P.L.C. 71,036 3,771,301 0.1% Alliant Techsystems, Inc. 38,805 4,538,633 0.1% (degrees)* Allied Defense Group, Inc. 2,645 212 0.0% AMERCO 29,431 7,979,333 0.2% #* Ameresco, Inc. Class A 981 8,083 0.0% American Railcar Industries, Inc. 20,003 1,316,397 0.0% #* AMREP Corp. 559 2,175 0.0% # Apogee Enterprises, Inc. 36,374 1,596,819 0.1% ArcBest Corp. 12,135 469,624 0.0% Argan, Inc. 21 731 0.0% Astec Industries, Inc. 22,925 869,087 0.0% #* Atlas Air Worldwide Holdings, Inc. 36,746 1,356,662 0.0% * Avis Budget Group, Inc. 94,608 5,274,396 0.1% # Baltic Trading, Ltd. 40 150 0.0% # Barnes Group, Inc. 36,400 1,330,784 0.0% # Barrett Business Services, Inc. 12,955 304,572 0.0% * BlueLinx Holdings, Inc. 17,052 20,462 0.0% Brady Corp. Class A 38,500 917,840 0.0% # Briggs & Stratton Corp. 41,033 829,277 0.0% #* Builders FirstSource, Inc. 12,182 72,239 0.0% #* CAI International, Inc. 17,082 359,576 0.0% #* Casella Waste Systems, Inc. Class A 5,201 23,404 0.0% #* CBIZ, Inc. 38,149 352,115 0.0% CDI Corp. 39,837 684,798 0.0% # Ceco Environmental Corp. 3,773 54,029 0.0% Celadon Group, Inc. 24,642 479,533 0.0% Chicago Rivet & Machine Co. 700 21,721 0.0% CIRCOR International, Inc. 10,019 752,928 0.0% Columbus McKinnon Corp. 17,542 499,070 0.0% Comfort Systems USA, Inc. 44,560 684,442 0.0% Compx International, Inc. 500 5,565 0.0% Courier Corp. 8,245 111,885 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Industrials -- (Continued) # Covanta Holding Corp. 94,292 $ 2,081,024 0.1% * Covenant Transportation Group, Inc. Class A 7,080 146,839 0.0% * CPI Aerostructures, Inc. 4,626 44,178 0.0% * CRA International, Inc. 7,613 228,390 0.0% CSX Corp. 1,242,950 44,286,308 0.9% # Curtiss-Wright Corp. 46,353 3,208,091 0.1% * DigitalGlobe, Inc. 21,971 628,151 0.0% Douglas Dynamics, Inc. 30,234 626,751 0.0% * Ducommun, Inc. 16,645 439,594 0.0% * Dycom Industries, Inc. 39,867 1,251,425 0.0% Dynamic Materials Corp. 1,436 26,150 0.0% Eastern Co. (The) 10,193 166,350 0.0% Eaton Corp. P.L.C. 78,508 5,369,162 0.1% EMCOR Group, Inc. 50,540 2,230,330 0.1% Encore Wire Corp. 19,966 757,510 0.0% #* Energy Recovery, Inc. 1,783 8,166 0.0% EnerSys 43,239 2,715,409 0.1% #* Engility Holdings, Inc. 7,988 345,082 0.0% Ennis, Inc. 48,483 719,003 0.0% * EnPro Industries, Inc. 17,635 1,137,987 0.0% ESCO Technologies, Inc. 17,601 669,190 0.0% Espey Manufacturing & Electronics Corp. 1,671 31,749 0.0% #* Esterline Technologies Corp. 44,968 5,266,202 0.1% Exelis, Inc. 73,253 1,307,566 0.0% Federal Signal Corp. 65,358 928,084 0.0% FedEx Corp. 142,324 23,825,038 0.5% Fortune Brands Home & Security, Inc. 149,626 6,471,324 0.1% #* Franklin Covey Co. 3,046 59,732 0.0% FreightCar America, Inc. 9,404 310,050 0.0% #* FTI Consulting, Inc. 25,736 1,039,220 0.0% * Furmanite Corp. 31,044 232,209 0.0% G&K Services, Inc. Class A 29,714 1,874,062 0.1% # GATX Corp. 65,445 4,149,213 0.1% #* Gencor Industries, Inc. 8,766 84,943 0.0% General Dynamics Corp. 28,674 4,007,478 0.1% General Electric Co. 5,207,993 134,418,299 2.6% #* Genesee & Wyoming, Inc. Class A 1,200 115,440 0.0% * Gibraltar Industries, Inc. 27,702 422,455 0.0% * GP Strategies Corp. 18,583 616,212 0.0% # Granite Construction, Inc. 27,179 1,003,177 0.0% * Great Lakes Dredge & Dock Corp. 69,820 488,042 0.0% # Greenbrier Cos., Inc. (The) 22,451 