0001193125-11-185712.txt : 20110711 0001193125-11-185712.hdr.sgml : 20110711 20110711121810 ACCESSION NUMBER: 0001193125-11-185712 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20110430 FILED AS OF DATE: 20110711 DATE AS OF CHANGE: 20110711 EFFECTIVENESS DATE: 20110711 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND CENTRAL INDEX KEY: 0000896163 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 11961130 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 FORMER COMPANY: FORMER CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND INC DATE OF NAME CHANGE: 19981217 0000896163 S000001027 DIMENSIONAL EMERGING MARKETS VALUE FUND INC C000002781 DIMENSIONAL EMERGING MARKETS VALUE FUND INC N-CSRS 1 dncsrs.txt DIMENSIONAL EMERGING MARKETS VALUE FUND UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number. 811-7440 ---------
DIMENSIONAL EMERGING MARKETS VALUE FUND -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 6300 Bee Cave Road, Building One, Austin, TX 78746 ------------------------------------------------------- (Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary Dimensional Emerging Markets Value Fund, 6300 Bee Cave Road, Building One, Austin, TX 78746 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 512-306-7400 Date of fiscal year end: October 31 Date of reporting period: November 1, 2010 - April 30, 2011
ITEM 1. REPORTS TO STOCKHOLDERS. LOGO SEMI-ANNUAL REPORT ---------------------------------- six months ended: April 30, 2011 (Unaudited) 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 May 2011 Dear Fellow Shareholder, We recently celebrated Dimensional's thirtieth anniversary. The firm has developed in ways we never could have predicted. Our success owes a lot to our clients, especially those we've had a long relationship with. We are proud that these relationships have been beneficial for our clients and for Dimensional. Thirty years of growth has brought many changes. But some things haven't changed, and these have been a key to our success. We have always acted in the best interests of clients and strived to earn and maintain trust by doing what we say we are going to do. We have always worked hard to demonstrate the validity of our ideas. We never try to predict how much money our clients could make, but we have always worked to deliver a good investment experience. We continue to believe strongly in the principles of diversification and discipline. We've been fortunate to find clients sharing that belief and helping us grow into the firm we are now. Sincerely, LOGO David G. Booth Chairman and Co-Chief Executive Officer SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.............................. 1 DFA Investment Dimensions Group Inc. Disclosure of Fund Expenses.......................................... 3 Disclosure of Portfolio Holdings..................................... 8 Schedules of Investments/Summary Schedules of Portfolio Holdings..... Enhanced U.S. Large Company Portfolio............................ 11 U.S. Large Cap Value Portfolio................................... 15 U.S. Targeted Value Portfolio.................................... 16 U.S. Small Cap Value Portfolio................................... 19 U.S. Core Equity 1 Portfolio..................................... 22 U.S. Core Equity 2 Portfolio..................................... 25 U.S. Vector Equity Portfolio..................................... 28 U.S. Small Cap Portfolio......................................... 31 U.S. Micro Cap Portfolio......................................... 34 DFA Real Estate Securities Portfolio............................. 37 Large Cap International Portfolio................................ 39 International Core Equity Portfolio.............................. 43 International Small Company Portfolio............................ 48 Japanese Small Company Portfolio................................. 49 Asia Pacific Small Company Portfolio............................. 49 United Kingdom Small Company Portfolio........................... 50 Continental Small Company Portfolio.............................. 50 DFA International Real Estate Securities Portfolio............... 51 DFA Global Real Estate Securities Portfolio...................... 55 DFA International Small Cap Value Portfolio...................... 56 International Vector Equity Portfolio............................ 61 World ex U.S. Value Portfolio.................................... 66 Emerging Markets Portfolio....................................... 67 Emerging Markets Small Cap Portfolio............................. 67 Emerging Markets Value Portfolio................................. 68 Emerging Markets Core Equity Portfolio........................... 69 Statements of Assets and Liabilities................................. 74 Statements of Operations............................................. 81 Statements of Changes in Net Assets.................................. 88 Financial Highlights................................................. 97 Notes to Financial Statements........................................ 113 DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Disclosure of Fund Expenses.......................................... 140 Disclosure of Portfolio Holdings..................................... 141 Schedule of Investments.............................................. Statement of Assets and Liabilities.................................. 148 Statement of Operations.............................................. 149 Statement of Changes in Net Assets................................... 150 Financial Highlights................................................. 151 Notes to Financial Statements........................................ 152
i Table of Contents Continued
Page ---- Dimensional Investment Group Inc. Disclosure of Fund Expenses...................................... 162 Disclosure of Portfolio Holdings................................. 164 Schedule of Investments/Summary Schedule of Portfolio Holdings... DFA International Value Portfolio............................ 165 U.S. Large Company Portfolio................................. 166 Statements of Assets and Liabilities............................. 169 Statements of Operations......................................... 170 Statements of Changes in Net Assets.............................. 171 Financial Highlights............................................. 172 Notes to Financial Statements.................................... 174 The DFA Investment Trust Company Disclosure of Fund Expenses...................................... 186 Disclosure of Portfolio Holdings................................. 188 Schedules of Investments/Summary Schedules of Portfolio Holdings. The U.S. Large Cap Value Series.............................. 190 The DFA International Value Series........................... 193 The Japanese Small Company Series............................ 197 The Asia Pacific Small Company Series........................ 200 The United Kingdom Small Company Series...................... 203 The Continental Small Company Series......................... 206 The Canadian Small Company Series............................ 210 The Emerging Markets Series.................................. 213 The Emerging Markets Small Cap Series........................ 217 Statements of Assets and Liabilities............................. 221 Statements of Operations......................................... 223 Statements of Changes in Net Assets.............................. 225 Financial Highlights............................................. 228 Notes to Financial Statements.................................... 233 Dimensional Emerging Markets Value Fund Disclosure of Fund Expenses...................................... 243 Disclosure of Portfolio Holdings................................. 244 Summary Schedule of Portfolio Holdings........................... 245 Statement of Assets and Liabilities.............................. 249 Statement of Operations.......................................... 250 Statements of Changes in Net Assets.............................. 251 Financial Highlights............................................. 252 Notes to Financial Statements.................................... 253 Voting Proxies on Fund Portfolio Securities 261 Board Approval of Investment Advisory Agreements 262
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. ii DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings Investment Abbreviations ADR American Depositary Receipt FNMA Federal National Mortgage Association GDR Global Depositary Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust SPDR Standard & Poor's Depository Receipts Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may Include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in local currency or the Euro, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of April 30, 2011. (y) The rate shown is the effective yield. (g) Face Amount denominated in British Pounds. (c) Face Amount denominated in Canadian Dollars. (e) Face Amount denominated in Euro. (u) Face Amount denominated in United States Dollars. ^^ Security segregated as collateral for the Open Futures Contracts. @@ Security segregated as collateral for Swap Agreements. (S) Affiliated Fund. ## Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value allocated to this Fund/Portfolio/Series as a part of this facility. 1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED Financial Highlights (A) Computed using average shares outstanding. (B) Annualized (C) Non-Annualized (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (E) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. All Statements, Schedules and Notes to Financial Statements -- Amounts designated as -- are either zero or rounded to zero. RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations.
2 DFA INVESTMENT DIMENSIONS GROUP INC. 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 April 30, 2011 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* - --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio Actual Fund Return.................... Institutional Class Shares........... $1,000.00 $1,163.95 0.27% $1.45 Hypothetical 5% Annual Return......... Institutional Class Shares........... $1,000.00 $1,023.46 0.27% $1.35
3 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* - --------- --------- ---------- -------- U.S. Large Cap Value Portfolio** Actual Fund Return............... Institutional Class Shares...... $1,000.00 $1,219.97 0.28% $1.54 Hypothetical 5% Annual Return.... Institutional Class Shares...... $1,000.00 $1,023.41 0.28% $1.40 U.S. Targeted Value Portfolio Actual Fund Return............... Class R1 Shares................. $1,000.00 $1,247.72 0.48% $2.68 Class R2 Shares................. $1,000.00 $1,245.48 0.63% $3.51 Institutional Class Shares...... $1,000.00 $1,247.39 0.38% $2.12 Hypothetical 5% Annual Return.... Class R1 Shares................. $1,000.00 $1,022.41 0.48% $2.41 Class R2 Shares................. $1,000.00 $1,021.67 0.63% $3.16 Institutional Class Shares...... $1,000.00 $1,022.91 0.38% $1.91 U.S. Small Cap Value Portfolio Actual Fund Return............... Institutional Class Shares...... $1,000.00 $1,256.78 0.52% $2.91 Hypothetical 5% Annual Return.... Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61 U.S. Core Equity 1 Portfolio Actual Fund Return............... Institutional Class Shares...... $1,000.00 $1,196.52 0.19% $1.03 Hypothetical 5% Annual Return.... Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95 U.S. Core Equity 2 Portfolio Actual Fund Return............... Institutional Class Shares...... $1,000.00 $1,208.62 0.22% $1.20 Hypothetical 5% Annual Return.... Institutional Class Shares...... $1,000.00 $1,023.70 0.22% $1.10 U.S. Vector Equity Portfolio Actual Fund Return............... Institutional Class Shares...... $1,000.00 $1,229.14 0.33% $1.82 Hypothetical 5% Annual Return.... Institutional Class Shares...... $1,000.00 $1,023.16 0.33% $1.66 U.S. Small Cap Portfolio Actual Fund Return............... Institutional Class Shares...... $1,000.00 $1,252.58 0.38% $2.12 Hypothetical 5% Annual Return.... Institutional Class Shares...... $1,000.00 $1,022.91 0.38% $1.91
4 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* - --------- --------- ---------- -------- U.S. Micro Cap Portfolio Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,239.93 0.53% $2.94 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,022.17 0.53% $2.66 DFA Real Estate Securities Portfolio Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,156.94 0.33% $1.76 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,023.16 0.33% $1.66 Large Cap International Portfolio Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,134.15 0.29% $1.53 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,023.36 0.29% $1.45 International Core Equity Portfolio Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,155.09 0.39% $2.08 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,022.86 0.39% $1.96 International Small Company Portfolio*** Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,176.36 0.55% $2.97 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76 Japanese Small Company Portfolio** Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,116.22 0.57% $2.99 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,021.97 0.57% $2.86 Asia Pacific Small Company Portfolio** Actual Fund Return....................... Institutional Class Shares.............. $1,000.00 $1,133.94 0.60% $3.17 Hypothetical 5% Annual Return............ Institutional Class Shares.............. $1,000.00 $1,021.82 0.60% $3.01
5 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* - --------- --------- ---------- -------- United Kingdom Small Company Portfolio** Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,167.63 0.59% $3.17 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,021.87 0.59% $2.96 Continental Small Company Portfolio** Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,200.97 0.58% $3.17 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,021.92 0.58% $2.91 DFA International Real Estate Securities Portfolio Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,135.92 0.42% $2.22 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,022.71 0.42% $2.11 DFA Global Real Estate Securities Portfolio*** Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,148.29 0.41% $2.18 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,022.76 0.41% $2.06 DFA International Small Cap Value Portfolio Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,201.65 0.70% $3.82 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,021.32 0.70% $3.51 International Vector Equity Portfolio Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,168.28 0.53% $2.85 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,022.17 0.53% $2.66 World ex U.S. Value Portfolio*** Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,136.48 0.60% $3.18 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01 Emerging Markets Portfolio** Actual Fund Return................................. Institutional Class Shares........................ $1,000.00 $1,115.34 0.60% $3.15 Hypothetical 5% Annual Return...................... Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01
6 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* - --------- --------- ---------- -------- Emerging Markets Small Cap Portfolio** Actual Fund Return..................... Institutional Class Shares............ $1,000.00 $1,062.08 0.76% $3.89 Hypothetical 5% Annual Return.......... Institutional Class Shares............ $1,000.00 $1,021.03 0.76% $3.81 Emerging Markets Value Portfolio** Actual Fund Return..................... Class R2 Shares....................... $1,000.00 $1,089.27 0.85% $4.40 Institutional Class Shares............ $1,000.00 $1,093.01 0.59% $3.06 Hypothetical 5% Annual Return.......... Class R2 Shares....................... $1,000.00 $1,020.58 0.85% $4.26 Institutional Class Shares............ $1,000.00 $1,021.87 0.59% $2.96 Emerging Markets Core Equity Portfolio Actual Fund Return..................... Institutional Class Shares............ $1,000.00 $1,092.35 0.65% $3.37 Hypothetical 5% Annual Return.......... Institutional Class Shares............ $1,000.00 $1,021.57 0.65% $3.26
-------- * 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 (181), 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). 7 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 March 31, 2011. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. The categories of industry classification for the Affiliated Investment Companies are represented in the Disclosure of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Master Funds' holdings which reflect the investments by category or country. FEEDER FUNDS Affiliated Investment Companies - ------------------------------- U.S. Large Cap Value Portfolio.............. 100.0% Japanese Small Company Portfolio............ 100.0% Asia Pacific Small Company Portfolio........ 100.0% United Kingdom Small Company Portfolio...... 100.0% Continental Small Company Portfolio......... 100.0% Emerging Markets Portfolio.................. 100.0% Emerging Markets Small Cap Portfolio........ 100.0% Emerging Markets Value Portfolio............ 100.0% FUND OF FUNDS International Small Company Portfolio....... 100.0% DFA Global Real Estate Securities Portfolio. 100.0% World ex U.S. Value Portfolio............... 100.0%
8 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FIXED INCOME PORTFOLIO Enhanced U.S. Large Company Portfolio Corporate................ 24.6% Government............... 15.9% Foreign Corporate........ 18.5% Foreign Government....... 33.6% Supranational............ 7.4% ------ 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Targeted Value Portfolio Consumer Discretionary........ 15.7% Consumer Staples.............. 3.9% Energy........................ 11.8% Financials.................... 22.3% Health Care................... 7.2% Industrials................... 15.8% Information Technology........ 13.9% Materials..................... 7.7% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 1.3% Utilities..................... 0.4% ------ 100.0%
U.S. Small Cap Value Portfolio Consumer Discretionary........ 17.2% Consumer Staples.............. 3.0% Energy........................ 10.7% Financials.................... 20.4% Health Care................... 6.5% Industrials................... 18.9% Information Technology........ 14.9% Materials..................... 7.8% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 0.4% Utilities..................... 0.2% ------ 100.0%
U.S. Core Equity 1 Portfolio Consumer Discretionary..... 13.3% Consumer Staples........... 7.6% Energy..................... 11.2% Financials................. 16.0% Health Care................ 10.8% Industrials................ 13.3% Information Technology..... 16.5% Materials.................. 5.4% Other...................... -- Telecommunication Services. 2.5% Utilities.................. 3.4% ------ 100.0%
U.S. Core Equity 2 Portfolio Consumer Discretionary........ 14.1% Consumer Staples.............. 6.3% Energy........................ 12.1% Financials.................... 18.3% Health Care................... 10.2% Industrials................... 14.1% Information Technology........ 14.0% Materials..................... 5.5% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 3.0% Utilities..................... 2.4% ------ 100.0% U.S. Micro Cap Portfolio Consumer Discretionary........ 15.3% Consumer Staples.............. 4.4% Energy........................ 5.1% Financials.................... 13.5% Health Care................... 12.6% Industrials................... 18.5% Information Technology........ 22.6% Materials..................... 5.1% Other......................... -- Telecommunication Services.... 1.4% Utilities..................... 1.5% ------ 100.0%
U.S. Vector Equity Portfolio Consumer Discretionary........ 15.0% Consumer Staples.............. 5.1% Energy........................ 11.2% Financials.................... 23.5% Health Care................... 8.4% Industrials................... 14.1% Information Technology........ 12.9% Materials..................... 5.9% Other......................... -- Telecommunication Services.... 2.5% Utilities..................... 1.4% ------ 100.0% DFA Real Estate Securities Portfolio Real Estate Investment Trusts. 100.0% ------ 100.0%
U.S. Small Cap Portfolio Consumer Discretionary........ 16.5% Consumer Staples.............. 3.6% Energy........................ 6.7% Financials.................... 13.2% Health Care................... 10.6% Industrials................... 18.3% Information Technology........ 21.4% Materials..................... 6.0% Other......................... -- Telecommunication Services.... 1.0% Utilities..................... 2.7% ------ 100.0% Large Cap International Portfolio Consumer Discretionary........ 9.6% Consumer Staples.............. 9.1% Energy........................ 10.2% Financials.................... 23.4% Health Care................... 7.6% Industrials................... 12.5% Information Technology........ 4.8% Materials..................... 13.0% Other......................... 0.1% Real Estate Investment Trusts. -- Telecommunication Services.... 5.3% Utilities..................... 4.4% ------ 100.0%
9 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED
International Core Equity Portfolio Consumer Discretionary...... 13.0% Consumer Staples............ 6.4% Energy...................... 9.8% Financials.................. 24.3% Health Care................. 4.4% Industrials................. 16.6% Information Technology...... 5.7% Materials................... 13.8% Other....................... -- Real Estate Investment Trusts..................... -- Telecommunication Services.. 3.0% Utilities................... 3.0% ------ 100.0%
DFA International Real Estate Securities Portfolio Financials................... 0.2% Other........................ 0.1% Real Estate Investment Trusts...................... 99.7% ------ 100.0%
DFA International Small Cap Value Portfolio Consumer Discretionary............ 19.8% Consumer Staples.................. 5.0% Energy............................ 6.9% Financials........................ 17.2% Health Care....................... 1.8% Industrials....................... 23.7% Information Technology............ 5.1% Materials......................... 19.6% Other............................. -- Real Estate Investment Trusts..... 0.1% Telecommunication Services........ 0.4% Utilities......................... 0.4% ------ 100.0%
International Vector Equity Portfolio Consumer Discretionary....... 14.8% Consumer Staples............. 5.3% Energy....................... 8.5% Financials................... 22.8% Health Care.................. 4.0% Industrials.................. 18.7% Information Technology....... 6.4% Materials.................... 15.5% Other........................ -- Real Estate Investment Trusts...................... -- Telecommunication Services... 2.2% Utilities.................... 1.8% ------ 100.0%
Emerging Markets Core Equity Portfolio Consumer Discretionary........ 9.9% Consumer Staples.............. 7.2% Energy........................ 11.5% Financials.................... 23.0% Health Care................... 1.8% Industrials................... 10.8% Information Technology........ 10.7% Materials..................... 16.3% Other......................... -- Real Estate Investment Trusts....................... 0.1% Telecommunication Services.... 5.1% Utilities..................... 3.6% ------ 100.0%
10 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Face Amount^ Value+ ------- ----- (000) BONDS -- (74.5%) AUSTRALIA -- (0.4%) BHP Billiton Finance USA, Ltd. (u)4.800%, 04/15/13 600 $ 643,855 ----------- AUSTRIA -- (4.3%) Asfinag (u)2.000%, 10/22/12 3,650 3,728,431 Oesterreichische Volksbanken AG (e)3.000%, 02/09/12 1,600 2,388,063 Oesterreichische Kontrollbank AG (u)4.750%, 10/16/12 1,500 1,591,466 ----------- TOTAL AUSTRIA......................... 7,707,960 ----------- CANADA -- (16.5%) Alberta Capital Finance Authority 5.850%, 06/01/12 2,000 2,211,742 Bank of Nova Scotia (u)2.250%, 01/22/13 4,300 4,405,844 British Columbia, Province of Canada 5.500%, 04/24/13 4,000 4,504,571 Canada Mortgage & Housing Corp. 5.500%, 06/01/12 3,700 4,077,567 Canadian Government Bond 1.750%, 03/01/13 3,800 4,019,690 Canadian National Railway Co. (u)4.400%, 03/15/13 600 637,882 Canadian Natural Resources, Ltd. (u)5.150%, 02/01/13 600 640,684 Ontario, Province of Canada 5.500%, 04/17/13 4,000 4,483,336 Toronto-Dominion Bank (The) 4.854%, 02/13/13 4,000 4,418,919 ----------- TOTAL CANADA.......................... 29,400,235 ----------- DENMARK -- (3.9%) Denmark Government International Bond (u)1.875%, 03/16/12 3,000 3,040,350 FIH Erhvervsbank A.S. (u)2.450%, 08/17/12 3,800 3,886,796 ----------- TOTAL DENMARK......................... 6,927,146 -----------
Face Amount^ Value+ ------- ----- (000) FINLAND -- (0.3%) Nordea Bank Finland P.L.C. Floating Rate Note (r)(u)0.791%, 02/07/13.............. 500 $ 501,225 ----------- FRANCE -- (7.1%) Agence Francaise de Developpement (u)2.250%, 05/22/12 2,500 2,538,745 Caisse d'Amortissement de la Dette Sociale (u)2.250%, 07/06/12 3,500 3,564,981 (u)5.375%, 07/17/12 500 529,309 Societe Financement del'Economie Francaise (u)2.250%, 06/11/12 1,500 1,529,319 Total Capital SA (g)5.500%, 01/29/13 2,500 4,439,729 ----------- TOTAL FRANCE........................ 12,602,083 ----------- GERMANY -- (5.3%) Deutsche Bank AG (u)2.375%, 01/11/13 600 612,533 IKB Deutsche Industriebank AG 2.875%, 01/27/12 1,500 2,240,782 Kreditanstalt fuer Wiederaufbau (u)2.250%, 04/16/12 2,500 2,545,778 Landeskreditbank Baden-Wuerttemberg Foerderbank (u)2.000%, 10/01/12 4,000 4,076,252 ----------- TOTAL GERMANY....................... 9,475,345 ----------- JAPAN -- (3.7%) Development Bank of Japan (e)5.625%, 08/02/11 1,500 2,241,711 Japan Finance Corp. (u)2.000%, 06/24/11 1,000 1,002,084 (u)1.500%, 07/06/12 2,000 2,009,442 (u)2.125%, 11/05/12 1,300 1,324,916 ----------- TOTAL JAPAN......................... 6,578,153 ----------- NETHERLANDS -- (3.2%) Bank Nederlandse Gemeenten (g)5.750%, 03/07/12 521 902,767 (u)1.875%, 03/01/13 3,000 3,064,470
11 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ - ------- ----------- (000) NETHERLANDS -- (Continued) Rabobank Nederland (u)3.000%, 09/18/12 1,700 $ 1,747,071 ----------- TOTAL NETHERLANDS.................... 5,714,308 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.8%) African Development Bank (c)4.850%, 07/24/12 4,000 4,390,213 Eurofima (u)5.125%, 08/02/12 1,000 1,055,006 (c)4.875%, 12/04/12 2,500 2,750,190 European Investment Bank (u)3.250%, 10/14/11 800 810,726 (u)4.625%, 03/21/12 3,100 3,217,667 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 12,223,802 ----------- SWEDEN -- (1.5%) Kommuninvest I Sverige AB (u) 5.375%, 07/03/12 2,600 2,746,325 ----------- UNITED KINGDOM -- (2.4%) Barclays Bank P.L.C. (u)5.450%, 09/12/12 4,000 4,239,548 ----------- UNITED STATES -- (19.1%) American Express Bank FSB 5.550%, 10/17/12 $ 600 636,443 Anheuser-Busch Cos., Inc. 4.375%, 01/15/13 700 737,988 AT&T, Inc. 4.950%, 01/15/13 600 639,010 Avery Dennison Corp. 4.875%, 01/15/13 600 631,136 Bank of New York Mellon Corp. (The) 4.500%, 04/01/13 3,000 3,204,939 BlackRock, Inc. 2.250%, 12/10/12 600 613,124 Caterpillar Financial Services Corp. 2.000%, 04/05/13 250 255,473 CenterPoint Energy Resources Corp. 7.875%, 04/01/13 600 670,798
Face Amount Value+ - ------ ---------- (000) UNITED STATES -- (Continued) Citigroup, Inc. 5.300%, 10/17/12 $1,400 $1,478,494 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13 600 676,558 Computer Sciences Corp. 5.000%, 02/15/13 600 634,669 Dominion Resources, Inc. 5.000%, 03/15/13 600 642,203 Dow Chemical Co. (The) 6.000%, 10/01/12 385 410,740 Enterprise Products Operating LLC 6.375%, 02/01/13 664 717,921 General Electric Capital Corp. 6.000%, 06/15/12 800 845,952 2.800%, 01/08/13 2,000 2,053,090 General Electric Co. 5.000%, 02/01/13 1,500 1,601,370 Goldman Sachs Group, Inc.(The) 5.450%, 11/01/12 1,360 1,444,879 Hewlett-Packard Co. 4.500%, 03/01/13 600 639,841 Historic TW, Inc. 9.125%, 01/15/13 600 675,243 HSBC Finance Corp. 6.375%, 11/27/12 600 645,965 John Deere Capital Corp. 4.500%, 04/03/13 700 746,941 JPMorgan Chase & Co. 5.375%, 10/01/12 800 848,847 Kroger Co. (The) 5.500%, 02/01/13 600 642,325 Merrill Lynch & Co., Inc. 5.450%, 02/05/13 1,400 1,490,093 Morgan Stanley 5.300%, 03/01/13 1,400 1,493,828 Nisource Finance Corp. 6.150%, 03/01/13 600 650,121 Pitney Bowes, Inc. 4.625%, 10/01/12 600 628,284 Prudential Financial, Inc. 5.150%, 01/15/13 600 635,201 SunTrust Banks, Inc. 5.250%, 11/05/12 500 526,433 TD Ameritrade Holding Corp. 2.950%, 12/01/12 700 715,869
12 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount Value+ ------ ----- (000) UNITED STATES -- (Continued) UnitedHealth Group, Inc. 5.500%, 11/15/12 $ 250 $ 267,442 Verizon Communications, Inc. 4.350%, 02/15/13 600 634,029 Wal-Mart Stores, Inc. 4.250%, 04/15/13 4,095 4,363,874 Wells Fargo Bank & Co. 4.375%, 01/31/13 500 527,862 ------------ TOTAL UNITED STATES.............. 34,026,985 ------------ TOTAL BONDS...................... 132,786,970 ------------ AGENCY OBLIGATIONS -- (11.8%) Federal Home Loan Bank 1.500%, 01/16/13 2,000 2,030,678 Federal Home Loan Mortgage Corporation 0.375%, 11/30/12 2,000 1,995,108 1.625%, 04/15/13 3,000 3,056,226 Federal Home Loan Mortgage Corporation Discount Notes (y)^^ 0.061%, 06/06/11........... 4,000 3,999,924 (y)^^ 0.045%, 06/07/11........... 10,000 9,999,800 ------------ TOTAL AGENCY OBLIGATIONS......... 21,081,736 ------------ COMMERCIAL PAPER -- (7.0%) Caisse Cent Desjardins Du Quebec 0.250%, 05/02/11 3,000 2,999,979 Eksportfinans ASA 0.120%, 05/19/11 3,500 3,499,790 KFW International Finance, Inc. 0.200%, 06/24/11 2,000 1,999,560 Nestle Capital Corp. 0.170%, 06/30/11 4,000 3,999,036 ------------ TOTAL COMMERCIAL PAPER........... 12,498,365 ------------
Shares Value+ - ------ ----- EXCHANGE-TRADED FUND -- (3.4%) UNITED STATES -- (3.4%) SPDR Trust Series I................. 44,100 $6,021,414 ------------ TEMPORARY CASH INVESTMENTS -- (3.3%) BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares... 5,938,000 5,938,000 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $173,885,278) $178,326,485 ============
13 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs - ---------------------------------------------- Investment in Securities (Market Value) - ---------------------------------------------- Level 1 Level 2 Level 3 Total - ----------- ------------ ------- ------------ Bonds........................ -- $132,786,970 -- $132,786,970 Agency Obligations........... -- 21,081,736 -- 21,081,736 Commercial Paper............. -- 12,498,365 -- 12,498,365 Exchange-Traded Fund......... $ 6,021,414 -- -- 6,021,414 Temporary Cash Investments... 5,938,000 -- -- 5,938,000 Forward Currency Contracts**. -- (1,359,373) -- (1,359,373) Futures Contracts**.......... 5,421,825 -- -- 5,421,825 ----------- ------------ -- ------------ TOTAL........................ $17,381,239 $165,007,698 -- $182,388,937 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 14 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ - ----- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company $8,133,769,482 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,528,588,546)............................. $8,133,769,482 ==============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 15 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (89.4%)............... Consumer Discretionary -- (14.0%)...... #Dillard's, Inc. Class A............. 240,649 $ 11,555,965 0.4% Foot Locker, Inc..................... 476,481 10,253,871 0.3% #*GameStop Corp. Class A.............. 397,119 10,198,016 0.3% *Liberty Media Corp. Capital Class A. 139,435 11,471,317 0.4% *Mohawk Industries, Inc.............. 210,899 12,662,376 0.4% *Toll Brothers, Inc.................. 509,058 10,695,309 0.4% Other Securities..................... 408,675,956 13.5% ------------ ----- Total Consumer Discretionary........... 475,512,810 15.7% ------------ ----- Consumer Staples -- (3.5%)............. *Constellation Brands, Inc. Class A.. 572,827 12,825,597 0.4% *Ralcorp Holdings, Inc............... 166,665 12,966,537 0.4% *Smithfield Foods, Inc............... 512,700 12,079,212 0.4% Other Securities..................... 79,880,399 2.7% ------------ ----- Total Consumer Staples................. 117,751,745 3.9% ------------ ----- Energy -- (10.6%)...................... *Complete Production Services, Inc... 293,989 9,977,987 0.3% Patterson-UTI Energy, Inc............ 424,189 13,196,520 0.4% Pioneer Natural Resources Co......... 129,564 13,245,328 0.4% *Plains Exploration & Production Co.. 372,012 14,151,336 0.5% *Rowan Cos., Inc..................... 419,159 17,478,930 0.6% Sunoco, Inc.......................... 321,586 13,718,859 0.5% *Tesoro Petroleum Corp............... 480,279 13,025,166 0.4% #Tidewater, Inc...................... 169,501 10,087,005 0.3% Other Securities..................... 253,287,715 8.4% ------------ ----- Total Energy........................... 358,168,846 11.8% ------------ ----- Financials -- (19.9%).................. *American Capital, Ltd............... 1,070,676 10,995,843 0.4% American Financial Group, Inc........ 350,630 12,542,035 0.4% Assurant, Inc........................ 305,492 12,128,032 0.4% Axis Capital Holdings, Ltd........... 403,451 14,266,027 0.5% *E*Trade Financial Corp.............. 671,527 10,905,598 0.3% *NASDAQ OMX Group, Inc. (The)........ 540,725 14,653,648 0.5% *Popular, Inc........................ 3,226,677 10,164,033 0.3% Reinsurance Group of America, Inc.... 236,355 14,961,272 0.5% Transatlantic Holdings, Inc.......... 204,165 10,063,293 0.3% Validus Holdings, Ltd................ 344,953 11,224,771 0.4% #Zions Bancorporation................ 446,096 10,907,047 0.4% Other Securities..................... 540,075,306 17.8% ------------ ----- Total Financials....................... 672,886,905 22.2% ------------ ----- Health Care -- (6.4%).................. *Coventry Health Care, Inc........... 467,075 15,072,510 0.5% *HealthSpring, Inc................... 272,795 11,318,265 0.4% *Hologic, Inc........................ 462,432 10,182,753 0.3% #Omnicare, Inc....................... 365,815 11,493,907 0.4% Other Securities..................... 168,380,384 5.5% ------------ ----- Total Health Care...................... 216,447,819 7.1% ------------ ----- Industrials -- (14.1%)................. #*Avis Budget Group, Inc.............. 578,582 10,969,915 0.4% #*General Cable Corp.................. 211,820 10,273,270 0.3% *Owens Corning, Inc.................. 350,045 13,245,703 0.4% #Trinity Industries, Inc............. 284,198 10,287,968 0.4%
16 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ----- --------------- Industrials -- (Continued)..................................................... Other Securities............................................................. $ 432,674,078 14.3% -------------- ---- Total Industrials.............................................................. 477,450,934 15.8% -------------- ---- Information Technology -- (12.4%).............................................. *Arrow Electronics, Inc...................................................... 350,552 15,981,666 0.5% *Fairchild Semiconductor International, Inc.................................. 551,477 11,564,473 0.4% *IAC/InterActiveCorp......................................................... 329,849 11,910,847 0.4% *Ingram Micro, Inc. Class A.................................................. 529,613 9,919,651 0.3% *International Rectifier Corp................................................ 300,671 10,391,190 0.3% *Tech Data Corp.............................................................. 261,278 13,881,700 0.5% Other Securities............................................................. 346,083,082 11.4% -------------- ---- Total Information Technology................................................... 419,732,609 13.8% -------------- ---- Materials -- (6.9%)............................................................ Ashland, Inc................................................................. 213,705 13,266,806 0.4% *Century Aluminum Co......................................................... 556,132 11,111,517 0.4% *Coeur d'Alene Mines Corp.................................................... 329,341 10,443,403 0.3% Domtar Corp.................................................................. 117,487 10,928,641 0.4% MeadWestavco Corp............................................................ 402,152 13,548,501 0.4% Reliance Steel & Aluminum Co................................................. 209,025 11,832,905 0.4% Westlake Chemical Corp....................................................... 164,151 10,776,513 0.4% Other Securities............................................................. 150,593,899 5.0% -------------- ---- Total Materials................................................................ 232,502,185 7.7% -------------- ---- Other -- (0.0%)................................................................ Other Securities............................................................. -- 0.0% -------------- ---- Real Estate Investment Trusts -- (0.0%)........................................ Other Securities............................................................. 471 0.0% -------------- ---- Telecommunication Services -- (1.2%)........................................... *MetroPCS Communications, Inc................................................ 720,666 12,128,809 0.4% Other Securities............................................................. 27,603,649 0.9% -------------- ---- Total Telecommunication Services............................................... 39,732,458 1.3% -------------- ---- Utilities -- (0.4%)............................................................ Other Securities............................................................. 13,172,530 0.4% -------------- ---- TOTAL COMMON STOCKS............................................................ 3,023,359,312 99.7% -------------- ---- RIGHTS/WARRANTS -- (0.0%)...................................................... Other Securities............................................................. 66,032 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.2%)........................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares.......... 6,507,055 6,507,055 0.2% -------------- ---- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (10.4%)....................................... (S)@DFA Short Term Investment Fund............................................. 352,488,661 352,488,661 11.6% @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,040,164 FNMA 3.500%, 02/01/26, valuedat $1,045,840) to be repurchased at $1,015,383.................................................................... $ 1,015 1,015,378 0.1% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL............................................ 353,504,039 11.7% -------------- ----
17 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Value+ of Net Assets** ----- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,715,506,595) $3,383,436,438 111.6% ============== ======
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 475,512,810 -- -- $ 475,512,810 Consumer Staples.............. 117,663,397 $ 88,348 -- 117,751,745 Energy........................ 358,168,846 -- -- 358,168,846 Financials.................... 672,886,905 -- -- 672,886,905 Health Care................... 216,447,819 -- -- 216,447,819 Industrials................... 477,272,288 178,646 -- 477,450,934 Information Technology........ 419,732,609 -- -- 419,732,609 Materials..................... 232,502,185 -- -- 232,502,185 Other......................... -- -- -- -- Real Estate Investment Trusts. 471 -- -- 471 Telecommunication Services.... 39,732,458 -- -- 39,732,458 Utilities..................... 13,172,530 -- -- 13,172,530 Rights/Warrants................. 35,727 30,305 -- 66,032 Temporary Cash Investments...... 6,507,055 -- -- 6,507,055 Securities Lending Collateral... -- 353,504,039 -- 353,504,039 -------------- ------------ -- -------------- TOTAL........................... $3,029,635,100 $353,801,338 -- $3,383,436,438 ============== ============ == ==============
See accompanying Notes to Financial Statements. 18 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (83.3%) Consumer Discretionary -- (14.3%) #American Greetings Corp. Class A 1,790,470 $ 44,045,562 0.6% #*Cabela's, Inc. 1,608,803 41,088,829 0.5% #Dillard's, Inc. Class A 1,637,833 78,648,741 1.0% #*Gaylord Entertainment Co. 1,237,351 44,383,780 0.6% #*Iconix Brand Group, Inc. 1,499,001 36,710,534 0.5% #*Penske Automotive Group, Inc. 1,718,788 38,638,354 0.5% #Rent-A-Center, Inc. 1,421,975 43,299,139 0.5% #*Saks, Inc. 3,558,394 42,558,392 0.5% #Scholastic Corp. 1,528,917 40,179,939 0.5% Other Securities 959,095,362 12.0% -------------- ----- Total Consumer Discretionary 1,368,648,632 17.2% -------------- ----- Consumer Staples -- (2.5%) *Hain Celestial Group, Inc. 1,311,686 44,610,441 0.6% Other Securities 191,147,125 2.4% -------------- ----- Total Consumer Staples 235,757,566 3.0% -------------- ----- Energy -- (8.9%) *Bristow Group, Inc. 994,046 46,123,734 0.6% *Complete Production Services, Inc. 1,711,791 58,098,187 0.7% #*Exterran Holdings, Inc. 1,702,183 36,954,393 0.5% #Frontier Oil Corp. 1,949,845 54,478,669 0.7% *Helix Energy Solutions Group, Inc. 2,847,335 53,900,052 0.7% #SEACOR Holdings, Inc. 362,962 35,871,534 0.4% Other Securities 569,182,547 7.1% -------------- ----- Total Energy 854,609,116 10.7% -------------- ----- Financials -- (17.0%) *American Capital, Ltd. 5,107,942 52,458,564 0.7% *CNO Financial Group, Inc. 6,898,490 55,601,829 0.7% #Delphi Financial Group, Inc. Class A 1,255,156 40,102,234 0.5% #First Niagara Financial Group, Inc. 3,515,047 50,616,677 0.6% #*MBIA, Inc. 3,747,338 38,672,528 0.5% #*PHH Corp. 1,742,188 37,387,354 0.5% #Provident Financial Services, Inc. 2,445,306 35,505,843 0.4% Unitrin, Inc. 1,286,803 38,912,923 0.5% #Webster Financial Corp. 1,739,823 37,440,991 0.5% Other Securities 1,242,110,408 15.6% -------------- ----- Total Financials 1,628,809,351 20.5% -------------- ----- Health Care -- (5.5%) Cooper Cos., Inc. 613,518 45,952,498 0.6% #*HealthSpring, Inc. 953,190 39,547,853 0.5% #*Kindred Healthcare, Inc. 1,507,380 38,016,124 0.5% #*LifePoint Hospitals, Inc. 1,678,385 69,837,600 0.9% #Universal American Corp. 1,561,190 36,063,489 0.4% *Viropharma, Inc. 1,994,826 38,480,194 0.5% Other Securities 254,130,969 3.2% -------------- ----- Total Health Care 522,028,727 6.6% -------------- ----- Industrials -- (15.8%) #Alexander & Baldwin, Inc. 1,143,809 60,278,734 0.8% *Amerco, Inc. 347,357 35,333,154 0.4% #*Avis Budget Group, Inc. 2,820,428 53,475,315 0.7% *Esterline Technologies Corp. 1,023,870 73,513,866 0.9% #GATX Corp. 1,412,629 59,711,828 0.8%
19 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED CONTINUED
Percentage Shares Value+ of Net Assets** ------ ----- --------------- Industrials -- (Continued).................................................. #*General Cable Corp....................................................... 824,297 $ 39,978,404 0.5% Seaboard Corp............................................................. 18,889 45,088,043 0.6% #Trinity Industries, Inc.................................................. 1,795,262 64,988,484 0.8% Other Securities.......................................................... 1,078,663,576 13.5% -------------- ------ Total Industrials........................................................... 1,511,031,404 19.0% -------------- ------ Information Technology -- (12.4%)........................................... *Benchmark Electronics, Inc............................................... 2,751,881 46,506,789 0.6% *Coherent, Inc............................................................ 834,432 52,160,344 0.7% *Convergys Corp........................................................... 2,652,794 38,465,513 0.5% *Fairchild Semiconductor International, Inc............................... 3,188,035 66,853,094 0.8% MKS Instruments, Inc...................................................... 1,789,749 50,793,077 0.6% #*Skyworks Solutions, Inc.................................................. 1,385,062 43,574,051 0.5% #*Vishay Intertechnology, Inc.............................................. 3,162,160 60,334,013 0.8% Other Securities.......................................................... 831,777,509 10.4% -------------- ------ Total Information Technology................................................ 1,190,464,390 14.9% -------------- ------ Materials -- (6.5%)......................................................... *Century Aluminum Co...................................................... 2,488,528 49,720,789 0.6% *Coeur d'Alene Mines Corp................................................. 1,879,971 59,613,880 0.8% #*Louisiana-Pacific Corp................................................... 3,774,683 35,104,552 0.4% #Westlake Chemical Corp................................................... 1,654,024 108,586,676 1.4% Other Securities.......................................................... 370,192,401 4.6% -------------- ------ Total Materials............................................................. 623,218,298 7.8% -------------- ------ Other -- (0.0%)............................................................. Other Securities.......................................................... 6,633 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%)..................................... Other Securities.......................................................... 2,061 0.0% -------------- ------ Telecommunication Services -- (0.3%)........................................ Other Securities.......................................................... 27,672,839 0.3% -------------- ------ Utilities -- (0.1%)......................................................... Other Securities.......................................................... 11,993,925 0.1% -------------- ------ TOTAL COMMON STOCKS......................................................... 7,974,242,942 100.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%)................................................... Other Securities.......................................................... 1,007,772 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.1%)........................................ BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares....... 10,913,076 10,913,076 0.1% -------------- ------ Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (16.6%).................................... (S)@DFA Short Term Investment Fund.......................................... 1,584,011,499 1,584,011,499 19.9% @Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11.................. (Collateralized by $4,674,280 FNMA 3.500%, 02/01/26, valuedat $4,699,788). to be repurchased at $4,562,923........................................... $4,563 4,562,900 0.1% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL......................................... 1,588,574,399 20.0% -------------- ------
20 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED CONTINUED
Percentage Value+ of Net Assets** ----- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,993,881,748) $9,574,738,189 120.2% ============== ======