1,404,086 0.0% # Griffon Corp. 67,323 827,400 0.0% H&E Equipment Services, Inc. 59,629 2,229,528 0.1% # Harsco Corp. 54,094 1,172,758 0.0% * Hawaiian Holdings, Inc. 18,070 313,334 0.0% Heidrick & Struggles International, Inc. 18,234 379,632 0.0% #* Hertz Global Holdings, Inc. 278,411 6,102,769 0.1% #* Hill International, Inc. 27,154 105,358 0.0% Huntington Ingalls Industries, Inc. 47,666 5,044,016 0.1% Hurco Cos., Inc. 7,910 304,772 0.0% * Huron Consulting Group, Inc. 4,001 278,510 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Industrials -- (Continued) Hyster-Yale Materials Handling, Inc. 12,246 $ 961,189 0.0% * ICF International, Inc. 31,660 1,150,524 0.0% Ingersoll-Rand P.L.C. 213,109 13,344,886 0.3% Insteel Industries, Inc. 17,578 419,060 0.0% # International Shipholding Corp. 11,223 224,909 0.0% #* JetBlue Airways Corp. 324,893 3,749,265 0.1% Kadant, Inc. 5,786 239,193 0.0% KAR Auction Services, Inc. 18,100 549,516 0.0% KBR, Inc. 3,600 68,688 0.0% # Kelly Services, Inc. Class A 12,263 216,197 0.0% # Kennametal, Inc. 1,000 38,610 0.0% * Key Technology, Inc. 3,199 42,355 0.0% Kimball International, Inc. Class B 31,258 562,019 0.0% # Knightsbridge Shipping, Ltd. 14,861 130,480 0.0% * Korn/Ferry International 33,148 925,824 0.0% * Kratos Defense & Security Solutions, Inc. 2,711 18,896 0.0% L-3 Communications Holdings, Inc. 100,470 12,203,086 0.3% * Lawson Products, Inc. 8,847 213,036 0.0% # LB Foster Co. Class A 6,682 361,429 0.0% #* LMI Aerospace, Inc. 13,807 181,976 0.0% LS Starrett Co. (The) Class A 4,097 60,554 0.0% # LSI Industries, Inc. 27,715 198,439 0.0% * Lydall, Inc. 14,605 451,733 0.0% Manpowergroup, Inc. 22,886 1,527,640 0.0% Marten Transport, Ltd. 47,782 937,483 0.0% Matson, Inc. 62,316 1,775,383 0.1% # Matthews International Corp. Class A 12,387 570,793 0.0% # McGrath RentCorp 17,552 641,175 0.0% * Mfri, Inc. 8,900 81,168 0.0% Miller Industries, Inc. 20,099 397,357 0.0% # Mobile Mini, Inc. 54,461 2,387,026 0.1% #* Moog, Inc. Class A 35,339 2,704,847 0.1% Mueller Industries, Inc. 30,912 1,003,404 0.0% Mueller Water Products, Inc. Class A 185,957 1,835,396 0.1% # Multi-Color Corp. 308 15,184 0.0% * MYR Group, Inc. 19,582 507,957 0.0% # National Presto Industries, Inc. 571 36,007 0.0% * Navigant Consulting, Inc. 12,297 189,251 0.0% # NL Industries, Inc. 50,651 369,246 0.0% NN, Inc. 18,396 459,900 0.0% Norfolk Southern Corp. 545,229 60,324,137 1.2% Northrop Grumman Corp. 337,038 46,497,762 0.9% * Northwest Pipe Co. 6,690 239,368 0.0% #* NOW, Inc. 62,737 1,885,874 0.1% * On Assignment, Inc. 53,951 1,569,974 0.0% * Orbital Sciences Corp. 39,656 1,042,953 0.0% #* Orion Energy Systems, Inc. 1,043 5,997 0.0% Oshkosh Corp. 14,466 647,498 0.0% Owens Corning 149,300 4,786,558 0.1% * PAM Transportation Services, Inc. 19,428 835,015 0.0% Pentair P.L.C. 117,934 7,907,475 0.2% * Pike Corp. 22,013 262,835 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- Industrials -- (Continued) # Powell Industries, Inc. 7,529 $ 342,795 0.0% #* PowerSecure International, Inc. 19,459 217,357 0.0% Providence and Worcester Railroad Co. 850 15,122 0.0% Quad/Graphics, Inc. 2,390 52,699 0.0% Quanex Building Products Corp. 21,431 429,049 0.0% * Quanta Services, Inc. 168,307 5,735,903 0.1% Raytheon Co. 96,954 10,071,582 0.2% * RCM Technologies, Inc. 