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks................... Consumer Discretionary........ $1,368,648,632 -- -- $1,368,648,632 Consumer Staples.............. 235,721,090 $ 36,476 -- 235,757,566 Energy........................ 854,609,116 -- -- 854,609,116 Financials.................... 1,628,747,827 61,524 -- 1,628,809,351 Health Care................... 521,272,940 755,787 -- 522,028,727 Industrials................... 1,510,690,564 340,840 -- 1,511,031,404 Information Technology........ 1,190,464,390 -- -- 1,190,464,390 Materials..................... 623,218,298 -- -- 623,218,298 Other......................... -- 6,633 -- 6,633 Real Estate Investment Trusts. 2,061 -- -- 2,061 Telecommunication Services.... 27,672,839 -- -- 27,672,839 Utilities..................... 11,993,925 -- -- 11,993,925 Rights/Warrants................. 95,033 912,739 -- 1,007,772 Temporary Cash Investments...... 10,913,076 -- -- 10,913,076 Securities Lending Collateral... -- 1,588,574,399 -- 1,588,574,399 -------------- -------------- -- -------------- TOTAL........................... $7,984,049,791 $1,590,688,398 -- $9,574,738,189 ============== ============== == ==============
See accompanying Notes to Financial Statements. 21 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (92.2%) Consumer Discretionary -- (12.3%) *Amazon.com, Inc.................. 55,780 $ 10,960,770 0.3% Comcast Corp. Class A............. 444,809 11,671,788 0.3% *DIRECTV Class A.................. 220,510 10,714,581 0.3% Home Depot, Inc................... 244,063 9,064,500 0.2% McDonald's Corp................... 140,351 10,990,887 0.3% Time Warner, Inc.................. 237,277 8,983,307 0.2% Walt Disney Co. (The)............. 390,582 16,834,084 0.5% Other Securities.................. 424,273,044 11.2% ------------ ----- Total Consumer Discretionary........ 503,492,961 13.3% ------------ ----- Consumer Staples -- (7.0%).......... Coca-Cola Co. (The)............... 299,214 20,184,976 0.5% CVS Caremark Corp................. 290,603 10,531,453 0.3% Kraft Foods, Inc. Class A......... 365,426 12,271,005 0.3% PepsiCo, Inc...................... 233,659 16,096,769 0.4% Philip Morris International, Inc.. 257,447 17,877,120 0.5% Procter & Gamble Co. (The)........ 378,459 24,561,989 0.7% Wal-Mart Stores, Inc.............. 499,081 27,439,473 0.7% Other Securities.................. 158,808,803 4.2% ------------ ----- Total Consumer Staples.............. 287,771,588 7.6% ------------ ----- Energy -- (10.3%)................... Apache Corp....................... 77,286 10,307,634 0.3% Chevron Corp...................... 428,110 46,852,358 1.2% ConocoPhillips.................... 296,061 23,368,095 0.6% Devon Energy Corp................. 103,309 9,401,119 0.3% Exxon Mobil Corp.................. 674,925 59,393,400 1.6% Occidental Petroleum Corp......... 113,741 12,999,459 0.3% Schlumberger, Ltd................. 204,389 18,343,913 0.5% Other Securities.................. 240,800,932 6.3% ------------ ----- Total Energy........................ 421,466,910 11.1% ------------ ----- Financials -- (14.7%)............... Bank of America Corp.............. 1,864,148 22,891,737 0.6% *Berkshire Hathaway, Inc.......... 131,025 10,914,382 0.3% *Citigroup, Inc................... 5,989,288 27,490,832 0.7% Goldman Sachs Group, Inc. (The)... 103,629 15,649,015 0.4% JPMorgan Chase & Co............... 860,699 39,273,695 1.0% MetLife, Inc...................... 211,259 9,884,809 0.3% U.S. Bancorp...................... 434,986 11,231,339 0.3% Wells Fargo & Co.................. 1,073,360 31,245,510 0.8% Other Securities.................. 434,107,137 11.5% ------------ ----- Total Financials.................... 602,688,456 15.9% ------------ ----- Health Care -- (10.0%).............. Abbott Laboratories............... 203,058 10,567,138 0.3% Johnson & Johnson................. 372,316 24,468,608 0.6% Merck & Co., Inc.................. 454,964 16,355,956 0.4% Pfizer, Inc....................... 1,749,123 36,661,618 1.0% UnitedHealth Group, Inc........... 235,483 11,592,828 0.3% Other Securities.................. 307,942,221 8.1% ------------ ----- Total Health Care................... 407,588,369 10.7% ------------ ----- Industrials -- (12.3%).............. 3M Co............................. 101,394 9,856,511 0.2% Caterpillar, Inc.................. 93,176 10,753,442 0.3%
22 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Shares Value+ ------ ----- Industrials -- (Continued).............................................................. General Electric Co................................................................... 2,341,740 $ 47,888,583 Union Pacific Corp.................................................................... 107,688 11,142,477 United Technologies Corp.............................................................. 122,099 10,937,628 Other Securities...................................................................... 412,453,737 -------------- Total Industrials....................................................................... 503,032,378 -------------- Information Technology -- (15.2%)....................................................... *Apple, Inc........................................................................... 118,753 41,353,357 Cisco Sytems, Inc..................................................................... 718,867 12,623,305 *Google, Inc.......................................................................... 35,402 19,262,228 Hewlett-Packard Co.................................................................... 447,680 18,072,842 Intel Corp............................................................................ 963,439 22,342,150 International Business Machines Corp.................................................. 179,866 30,681,542 Microsoft Corp........................................................................ 1,104,256 28,732,741 Oracle Corp........................................................................... 604,998 21,810,178 QUALCOMM, Inc......................................................................... 237,807 13,516,950 Other Securities...................................................................... 414,037,331 -------------- Total Information Technology............................................................ 622,432,624 -------------- Materials -- (4.9%)..................................................................... Other Securities...................................................................... 201,806,249 -------------- Other -- (0.0%)......................................................................... Other Securities...................................................................... -- -------------- Telecommunication Services -- (2.4%).................................................... AT&T, Inc............................................................................. 1,253,560 39,010,787 Verizon Communications, Inc........................................................... 628,388 23,740,499 Other Securities...................................................................... 33,142,543 -------------- Total Telecommunication Services........................................................ 95,893,829 -------------- Utilities -- (3.1%)..................................................................... Other Securities...................................................................... 128,337,436 -------------- TOTAL COMMON STOCKS..................................................................... 3,774,510,800 -------------- RIGHTS/WARRANTS -- (0.0%)............................................................... Other Securities...................................................................... 171,559 -------------- TEMPORARY CASH INVESTMENTS -- (0.8%).................................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares................... 31,671,641 31,671,641 -------------- Shares/ Face Amount (000) SECURITIES LENDING COLLATERAL -- (7.0%)................................................. (S)@DFA Short Term Investment Fund...................................................... 285,211,616 285,211,616 @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $841,635 FNMA 3.500%, 02/01/26, valued at $846,228) to be repurchased at $821,584.............. $822 821,580 -------------- TOTAL SECURITIES LENDING COLLATERAL..................................................... 286,033,196 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,361,954,764).................................................................. $4,092,387,196 ==============
Percentage of Net Assets** --------------- Industrials -- (Continued).............................................................. General Electric Co................................................................... 1.2% Union Pacific Corp.................................................................... 0.3% United Technologies Corp.............................................................. 0.3% Other Securities...................................................................... 10.9% ------ Total Industrials....................................................................... 13.2% ------ Information Technology -- (15.2%)....................................................... *Apple, Inc........................................................................... 1.1% Cisco Sytems, Inc..................................................................... 0.3% *Google, Inc.......................................................................... 0.5% Hewlett-Packard Co.................................................................... 0.5% Intel Corp............................................................................ 0.6% International Business Machines Corp.................................................. 0.8% Microsoft Corp........................................................................ 0.8% Oracle Corp........................................................................... 0.6% QUALCOMM, Inc......................................................................... 0.3% Other Securities...................................................................... 10.9% ------ Total Information Technology............................................................ 16.4% ------ Materials -- (4.9%)..................................................................... Other Securities...................................................................... 5.3% ------ Other -- (0.0%)......................................................................... Other Securities...................................................................... 0.0% ------ Telecommunication Services -- (2.4%).................................................... AT&T, Inc............................................................................. 1.0% Verizon Communications, Inc........................................................... 0.6% Other Securities...................................................................... 0.9% ------ Total Telecommunication Services........................................................ 2.5% ------ Utilities -- (3.1%)..................................................................... Other Securities...................................................................... 3.4% ------ TOTAL COMMON STOCKS..................................................................... 99.4% ------ RIGHTS/WARRANTS -- (0.0%)............................................................... Other Securities...................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.8%).................................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares................... 0.8% ------ SECURITIES LENDING COLLATERAL -- (7.0%)................................................. (S)@DFA Short Term Investment Fund...................................................... 7.5% @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $841,635 FNMA 3.500%, 02/01/26, valued at $846,228) to be repurchased at $821,584.............. 0.1% ------ TOTAL SECURITIES LENDING COLLATERAL..................................................... 7.6% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,361,954,764).................................................................. 107.8% ======
23 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 503,492,961 -- -- $ 503,492,961 Consumer Staples............ 287,750,944 $ 20,644 -- 287,771,588 Energy...................... 421,466,910 -- -- 421,466,910 Financials.................. 602,662,113 26,343 -- 602,688,456 Health Care................. 407,561,837 26,532 -- 407,588,369 Industrials................. 502,982,087 50,291 -- 503,032,378 Information Technology...... 622,432,624 -- -- 622,432,624 Materials................... 201,806,249 -- -- 201,806,249 Other....................... -- -- -- -- Telecommunication Services.. 95,893,829 -- -- 95,893,829 Utilities................... 128,337,436 -- -- 128,337,436 Rights/Warrants............... 152,218 19,341 -- 171,559 Temporary Cash Investments.... 31,671,641 -- -- 31,671,641 Securities Lending Collateral. -- 286,033,196 -- 286,033,196 -------------- ------------ -- -------------- TOTAL......................... $3,806,210,849 $286,176,347 -- $4,092,387,196 ============== ============ == ==============
See accompanying Notes to Financial Statements. 24 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (91.8%).............. Consumer Discretionary -- (13.0%)..... Comcast Corp. Class A............... 905,103 $ 23,749,903 0.4% Lowe's Cos., Inc.................... 606,612 15,923,565 0.3% News Corp. Class A.................. 788,576 14,052,424 0.2% Time Warner, Inc.................... 505,637 19,143,417 0.3% Walt Disney Co. (The)............... 796,924 34,347,424 0.6% Other Securities.................... 758,912,127 12.3% -------------- ----- Total Consumer Discretionary.......... 866,128,860 14.1% -------------- ----- Consumer Staples -- (5.7%)............ CVS Caremark Corp................... 602,186 21,823,221 0.4% Kraft Foods, Inc. Class A........... 758,296 25,463,580 0.4% PepsiCo, Inc........................ 187,890 12,943,742 0.2% Procter & Gamble Co. (The).......... 602,031 39,071,812 0.6% Wal-Mart Stores, Inc................ 470,085 25,845,273 0.4% Other Securities.................... 257,781,039 4.2% -------------- ----- Total Consumer Staples................ 382,928,667 6.2% -------------- ----- Energy -- (11.1%)..................... Anadarko Petroleum Corp............. 221,015 17,446,924 0.3% Apache Corp......................... 161,279 21,509,780 0.3% Chevron Corp........................ 870,961 95,317,972 1.5% ConocoPhillips...................... 621,821 49,080,332 0.8% Devon Energy Corp................... 179,429 16,328,039 0.3% Exxon Mobil Corp.................... 865,623 76,174,824 1.2% Marathon Oil Corp................... 312,619 16,893,931 0.3% National-Oilwell, Inc............... 183,838 14,098,536 0.2% Occidental Petroleum Corp........... 173,068 19,779,942 0.3% Schlumberger, Ltd................... 177,195 15,903,251 0.3% Other Securities.................... 398,747,462 6.5% -------------- ----- Total Energy.......................... 741,280,993 12.0% -------------- ----- Financials -- (16.8%)................. Bank of America Corp................ 4,072,969 50,016,059 0.8% Bank of New York Mellon Corp. (The). 547,488 15,855,252 0.3% *Citigroup, Inc..................... 6,270,597 28,782,040 0.5% Goldman Sachs Group, Inc. (The)..... 215,233 32,502,335 0.5% JPMorgan Chase & Co................. 1,758,487 80,239,762 1.3% MetLife, Inc........................ 417,085 19,515,407 0.3% Morgan Stanley...................... 605,703 15,839,133 0.3% PNC Financial Services Group, Inc... 232,284 14,480,585 0.2% Prudential Financial, Inc........... 209,753 13,302,535 0.2% Travelers Cos., Inc. (The).......... 240,418 15,213,651 0.2% U.S. Bancorp........................ 816,801 21,089,802 0.3% Wells Fargo & Co.................... 2,251,097 65,529,434 1.1% Other Securities.................... 748,588,026 12.2% -------------- ----- Total Financials...................... 1,120,954,021 18.2% -------------- ----- Health Care -- (9.3%)................. Johnson & Johnson................... 334,716 21,997,536 0.3% Merck & Co., Inc.................... 591,992 21,282,112 0.3% Pfizer, Inc......................... 3,406,208 71,394,120 1.2% UnitedHealth Group, Inc............. 491,713 24,207,031 0.4% WellPoint, Inc...................... 211,328 16,227,877 0.3% Other Securities.................... 470,071,433 7.6% -------------- ----- Total Health Care..................... 625,180,109 10.1% -------------- -----
25 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Shares Value+ ------ ----- Industrials -- (13.0%).................................................................... CSX Corp................................................................................ 166,800 $ 13,125,492 General Electric Co..................................................................... 4,628,560 94,654,052 Union Pacific Corp...................................................................... 215,752 22,323,859 Other Securities........................................................................ 736,798,959 -------------- Total Industrials......................................................................... 866,902,362 -------------- Information Technology -- (12.9%)......................................................... *Apple, Inc............................................................................. 73,982 25,762,752 *Corning, Inc........................................................................... 683,540 14,313,328 Hewlett-Packard Co...................................................................... 667,594 26,950,770 Intel Corp.............................................................................. 1,282,072 29,731,250 International Business Machines Corp.................................................... 92,663 15,806,455 Microsoft Corp.......................................................................... 748,306 19,470,922 Oracle Corp............................................................................. 457,669 16,498,967 Other Securities........................................................................ 710,912,390 -------------- Total Information Technology.............................................................. 859,446,834 -------------- Materials -- (5.0%)....................................................................... Dow Chemical Co. (The).................................................................. 381,147 15,623,216 Other Securities........................................................................ 318,471,350 -------------- Total Materials........................................................................... 334,094,566 -------------- Other -- (0.0%)........................................................................... Other Securities........................................................................ -- -------------- Real Estate Investment Trusts -- (0.0%)................................................... Other Securities........................................................................ 318 -------------- Telecommunication Services -- (2.8%)...................................................... AT&T, Inc............................................................................... 2,555,855 79,538,208 Verizon Communications, Inc............................................................. 1,260,585 47,624,901 Other Securities........................................................................ 58,625,363 -------------- Total Telecommunication Services.......................................................... 185,788,472 -------------- Utilities -- (2.2%)....................................................................... Other Securities........................................................................ 146,077,301 -------------- TOTAL COMMON STOCKS....................................................................... 6,128,782,503 -------------- RIGHTS/WARRANTS -- (0.0%)................................................................. Other Securities........................................................................ 313,966 -------------- TEMPORARY CASH INVESTMENTS -- (0.4%)...................................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares..................... 28,695,296 28,695,296 -------------- Shares/ Face Amount (000) SECURITIES LENDING COLLATERAL -- (7.8%)................................................... (S)@DFA Short Term Investment Fund........................................................ 521,669,261 521,669,261 @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,539,401 FNMA 3.500%, 02/01/26, valuedat $1,547,802) to be repurchased at $1,502,727............. $1,503 1,502,719 -------------- TOTAL SECURITIES LENDING COLLATERAL....................................................... 523,171,980 --------------
Percentage of Net Assets** --------------- Industrials -- (13.0%).................................................................... CSX Corp................................................................................ 0.2% General Electric Co..................................................................... 1.5% Union Pacific Corp...................................................................... 0.4% Other Securities........................................................................ 12.0% ----- Total Industrials......................................................................... 14.1% ----- Information Technology -- (12.9%)......................................................... *Apple, Inc............................................................................. 0.4% *Corning, Inc........................................................................... 0.2% Hewlett-Packard Co...................................................................... 0.4% Intel Corp.............................................................................. 0.5% International Business Machines Corp.................................................... 0.3% Microsoft Corp.......................................................................... 0.3% Oracle Corp............................................................................. 0.3% Other Securities........................................................................ 11.6% ----- Total Information Technology.............................................................. 14.0% ----- Materials -- (5.0%)....................................................................... Dow Chemical Co. (The).................................................................. 0.2% Other Securities........................................................................ 5.2% ----- Total Materials........................................................................... 5.4% ----- Other -- (0.0%)........................................................................... Other Securities........................................................................ 0.0% ----- Real Estate Investment Trusts -- (0.0%)................................................... Other Securities........................................................................ 0.0% ----- Telecommunication Services -- (2.8%)...................................................... AT&T, Inc............................................................................... 1.3% Verizon Communications, Inc............................................................. 0.8% Other Securities........................................................................ 0.9% ----- Total Telecommunication Services.......................................................... 3.0% ----- Utilities -- (2.2%)....................................................................... Other Securities........................................................................ 2.4% ----- TOTAL COMMON STOCKS....................................................................... 99.5% ----- RIGHTS/WARRANTS -- (0.0%)................................................................. Other Securities........................................................................ 0.0% ----- TEMPORARY CASH INVESTMENTS -- (0.4%)...................................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares..................... 0.5% ----- SECURITIES LENDING COLLATERAL -- (7.8%)................................................... (S)@DFA Short Term Investment Fund........................................................ 8.5% @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,539,401 FNMA 3.500%, 02/01/26, valuedat $1,547,802) to be repurchased at $1,502,727............. 0.0% ----- TOTAL SECURITIES LENDING COLLATERAL....................................................... 8.5% -----