20,293 153,009 0.0% Regal-Beloit Corp. 16,070 1,140,488 0.0% #* Republic Airways Holdings, Inc. 48,736 610,175 0.0% Republic Services, Inc. 429,755 16,502,592 0.3% Resources Connection, Inc. 25,955 401,524 0.0% * Roadrunner Transportation Systems, Inc. 879 18,116 0.0% #* Rush Enterprises, Inc. Class A 32,603 1,242,174 0.0% * Rush Enterprises, Inc. Class B 18,522 598,816 0.0% Ryder System, Inc. 89,844 7,948,499 0.2% * Saia, Inc. 8,925 437,503 0.0% SIFCO Industries, Inc. 6,623 225,314 0.0% SkyWest, Inc. 38,506 443,589 0.0% * SL Industries, Inc. 300 13,500 0.0% Southwest Airlines Co. 645,761 22,265,839 0.5% * Sparton Corp. 9,132 247,477 0.0% SPX Corp. 12,803 1,213,596 0.0% #* Standard Register Co. (The) 4,686 23,992 0.0% Standex International Corp. 22,341 1,926,911 0.1% Stanley Black & Decker, Inc. 154,919 14,506,615 0.3% Steelcase, Inc. Class A 55,469 982,911 0.0% Supreme Industries, Inc. Class A 1,433 9,529 0.0% # TAL International Group, Inc. 24,053 1,037,406 0.0% # Terex Corp. 27,578 793,419 0.0% Tetra Tech, Inc. 45,222 1,212,402 0.0% #* Titan Machinery, Inc. 2,883 39,670 0.0% * TRC Cos., Inc. 28,708 208,994 0.0% # Trinity Industries, Inc. 183,814 6,563,998 0.1% Triumph Group, Inc. 57,456 4,000,661 0.1% * Tutor Perini Corp. 33,844 947,970 0.0% # Twin Disc, Inc. 900 23,418 0.0% Tyco International, Ltd. 240,619 10,329,774 0.2% * Ultralife Corp. 3,309 10,490 0.0% UniFirst Corp. 18,705 2,086,730 0.1% Union Pacific Corp. 888,128 103,422,506 2.0% # United Stationers, Inc. 24,021 1,003,357 0.0% Universal Forest Products, Inc. 31,800 1,589,046 0.0% #* USA Truck, Inc. 15,105 255,274 0.0% * Vectrus, Inc. 4,069 99,446 0.0% * Veritiv Corp. 9,437 425,703 0.0% * Versar, Inc. 5,526 17,960 0.0% Viad Corp. 27,114 691,678 0.0% * Virco Manufacturing Corp. 12,601 34,149 0.0% VSE Corp. 305 18,385 0.0% Waste Connections, Inc. 2,800 139,720 0.0% # Watts Water Technologies, Inc. Class A 53,615 3,250,677 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Industrials -- (Continued) # Werner Enterprises, Inc. 34,105 $ 939,252 0.0% #* Wesco Aircraft Holdings, Inc. 6,228 110,547 0.0% #* WESCO International, Inc. 11,687 963,126 0.0% * Willdan Group, Inc. 1,000 13,120 0.0% * Willis Lease Finance Corp. 6,713 153,124 0.0% #* XPO Logistics, Inc. 12,216 487,663 0.0% ------------ ---- Total Industrials 739,465,386 14.4% ------------ ---- Information Technology -- (6.9%) Activision Blizzard, Inc. 982,162 19,594,132 0.4% * Actua Corp. 1,184 22,259 0.0% * Acxiom Corp. 7,769 146,368 0.0% * Advanced Energy Industries, Inc. 47,985 949,143 0.0% #* Agilysys, Inc. 16,899 190,959 0.0% * Alpha & Omega Semiconductor, Ltd. 419 3,884 0.0% * Amtech Systems, Inc. 8,571 90,253 0.0% #* ANADIGICS, Inc. 33,721 23,942 0.0% * AOL, Inc. 105,592 4,596,420 0.1% * ARRIS Group, Inc. 140,787 4,226,426 0.1% * Arrow Electronics, Inc. 182,170 10,358,186 0.2% Astro-Med, Inc. 6,285 84,282 0.0% Avnet, Inc. 139,400 6,029,050 0.1% AVX Corp. 172,540 2,491,478 0.1% Aware, Inc. 14,326 61,888 0.0% * Axcelis Technologies, Inc. 700 1,526 0.0% * AXT, Inc. 20,506 48,394 0.0% Bel Fuse, Inc. Class A 4,174 106,020 0.0% Bel Fuse, Inc. Class B 18,286 517,311 0.0% * Benchmark Electronics, Inc. 93,903 2,227,379 0.1% Black Box Corp. 26,448 581,591 0.0% * Blackhawk Network Holdings, Inc. Class B 25,926 865,928 