26 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Value+ of Net Assets** ----- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $5,595,588,154)........ $6,680,963,745 108.5% ============== ======
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks................... Consumer Discretionary........ $ 866,128,860 -- -- $ 866,128,860 Consumer Staples.............. 382,887,718 $ 40,949 -- 382,928,667 Energy........................ 741,280,993 -- -- 741,280,993 Financials.................... 1,120,870,698 83,323 -- 1,120,954,021 Health Care................... 625,108,602 71,507 -- 625,180,109 Industrials................... 866,846,381 55,981 -- 866,902,362 Information Technology........ 859,446,834 -- -- 859,446,834 Materials..................... 334,094,566 -- -- 334,094,566 Other......................... -- -- -- -- Real Estate Investment Trusts. 318 -- -- 318 Telecommunication Services.... 185,788,472 -- -- 185,788,472 Utilities..................... 146,077,301 -- -- 146,077,301 Rights/Warrants................. 262,899 51,067 -- 313,966 Temporary Cash Investments...... 28,695,296 -- -- 28,695,296 Securities Lending Collateral... -- 523,171,980 -- 523,171,980 -------------- ------------ -- -------------- TOTAL........................... $6,157,488,938 $523,474,807 -- $6,680,963,745 ============== ============ == ==============
See accompanying Notes to Financial Statements. 27 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Value+ of Net Assets** Shares ----- --------------- COMMON STOCKS -- (90.4%)................... Consumer Discretionary -- (13.5%).......... CBS Corp. Class B........................ 210,809 $ 5,316,603 0.3% Comcast Corp. Class A.................... 298,194 7,824,611 0.4% J.C. Penney Co., Inc..................... 113,950 4,381,378 0.2% *Liberty Media Corp. Capital Class A..... 92,738 7,629,555 0.4% *Liberty Media Corp. Interactive Class A. 286,008 4,999,420 0.2% *Royal Caribbean Cruises, Ltd............ 102,220 4,070,400 0.2% Time Warner Cable, Inc................... 54,723 4,275,508 0.2% Time Warner, Inc......................... 198,927 7,531,376 0.4% Walt Disney Co. (The).................... 101,019 4,353,919 0.2% Other Securities......................... 249,318,013 12.4% ------------ ----- Total Consumer Discretionary............... 299,700,783 14.9% ------------ ----- Consumer Staples -- (4.6%)................. Bunge, Ltd............................... 67,445 5,088,051 0.3% CVS Caremark Corp........................ 152,409 5,523,302 0.3% J.M. Smucker Co.......................... 58,872 4,419,521 0.2% Kraft Foods, Inc. Class A................ 190,203 6,387,017 0.3% Procter & Gamble Co. (The)............... 97,417 6,322,363 0.3% Other Securities......................... 74,130,036 3.7% ------------ ----- Total Consumer Staples..................... 101,870,290 5.1% ------------ ----- Energy -- (10.1%).......................... Anadarko Petroleum Corp.................. 68,323 5,393,418 0.3% Chevron Corp............................. 125,570 13,742,381 0.7% ConocoPhillips........................... 197,546 15,592,306 0.8% Exxon Mobil Corp......................... 176,810 15,559,280 0.8% Marathon Oil Corp........................ 95,508 5,161,252 0.2% *Nabors Industries, Ltd.................. 140,749 4,312,549 0.2% Pioneer Natural Resources Co............. 54,700 5,591,981 0.3% Other Securities......................... 159,090,394 7.9% ------------ ----- Total Energy............................... 224,443,561 11.2% ------------ ----- Financials -- (21.3%)...................... American Financial Group, Inc............ 129,237 4,622,808 0.2% Bank of America Corp..................... 1,228,804 15,089,713 0.8% Bank of New York Mellon Corp. (The)...... 168,407 4,877,067 0.3% *Citigroup, Inc.......................... 1,768,967 8,119,559 0.4% CNA Financial Corp....................... 130,529 4,051,620 0.2% First Niagara Financial Group, Inc....... 287,675 4,142,520 0.2% Goldman Sachs Group, Inc. (The).......... 43,159 6,517,441 0.3% JPMorgan Chase & Co...................... 539,281 24,607,392 1.2% LIncoln National Corp.................... 152,570 4,764,761 0.2% MetLife, Inc............................. 123,995 5,801,726 0.3% Morgan Stanley........................... 185,483 4,850,380 0.2% NYSE Euronext, Inc....................... 132,257 5,296,893 0.3% PNC Financial Services Group, Inc........ 67,378 4,200,345 0.2% Principal Financial Group, Inc........... 154,218 5,204,858 0.3% Regions Financial Corp................... 574,455 4,216,500 0.2% Travelers Cos., Inc. (The)............... 73,100 4,625,768 0.2% Unum Group............................... 203,475 5,388,018 0.3% Wells Fargo & Co......................... 363,213 10,573,130 0.5% Other Securities......................... 343,903,605 17.1% ------------ ----- Total Financials........................... 470,854,104 23.4% ------------ ----- Health Care -- (7.6%)...................... Pfizer, Inc.............................. 526,553 11,036,551 0.6%
28 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
Shares Value+ ------ ----- Health Care -- (Continued)............................................................... WellPoint, Inc......................................................................... 62,400 $ 4,791,696 Other Securities....................................................................... 152,828,374 -------------- Total Health Care........................................................................ 168,656,621 -------------- Industrials -- (12.8%)................................................................... General Electric Co.................................................................... 741,335 15,160,301 *Owens Corning, Inc.................................................................... 107,808 4,079,455 Other Securities....................................................................... 263,342,387 -------------- Total Industrials........................................................................ 282,582,143 -------------- Information Technology -- (11.6%)........................................................ *IAC/InterActiveCorp................................................................... 143,044 5,165,319 Intel Corp............................................................................. 202,420 4,694,120 *Vishay Intertechnology, Inc........................................................... 264,417 5,045,076 Other Securities....................................................................... 242,877,607 -------------- Total Information Technology............................................................. 257,782,122 -------------- Materials -- (5.4%)...................................................................... MeadWestavco Corp...................................................................... 151,161 5,092,614 Westlake Chemical Corp................................................................. 74,956 4,920,861 Other Securities....................................................................... 108,800,479 -------------- Total Materials.......................................................................... 118,813,954 -------------- Other -- (0.0%).......................................................................... Other Securities....................................................................... -- -------------- Telecommunication Services -- (2.2%)..................................................... AT&T, Inc.............................................................................. 736,355 22,915,368 Verizon Communications, Inc............................................................ 201,388 7,608,439 Other Securities....................................................................... 19,328,739 -------------- Total Telecommunication Services......................................................... 49,852,546 -------------- Utilities -- (1.3%)...................................................................... Other Securities....................................................................... 29,169,187 -------------- TOTAL COMMON STOCKS...................................................................... 2,003,725,311 -------------- RIGHTS/WARRANTS -- (0.0%)................................................................ Other Securities....................................................................... 86,679 -------------- TEMPORARY CASH INVESTMENTS -- (0.4%)..................................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares.................... 8,471,773 8,471,773 -------------- Shares/ Face Amount (000) SECURITIES LENDING COLLATERAL -- (9.2%).................................................. (S)@DFA Short Term Investment Fund....................................................... 202,292,578 202,292,578 @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $596,948, FNMA 3.500%, 02/01/26, valued at $600,206) to be repurchased at $582,726............... $583 582,723 -------------- TOTAL SECURITIES LENDING COLLATERAL...................................................... 202,875,301 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,851,320,915)...................................... $2,215,159,064 ==============
Percentage of Net Assets** --------------- Health Care -- (Continued)............................................................... WellPoint, Inc......................................................................... 0.2% Other Securities....................................................................... 7.6% ------ Total Health Care........................................................................ 8.4% ------ Industrials -- (12.8%)................................................................... General Electric Co.................................................................... 0.8% *Owens Corning, Inc.................................................................... 0.2% Other Securities....................................................................... 13.1% ------ Total Industrials........................................................................ 14.1% ------ Information Technology -- (11.6%)........................................................ *IAC/InterActiveCorp................................................................... 0.3% Intel Corp............................................................................. 0.2% *Vishay Intertechnology, Inc........................................................... 0.2% Other Securities....................................................................... 12.1% ------ Total Information Technology............................................................. 12.8% ------ Materials -- (5.4%)...................................................................... MeadWestavco Corp...................................................................... 0.3% Westlake Chemical Corp................................................................. 0.2% Other Securities....................................................................... 5.4% ------ Total Materials.......................................................................... 5.9% ------ Other -- (0.0%).......................................................................... Other Securities....................................................................... 0.0% ------ Telecommunication Services -- (2.2%)..................................................... AT&T, Inc.............................................................................. 1.1% Verizon Communications, Inc............................................................ 0.4% Other Securities....................................................................... 1.0% ------ Total Telecommunication Services......................................................... 2.5% ------ Utilities -- (1.3%)...................................................................... Other Securities....................................................................... 1.4% ------ TOTAL COMMON STOCKS...................................................................... 99.7% ------ RIGHTS/WARRANTS -- (0.0%)................................................................ Other Securities....................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.4%)..................................................... BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares.................... 0.4% ------ SECURITIES LENDING COLLATERAL -- (9.2%).................................................. (S)@DFA Short Term Investment Fund....................................................... 10.1% @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $596,948, FNMA 3.500%, 02/01/26, valued at $600,206) to be repurchased at $582,726............... 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL...................................................... 10.1% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,851,320,915)...................................... 110.2% ======
29 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks................. Consumer Discretionary...... $ 299,700,783 -- -- $ 299,700,783 Consumer Staples............ 101,825,093 $ 45,197 -- 101,870,290 Energy...................... 224,443,561 -- -- 224,443,561 Financials.................. 470,778,965 75,139 -- 470,854,104 Health Care................. 168,632,609 24,012 -- 168,656,621 Industrials................. 282,570,415 11,728 -- 282,582,143 Information Technology...... 257,782,122 -- -- 257,782,122 Materials................... 118,813,954 -- -- 118,813,954 Other....................... -- -- -- -- Telecommunication Services.. 49,852,546 -- -- 49,852,546 Utilities................... 29,169,187 -- -- 29,169,187 Rights/Warrants............... 41,615 45,064 -- 86,679 Temporary Cash Investments.... 8,471,773 -- -- 8,471,773 Securities Lending Collateral. -- 202,875,301 -- 202,875,301 -------------- ------------ -- -------------- TOTAL......................... $2,012,082,623 $203,076,441 -- $2,215,159,064 ============== ============ == ==============
See accompanying Notes to Financial Statements. 30 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (79.9%)................... Consumer Discretionary -- (13.1%).......... #Aaron's, Inc............................ 282,237 $ 8,125,603 0.2% #Buckle, Inc............................. 177,650 8,081,298 0.2% #*Deckers Outdoor Corp.................... 107,700 9,139,422 0.2% #Dillard's, Inc. Class A................. 187,213 8,989,968 0.2% #*Pier 1 Imports, Inc..................... 682,993 8,318,855 0.2% *Tenneco, Inc............................ 167,225 7,727,467 0.1% *Ulta Salon Cosmetics & Fragrance, Inc... 169,958 9,040,066 0.2% *WABCO Holdings, Inc..................... 140,934 10,407,976 0.2% Other Securities......................... 673,888,454 14.9% ------------ ----- Total Consumer Discretionary............... 743,719,109 16.4% ------------ ----- Consumer Staples -- (2.9%)................. #Nu Skin Enterprises, Inc. Class A....... 299,624 9,614,934 0.2% Other Securities......................... 155,333,021 3.4% ------------ ----- Total Consumer Staples..................... 164,947,955 3.6% ------------ ----- Energy -- (5.3%)........................... *Complete Production Services, Inc....... 223,760 7,594,414 0.2% Frontier Oil Corp........................ 338,166 9,448,358 0.2% *Helix Energy Solutions Group, Inc....... 411,246 7,784,887 0.2% #Holly Corp.............................. 154,285 8,933,102 0.2% *International Coal Group, Inc........... 713,310 7,867,809 0.2% #*Key Energy Services, Inc................ 480,044 8,736,801 0.2% Lufkin Industries, Inc................... 95,925 8,856,755 0.2% *Rosetta Resources, Inc.................. 169,847 7,801,073 0.2% #RPC, Inc................................ 397,165 10,743,313 0.2% Other Securities......................... 224,231,371 4.9% ------------ ----- Total Energy............................... 301,997,883 6.7% ------------ ----- Financials -- (10.6%)...................... *American Capital, Ltd................... 882,842 9,066,787 0.2% *CNO Financial Group, Inc................ 953,964 7,688,950 0.2% Other Securities......................... 580,800,781 12.8% ------------ ----- Total Financials........................... 597,556,518 13.2% ------------ ----- Health Care -- (8.5%)...................... #*American Medical Systems Holdings, Inc.. 268,775 7,928,862 0.2% *HealthSpring, Inc....................... 211,823 8,788,536 0.2% Medicis Pharmaceutical Corp. Class A..... 212,145 7,522,662 0.2% Other Securities......................... 455,126,868 10.0% ------------ ----- Total Health Care.......................... 479,366,928 10.6% ------------ ----- Industrials -- (14.6%)..................... #Actuant Corp. Class A................... 273,540 7,593,470 0.1% Alexander & Baldwin, Inc................. 145,501 7,667,903 0.2% #*Avis Budget Group, Inc.................. 411,404 7,800,220 0.2% #*General Cable Corp...................... 189,054 9,169,119 0.2% *Hexcel Corp............................. 356,681 7,679,342 0.2% #Manitowoc Co., Inc. (The)............... 459,749 10,201,830 0.2% *Old Dominion Freight Line, Inc.......... 201,306 7,532,871 0.1% *Sauer-Danfoss, Inc...................... 130,532 7,705,304 0.2% Other Securities......................... 760,157,910 16.8% ------------ ----- Total Industrials.......................... 825,507,969 18.2% ------------ ----- Information Technology -- (17.1%).......... #*Acme Packet, Inc........................ 161,675 13,355,972 0.3%
31 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ----- --------------- Information Technology -- (Continued) #*Ancestry.com, Inc. 163,751 $ 7,483,421 0.1% *Ariba, Inc. 262,753 9,135,922 0.2% #*Aruba Networks, Inc. 263,829 9,479,376 0.2% *Fairchild Semiconductor International, Inc. 398,681 8,360,341 0.2% *Hypercom Corp. 918,056 10,989,130 0.2% *International Rectifier Corp. 225,033 7,777,140 0.2% #*IPG Photonics Corp. 204,333 14,192,970 0.3% *Loral Space & Communications, Inc. 128,378 8,973,622 0.2% #*Riverbed Technology, Inc. 293,942 10,329,122 0.2% *TIBCO Software, Inc. 474,473 14,229,445 0.3% #*Veeco Instruments, Inc. 155,644 7,958,078 0.2% #*VeriFone Systems, Inc. 226,455 12,414,263 0.3% *Vishay Intertechnology, Inc. 427,738 8,161,241 0.2% Other Securities 823,002,278 18.2% -------------- ----- Total Information Technology 965,842,321 21.3% -------------- ----- Materials -- (4.8%) Carpenter Technology Corp. 165,007 8,458,259 0.2% *Coeur d'Alene Mines Corp. 254,520 8,070,829 0.2% #NewMarket Corp............................................................. 43,500 8,017,920 0.1% *Rockwood Holdings, Inc. 141,834 8,047,661 0.2% Westlake Chemical Corp. 127,313 8,358,098 0.2% Other Securities 230,284,691 5.1% -------------- ----- Total Materials 271,237,458 6.0% -------------- ----- Other -- (0.0%) Other Securities 454 0.0% -------------- ----- Telecommunication Services -- (0.8%) Other Securities 46,650,648 1.0% -------------- ----- Utilities -- (2.2%) Other Securities 121,962,992 2.7% -------------- ----- TOTAL COMMON STOCKS 4,518,790,235 99.7% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities 137,432 0.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 22,078,495 22,078,495 0.5% -------------- ----- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (19.7%) (S)@DFA Short Term Investment Fund 1,110,010,185 1,110,010,185 24.5% @Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $3,275,544 FNMA 3.500%, 02/01/26, valuedat $3,293,419) to be repurchased at $3,197,509 $ 3,197 3,197,493 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL 1,113,207,678 24.6% -------------- -----
32 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Value+ of Net Assets** ------ --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,434,531,322)........ $5,654,213,840 124.8% ============== ======
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks................. Consumer Discretionary...... $ 743,719,109 -- -- $ 743,719,109 Consumer Staples............ 164,850,813 $ 97,142 -- 164,947,955 Energy...................... 301,997,883 -- -- 301,997,883 Financials.................. 597,511,724 44,794 -- 597,556,518 Health Care................. 479,220,303 146,625 -- 479,366,928 Industrials................. 825,302,926 205,043 -- 825,507,969 Information Technology...... 965,842,321 -- -- 965,842,321 Materials................... 271,237,458 -- -- 271,237,458 Other....................... -- 454 -- 454 Telecommunication Services.. 46,650,648 -- -- 46,650,648 Utilities................... 121,962,992 -- -- 121,962,992 Rights/Warrants............... 44,910 92,522 -- 137,432 Temporary Cash Investments.... 22,078,495 -- -- 22,078,495 Securities Lending Collateral. -- 1,113,207,678 -- 1,113,207,678 -------------- -------------- -- -------------- TOTAL......................... $4,540,419,582 $1,113,794,258 -- $5,654,213,840 ============== ============== == ==============
See accompanying Notes to Financial Statements. 33 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (87.7%) Consumer Discretionary -- (13.4%) #*BJ's Restaurants, Inc. 218,820 $ 10,273,599 0.3% *Buffalo Wild Wings, Inc. 149,089 9,109,338 0.2% Finish Line, Inc. Class A 400,378 8,604,123 0.2% *Hibbett Sporting Goods, Inc. 213,043 8,048,765 0.2% #Monro Muffler Brake, Inc. 271,069 8,235,076 0.2% Other Securities 535,484,716 14.2% ------------ ----- Total Consumer Discretionary 579,755,617 15.3% ------------ ----- Consumer Staples -- (3.9%) Andersons, Inc. (The) 164,550 8,169,908 0.2% *Darling International, Inc. 608,047 9,832,120 0.3% J & J Snack Foods Corp. 180,997 9,198,268 0.2% #PriceSmart, Inc. 296,100 12,329,604 0.3% Other Securities 126,673,134 3.4% ------------ ----- Total Consumer Staples 166,203,034 4.4% ------------ ----- Energy -- (4.5%) *Clayton Williams Energy, Inc. 110,880 10,042,402 0.3% Other Securities 183,923,312 4.8% ------------ ----- Total Energy 193,965,714 5.1% ------------ ----- Financials -- (11.8%) #FBL Financial Group, Inc. Class A 289,468 8,828,774 0.3% *First Cash Financial Services, Inc. 294,883 11,571,209 0.3% Infinity Property & Casualty Corp. 144,873 8,561,994 0.2% #*World Acceptance Corp. 156,911 10,662,102 0.3% Other Securities 469,644,144 12.4% ------------ ----- Total Financials 509,268,223 13.5% ------------ ----- Health Care -- (11.0%) *Cyberonics, Inc. 225,257 8,012,392 0.2% *Hanger Orthopedic Group, Inc. 308,862 8,391,781 0.2% Invacare Corp. 248,109 8,162,786 0.2% *Neogen Corp. 203,656 8,533,186 0.2% *Zoll Medical Corp. 170,789 9,680,321 0.3% Other Securities 431,886,417 11.4% ------------ ----- Total Health Care 474,666,883 12.5% ------------ ----- Industrials -- (16.3%) *Acacia Technologies Group 346,464 14,243,135 0.4% *Dollar Thrifty Automotive Group, Inc. 133,851 9,226,349 0.2% Kaman Corp. Class A 236,632 8,802,710 0.2% Raven Industries, Inc. 178,996 9,730,223 0.2% #Titan International, Inc. 319,702 9,875,595 0.3% #*United Rentals, Inc. 353,280 10,393,498 0.3% Other Securities 638,569,237 16.9% ------------ ----- Total Industrials 700,840,747 18.5% ------------ ----- Information Technology -- (19.8%) *Acme Packet, Inc. 124,480 10,283,293 0.3% *Cabot Microelectronics Corp. 230,045 11,237,698 0.3% *Coherent, Inc. 132,487 8,281,762 0.2% *Entegris, Inc. 947,226 8,174,560 0.2% Forrester Research, Inc. 223,549 8,832,421 0.2% iGATE Corp. 521,424 8,843,351 0.2% *IPG Photonics Corp. 458,850 31,871,721 0.8%
34 U.S. MICRO CAP PORTFOLIO CONTINUED
Shares Value+ ------ ----- Information Technology -- (Continued) #*L-1 Identity Solutions, Inc. 785,607 $ 9,215,170 *Loral Space & Communications, Inc. 158,091 11,050,561 *Manhattan Associates, Inc. 238,948 8,637,970 *NetScout Systems, Inc. 317,575 8,126,744 OPNET Technologies, Inc. 203,834 7,982,139 #*RightNow Technologies, Inc. 262,553 9,499,168 *ScanSource, Inc. 236,107 8,445,547 #*STEC, Inc. 446,325 9,337,119 #*Stratasys, Inc. 197,122 10,615,020 #*Travelzoo, Inc. 131,842 10,797,860 #*Tyler Technologies, Inc. 364,519 9,036,426 #*Ultimate Software Group, Inc. 179,380 10,045,280 #*Universal Display Corp. 307,402 16,888,666 Other Securities 638,901,505 -------------- Total Information Technology 856,103,981 -------------- Materials -- (4.4%) #AMCOL International Corp. 263,102 9,792,656 Arch Chemicals, Inc. 218,955 8,466,990 Balchem Corp. 235,675 9,353,941 Deltic Timber Corp. 123,009 8,340,010 Other Securities 155,180,485 -------------- Total Materials 191,134,082 -------------- Other -- (0.0%) Other Securities 2,444 -------------- Telecommunication Services -- (1.2%) Other Securities 52,177,910 -------------- Utilities -- (1.4%) MGE Energy, Inc. 196,967 8,274,584 Other Securities 49,734,183 -------------- Total Utilities 58,008,767 -------------- TOTAL COMMON STOCKS 3,782,127,402 -------------- RIGHTS/WARRANTS -- (0.0%) Other Securities 422,907 -------------- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 4,712,372 4,712,372 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (12.2%) (S)@DFA Short Term Investment Fund 526,244,270 526,244,270 @Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $1,552,901 FNMA 3.500%, 02/01/26, valued at $1,561,376) to be repurchased at $1,515,906 $1,516 1,515,898 -------------- TOTAL SECURITIES LENDING COLLATERAL 527,760,168 --------------
Percentage of Net Assets** --------------- Information Technology -- (Continued) #*L-1 Identity Solutions, Inc. 0.2% *Loral Space & Communications, Inc. 0.3% *Manhattan Associates, Inc. 0.2% *NetScout Systems, Inc. 0.2% OPNET Technologies, Inc. 0.2% #*RightNow Technologies, Inc. 0.3% *ScanSource, Inc. 0.2% #*STEC, Inc. 0.3% #*Stratasys, Inc. 0.3% #*Travelzoo, Inc. 0.3% #*Tyler Technologies, Inc. 0.2% #*Ultimate Software Group, Inc. 0.3% #*Universal Display Corp. 0.5% Other Securities 16.9% ----- Total Information Technology 22.6% ----- Materials -- (4.4%) #AMCOL International Corp. 0.3% Arch Chemicals, Inc. 0.2% Balchem Corp. 0.3% Deltic Timber Corp. 0.2% Other Securities 4.1% ----- Total Materials 5.1% ----- Other -- (0.0%) Other Securities 0.0% ----- Telecommunication Services -- (1.2%) Other Securities 1.4% ----- Utilities -- (1.4%) MGE Energy, Inc. 0.2% Other Securities 1.3% ----- Total Utilities 1.5% ----- TOTAL COMMON STOCKS 99.9% ----- RIGHTS/WARRANTS -- (0.0%) Other Securities 0.0% ----- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 0.1% ----- SECURITIES LENDING COLLATERAL -- (12.2%) (S)@DFA Short Term Investment Fund 13.9% @Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $1,552,901 FNMA 3.500%, 02/01/26, valued at $1,561,376) to be repurchased at $1,515,906 0.1% ----- TOTAL SECURITIES LENDING COLLATERAL 14.0% -----
35 U.S. MICRO CAP PORTFOLIO CONTINUED
Percentage Value+ of Net Assets** ----- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,386,789,027)........ $4,315,022,849 114.0% ============== ======
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks................. Consumer Discretionary...... $ 579,755,617 -- -- $ 579,755,617 Consumer Staples............ 166,065,165 $ 137,869 -- 166,203,034 Energy...................... 193,965,714 -- -- 193,965,714 Financials.................. 509,006,441 261,782 -- 509,268,223 Health Care................. 474,442,602 224,281 -- 474,666,883 Industrials................. 700,800,010 40,737 -- 700,840,747 Information Technology...... 856,103,981 -- -- 856,103,981 Materials................... 191,134,082 -- -- 191,134,082 Other....................... -- 2,444 -- 2,444 Telecommunication Services.. 52,177,910 -- -- 52,177,910 Utilities................... 58,008,767 -- -- 58,008,767 Rights/Warrants............... 61,485 361,422 -- 422,907 Temporary Cash Investments.... 4,712,372 -- -- 4,712,372 Securities Lending Collateral. -- 527,760,168 -- 527,760,168 -------------- ------------ -- -------------- TOTAL......................... $3,786,234,146 $528,788,703 -- $4,315,022,849 ============== ============ == ==============
See accompanying Notes to Financial Statements. 36 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (82.0%) Real Estate Investment Trusts -- (82.0%) Alexander's, Inc. 48,795 $ 21,435,156 0.7% #Alexandria Real Estate Equities, Inc. 461,058 37,875,915 1.2% AMB Property Corp. 1,439,681 52,404,388 1.7% American Campus Communites, Inc. 561,680 19,743,052 0.6% #Apartment Investment & Management Co. Class A 1,070,880 28,870,925 0.9% #AvalonBay Communities, Inc. 778,009 98,503,719 3.1% #BioMed Realty Trust, Inc. 1,091,810 21,661,510 0.7% #Boston Properties, Inc. 1,282,000 134,007,460 4.2% BRE Properties, Inc. Class A 551,733 27,983,898 0.9% Camden Property Trust 616,784 38,703,196 1.2% #CBL & Associates Properties, Inc. 1,200,256 22,288,754 0.7% #Corporate Office Properties Trust 547,500 19,277,475 0.6% #Developers Diversified Realty Corp. 1,945,090 28,670,627 0.9% #Digital Realty Trust, Inc. 773,347 46,663,758 1.5% #Douglas Emmett, Inc. 1,017,007 21,163,916 0.7% Duke Realty Corp. 2,155,660 32,873,815 1.0% #Entertainment Properties Trust 398,314 18,963,730 0.6% #Equity Residential 2,602,656 155,430,616 4.9% #Essex Property Trust, Inc. 276,971 37,524,031 1.2% Federal Realty Investment Trust 562,878 49,285,598 1.6% *General Growth Properties, Inc. 3,463,216 57,835,707 1.8% #HCP, Inc. 3,226,720 127,842,646 4.1% #Health Care REIT, Inc. 1,407,963 75,706,170 2.4% #Highwood Properties, Inc. 655,670 24,194,223 0.8% #Home Properties, Inc. 335,680 21,282,112 0.7% Hospitality Properties Trust 1,129,465 27,276,580 0.9% #Host Marriott Corp. 6,093,286 108,399,558 3.4% #Kimco Realty Corp. 3,714,442 72,580,197 2.3% #Liberty Property Trust 1,044,979 36,751,911 1.2% #Macerich Co. (The) 1,112,431 58,758,605 1.9% Mack-Cali Realty Corp. 727,684 25,701,799 0.8% #Mid-America Apartment Communities, Inc. 289,230 19,335,025 0.6% #National Retail Properties, Inc. 763,832 20,119,335 0.6% Nationwide Health Properties, Inc. 1,102,624 48,294,931 1.5% #Omega Healthcare Investors, Inc. 839,612 19,277,492 0.6% #Piedmont Office Realty Trust, Inc. 1,116,017 22,208,738 0.7% ProLogis 4,811,917 78,386,128 2.5% Public Storage REIT 1,324,670 155,397,038 4.9% #Realty Income Corp. 1,005,558 35,747,587 1.1% Regency Centers Corp. 749,077 35,251,564 1.1% Senior Housing Properties Trust 1,166,432 27,667,767 0.9% Simon Property Group, Inc. 2,680,150 306,984,381 9.7% #SL Green Realty Corp. 716,070 59,097,257 1.9% #Tanger Factory Outlet Centers, Inc. 740,796 20,468,193 0.6% Taubman Centers, Inc. 501,718 29,174,902 0.9% UDR, Inc. 1,552,746 40,200,594 1.3% #Ventas, Inc. 1,441,328 80,613,475 2.6% Vornado Realty Trust 1,508,390 145,831,145 4.6% #Washington REIT 570,992 18,500,141 0.6% #Weingarten Realty Investors 1,049,531 27,718,114 0.9% Other Securities 412,120,778 13.1% -------------- ----- TOTAL COMMON STOCKS 3,152,055,632 99.9% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.5%) BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 19,467,014 19,467,014 0.6% -------------- -----
37 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Shares/ Face Amount Value+ ------ ----- (000) SECURITIES LENDING COLLATERAL -- (17.5%)...................................................... (S)@DFA Short Term Investment Fund............................................................ 672,941,132 $ 672,941,132 @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,985,791 FNMA 3.500%, 02/01/26, valued at $1,996,627) to be repurchased at $1,938,483................................................................................ $1,938 1,938,473 -------------- TOTAL SECURITIES LENDING COLLATERAL........................................................... 674,879,605 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,988,706,483)........................................................................ $3,846,402,251 ==============
Percentage of Net Assets* -------------- SECURITIES LENDING COLLATERAL -- (17.5%)...................................................... (S)@DFA Short Term Investment Fund............................................................ 21.3% @Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,985,791 FNMA 3.500%, 02/01/26, valued at $1,996,627) to be repurchased at $1,938,483................................................................................ 0.1% ------ TOTAL SECURITIES LENDING COLLATERAL........................................................... 21.4% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,988,706,483)........................................................................ 121.9% ======
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks................... Real Estate Investment Trusts. $3,152,055,632 -- -- $3,152,055,632 Temporary Cash Investments...... 19,467,014 -- -- 19,467,014 Securities Lending Collateral... -- $674,879,605 -- 674,879,605 -------------- ------------ -- -------------- TOTAL........................... $3,171,522,646 $674,879,605 -- $3,846,402,251 ============== ============ == ==============
See accompanying Notes to Financial Statements. 38 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (83.4%) AUSTRALIA -- (6.5%) Australia & New Zealand Banking Group, Ltd. 360,926 $ 9,614,045 0.5% BHP Billiton, Ltd. 294,474 14,909,034 0.8% #BHP Billiton, Ltd. Sponsored ADR 94,000 9,516,560 0.5% Commonwealth Bank of Australia 213,538 12,605,691 0.7% National Australia Bank, Ltd. 299,123 8,905,685 0.5% Westpac Banking Corp. 319,640 8,726,176 0.4% Other Securities 83,610,273 4.3% ------------ ----- TOTAL AUSTRALIA 147,887,464 7.7% ------------ ----- AUSTRIA -- (0.2%) Other Securities 5,427,621 0.3% ------------ ----- BELGIUM -- (0.7%) Other Securities............................. 15,732,757 0.8% ------------ ----- CANADA -- (8.6%) #Bank of Nova Scotia 146,827 8,952,544 0.5% Barrick Gold Corp. 140,200 7,160,032 0.4% Canadian National Resources, Ltd. 152,300 7,164,692 0.4% Potash Corp. of Saskatchewan, Inc. 127,800 7,219,690 0.4% #Royal Bank of Canada 200,737 12,644,850 0.7% Suncor Energy, Inc. 218,807 10,085,265 0.5% #Toronto Dominion Bank 123,084 10,656,916 0.5% Other Securities 133,758,149 6.9% ------------ ----- TOTAL CANADA 197,642,138 10.3% ------------ ----- DENMARK -- (0.9%) Other Securities 20,572,746 1.1% ------------ ----- FINLAND -- (0.8%) Other Securities 18,003,222 0.9% ------------ ----- FRANCE -- (7.6%) BNP Paribas SA............................... 126,565 10,005,549 0.5% GDF Suez SA 173,524 7,095,282 0.4% *Sanofi-Aventis SA 104,729 8,285,859 0.4% Total SA 162,680 10,418,270 0.6% Total SA Sponsored ADR 144,707 9,294,531 0.5% Other Securities 129,448,352 6.7% ------------ ----- TOTAL FRANCE 174,547,843 9.1% ------------ ----- GERMANY -- (6.5%) #BASF SE 123,751 12,707,259 0.7% #Bayer AG 85,355 7,493,717 0.4% *Daimler AG.................................. 130,227 10,064,788 0.5% #Deutsche Bank AG 130,617 8,531,902 0.4% Siemens AG 51,634 7,510,630 0.4% Siemens AG Sponsored ADR 67,650 9,872,841 0.5% Other Securities 93,190,865 4.9% ------------ ----- TOTAL GERMANY 149,372,002 7.8% ------------ ----- GREECE -- (0.2%) Other Securities 3,844,224 0.2% ------------ ----- HONG KONG -- (1.9%) Other Securities 43,331,088 2.2% ------------ -----
39 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- IRELAND -- (0.2%) Other Securities $ 4,082,158 0.2% ------------ ----- ISRAEL -- (0.5%) Other Securities 11,432,145 0.6% ------------ ----- ITALY -- (2.1%) Other Securities 48,149,705 2.5% ------------ ----- JAPAN -- (14.8%) Mitsubishi UFJ Financial Group, Inc. ADR 1,455,897 6,944,629 0.3% #Toyota Motor Corp. 228,700 9,123,105 0.5% Other Securities 323,263,338 16.8% ------------ ----- TOTAL JAPAN 339,331,072 17.6% ------------ ----- NETHERLANDS -- (2.2%) Unilever NV 224,122 7,378,251 0.4% Other Securities 42,597,423 2.2% ------------ ----- TOTAL NETHERLANDS 49,975,674 2.6% ------------ ----- NEW ZEALAND -- (0.1%) Other Securities 1,698,547 0.1% ------------ ----- NORWAY -- (0.9%) Other Securities 20,271,357 1.1% ------------ ----- PORTUGAL -- (0.2%) Other Securities 4,532,011 0.2% ------------ ----- SINGAPORE -- (1.3%) Other Securities 28,831,474 1.5% ------------ ----- SPAIN -- (2.7%) #Banco Santander SA Sponsored ADR 866,699 10,747,068 0.6% Telefonica SA Sponsored ADR 407,889 10,996,687 0.6% Other Securities 40,976,001 2.1% ------------ ----- TOTAL SPAIN 62,719,756 3.3% ------------ ----- SWEDEN -- (2.5%) Other Securities 57,366,495 3.0% ------------ ----- SWITZERLAND -- (5.9%) Nestle SA 471,890 29,289,453 1.5% Novartis AG 164,651 9,763,834 0.5% Novartis AG ADR 147,100 8,703,907 0.5% Roche Holding AG Genusschein 97,207 15,778,632 0.8% *UBS AG................................... 493,094 9,868,077 0.5% Other Securities 61,966,459 3.2% ------------ ----- TOTAL SWITZERLAND 135,370,362 7.0% ------------ ----- UNITED KINGDOM -- (16.1%) Anglo American P.L.C. 198,028 10,380,384 0.5% Barclays P.L.C. Sponsored ADR 365,409 6,961,041 0.4% BG Group P.L.C. 453,969 11,690,371 0.6% #BHP Billiton P.L.C. ADR 109,908 9,252,055 0.5% BP P.L.C. Sponsored ADR 359,546 16,589,452 0.9% British American Tobacco P.L.C. 251,484 10,989,063 0.6% GlaxoSmithKline P.L.C. 478,323 10,448,929 0.5% HSBC Holdings P.L.C. 1,109,174 12,098,699 0.6% HSBC Holdings P.L.C. Sponsored ADR 309,839 16,876,930 0.9% Rio Tinto P.L.C. 168,948 12,327,278 0.6% Royal Dutch Shell P.L.C. ADR 267,024 20,924,001 1.1%
40 LARGE CAP INTERNATIONAL PORTFOLIO
Shares Value++ ------ ----- UNITED KINGDOM -- (Continued) Standard Chartered P.L.C. 301,949 $ 8,391,685 Tesco P.L.C. 1,120,021 7,551,039 Vodafone Group P.L.C. 3,189,133 9,219,106 Vodafone Group P.L.C. Sponsored ADR 468,720 13,649,126 Xstrata P.L.C. 320,577 8,222,480 Other Securities 182,568,640 -------------- TOTAL UNITED KINGDOM 368,140,279 -------------- TOTAL COMMON STOCKS 1,908,262,140 -------------- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities 4 -------------- GREECE -- (0.0%) Other Securities -- -------------- PORTUGAL -- (0.0%) Other Securities 10,160 -------------- SPAIN -- (0.0%) Other Securities 11,217 -------------- TOTAL RIGHTS/WARRANTS 21,381 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $5,715,000 FNMA 2.24%, 07/06/15, valued at $5,857,875) to be repurchased at $5,770,091 $5,770 5,770,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (16.3%) (S)@DFA Short Term Investment Fund 372,837,984 372,837,984 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,274,196)## to be repurchased at $1,249,216 $1,249 1,249,212 -------------- TOTAL SECURITIES LENDING COLLATERAL 374,087,196 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,864,424,975) $2,288,140,717 ==============
Percentage of Net Assets** --------------- UNITED KINGDOM -- (Continued) Standard Chartered P.L.C. 0.4% Tesco P.L.C. 0.4% Vodafone Group P.L.C. 0.5% Vodafone Group P.L.C. Sponsored ADR 0.7% Xstrata P.L.C. 0.4% Other Securities 9.5% ------ TOTAL UNITED KINGDOM 19.1% ------ TOTAL COMMON STOCKS 99.2% ------ RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities 0.0% ------ GREECE -- (0.0%) Other Securities 0.0% ------ PORTUGAL -- (0.0%) Other Securities 0.0% ------ SPAIN -- (0.0%) Other Securities 0.0% ------ TOTAL RIGHTS/WARRANTS 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $5,715,000 FNMA 2.24%, 07/06/15, valued at $5,857,875) to be repurchased at $5,770,091 0.3% ------ SECURITIES LENDING COLLATERAL -- (16.3%) (S)@DFA Short Term Investment Fund 19.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,274,196)## to be repurchased at $1,249,216 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL 19.4% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,864,424,975) 118.9% ======
41 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks................. Australia................... $ 12,572,182 $ 135,315,282 -- $ 147,887,464 Austria..................... 74,448 5,353,173 -- 5,427,621 Belgium..................... 2,328,554 13,404,203 -- 15,732,757 Canada...................... 197,642,138 -- -- 197,642,138 Denmark..................... 3,379,784 17,192,962 -- 20,572,746 Finland..................... 2,420,304 15,582,918 -- 18,003,222 France...................... 18,967,224 155,580,619 -- 174,547,843 Germany..................... 33,655,736 115,716,266 -- 149,372,002 Greece...................... 336,995 3,507,229 -- 3,844,224 Hong Kong................... -- 43,331,088 -- 43,331,088 Ireland..................... 1,705,001 2,377,157 -- 4,082,158 Israel...................... 6,286,680 5,145,465 -- 11,432,145 Italy....................... 8,177,121 39,972,584 -- 48,149,705 Japan....................... 36,004,576 303,326,496 -- 339,331,072 Netherlands................. 5,703,962 44,271,712 -- 49,975,674 New Zealand................. -- 1,698,547 -- 1,698,547 Norway Corp................. 1,437,969 18,833,388 -- 20,271,357 Portugal.................... 249,487 4,282,524 -- 4,532,011 Singapore................... -- 28,831,474 -- 28,831,474 Spain....................... 34,980,971 27,738,785 -- 62,719,756 Sweden...................... 983,980 56,382,515 -- 57,366,495 Switzerland................. 19,369,083 116,001,279 -- 135,370,362 United Kingdom.............. 125,455,392 242,684,887 -- 368,140,279 Rights/Warrants............... Belgium..................... -- 4 -- 4 Greece...................... -- -- -- -- Portugal.................... 10,160 -- -- 10,160 Spain....................... 11,206 11 -- 11,217 Temporary Cash Investments.... -- 5,770,000 -- 5,770,000 Securities Lending Collateral. -- 374,087,196 -- 374,087,196 ------------ -------------- -- -------------- TOTAL......................... $511,752,953 $1,776,387,764 -- $2,288,140,717 ============ ============== == ==============
See accompanying Notes to Financial Statements. 42 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (82.8%)....................... AUSTRALIA -- (5.5%)............................ #Australia & New Zealand Banking Group, Ltd.. 658,301 $ 17,535,271 0.3% #Commonwealth Bank of Australia.............. 254,892 15,046,923 0.2% National Australia Bank, Ltd................. 788,988 23,490,265 0.4% Other Securities............................. 344,372,946 5.7% ------------ ----- TOTAL AUSTRALIA................................ 400,445,405 6.6% ------------ ----- AUSTRIA -- (0.5%).............................. Other Securities............................. 36,119,996 0.6% ------------ ----- BELGIUM -- (1.1%).............................. Other Securities............................. 75,263,041 1.2% ------------ ----- CANADA -- (9.6%)............................... #Royal Bank of Canada........................ 230,274 14,505,449 0.2% Suncor Energy, Inc........................... 578,166 26,648,860 0.4% Teck Resources, Ltd. Class B................. 279,087 15,170,369 0.3% #Toronto Dominion Bank....................... 309,560 26,802,468 0.4% Other Securities............................. 615,692,351 10.2% ------------ ----- TOTAL CANADA................................... 698,819,497 11.5% ------------ ----- DENMARK -- (0.8%).............................. Other Securities............................. 60,031,083 1.0% ------------ ----- FINLAND -- (1.4%).............................. Other Securities............................. 102,499,034 1.7% ------------ ----- FRANCE -- (7.0%)............................... BNP Paribas SA............................... 331,407 26,199,257 0.4% Cie de Saint-Gobain SA....................... 217,607 15,014,819 0.3% GDF Suez SA.................................. 448,650 18,345,003 0.3% #*Sanofi-Aventis SA ADR....................... 530,172 20,952,397 0.4% #Schneider Electric SA....................... 88,768 15,682,922 0.3% Societe Generale Paris SA.................... 219,316 14,656,429 0.2% #Total SA Sponsored ADR...................... 448,384 28,799,704 0.5% Vivendi SA................................... 445,349 13,963,902 0.2% Other Securities............................. 352,527,039 5.8% ------------ ----- TOTAL FRANCE................................... 506,141,472 8.4% ------------ ----- GERMANY -- (5.4%).............................. Allianz SE Sponsored ADR..................... 984,886 15,511,954 0.3% Bayerische Motoren Werke AG.................. 146,243 13,768,599 0.2% #*Daimler AG.................................. 304,129 23,505,063 0.4% Deutsche Bank AG............................. 242,074 15,766,133 0.3% #E.ON AG..................................... 401,016 13,706,397 0.2% Munchener Rueckversicherungs-Gesellschaft AG. 86,672 14,296,967 0.2% #Siemens AG Sponsored ADR.................... 125,474 18,311,676 0.3% Other Securities............................. 278,606,306 4.6% ------------ ----- TOTAL GERMANY.................................. 393,473,095 6.5% ------------ ----- GREECE -- (0.5%)............................... Other Securities............................. 36,920,143 0.6% ------------ ----- HONG KONG -- (2.0%)............................ Other Securities............................. 144,842,905 2.4% ------------ ----- IRELAND -- (0.5%).............................. Other Securities............................. 34,018,708 0.6% ------------ -----
43 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- ISRAEL -- (0.7%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR 368,163 $ 16,836,094 0.3% Other Securities 32,613,073 0.5% -------------- ----- TOTAL ISRAEL 49,449,167 0.8% -------------- ----- ITALY -- (2.1%) UniCredit SpA 5,518,028 14,210,670 0.2% Other Securities 139,654,035 2.3% -------------- ----- TOTAL ITALY 153,864,705 2.5% -------------- ----- JAPAN -- (14.4%) #Honda Motor Co., Ltd. Sponsored ADR 409,732 15,713,222 0.3% Sumitomo Mitsui Financial Group, Inc. 484,058 15,035,748 0.2% Toyota Motor Corp. Sponsored ADR 312,041 24,863,427 0.4% Other Securities 992,497,451 16.4% -------------- ----- TOTAL JAPAN 1,048,109,848 17.3% -------------- ----- NETHERLANDS -- (2.3%) #*ING Groep NV Sponsored ADR 1,565,969 20,655,131 0.4% Other Securities 141,771,543 2.3% -------------- ----- TOTAL NETHERLANDS 162,426,674 2.7% -------------- ----- NEW ZEALAND -- (0.2%) Other Securities 13,206,300 0.2% -------------- ----- NORWAY -- (1.0%) Other Securities 75,220,457 1.2% -------------- ----- PORTUGAL -- (0.3%) Other Securities 23,016,664 0.4% -------------- ----- SINGAPORE -- (1.3%) Other Securities 94,534,651 1.6% -------------- ----- SPAIN -- (2.1%) #Banco Santander SA Sponsored ADR 2,184,692 27,090,181 0.4% Other Securities 125,362,027 2.1% -------------- ----- TOTAL SPAIN 152,452,208 2.5% -------------- ----- SWEDEN -- (2.5%) Nordea Bank AB 1,205,520 13,744,737 0.2% Other Securities 168,306,819 2.8% -------------- ----- TOTAL SWEDEN 182,051,556 3.0% -------------- ----- SWITZERLAND -- (5.6%) Compagnie Financiere Richemont SA Series A 232,579 15,043,012 0.2% Credit Suisse Group AG Sponsored ADR 405,680 18,454,383 0.3% Holcim, Ltd. AG 196,366 17,109,769 0.3% Nestle SA 546,164 33,899,521 0.6% #Novartis AG ADR 490,226 29,006,672 0.5% *UBS AG 1,301,013 26,036,610 0.4% Zurich Financial Services AG 91,736 25,794,204 0.4% Other Securities 242,367,281 4.0% -------------- ----- TOTAL SWITZERLAND 407,711,452 6.7% -------------- ----- UNITED KINGDOM -- (16.0%) Anglo American P.L.C. 536,326 28,113,548 0.5% #Barclays P.L.C. Sponsored ADR 1,016,357 19,361,601 0.3% BG Group P.L.C. 598,458 15,411,176 0.3% BP P.L.C. Sponsored ADR 1,170,156 53,990,998 0.9%