0.0% #* Blucora, Inc. 81,156 1,375,594 0.0% Brocade Communications Systems, Inc. 461,513 4,952,034 0.1% Brooks Automation, Inc. 50,847 626,943 0.0% * Bsquare Corp. 4,065 15,894 0.0% * BTU International, Inc. 1,600 5,328 0.0% * CACI International, Inc. Class A 24,830 2,043,261 0.1% * Calix, Inc. 16,027 173,252 0.0% * Cascade Microtech, Inc. 24,071 258,523 0.0% * Checkpoint Systems, Inc. 27,235 361,136 0.0% * CIBER, Inc. 38,465 125,781 0.0% Cisco Systems, Inc. 215,874 5,282,437 0.1% Cohu, Inc. 40,815 416,313 0.0% Communications Systems, Inc. 12,612 149,200 0.0% Computer Sciences Corp. 205,559 12,415,764 0.3% Comtech Telecommunications Corp. 15,569 592,712 0.0% Concurrent Computer Corp. 13,740 97,554 0.0% # Convergys Corp. 197,364 3,980,832 0.1% * CoreLogic, Inc. 96,545 3,028,617 0.1% Corning, Inc. 1,201,485 24,546,339 0.5% #* Cray, Inc. 12,866 445,936 0.0% CSP, Inc. 2,414 19,240 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Information Technology -- (Continued) CTS Corp. 66,936 $ 1,231,622 0.0% * CyberOptics Corp. 9,134 83,576 0.0% * Datalink Corp. 1,412 17,862 0.0% * Digi International, Inc. 27,638 228,843 0.0% * Digital River, Inc. 18,905 483,401 0.0% * Diodes, Inc. 4,709 121,633 0.0% * DSP Group, Inc. 46,713 452,649 0.0% # EarthLink Holdings Corp. 83,735 299,771 0.0% * EchoStar Corp. Class A 23,551 1,100,538 0.0% * Edgewater Technology, Inc. 13,603 96,037 0.0% # Electro Rent Corp. 40,561 618,150 0.0% # Electro Scientific Industries, Inc. 8,785 62,373 0.0% #* Electronics for Imaging, Inc. 58,110 2,656,789 0.1% * Emcore Corp. 744 3,839 0.0% * Emulex Corp. 16,147 91,392 0.0% #* EnerNOC, Inc. 13,197 194,920 0.0% * Entegris, Inc. 300 4,074 0.0% EPIQ Systems, Inc. 23,453 376,186 0.0% * ePlus, Inc. 8,745 534,057 0.0% * Euronet Worldwide, Inc. 23,278 1,249,330 0.0% #* Exar Corp. 51,341 490,307 0.0% * Fabrinet 4,055 73,842 0.0% #* Fairchild Semiconductor International, Inc. 118,008 1,811,423 0.1% Fidelity National Information Services, Inc. 151,857 8,866,930 0.2% #* Finisar Corp. 61,526 1,028,715 0.0% #* First Solar, Inc. 28,266 1,664,867 0.1% * FormFactor, Inc. 30,568 243,627 0.0% * Frequency Electronics, Inc. 16,953 192,417 0.0% * GSE Systems, Inc. 17,638 26,633 0.0% * GSI Technology, Inc. 5,863 28,201 0.0% Hackett Group, Inc. (The) 53,321 373,780 0.0% #* Harmonic, Inc. 22,962 153,157 0.0% Hewlett-Packard Co. 759,615 27,254,986 0.5% * Hutchinson Technology, Inc. 22,425 80,057 0.0% IAC/InterActiveCorp 125,298 8,481,422 0.2% * ID Systems, Inc. 17,291 129,682 0.0% * Identiv, Inc. 1,017 9,509 0.0% * Ingram Micro, Inc. Class A 277,679 7,452,904 0.2% * Insight Enterprises, Inc. 42,100 957,775 0.0% * Integrated Device Technology, Inc. 177,893 2,919,224 0.1% Integrated Silicon Solution, Inc. 42,178 572,777 0.0% Intel Corp. 176,618 6,006,778 0.1% #* Internap Network Services Corp. 32,386 259,412 0.0% * International Rectifier Corp. 79,000 3,141,830 0.1% * Interphase Corp. 2,999 8,787 0.0% Intersil Corp. Class A 119,798 1,592,115 0.0% #* Intevac, Inc. 5,943 43,978 0.0% * IntriCon Corp. 2,835 17,379 0.0% #* Itron, Inc. 33,397 1,300,145 0.0% IXYS Corp. 3,055 35,652 0.0% Juniper Networks, Inc. 212,100 4,468,947 0.1% #* Kemet Corp. 2,700 12,960 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Information Technology -- (Continued) * Key Tronic Corp. 