44 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- UNITED KINGDOM -- (Continued) #HSBC Holdings P.L.C. Sponsored ADR 1,280,305 $ 69,738,213 1.2% Imperial Tobacco Group P.L.C. 400,030 14,109,950 0.2% #Prudential P.L.C. ADR 545,150 14,086,676 0.2% #Rio Tinto P.L.C. Sponsored ADR 257,107 18,822,803 0.3% Royal Dutch Shell P.L.C. ADR 1,131,506 88,664,810 1.5% SABmiller P.L.C. 396,880 14,826,541 0.3% Standard Chartered P.L.C. 941,963 26,178,780 0.4% Vodafone Group P.L.C. Sponsored ADR 1,875,431 54,612,551 0.9% Xstrata P.L.C. 782,713 20,075,808 0.3% Other Securities 724,002,047 11.9% -------------- ----- TOTAL UNITED KINGDOM 1,161,995,502 19.2% -------------- ----- UNITED STATES -- (0.0%) Other Securities 655,387 0.0% -------------- ----- TOTAL COMMON STOCKS 6,013,268,950 99.2% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities 41 0.0% -------------- ----- BELGIUM -- (0.0%) Other Securities 2,953 0.0% -------------- ----- DENMARK -- (0.0%) Other Securities 966 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities 522 0.0% -------------- ----- GERMANY -- (0.0%) Other Securities 122,789 0.0% -------------- ----- GREECE -- (0.0%) Other Securities 2,086 0.0% -------------- ----- ITALY -- (0.0%) Other Securities 465 0.0% -------------- ----- JAPAN -- (0.0%) Other Securities -- 0.0% -------------- ----- NORWAY -- (0.0%) Other Securities 184 0.0% -------------- ----- PORTUGAL -- (0.0%) Other Securities 113,710 0.0% -------------- ----- SINGAPORE -- (0.0%) Other Securities 147,547 0.0% -------------- ----- SPAIN -- (0.0%) Other Securities 79,898 0.0% -------------- ----- SWITZERLAND -- (0.0%) Other Securities 519 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities 2,894 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS 474,574 0.0% -------------- -----
45 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.4%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $28,475,000 FNMA 2.24%, 07/06/15, valued at $29,186,875) to be repurchased at $28,753,455............................................................................ $28,753 $28,753,000 -------------- Shares/ Face Amount (000) SECURITIES LENDING COLLATERAL -- (16.8%).................................................. (S)@DFA Short Term Investment Fund........................................................ 1,218,052,611 1,218,052,611 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,590,437)## to be repurchased at $1,559,257............................................................................... $1,559 1,559,252 -------------- TOTAL SECURITIES LENDING COLLATERAL....................................................... 1,219,611,863 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $6,506,851,776).................................................................... $7,262,108,387 ==============
Percentage of Net Assets** --------------- TEMPORARY CASH INVESTMENTS -- (0.4%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $28,475,000 FNMA 2.24%, 07/06/15, valued at $29,186,875) to be repurchased at $28,753,455............................................................................ 0.5% ------ SECURITIES LENDING COLLATERAL -- (16.8%).................................................. (S)@DFA Short Term Investment Fund........................................................ 20.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,590,437)## to be repurchased at $1,559,257............................................................................... 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL....................................................... 20.1% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $6,506,851,776).................................................................... 119.8% ======
46 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks................. Australia................... $ 27,480,405 $ 372,965,000 -- $ 400,445,405 Austria..................... 130,284 35,989,712 -- 36,119,996 Belgium..................... 5,627,093 69,635,948 -- 75,263,041 Canada...................... 698,819,030 467 -- 698,819,497 Denmark..................... 3,041,786 56,989,297 -- 60,031,083 Finland..................... 5,008,899 97,490,135 -- 102,499,034 France...................... 93,482,704 412,658,768 -- 506,141,472 Germany..................... 72,283,916 321,189,179 -- 393,473,095 Greece...................... 3,845,305 33,074,838 -- 36,920,143 Hong Kong................... 547,361 144,295,544 -- 144,842,905 Ireland..................... 10,180,098 23,838,610 -- 34,018,708 Israel...................... 19,618,978 29,830,189 -- 49,449,167 Italy....................... 18,107,930 135,756,775 -- 153,864,705 Japan....................... 90,055,804 958,054,044 -- 1,048,109,848 Netherlands................. 39,540,218 122,886,456 -- 162,426,674 New Zealand................. 457,775 12,748,525 -- 13,206,300 Norway...................... 5,357,302 69,863,155 -- 75,220,457 Portugal.................... 300,030 22,716,634 -- 23,016,664 Singapore................... 13,302 94,521,349 -- 94,534,651 Spain....................... 59,757,395 92,694,813 -- 152,452,208 Sweden...................... 11,241,760 170,809,796 -- 182,051,556 Switzerland................. 69,419,090 338,292,362 -- 407,711,452 United Kingdom.............. 406,138,257 755,857,245 -- 1,161,995,502 United States............... 655,387 -- -- 655,387 Rights/Warrants............... Australia................... -- 41 -- 41 Belgium..................... 1,678 1,275 -- 2,953 Denmark..................... 962 4 -- 966 France...................... 522 -- -- 522 Germany..................... 122,789 -- -- 122,789 Greece...................... -- 2,086 -- 2,086 Italy....................... 465 -- -- 465 Japan....................... -- -- -- -- Norway...................... -- 184 -- 184 Portugal.................... 113,710 -- -- 113,710 Singapore................... 147,547 -- -- 147,547 Spain....................... 79,898 -- -- 79,898 Switzerland................. 519 -- -- 519 United Kingdom.............. -- 2,894 -- 2,894 Temporary Cash Investments.... -- 28,753,000 -- 28,753,000 Securities Lending Collateral. -- 1,219,611,863 -- 1,219,611,863 -------------- -------------- -- -------------- TOTAL......................... $1,641,578,199 $5,620,530,188 -- $7,262,108,387 ============== ============== == ==============
See accompanying Notes to Financial Statements. 47 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ ----- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in The Continental Small Company Series of The DFA Investment Trust Company.......................................................................... $2,554,907,215 Investment in The Japanese Small Company Series of The DFA Investment Trust Company.......................................................................... 1,308,562,165 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company.......................................................................... 1,236,071,806 Investment in The Canadian Small Company Series of The DFA Investment Trust Company.......................................................................... 957,603,123 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company.......................................................................... 929,252,329 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $5,617,598,557)............................................................... $6,986,396,638 ============== Face Amount (000) ----- TEMPORARY CASH INVESTMENTS -- (0.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $10,975,000 FNMA 2.24%, 07/06/15, valued at $11,249,375) to be repurchased at $11,083,175 (Cost $11,083,000)................................................... $11,083 11,083,000 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $5,628,681,557).............................. $6,997,479,638 ==============
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ------------------------------------------------- Investment in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ----------- ------- -------------- Affiliated Investment Companies. $6,986,396,638 -- -- $6,986,396,638 Temporary Cash Investments...... -- $11,083,000 -- 11,083,000 -------------- ----------- -- -------------- TOTAL........................... $6,986,396,638 $11,083,000 -- $6,997,479,638 ============== =========== == ==============
See accompanying Notes to Financial Statements. 48 JAPANESE SMALL COMPANY PORTFOLIO SCHEDULES OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ ----- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company. $169,096,348 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $228,036,350)............................................................ $169,096,348 ============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 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. $169,658,381 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $131,164,746).................................................................. $169,658,381 ============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 49 UNITED KINGDOM SMALL COMPANY PORTFOLIO SCHEDULES OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ ----- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company. $39,416,049 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $30,882,561)................................................................... $39,416,049 ===========
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 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 $157,927,445 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $116,394,338)............................................................... $157,927,445 ============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 50 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (84.5%)............................................. AUSTRALIA -- (23.1%)................................................. CFS Retail Property Trust.......................................... 9,140,519 $ 17,945,434 1.6% Charter Hall Office REIT........................................... 2,029,254 7,830,793 0.7% #Commonwealth Property Office Fund................................. 9,463,351 9,515,454 0.9% Dexus Property Group............................................... 21,215,870 20,516,558 1.8% Goodman Group...................................................... 30,284,299 23,624,671 2.1% GPT Group.......................................................... 7,962,846 27,661,126 2.5% Investa Office Fund................................................ 11,534,168 7,985,411 0.7% Stockland Trust Group.............................................. 10,460,501 43,428,076 3.9% Westfield Group.................................................... 8,715,464 86,367,676 7.8% Westfield Retail Trust............................................. 11,453,758 33,269,167 3.0% Other Securities................................................... 23,098,132 2.1% ------------ ------ TOTAL AUSTRALIA...................................................... 301,242,498 27.1% ------------ ------ BELGIUM -- (1.5%).................................................... Befimmo SCA........................................................ 58,642 5,439,713 0.5% #Cofinimmo SA...................................................... 53,750 8,271,881 0.7% Other Securities................................................... 6,055,414 0.6% ------------ ------ TOTAL BELGIUM........................................................ 19,767,008 1.8% ------------ ------ CANADA -- (5.9%)..................................................... #Calloway REIT..................................................... 214,454 5,673,290 0.5% #H&R REIT.......................................................... 524,846 12,148,314 1.1% #Riocan REIT....................................................... 561,572 15,046,082 1.4% Other Securities................................................... 43,857,641 3.9% ------------ ------ TOTAL CANADA......................................................... 76,725,327 6.9% ------------ ------ CHINA -- (0.1%)...................................................... Other Securities................................................... 1,404,452 0.1% ------------ ------ FRANCE -- (12.9%).................................................... Fonciere des Regions SA............................................ 111,672 12,672,837 1.2% Gecina SA.......................................................... 90,375 13,025,699 1.2% #Icade SA.......................................................... 98,453 12,621,398 1.1% Klepierre SA....................................................... 427,257 17,558,008 1.6% Societe Immobiliere de Location pour l'Industrie et le Commerce SA. 60,179 9,020,480 0.8% #Unibail-Rodamco SE................................................ 394,586 92,315,610 8.3% Other Securities................................................... 11,462,563 1.0% ------------ ------ TOTAL FRANCE......................................................... 168,676,595 15.2% ------------ ------ GERMANY -- (0.2%).................................................... Other Securities................................................... 2,042,909 0.2% ------------ ------ GREECE -- (0.0%)..................................................... Other Securities................................................... 408,221 0.0% ------------ ------ HONG KONG -- (3.2%).................................................. #Champion REIT..................................................... 10,989,012 6,342,098 0.6% Link REIT (The).................................................... 9,715,472 30,619,562 2.7% Other Securities................................................... 4,132,109 0.4% ------------ ------ TOTAL HONG KONG...................................................... 41,093,769 3.7% ------------ ------ ISRAEL -- (0.0%)..................................................... Other Securities................................................... 391,909 0.0% ------------ ------ ITALY -- (0.3%)...................................................... Other Securities................................................... 3,456,857 0.3% ------------ ------
51 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- JAPAN -- (12.9%)......................... Advance Residence Investment Corp...... 4,254 $ 8,909,709 0.8% #Frontier Real Estate Investment Corp.. 766 7,101,739 0.6% Japan Logistics Fund, Inc.............. 620 5,318,468 0.5% Japan Prime Realty Investment Corp..... 2,950 8,388,541 0.7% Japan Real Estate Investment Corp...... 2,177 21,550,137 1.9% Japan Retail Fund Investment........... 6,713 10,852,974 1.0% #MORI TRUST Sogo REIT, Inc............. 744 7,557,169 0.7% #Nippon Building Fund, Inc............. 2,395 24,104,622 2.2% #Nomura Real Estate Office Fund, Inc... 1,192 8,630,683 0.8% #Orix Jreit, Inc....................... 1,057 5,770,286 0.5% United Urban Investment Corp........... 6,016 7,634,530 0.7% Other Securities....................... 52,289,100 4.7% -------------- ------ TOTAL JAPAN.............................. 168,107,958 15.1% -------------- ------ MALAYSIA -- (0.1%)....................... Other Securities....................... 1,006,452 0.1% -------------- ------ NETHERLANDS -- (3.4%).................... #Corio NV.............................. 237,525 16,818,292 1.5% Eurocommercial Properties NV........... 152,188 7,821,339 0.7% VastNed Retail NV...................... 72,402 5,548,018 0.5% #Wereldhave NV......................... 89,009 9,303,423 0.8% Other Securities....................... 4,893,949 0.5% -------------- ------ TOTAL NETHERLANDS........................ 44,385,021 4.0% -------------- ------ NEW ZEALAND -- (0.7%).................... Other Securities....................... 9,456,462 0.9% -------------- ------ SINGAPORE -- (5.8%)...................... Ascendas REIT.......................... 6,612,000 10,981,499 1.0% #CapitaCommercial Trust................ 8,802,000 10,368,716 0.9% CapitaMall Trust....................... 9,910,300 15,329,499 1.4% #Suntec REIT........................... 8,802,000 10,941,764 1.0% Other Securities....................... 28,356,345 2.6% -------------- ------ TOTAL SINGAPORE.......................... 75,977,823 6.9% -------------- ------ SOUTH AFRICA -- (1.2%)................... Other Securities....................... 15,209,380 1.4% -------------- ------ TAIWAN -- (0.4%)......................... Other Securities....................... 5,165,341 0.5% -------------- ------ TURKEY -- (0.3%)......................... Other Securities....................... 3,721,065 0.3% -------------- ------ UNITED KINGDOM -- (12.5%)................ British Land Co. P.L.C................. 3,468,090 34,918,778 3.1% Capital Shopping Centres Group P.L.C... 2,010,281 13,661,937 1.2% Derwent London P.L.C................... 424,026 12,721,129 1.1% Great Portland Estates P.L.C........... 1,205,759 8,495,301 0.8% Hammerson P.L.C........................ 2,892,433 22,739,690 2.1% Land Securities Group P.L.C............ 3,045,575 40,033,426 3.6% Segro P.L.C............................ 2,834,726 15,428,138 1.4% Shaftesbury P.L.C...................... 822,648 7,070,992 0.6% Other Securities....................... 7,270,088 0.7% -------------- ------ TOTAL UNITED KINGDOM..................... 162,339,479 14.6% -------------- ------ TOTAL COMMON STOCKS...................... 1,100,578,526 99.1% -------------- ------
52 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Value++ ----- RIGHTS/WARRANTS -- (0.0%)................................................................. UNITED KINGDOM -- (0.0%).................................................................. Other Securities........................................................................ $1,078 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $2,390,000 FNMA 2.24%, 07/06/15, valued at $2,449,750) to be repurchased at $2,412,038............................................................................. $2,412 2,412,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (15.3%).................................................. (S)@DFA Short Term Investment Fund........................................................ 199,193,000 199,193,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $403,316)## to be repurchased at $395,409................................................................................. $ 395 395,408 -------------- TOTAL SECURITIES LENDING COLLATERAL....................................................... 199,588,408 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,216,461,623).................................................................... $1,302,580,012 ==============
Percentage of Net Assets** --------------- RIGHTS/WARRANTS -- (0.0%)................................................................. UNITED KINGDOM -- (0.0%).................................................................. Other Securities........................................................................ 0.0% ------- TEMPORARY CASH INVESTMENTS -- (0.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $2,390,000 FNMA 2.24%, 07/06/15, valued at $2,449,750) to be repurchased at $2,412,038............................................................................. 0.2% ------- SECURITIES LENDING COLLATERAL -- (15.3%).................................................. (S)@DFA Short Term Investment Fund........................................................ 18.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $403,316)## to be repurchased at $395,409................................................................................. 0.0% ------- TOTAL SECURITIES LENDING COLLATERAL....................................................... 18.0% ------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,216,461,623).................................................................... 117.3% =======
53 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks................. Australia................... $ 33,269,167 $ 267,973,331 -- $ 301,242,498 Belgium..................... -- 19,767,008 -- 19,767,008 Canada...................... 76,725,327 -- -- 76,725,327 China....................... -- 1,404,452 -- 1,404,452 France...................... -- 168,676,595 -- 168,676,595 Germany..................... -- 2,042,909 -- 2,042,909 Greece...................... -- 408,221 -- 408,221 Hong Kong................... -- 41,093,769 -- 41,093,769 Israel...................... -- 391,909 -- 391,909 Italy....................... -- 3,456,857 -- 3,456,857 Japan....................... -- 168,107,958 -- 168,107,958 Malaysia.................... -- 1,006,452 -- 1,006,452 Netherlands................. -- 44,385,021 -- 44,385,021 New Zealand................. -- 9,456,462 -- 9,456,462 Singapore................... -- 75,977,823 -- 75,977,823 South Africa................ -- 15,209,380 -- 15,209,380 Taiwan...................... -- 5,165,341 -- 5,165,341 Turkey...................... -- 3,721,065 -- 3,721,065 United Kingdom.............. -- 162,339,479 -- 162,339,479 Rights/Warrants............... United Kingdom.............. -- 1,078 -- 1,078 Temporary Cash Investments.... -- 2,412,000 -- 2,412,000 Securities Lending Collateral. -- 199,588,408 -- 199,588,408 ------------ -------------- -- -------------- TOTAL......................... $109,994,494 $1,192,585,518 -- $1,302,580,012 ============ ============== == ==============
See accompanying Notes to Financial Statements. 54 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Shares Value+ ------ ----- AFFILIATED INVESTMENT COMPANIES -- (99.8%)............................................ Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc................................................................................. 18,806,804 $457,193,405 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc................................................................ 64,031,023 357,933,419 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $583,053,221)................................................................ 815,126,824 ------------ TEMPORARY CASH INVESTMENTS -- (0.2%).................................................. BlackRock Liquidity Funds Tempcash Portfolio-Institutional Shares (Cost $1,244,145).................................................................. 1,244,145 1,244,145 ------------ TOTAL INVESTMENTS - (100.0%) (Cost $584,297,366)................................................................ $816,370,969 ============
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ----------------------------------------- Investment in Securities (Market Value) ----------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------- ------- ------------ Affiliated Investment Companies. $815,126,824 -- -- $815,126,824 Temporary Cash Investments...... 1,244,145 -- -- 1,244,145 ------------ -- -- ------------ TOTAL........................... $816,370,969 -- -- $816,370,969 ============ == == ============