17,623 $ 144,861 0.0% * Kulicke & Soffa Industries, Inc. 71,688 1,033,741 0.0% * KVH Industries, Inc. 35,149 454,125 0.0% * Lattice Semiconductor Corp. 108,469 727,827 0.0% Leidos Holdings, Inc. 10,850 396,784 0.0% # Lexmark International, Inc. Class A 35,849 1,547,243 0.0% #* Limelight Networks, Inc. 18,463 45,050 0.0% # ManTech International Corp. Class A 2,048 57,672 0.0% Marvell Technology Group, Ltd. 166,418 2,236,658 0.1% #* Maxwell Technologies, Inc. 2,521 29,395 0.0% Mentor Graphics Corp. 35,620 754,788 0.0% * Mercury Systems, Inc. 2,055 28,729 0.0% Methode Electronics, Inc. 79,272 3,121,731 0.1% * Micron Technology, Inc. 758,908 25,112,266 0.5% MKS Instruments, Inc. 61,200 2,227,680 0.1% MOCON, Inc. 700 10,801 0.0% #* ModusLink Global Solutions, Inc. 68,955 241,342 0.0% #* Nanometrics, Inc. 13,265 179,608 0.0% * NCI, Inc. Class A 686 6,983 0.0% * NETGEAR, Inc. 428 14,569 0.0% * Newport Corp. 64,756 1,158,485 0.0% #* Novatel Wireless, Inc. 22,113 63,022 0.0% * OmniVision Technologies, Inc. 37,132 994,395 0.0% Oplink Communications, Inc. 38,456 801,808 0.0% Optical Cable Corp. 10,793 50,079 0.0% * PAR Technology Corp. 15,130 77,753 0.0% Park Electrochemical Corp. 1,642 42,364 0.0% PC Connection, Inc. 39,267 936,518 0.0% PC-Tel, Inc. 33,870 260,799 0.0% * PCM, Inc. 10,471 101,150 0.0% Perceptron, Inc. 8,428 84,870 0.0% * Pericom Semiconductor Corp. 37,284 407,514 0.0% #* Photronics, Inc. 79,712 716,611 0.0% * Planar Systems, Inc. 3,449 12,485 0.0% * Plexus Corp. 10,626 439,385 0.0% * PMC-Sierra, Inc. 102,988 802,276 0.0% * Polycom, Inc. 36,977 483,659 0.0% * Qualstar Corp. 11,500 14,145 0.0% * Qumu Corp. 800 11,968 0.0% * Rambus, Inc. 1,069 12,240 0.0% * RealNetworks, Inc. 20,552 141,809 0.0% Reis, Inc. 13,511 316,157 0.0% # RF Industries, Ltd. 2,823 12,845 0.0% Richardson Electronics, Ltd. 24,525 245,495 0.0% #* Rofin-Sinar Technologies, Inc. 4,978 111,457 0.0% * Rogers Corp. 7,543 515,715 0.0% * Rovi Corp. 19,000 396,720 0.0% * Rudolph Technologies, Inc. 22,160 194,565 0.0% SanDisk Corp. 13,097 1,232,952 0.0% * Sanmina Corp. 39,846 998,939 0.0% * ScanSource, Inc. 14,745 562,964 0.0% # Science Applications International Corp. 6,199 303,193 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- Information Technology -- (Continued) * Seachange International, Inc. 29,972 $ 202,611 0.0% * ShoreTel, Inc. 3,200 25,888 0.0% #* Sonus Networks, Inc. 33,110 114,892 0.0% * Spansion, Inc. Class A 21,173 435,740 0.0% #* Speed Commerce, Inc. 336 998 0.0% * SS&C Technologies Holdings, Inc. 25,793 1,246,318 0.0% #* StarTek, Inc. 24,613 185,090 0.0% #* SunEdison, Inc. 154,224 3,008,910 0.1% #* SunPower Corp. 18,322 583,372 0.0% * Super Micro Computer, Inc. 5,886 188,117 0.0% * support.com, Inc. 25,400 54,102 0.0% * Sykes Enterprises, Inc. 20,292 437,090 0.0% # SYNNEX Corp. 55,900 3,867,162 0.1% * Tech Data Corp. 82,952 4,953,893 0.1% * TeleCommunication Systems, Inc. Class A 54,047 155,655 0.0% * Telenav, Inc. 9,865 71,225 0.0% Teradyne, Inc. 26,789 492,918 0.0% # Tessco Technologies, Inc. 8,689 275,876 0.0% Tessera Technologies, Inc. 48,635 1,478,018 0.0% TheStreet, Inc. 35,273 80,775 0.0% * TriQuint Semiconductor, Inc. 59,493 1,286,834 0.0% #* TTM Technologies, Inc. 62,635 432,808 0.0% United Online, Inc. 17,780 199,492 0.0% #* Veeco Instruments, Inc. 15,978 575,048 0.0% * Viasystems Group, Inc. 11,376 180,537 0.0% * Virtusa Corp. 30,064 1,232,023 0.0% # Vishay Intertechnology, Inc. 228,349 3,084,995 0.1% * Vishay Precision Group, Inc. 24,277 412,466 0.0% * Westell Technologies, Inc. Class A 11,429 15,315 0.0% Western Digital Corp. 212,781 20,931,267 0.4% * Xcerra Corp. 20,165 171,201 0.0% Xerox Corp. 1,188,277 15,780,319 0.3% * XO Group, Inc. 6,284 79,995 0.0% * Yahoo!, Inc. 1,048,770 48,295,858 1.0% * Zynga, Inc. Class A 170,882 435,749 0.0% ------------ --- Total Information Technology 365,585,516 7.1% ------------ --- Materials -- (3.0%) A Schulman, Inc. 32,960 1,167,114 0.0% Alcoa, Inc. 888,828 14,896,757 0.3% # Allegheny Technologies, Inc. 22,777 748,224 0.0% #* AM Castle & Co. 24,982 183,618 0.0% Ampco-Pittsburgh Corp. 4,007 87,312 0.0% Ashland, Inc. 112,560 12,164,359 0.3% Axiall Corp. 26,423 1,064,847 0.0% Bemis Co., Inc. 24,092 926,819 0.0% Cabot Corp. 46,280 2,148,780 0.1% * Century Aluminum Co. 15,822 463,268 0.0% #* Chemtura Corp. 49,368 1,149,781 0.0% * Clearwater Paper Corp. 16,822 1,082,496 0.0% # Cliffs Natural Resources, Inc. 35,738 401,338 0.0% Commercial Metals Co. 85,208 1,473,246 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ----------- --------------- Materials -- (Continued) * Core Molding Technologies, Inc. 11,847 $ 157,565 0.0% Cytec Industries, Inc. 129,400 6,033,922 0.1% Domtar Corp. 61,834 2,539,522 0.1% Dow Chemical Co. (The) 14,000 691,600 0.0% * Ferro Corp. 42,247 554,281 0.0% Freeport-McMoRan, Inc. 327,519 9,334,291 0.2% Friedman Industries, Inc. 13,926 106,395 0.0% FutureFuel Corp. 6,104 81,305 0.0% * Graphic Packaging Holding Co. 154,000 1,868,020 0.0% Greif, Inc. Class A 4,885 215,233 0.0% * Headwaters, Inc. 23,663 300,520 0.0% #* Horsehead Holding Corp. 49,015 770,026 0.0% Huntsman Corp. 50,242 1,225,905 0.0% International Paper Co. 493,615 24,986,791 0.5% Kaiser Aluminum Corp. 27,181 1,890,439 0.1% * KapStone Paper and Packaging Corp. 80,984 2,491,068 0.1% * Kraton Performance Polymers, Inc. 5,435 97,232 0.0% # Kronos Worldwide, Inc. 4,331 58,209 0.0% #* Landec Corp. 37,056 466,535 0.0% #* Louisiana-Pacific Corp. 173,457 2,532,472 0.1% LyondellBasell Industries NV Class A 71,793 6,578,393 0.1% # Martin Marietta Materials, Inc. 23,633 2,763,170 0.1% # Materion Corp. 18,497 729,707 0.0% MeadWestvaco Corp. 188,451 8,323,881 0.2% * Mercer International, Inc. 21,725 273,300 0.0% Minerals Technologies, Inc. 34,280 2,629,619 0.1% Mosaic Co. (The) 17,274 765,411 0.0% Myers Industries, Inc. 64,720 966,917 0.0% Neenah Paper, Inc. 7,684 468,801 0.0% Newmont Mining Corp. 32,446 608,687 0.0% * Northern Technologies International Corp. 3,035 56,815 0.0% Nucor Corp. 83,945 4,538,067 0.1% # Olin Corp. 62,261 1,509,207 0.0% # Olympic Steel, Inc. 9,986 200,918 0.0% # OM Group, Inc. 42,299 1,101,043 0.0% * Penford Corp. 21,864 412,136 0.0% PH Glatfelter Co. 50,600 1,276,638 0.0% # PolyOne Corp. 8,983 332,461 0.0% Reliance Steel & Aluminum Co. 93,801 6,329,691 0.1% * Resolute Forest Products, Inc. 1,817 33,723 0.0% Rock-Tenn Co. Class A 53,600 2,741,640 0.1% * RTI International Metals, Inc. 50,032 1,178,254 0.0% # Schnitzer Steel Industries, Inc. Class A 400 9,420 0.0% Sensient Technologies Corp. 38,101 2,254,817 0.1% Steel Dynamics, Inc. 94,919 