See accompanying Notes to Financial Statements. 55 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (89.8%) AUSTRALIA -- (6.3%) Iluka Resources, Ltd. 4,434,577 $ 61,017,166 0.7% #Primary Health Care, Ltd. 9,855,016 37,590,969 0.4% Other Securities 542,533,643 5.8% -------------- ----- TOTAL AUSTRALIA 641,141,778 6.9% -------------- ----- AUSTRIA -- (1.0%) #*Wienerberger AG 2,057,496 43,996,875 0.5% Other Securities 53,208,936 0.6% -------------- ----- TOTAL AUSTRIA 97,205,811 1.1% -------------- ----- BELGIUM -- (1.0%) Other Securities 104,713,305 1.1% -------------- ----- CANADA -- (12.5%) *Advantage Oil & Gas, Ltd. 4,505,065 38,282,220 0.4% #*Canfor Corp. 2,910,053 38,322,951 0.4% *Celestica, Inc. 4,421,197 48,924,518 0.5% Groupe Aeroplan, Inc. 3,926,331 53,822,875 0.6% #HudBay Minerals, Inc. 2,684,176 42,837,877 0.5% #Laurentian Bank of Canada 707,853 37,609,016 0.4% *Precision Drilling Corp. 2,895,326 43,851,421 0.5% *Quadra FNX Mining, Ltd. 2,985,672 49,006,485 0.5% RONA, Inc. 3,264,600 47,719,091 0.5% Sherritt International Corp. 6,945,583 58,727,119 0.7% Trinidad Drilling, Ltd. 2,991,070 34,268,561 0.4% West Fraser Timber Co., Ltd. 702,774 39,961,149 0.4% Other Securities 742,229,393 8.0% -------------- ----- TOTAL CANADA 1,275,562,676 13.8% -------------- ----- DENMARK -- (0.6%) Other Securities 62,421,321 0.7% -------------- ----- FINLAND -- (2.7%) #Outokumpu Oyj 2,864,481 47,719,423 0.5% Pohjola Bank P.L.C. 3,363,010 49,908,623 0.5% #Rautaruukki Oyj Series K 1,412,365 36,648,035 0.4% Other Securities 142,781,002 1.6% -------------- ----- TOTAL FINLAND 277,057,083 3.0% -------------- ----- FRANCE -- (5.6%) Arkema SA 1,028,400 107,107,988 1.1% Havas SA 7,563,593 43,105,077 0.5% Nexans SA 601,472 63,746,160 0.7% *Valeo SA 714,880 45,535,881 0.5% Other Securities 316,492,574 3.4% -------------- ----- TOTAL FRANCE 575,987,680 6.2% -------------- ----- GERMANY -- (5.6%) Aurubis AG 1,045,010 61,760,912 0.7% Bilfinger Berger SE 956,696 92,099,623 1.0% *Kloeckner & Co. SE 915,483 32,871,228 0.3% Lanxess AG 368,686 33,732,718 0.4% Other Securities 355,941,336 3.8% -------------- ----- TOTAL GERMANY 576,405,817 6.2% -------------- -----
56 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- GREECE -- (0.4%).................. Other Securities................ $ 35,765,352 0.4% -------------- ----- HONG KONG -- (2.6%)............... Other Securities................ 263,549,990 2.8% -------------- ----- IRELAND -- (0.3%)................. Other Securities................ 26,014,346 0.3% -------------- ----- ISRAEL -- (0.8%).................. Other Securities................ 78,095,573 0.8% -------------- ----- ITALY -- (2.7%)................... #Banca Popolare di Milano Scarl. 10,151,010 34,739,939 0.4% Pirelli & Co. SpA............... 3,574,378 37,211,793 0.4% Other Securities................ 205,399,170 2.2% -------------- ----- TOTAL ITALY....................... 277,350,902 3.0% -------------- ----- JAPAN -- (17.8%).................. Other Securities................ 1,816,312,875 19.6% -------------- ----- MALAYSIA -- (0.0%)................ Other Securities................ 6,394 0.0% -------------- ----- NETHERLANDS -- (1.7%)............. Nutreco NV...................... 431,492 33,580,770 0.4% Other Securities................ 142,473,330 1.5% -------------- ----- TOTAL NETHERLANDS................. 176,054,100 1.9% -------------- ----- NEW ZEALAND -- (0.5%)............. Other Securities................ 49,469,411 0.5% -------------- ----- NORWAY -- (1.3%).................. Other Securities................ 137,888,398 1.5% -------------- ----- PORTUGAL -- (0.2%)................ Other Securities................ 20,439,559 0.2% -------------- ----- SINGAPORE -- (1.2%)............... Other Securities................ 126,692,555 1.4% -------------- ----- SPAIN -- (1.8%)................... Other Securities................ 187,694,635 2.0% -------------- ----- SWEDEN -- (2.8%).................. #Holmen AB...................... 961,774 35,492,447 0.4% #Trelleborg AB Series B......... 6,786,568 82,129,373 0.9% Other Securities................ 169,836,262 1.8% -------------- ----- TOTAL SWEDEN...................... 287,458,082 3.1% -------------- ----- SWITZERLAND -- (4.7%)............. *Clariant AG.................... 2,390,569 49,628,051 0.5% Helvetia Holding AG............. 106,929 50,204,609 0.5% Other Securities................ 385,301,936 4.2% -------------- ----- TOTAL SWITZERLAND................. 485,134,596 5.2% -------------- ----- UNITED KINGDOM -- (15.7%)......... Amlin P.L.C..................... 9,801,581 68,556,359 0.7% Ashtead Group P.L.C............. 12,335,561 41,763,815 0.5% Bellway P.L.C................... 3,481,205 41,217,610 0.4% Bodycote P.L.C.................. 5,826,032 37,957,217 0.4% Catlin Group, Ltd. P.L.C........ 8,969,846 59,310,615 0.6%
57 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Shares Value++ ------ ----- UNITED KINGDOM -- (Continued) *Cookson Group P.L.C........................................................................ 4,807,085 $ 57,670,897 DS Smith P.L.C.............................................................................. 12,895,987 46,743,560 Greene King P.L.C........................................................................... 5,490,066 44,989,536 Hiscox, Ltd. P.L.C.......................................................................... 10,648,017 73,489,439 Logica P.L.C................................................................................ 15,376,104 34,834,857 Meggitt P.L.C............................................................................... 12,486,050 75,124,743 Millennium & Copthorne Hotels P.L.C......................................................... 5,091,746 45,031,189 Mondi P.L.C................................................................................. 7,958,099 79,094,767 Persimmon P.L.C............................................................................. 7,337,098 59,353,298 *Taylor Wimpey P.L.C........................................................................ 57,929,451 37,855,708 Thomas Cook Group P.L.C..................................................................... 12,134,733 34,817,238 Travis Perkins P.L.C........................................................................ 4,262,775 76,778,817 Other Securities............................................................................ 691,068,734 -------------- TOTAL UNITED KINGDOM 1,605,658,399 -------------- TOTAL COMMON STOCKS 9,184,080,638 -------------- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities............................................................................ 20,259 -------------- DENMARK -- (0.0%) Other Securities............................................................................ 263 -------------- GREECE -- (0.0%) Other Securities............................................................................ 14,527 -------------- ITALY -- (0.0%) Other Securities............................................................................ 15,572 -------------- PORTUGAL -- (0.0%) Other Securities............................................................................ 50,610 -------------- SPAIN -- (0.0%) Other Securities............................................................................ 50,395 -------------- SWITZERLAND -- (0.0%) Other Securities............................................................................ 2,572 -------------- UNITED KINGDOM -- (0.0%) Other Securities............................................................................ 32,443 -------------- TOTAL RIGHTS/WARRANTS......................................................................... 186,641 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.1%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $14,260,000 FNMA 2.24%, 07/06/15, valued at $14,616,500) to be repurchased at $14,399,228 $14,399 14,399,000 --------------
Percentage of Net Assets** --------------- UNITED KINGDOM -- (Continued) *Cookson Group P.L.C........................................................................ 0.6% DS Smith P.L.C.............................................................................. 0.5% Greene King P.L.C........................................................................... 0.5% Hiscox, Ltd. P.L.C.......................................................................... 0.8% Logica P.L.C................................................................................ 0.4% Meggitt P.L.C............................................................................... 0.8% Millennium & Copthorne Hotels P.L.C......................................................... 0.5% Mondi P.L.C................................................................................. 0.9% Persimmon P.L.C............................................................................. 0.6% *Taylor Wimpey P.L.C........................................................................ 0.4% Thomas Cook Group P.L.C..................................................................... 0.4% Travis Perkins P.L.C........................................................................ 0.8% Other Securities............................................................................ 7.5% ----- TOTAL UNITED KINGDOM 17.3% ----- TOTAL COMMON STOCKS 99.0% ----- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities............................................................................ 0.0% ----- DENMARK -- (0.0%) Other Securities............................................................................ 0.0% ----- GREECE -- (0.0%) Other Securities............................................................................ 0.0% ----- ITALY -- (0.0%) Other Securities............................................................................ 0.0% ----- PORTUGAL -- (0.0%) Other Securities............................................................................ 0.0% ----- SPAIN -- (0.0%) Other Securities............................................................................ 0.0% ----- SWITZERLAND -- (0.0%) Other Securities............................................................................ 0.0% ----- UNITED KINGDOM -- (0.0%) Other Securities............................................................................ 0.0% ----- TOTAL RIGHTS/WARRANTS......................................................................... 0.0% ----- TEMPORARY CASH INVESTMENTS -- (0.1%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $14,260,000 FNMA 2.24%, 07/06/15, valued at $14,616,500) to be repurchased at $14,399,228 0.2% -----
58 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------ ----- --------------- (000) SECURITIES LENDING COLLATERAL -- (10.1%)......................................... (S)@DFA Short Term Investment Fund............................................... 1,027,360,170 $ 1,027,360,170 11.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,496,682) ## to be repurchased at $1,467,340............................................. $ 1,467 1,467,335 0.0% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL.............................................. 1,028,827,505 11.1% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $9,260,297,229)........................................................... $10,227,493,784 110.3% =============== ======
59 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ----------------------------------------------------- Investment in Securities (Market Value) ----------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- --------------- Common Stocks................. Australia................... $ 7,231,943 $ 633,909,835 -- $ 641,141,778 Austria..................... 22,093 97,183,718 -- 97,205,811 Belgium..................... -- 104,713,305 -- 104,713,305 Canada...................... 1,275,562,676 -- -- 1,275,562,676 Denmark..................... 412,499 62,008,822 -- 62,421,321 Finland..................... -- 277,057,083 -- 277,057,083 France...................... -- 575,987,680 -- 575,987,680 Germany..................... 2,170,706 574,235,111 -- 576,405,817 Greece...................... 24,812 35,740,540 -- 35,765,352 Hong Kong................... 90,999 263,458,991 -- 263,549,990 Ireland..................... 483,959 25,530,387 -- 26,014,346 Israel...................... -- 78,095,573 -- 78,095,573 Italy....................... -- 277,350,902 -- 277,350,902 Japan....................... -- 1,816,312,875 -- 1,816,312,875 Malaysia.................... -- 6,394 -- 6,394 Netherlands................. -- 176,054,100 -- 176,054,100 New Zealand................. -- 49,469,411 -- 49,469,411 Norway...................... -- 137,888,398 -- 137,888,398 Portugal.................... -- 20,439,559 -- 20,439,559 Singapore................... 93,379 126,599,176 -- 126,692,555 Spain....................... -- 187,694,635 -- 187,694,635 Sweden...................... 4,780 287,453,302 -- 287,458,082 Switzerland................. -- 485,134,596 -- 485,134,596 United Kingdom.............. 6,728,943 1,598,929,456 -- 1,605,658,399 Rights/Warrants............... Belgium..................... 20,259 -- -- 20,259 Denmark..................... 263 -- -- 263 Greece...................... -- 14,527 -- 14,527 Italy....................... 15,572 -- -- 15,572 Portugal.................... 50,610 -- -- 50,610 Spain....................... 42,509 7,886 -- 50,395 Switzerland................. 2,572 -- -- 2,572 United Kingdom.............. -- 32,443 -- 32,443 Temporary Cash Investments.... -- 14,399,000 -- 14,399,000 Securities Lending Collateral. -- 1,028,827,505 -- 1,028,827,505 -------------- -------------- -- --------------- TOTAL......................... $1,292,958,574 $8,934,535,210 -- $10,227,493,784 ============== ============== == ===============
See accompanying Notes to Financial Statements. 60 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (85.1%) AUSTRALIA -- (5.6%) Macquarie Group, Ltd. 21,994 $ 850,309 0.2% National Australia Bank, Ltd. 44,894 1,336,613 0.3% Origin Energy, Ltd. 53,648 962,392 0.2% Other Securities 28,294,300 5.8% ----------- ----- TOTAL AUSTRALIA 31,443,614 6.5% ----------- ----- AUSTRIA -- (0.6%) Other Securities 3,417,932 0.7% ----------- ----- BELGIUM -- (1.3%) Solvay SA 5,891 849,360 0.2% Other Securities 6,618,078 1.4% ----------- ----- TOTAL BELGIUM 7,467,438 1.6% ----------- ----- CANADA -- (10.4%) #Bank of Montreal 13,100 860,365 0.2% First Quantum Minerals, Ltd. 5,800 826,522 0.2% Magna International, Inc. 18,560 953,746 0.2% Nexen, Inc. 34,506 912,842 0.2% Suncor Energy, Inc. 34,672 1,598,104 0.3% Talisman Energy, Inc. 45,748 1,104,837 0.2% Teck Resources, Ltd. Class B 17,000 924,071 0.2% #Toronto Dominion Bank 15,429 1,335,881 0.3% *Valeant Pharmaceuticals International, Inc. 16,500 870,211 0.2% Other Securities 48,790,414 10.1% ----------- ----- TOTAL CANADA 58,176,993 12.1% ----------- ----- DENMARK -- (0.9%) Other Securities 5,341,956 1.1% ----------- ----- FINLAND -- (1.7%) *UPM-Kymmene Oyj 49,028 1,005,627 0.2% Other Securities 8,467,264 1.8% ----------- ----- TOTAL FINLAND 9,472,891 2.0% ----------- ----- FRANCE -- (6.4%) BNP Paribas SA 18,185 1,437,608 0.3% Cie de Saint-Gobain SA 16,388 1,130,767 0.2% Cie Generale des Establissements Michelin SA Series B 9,428 945,008 0.2% GDF Suez SA 23,661 967,483 0.2% *Sanofi-Aventis SA 20,001 1,582,422 0.3% Other Securities 30,062,780 6.3% ----------- ----- TOTAL FRANCE 36,126,068 7.5% ----------- ----- GERMANY -- (5.0%) *Daimler AG 16,806 1,298,877 0.3% #Deutsche Bank AG 30,792 2,011,333 0.4% *Deutsche Post AG 41,651 823,175 0.2% E.ON AG 33,461 1,143,669 0.2% Other Securities 22,755,153 4.7% ----------- ----- TOTAL GERMANY 28,032,207 5.8% ----------- ----- GREECE -- (0.8%) Other Securities 4,692,478 1.0% ----------- -----
61 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- HONG KONG -- (2.3%) Other Securities $12,972,311 2.7% ----------- ----- IRELAND -- (0.7%) Other Securities 3,833,136 0.8% ----------- ----- ISRAEL -- (0.7%) Other Securities 3,719,316 0.8% ----------- ----- ITALY -- (2.3%) Other Securities 12,723,410 2.6% ----------- ----- JAPAN -- (15.2%) Mitsubishi UFJ Financial Group, Inc. 224,300 1,076,548 0.2% Other Securities 84,223,479 17.5% ----------- ----- TOTAL JAPAN 85,300,027 17.7% ----------- ----- NETHERLANDS -- (2.3%) #Akzo Nobel NV 13,662 1,059,328 0.2% *ING Groep NV Sponsored ADR 72,426 955,299 0.2% Koninklijke DSM NV 11,964 824,641 0.2% Other Securities 9,925,690 2.1% ----------- ----- TOTAL NETHERLANDS 12,764,958 2.7% ----------- ----- NEW ZEALAND -- (0.2%) Other Securities 1,255,637 0.3% ----------- ----- NORWAY -- (1.1%) Other Securities 6,139,477 1.3% ----------- ----- PORTUGAL -- (0.4%) Other Securities 1,985,837 0.4% ----------- ----- SINGAPORE -- (1.4%) Other Securities 7,772,316 1.6% ----------- ----- SPAIN -- (1.8%) Other Securities 10,177,258 2.1% ----------- ----- SWEDEN -- (2.7%) Swedbank AB Series A 43,200 819,311 0.2% Other Securities 14,099,857 2.9% ----------- ----- TOTAL SWEDEN 14,919,168 3.1% ----------- ----- SWITZERLAND -- (5.7%) Aryzta AG 14,609 814,869 0.2% Credit Suisse Group AG 22,184 1,009,742 0.2% Holcim, Ltd. AG 21,970 1,914,291 0.4% Swiss Reinsurance Co., Ltd. AG 23,898 1,425,910 0.3% *UBS AG 52,017 1,040,994 0.2% Zurich Financial Services AG 10,024 2,818,535 0.6% Other Securities 22,809,783 4.7% ----------- ----- TOTAL SWITZERLAND 31,834,124 6.6% ----------- ----- UNITED KINGDOM -- (15.6%) Anglo American P.L.C. 48,414 2,537,802 0.5% Aviva P.L.C. 128,562 962,152 0.2% BP P.L.C. Sponsored ADR 65,797 3,035,874 0.6% #HSBC Holdings P.L.C. Sponsored ADR 70,495 3,839,863 0.8% International Power P.L.C. 155,255 859,297 0.2% Kingfisher P.L.C. 232,192 1,066,819 0.2% Legal & General Group P.L.C. 594,171 1,222,089 0.3%
62 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- UNITED KINGDOM -- (Continued)......... Old Mutual P.L.C.................... 503,063 $ 1,172,695 0.2% Prudential P.L.C.................... 68,348 884,242 0.2% #Royal Dutch Shell P.L.C. ADR....... 62,698 4,913,015 1.0% RSA Insurance Group P.L.C........... 370,215 853,156 0.2% Standard Chartered P.L.C............ 30,336 843,090 0.2% Standard Life P.L.C................. 230,654 874,064 0.2% Vodafone Group P.L.C. Sponsored ADR. 135,396 3,942,732 0.8% *Wolseley P.L.C..................... 25,895 940,606 0.2% Xstrata P.L.C....................... 77,287 1,982,334 0.4% Other Securities.................... 57,875,148 12.0% ------------ ----- TOTAL UNITED KINGDOM.................. 87,804,978 18.2% ------------ ----- UNITED STATES -- (0.0%)............... Other Securities.................... 17,944 0.0% ------------ ----- TOTAL COMMON STOCKS................... 477,391,474 99.2% ------------ ----- RIGHTS/WARRANTS -- (0.0%)............. AUSTRALIA -- (0.0%)................... Other Securities.................... 12 0.0% ------------ ----- BELGIUM -- (0.0%)..................... Other Securities.................... 225 0.0% ------------ ----- DENMARK -- (0.0%)..................... Other Securities.................... 2 0.0% ------------ ----- FRANCE -- (0.0%)...................... Other Securities.................... 2,361 0.0% ------------ ----- GERMANY -- (0.0%)..................... Other Securities.................... 15,191 0.0% ------------ ----- GREECE -- (0.0%)...................... Other Securities.................... 195 0.0% ------------ ----- NORWAY -- (0.0%)...................... Other Securities.................... 36 0.0% ------------ ----- PORTUGAL -- (0.0%).................... Other Securities.................... 11,720 0.0% ------------ ----- SINGAPORE -- (0.0%)................... Other Securities.................... 8,940 0.0% ------------ ----- SPAIN -- (0.0%)....................... Other Securities.................... 5,350 0.0% ------------ ----- SWITZERLAND -- (0.0%)................. Other Securities.................... 68 0.0% ------------ ----- UNITED KINGDOM -- (0.0%).............. Other Securities.................... 318 0.0% ------------ ----- TOTAL RIGHTS/WARRANTS................. 44,418 0.0% ------------ -----
63 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.5%)............................................................. Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $2,775,000 FNMA 2.24%, 07/06/15, valued at $2,844,375) to be repurchased at $2,801,044................... $2,801 $2,801,000 ------------ Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (14.4%)......................................................... (S)@DFA Short Term Investment Fund............................................................... 79,086,676 79,086,676 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $2,010,124)## to be repurchased at $1,970,717...................................................................................... $1,971 1,970,710 ------------ TOTAL SECURITIES LENDING COLLATERAL.............................................................. 81,057,386 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $424,677,400)............................................................................. $561,294,278 ============
Percentage of Net Assets** --------------- TEMPORARY CASH INVESTMENTS -- (0.5%)............................................................. Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $2,775,000 FNMA 2.24%, 07/06/15, valued at $2,844,375) to be repurchased at $2,801,044................... 0.6% ------ SECURITIES LENDING COLLATERAL -- (14.4%)......................................................... (S)@DFA Short Term Investment Fund............................................................... 16.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $2,010,124)## to be repurchased at $1,970,717...................................................................................... 0.4% ------ TOTAL SECURITIES LENDING COLLATERAL.............................................................. 16.8% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $424,677,400)............................................................................. 116.6% ======
64 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs --------------------------------------------- Investment in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Common Stocks................. Australia................... $ 821,980 $ 30,621,634 -- $ 31,443,614 Austria..................... -- 3,417,932 -- 3,417,932 Belgium..................... 362,291 7,105,147 -- 7,467,438 Canada...................... 58,176,993 -- -- 58,176,993 Denmark..................... 10,744 5,331,212 -- 5,341,956 Finland..................... -- 9,472,891 -- 9,472,891 France...................... 1,980,666 34,145,402 -- 36,126,068 Germany..................... 3,580,706 24,451,501 -- 28,032,207 Greece...................... 211,209 4,481,269 -- 4,692,478 Hong Kong................... 19,817 12,952,494 -- 12,972,311 Ireland..................... 923,673 2,909,463 -- 3,833,136 Israel...................... 717,726 3,001,590 -- 3,719,316 Italy....................... 832,132 11,891,278 -- 12,723,410 Japan....................... 2,649,433 82,650,594 -- 85,300,027 Netherlands................. 2,459,639 10,305,319 -- 12,764,958 New Zealand................. 34,047 1,221,590 -- 1,255,637 Norway...................... 157,600 5,981,877 -- 6,139,477 Portugal.................... -- 1,985,837 -- 1,985,837 Singapore................... -- 7,772,316 -- 7,772,316 Spain....................... 2,209,295 7,967,963 -- 10,177,258 Sweden...................... 346,091 14,573,077 -- 14,919,168 Switzerland................. 2,102,949 29,731,175 -- 31,834,124 United Kingdom.............. 19,132,476 68,672,502 -- 87,804,978 United States............... 17,944 -- -- 17,944 Rights/Warrants............... Australia................... 12 -- -- 12 Belgium..................... 225 -- -- 225 Denmark..................... -- 2 -- 2 France...................... 2,361 -- -- 2,361 Germany..................... 15,191 -- -- 15,191 Greece...................... -- 195 -- 195 Norway...................... -- 36 -- 36 Portugal.................... 11,720 -- -- 11,720 Singapore................... 8,940 -- -- 8,940 Spain....................... 5,338 12 -- 5,350 Switzerland................. 68 -- -- 68 United Kingdom.............. -- 318 -- 318 Temporary Cash Investments.... -- 2,801,000 -- 2,801,000 Securities Lending Collateral. -- 81,057,386 -- 81,057,386 ----------- ------------ -- ------------ TOTAL......................... $96,791,266 $464,503,012 -- $561,294,278 =========== ============ == ============