2,184,086 0.1% #* Stillwater Mining Co. 59,549 781,878 0.0% * SunCoke Energy, Inc. 62,210 1,486,819 0.0% Synalloy Corp. 5,144 83,076 0.0% Tredegar Corp. 40,177 764,167 0.0% Tronox, Ltd. Class A 1,600 38,688 0.0% #* Universal Stainless & Alloy Products, Inc. 9,093 233,781 0.0% Vulcan Materials Co. 58,246 3,594,361 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Materials -- (Continued) # Wausau Paper Corp. 13,070 $ 129,262 0.0% Westlake Chemical Corp. 158,152 11,157,624 0.2% Worthington Industries, Inc. 47,320 1,828,918 0.0% -------------- ---- Total Materials 162,724,666 3.2% -------------- ---- Other -- (0.0%) (degrees)* Gerber Scientific, Inc. Escrow Shares 47,409 -- 0.0% (degrees)* Petrocorp, Inc. Escrow Shares 900 -- 0.0% -------------- ---- Total Other -- 0.0% -------------- ---- Telecommunication Services -- (4.0%) # AT&T, Inc. 4,073,875 141,933,805 2.8% # Atlantic Tele-Network, Inc. 84 5,644 0.0% CenturyLink, Inc. 510,163 21,161,561 0.4% # Frontier Communications Corp. 696,949 4,558,047 0.1% * General Communication, Inc. Class A 45,867 538,020 0.0% #* Iridium Communications, Inc. 14,800 140,600 0.0% Lumos Networks Corp. 500 8,600 0.0% #* ORBCOMM, Inc. 44,499 281,234 0.0% * Premiere Global Services, Inc. 2,000 20,940 0.0% # Shenandoah Telecommunications Co. 3,026 89,539 0.0% Spok Holdings, Inc. 12,522 203,357 0.0% #* Sprint Corp. 824,326 4,888,253 0.1% * T-Mobile US, Inc. 113,786 3,321,413 0.1% Telephone & Data Systems, Inc. 154,629 3,964,688 0.1% #* United States Cellular Corp. 33,568 1,222,547 0.0% Verizon Communications, Inc. 644,888 32,405,622 0.6% * Vonage Holdings Corp. 85,934 299,050 0.0% -------------- ---- Total Telecommunication Services 215,042,920 4.2% -------------- ---- Utilities -- (0.3%) * Calpine Corp. 62,921 1,435,857 0.0% Consolidated Water Co., Ltd. 6,656 79,806 0.0% NRG Energy, Inc. 367,799 11,026,614 0.2% # Ormat Technologies, Inc. 20,134 582,879 0.0% # SJW Corp. 6,569 209,945 0.0% UGI Corp. 78,988 2,977,058 0.1% -------------- ---- Total Utilities 16,312,159 0.3% -------------- ---- TOTAL COMMON STOCKS 5,127,402,862 99.7% -------------- ---- RIGHTS/WARRANTS -- (0.0%) (degrees)* Leap Wireless International, Inc. Contingent Value Rights 8,393 21,150 0.0% (degrees)#* Magnum Hunter Resources Corp. Warrants 04/15/16 8,220 -- 0.0% (degrees)#* Sears Holdings Corp. Rights 11/07/14 25,182 605 0.0% -------------- ---- TOTAL RIGHTS/WARRANTS 21,755 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077% 20,061,382 20,061,382 0.4% -------------- ----
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (3.2%) (S)@ DFA Short Term Investment Fund 14,553,369 $ 168,382,482 3.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,951,388,341) $5,315,868,481 103.3% ============== =====
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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 $ 920,438,391 -- -- $ 920,438,391 Consumer Staples 370,555,829 -- -- 370,555,829 Energy 822,464,980 -- -- 822,464,980 Financials 989,919,534 $ 27,669 -- 989,947,203 Health Care 524,865,812 -- -- 524,865,812 Industrials 739,465,174 212 -- 739,465,386 Information Technology 365,585,516 -- -- 365,585,516 Materials 162,724,666 -- -- 162,724,666 Other -- -- -- -- Telecommunication Services 215,042,920 -- -- 215,042,920 Utilities 16,312,159 -- -- 16,312,159 Rights/Warrants -- 21,755 -- 21,755 Temporary Cash Investments 20,061,382 -- -- 20,061,382 Securities Lending Collateral -- 168,382,482 -- 168,382,482 -------------- ------------ -- -------------- TOTAL $5,147,436,363 $168,432,118 -- $5,315,868,481 ============== ============ == ==============
(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 5, 2015 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 5, 2015 By: /s/ David R. Martin -------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company Date: January 5, 2015 EX-99.CODE ETH 2 d755395dex99codeeth.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 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 . 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 Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his area of responsibility, consult with other Fund officers and employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure. Each Covered Officer: . must familiarize himself with the disclosure requirements applicable to the Funds as well as the business and financial operations of the Funds; and . must not knowingly misrepresent, or intentionally cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds' directors/trustees and auditors, and to governmental regulators and self-regulatory organizations. V. COMPLIANCE It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters. VI.REPORTING AND ACCOUNTABILITY Each Covered Officer must: . upon adoption of the Code, affirm in writing to the Designated Ethics Officer that he has received, read, and understands the Code; . annually thereafter affirm to the Designated Ethics Officer that he has received, read and understands the Code and has complied with the requirements of the Code; . not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith; and . notify the Designated Ethics Officer promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Designated Ethics Officer is responsible for applying the provisions of the Code to specific situations in which questions arise under the Code, and the Designated Ethics Officer has the authority to interpret this Code in any particular situation. The Designated Ethics Officer is authorized (and encouraged) to consult, as appropriate, with the Audit Committee of the Funds, the members of the Boards who are not "interested persons" (together, the "Independent Directors"), and counsel to the Funds and the Independent Directors. The Funds will comply with the following procedures in investigating and enforcing this Code: 4 LOGO . 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. X. INTERNAL USE 5 LOGO 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 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 EX-99.CERT 3 d755395dex99cert.txt CERTIFICATION 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 5, 2015 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 5, 2015 By: /s/ David R. Martin -------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company EX-99.906CERT 4 d755395dex99906cert.txt CERTIFICATION 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, 2014 (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 5, 2015 By: /s/ David R. Martin -------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company Date: January 5, 2015