See accompanying Notes to Financial Statements. 65 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Shares Value+ ------ ----- AFFILIATED INVESTMENT COMPANIES -- (99.8%)................................................................ Investment in The DFA International Value Series of The DFA Investment Trust Company......................................................................... $28,922,083 Investment in Dimensional Emerging Markets Value Fund..................................................... 10,384,488 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc...................................................................... 200,714 3,801,524 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $35,668,328).................................................................................... 43,108,095 ----------- Face Amount ------ (000) TEMPORARY CASH INVESTMENTS -- (0.2%)...................................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $110,000 FNMA 2.24%, 07/06/15, valued at $112,750) to be repurchased at $107,002 (Cost $107,000)....................................................................................... $ 107 107,000 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $35,775,328).................................................................................... $43,215,095 ===========
Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------- Investment in Securities (Market Value) ---------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------- ------- ----------- Affiliated Investment Companies. $43,108,095 -- -- $43,108,095 Temporary Cash Investments...... -- $107,000 -- 107,000 ----------- -------- -- ----------- TOTAL........................... $43,108,095 $107,000 -- $43,215,095 =========== ======== == ===========
See accompanying Notes to Financial Statements. 66 EMERGING MARKETS PORTFOLIO SCHEDULES OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ ----- AFFILIATED INVESTMENT COMPANY -- (100.0%).............. Investment in The Emerging Markets Series of The DFA Investment Trust Company..................... $2,575,286,113 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,178,839,212)............................. $2,575,286,113 ==============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note). EMERGING MARKETS SMALL CAP PORTFOLIO
Value+ ----- AFFILIATED INVESTMENT COMPANY -- (100.0%).............. Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company..................... $2,135,948,868 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,438,988,909)............................. $2,135,948,868 ==============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 67 EMERGING MARKETS VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ ----- AFFILIATED INVESTMENT COMPANY -- (100.0%).............. Investment in Dimensional Emerging Markets Value Fund.. $15,403,053,850 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $11,251,655,584)............................ $15,403,053,850 ===============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 68 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (85.7%) BRAZIL -- (7.2%) Banco Bradesco SA 971,274 $ 16,194,074 0.3% Banco Santander Brasil SA ADR 1,248,063 14,490,011 0.3% BM&F Bovespa SA 3,107,183 23,325,598 0.4% Petroleo Brasileiro SA ADR 1,487,967 55,545,808 1.0% Vale SA Sponsored ADR 1,207,490 40,330,166 0.8% Other Securities 272,478,395 5.0% ------------ ----- TOTAL BRAZIL 422,364,052 7.8% ------------ ----- CHILE -- (2.1%) Other Securities 122,462,468 2.3% ------------ ----- CHINA -- (12.9%) Bank of China, Ltd. 52,690,702 29,231,423 0.5% China Construction Bank Corp. 38,800,302 36,790,921 0.7% China Life Insurance Co., Ltd. ADR 258,099 13,857,335 0.3% China Mobile, Ltd. Sponsored ADR 967,519 44,592,951 0.8% China Unicom Hong Kong, Ltd. ADR 756,217 15,472,200 0.3% #CNOOC, Ltd. ADR 116,476 29,054,938 0.5% Industrial & Commercial Bank of China, Ltd. Series H 49,025,940 41,584,448 0.8% #PetroChina Co., Ltd. ADR 160,254 23,329,777 0.4% Other Securities 523,814,466 9.7% ------------ ----- TOTAL CHINA 757,728,459 14.0% ------------ ----- COLOMBIA -- (0.2%) Other Securities 12,825,683 0.2% ------------ ----- CZECH REPUBLIC -- (0.4%) Other Securities 23,889,730 0.4% ------------ ----- EGYPT -- (0.1%) Other Securities 4,088,398 0.1% ------------ ----- HUNGARY -- (0.6%) #*OTP Bank P.L.C. 488,536 17,344,184 0.3% Other Securities 14,272,506 0.3% ------------ ----- TOTAL HUNGARY 31,616,690 0.6% ------------ ----- INDIA -- (8.7%) ICICI Bank, Ltd. Sponsored ADR 396,338 19,975,435 0.4% Infosys Technologies, Ltd. 225,217 14,804,567 0.3% Reliance Industries, Ltd. 1,381,092 30,655,817 0.5% Other Securities 444,381,246 8.2% ------------ ----- TOTAL INDIA 509,817,065 9.4% ------------ ----- INDONESIA -- (3.0%) PT Bumi Resources Tbk 37,385,000 15,022,342 0.3% Other Securities 159,723,433 2.9% ------------ ----- TOTAL INDONESIA 174,745,775 3.2% ------------ ----- ISRAEL -- (0.0%) Other Securities 353,828 0.0% ------------ ----- MALAYSIA -- (3.2%) Other Securities 188,531,371 3.5% ------------ ----- MEXICO -- (4.1%) America Movil S.A.B. de C.V. Series L ADR 443,009 25,340,115 0.5%
69 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- MEXICO -- (Continued)..................................... *Cemex S.A.B. de C.V. Sponsored ADR..................... 1,983,179 $ 17,213,994 0.3% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR. 308,192 19,385,277 0.4% #Grupo Financiero Banorte S.A.B. de C.V................. 2,809,943 14,035,435 0.3% Grupo Mexico S.A.B. de C.V. Series B.................... 5,000,219 17,313,579 0.3% Other Securities........................................ 148,633,801 2.7% ------------ ----- TOTAL MEXICO.............................................. 241,922,201 4.5% ------------ ----- NETHERLANDS -- (0.0%)..................................... Other Securities........................................ 201,157 0.0% ------------ ----- PERU -- (0.2%)............................................ Other Securities........................................ 10,985,899 0.2% ------------ ----- PHILIPPINES -- (0.9%)..................................... Other Securities........................................ 54,067,027 1.0% ------------ ----- POLAND -- (1.7%).......................................... KGHM Polska Miedz SA.................................... 192,817 14,183,564 0.3% Other Securities........................................ 87,550,328 1.6% ------------ ----- TOTAL POLAND.............................................. 101,733,892 1.9% ------------ ----- RUSSIA -- (3.7%).......................................... Gazprom OAO Sponsored ADR............................... 5,628,350 95,365,320 1.8% Lukoil OAO Sponsored ADR................................ 502,859 34,949,662 0.6% Other Securities........................................ 87,526,636 1.6% ------------ ----- TOTAL RUSSIA.............................................. 217,841,618 4.0% ------------ ----- SOUTH AFRICA -- (7.3%).................................... Gold Fields, Ltd. Sponsored ADR......................... 1,024,815 18,282,700 0.3% Impala Platinum Holdings, Ltd........................... 449,434 14,055,082 0.3% MTN Group, Ltd.......................................... 1,237,163 27,180,020 0.5% Naspers, Ltd. Series N.................................. 378,717 22,445,136 0.4% Sanlam, Ltd............................................. 3,530,404 15,143,360 0.3% Sasol, Ltd. Sponsored ADR............................... 530,207 30,656,569 0.6% Standard Bank Group, Ltd................................ 1,236,663 19,422,451 0.4% Other Securities........................................ 282,648,121 5.2% ------------ ----- TOTAL SOUTH AFRICA........................................ 429,833,439 8.0% ------------ ----- SOUTH KOREA -- (13.8%).................................... Hana Financial Group, Inc............................... 380,692 16,152,278 0.3% Hyundai Motor Co., Ltd.................................. 142,857 32,949,852 0.6% #*KB Financial Group, Inc. ADR........................... 311,778 16,614,650 0.3% Kia Motors Corp......................................... 230,180 16,558,829 0.3% LG Chemical, Ltd........................................ 28,574 14,196,081 0.3% LG Corp................................................. 150,925 13,894,952 0.2% #POSCO ADR.............................................. 230,201 25,391,170 0.5% Samsung Corp............................................ 200,144 14,498,955 0.3% Samsung Electronics Co., Ltd............................ 110,442 92,250,080 1.7% Shinhan Financial Group Co., Ltd. ADR................... 142,576 13,832,724 0.2% Other Securities........................................ 555,225,578 10.3% ------------ ----- TOTAL SOUTH KOREA......................................... 811,565,149 15.0% ------------ ----- TAIWAN -- (11.6%)......................................... Hon Hai Precision Industry Co., Ltd..................... 5,597,352 21,256,074 0.4% HTC Corp................................................ 340,780 15,511,175 0.3% #Taiwan Semiconductor Manufacturing Co., Ltd............ 11,817,652 30,566,194 0.5% Other Securities........................................ 614,977,280 11.4% ------------ ----- TOTAL TAIWAN.............................................. 682,310,723 12.6% ------------ -----
70 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** THAILAND -- (2.1%) Other Securities........................................ $ 124,055,930 2.3% -------------- ----- TURKEY -- (1.9%) Other Securities........................................ 109,419,987 2.0% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................................ 677,036 0.0% -------------- ----- TOTAL COMMON STOCKS....................................... 5,033,037,577 93.0% -------------- ----- PREFERRED STOCKS -- (6.0%) BRAZIL -- (6.0%) Banco Bradesco SA Sponsored ADR......................... 2,298,063 46,489,814 0.9% #Itau Unibanco Holding SA ADR........................... 1,648,537 39,152,754 0.7% Petroleo Brasileiro SA ADR.............................. 2,049,785 68,401,325 1.3% Vale SA Sponsored ADR................................... 1,564,909 46,790,779 0.9% Other Securities........................................ 148,946,084 2.7% -------------- ----- TOTAL BRAZIL.............................................. 349,780,756 6.5% -------------- ----- CHILE -- (0.0%) Other Securities........................................ 565,581 0.0% -------------- ----- INDIA -- (0.0%) Other Securities........................................ 17,951 0.0% -------------- ----- TOTAL PREFERRED STOCKS.................................... 350,364,288 6.5% -------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities........................................ 395 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities........................................ -- 0.0% -------------- ----- POLAND -- (0.0%) Other Securities........................................ 430,289 0.0% -------------- ----- TAIWAN -- (0.0%) Other Securities........................................ 103,079 0.0% -------------- ----- THAILAND -- (0.0%) Other Securities........................................ 378,050 0.0% -------------- ----- TURKEY -- (0.0%) Other Securities........................................ 74,300 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS..................................... 986,113 0.0% -------------- ----- Face Amount Value+ (000) TEMPORARY CASH INVESTMENTS -- (0.3%)...................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $17,760,000 FNMA 2.24%, 07/06/15, valued at $18,204,000) to be repurchased at $17,934,284............................................ $17,934 17,934,000 0.3% -------------- -----
71 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (8.0%) (S)@DFA Short Term Investment Fund............................ 469,495,000 $ 469,495,000 8.7% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $670,749)## to be repurchased at $657,599..................................................... $658 657,597 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL........................... 470,152,597 8.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,226,970,070)........................................ $5,872,474,575 108.5% ============== ======
72 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Brazil...................... $ 422,364,052 -- -- $ 422,364,052 Chile....................... 122,462,468 -- -- 122,462,468 China....................... 164,834,829 $ 592,893,630 -- 757,728,459 Colombia.................... 12,825,683 -- -- 12,825,683 Czech Republic.............. -- 23,889,730 -- 23,889,730 Egypt....................... -- 4,088,398 -- 4,088,398 Hungary..................... 661,066 30,955,624 -- 31,616,690 India....................... 31,139,064 478,678,001 -- 509,817,065 Indonesia................... 6,011,338 168,734,437 -- 174,745,775 Israel...................... -- 353,828 -- 353,828 Malaysia.................... 3,519,661 185,011,710 -- 188,531,371 Mexico...................... 241,922,201 -- -- 241,922,201 Netherlands................. -- 201,157 -- 201,157 Peru........................ 10,985,899 -- -- 10,985,899 Philippines................. 4,214,878 49,852,149 -- 54,067,027 Poland...................... -- 101,733,892 -- 101,733,892 Russia...................... 6,867,584 210,974,034 -- 217,841,618 South Africa................ 71,318,377 358,515,062 -- 429,833,439 South Korea................. 79,595,937 731,969,212 -- 811,565,149 Taiwan...................... 19,811,037 662,499,686 -- 682,310,723 Thailand.................... 123,903,228 152,702 -- 124,055,930 Turkey...................... 2,726,209 106,693,778 -- 109,419,987 United States............... 677,036 -- -- 677,036 Preferred Stocks.............. Brazil...................... 349,780,756 -- -- 349,780,756 Chile....................... 565,581 -- -- 565,581 India....................... -- 17,951 -- 17,951 Rights/Warrants............... Brazil...................... 395 -- -- 395 Hong Kong................... -- -- -- -- Poland...................... -- 430,289 -- 430,289 Taiwan...................... -- 103,079 -- 103,079 Thailand.................... 2,004 376,046 -- 378,050 Turkey...................... 74,300 -- -- 74,300 Temporary Cash Investments.... -- 17,934,000 -- 17,934,000 Securities Lending Collateral. -- 470,152,597 -- 470,152,597 -------------- -------------- -- -------------- TOTAL......................... $1,676,263,583 $4,196,210,992 -- $5,872,474,575 ============== ============== == ==============
See accompanying Notes to Financial Statements. 73 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
Enhanced U.S. U.S. Large Large Cap Company Value Portfolio Portfolio ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value................................... -- $ 8,133,769 Investments at Value (including $0, $0, $338,434 and $1,515,298 of securities on loan, respectively)............................................................................ $ 172,388 -- Temporary Cash Investments at Value & Cost................................................ 5,938 -- Collateral Received from Securities on Loan at Value & Cost............................... -- -- Affiliated Collateral Received from Securities on Loan at Value & Cost.................... -- -- Receivables:.............................................................................. Investment Securities/Affiliated Investment Companies Sold.............................. -- -- Dividends and Interest.................................................................. 1,401 -- Securities Lending Income............................................................... -- -- Fund Shares Sold........................................................................ 94 5,093 Futures Margin Variation................................................................ 587 -- Unrealized Gain on Forward Currency Contracts............................................. 474 -- Unrealized Gain on Foreign Currency Contracts............................................. 26 -- Prepaid Expenses and Other Assets......................................................... 20 64 ------------ -------------- Total Assets........................................................................... 180,928 8,138,926 ------------ -------------- LIABILITIES: Payables:................................................................................. Upon Return of Securities Loaned........................................................ -- -- Investment Securities/Affiliated Investment Companies Purchased......................... 5,866 686 Fund Shares Redeemed.................................................................... 195 4,407 Due to Advisor.......................................................................... 28 991 Unrealized Loss on Forward Currency Contracts............................................. 1,833 -- Accrued Expenses and Other Liabilities.................................................... 16 308 ------------ -------------- Total Liabilities...................................................................... 7,938 6,392 ------------ -------------- NET ASSETS................................................................................ $ 172,990 $ 8,132,534 ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $53,925 and $0 and shares outstanding of 0; 0; 2,945,829 and 0, respectively................................................... N/A N/A ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... N/A N/A ============ ============== Class R2 Shares -- based on net assets of $0; $0; $9,351 and $0 and shares outstanding of 0; 0; 510,883 and 0, respectively..................................................... N/A N/A ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... N/A N/A ============ ============== Institutional Class Shares -- based on net assets of $172,990; $8,132,534; $2,968,313 and $7,964,497 and shares outstanding of 19,768,793; 361,812,850; 162,104,303 and 282,695,488, respectively ............................................................... $ 8.75 $ 22.48 ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... 300,000,000 2,000,000,000 ============ ============== Investments in Affiliated Investment Companies at Cost.................................... $ -- $ 5,528,588 ------------ -------------- Investments at Cost....................................................................... $ 167,948 $ -- ============ ============== NET ASSETS CONSIST OF: Paid-In Capital........................................................................... $ 229,031 $ 7,245,437 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 664 12,921 Accumulated Net Realized Gain (Loss)...................................................... (65,256) (1,731,005) Net Unrealized Foreign Exchange Gain (Loss)............................................... (1,311) -- Net Unrealized Appreciation (Depreciation)................................................ 9,862 2,605,181 ------------ -------------- NET ASSETS................................................................................ $ 172,990 $ 8,132,534 ============ ==============
U.S. U.S. Small Cap Targeted Value Value Portfolio Portfolio --------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value................................... -- -- Investments at Value (including $0, $0, $338,434 and $1,515,298 of securities on loan, respectively)............................................................................ $ 3,023,425 $ 7,975,251 Temporary Cash Investments at Value & Cost................................................ 6,507 10,913 Collateral Received from Securities on Loan at Value & Cost............................... 1,015 4,563 Affiliated Collateral Received from Securities on Loan at Value & Cost.................... 352,489 1,584,011 Receivables:.............................................................................. Investment Securities/Affiliated Investment Companies Sold.............................. 3,493 30,152 Dividends and Interest.................................................................. 737 2,031 Securities Lending Income............................................................... 198 711 Fund Shares Sold........................................................................ 2,339 4,591 Futures Margin Variation................................................................ -- -- Unrealized Gain on Forward Currency Contracts............................................. -- -- Unrealized Gain on Foreign Currency Contracts............................................. -- -- Prepaid Expenses and Other Assets......................................................... 66 62 ------------ -------------- Total Assets........................................................................... 3,390,269 9,612,285 ------------ -------------- LIABILITIES: Payables:................................................................................. Upon Return of Securities Loaned........................................................ 353,504 1,588,574 Investment Securities/Affiliated Investment Companies Purchased......................... 2,455 561 Fund Shares Redeemed.................................................................... 1,708 54,962 Due to Advisor.......................................................................... 866 3,283 Unrealized Loss on Forward Currency Contracts............................................. -- -- Accrued Expenses and Other Liabilities.................................................... 147 408 ------------ -------------- Total Liabilities...................................................................... 358,680 1,647,788 ------------ -------------- NET ASSETS................................................................................ $ 3,031,589 $ 7,964,497 ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $53,925 and $0 and shares outstanding of 0; 0; 2,945,829 and 0, respectively................................................... $ 18.31 N/A ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A ============ ============== Class R2 Shares -- based on net assets of $0; $0; $9,351 and $0 and shares outstanding of 0; 0; 510,883 and 0, respectively..................................................... $ 18.30 N/A ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A ============ ============== Institutional Class Shares -- based on net assets of $172,990; $8,132,534; $2,968,313 and $7,964,497 and shares outstanding of 19,768,793; 361,812,850; 162,104,303 and 282,695,488, respectively ............................................................... $ 18.31 $ 28.17 ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... 700,000,000 1,700,000,000 ============ ============== Investments in Affiliated Investment Companies at Cost.................................... $ -- $ -- ------------ -------------- Investments at Cost....................................................................... $ 2,355,495 $ 6,394,395 ============ ============== NET ASSETS CONSIST OF: Paid-In Capital........................................................................... $ 2,267,547 $ 6,300,449 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 2,124 1,744 Accumulated Net Realized Gain (Loss)...................................................... 93,988 81,448 Net Unrealized Foreign Exchange Gain (Loss)............................................... -- -- Net Unrealized Appreciation (Depreciation)................................................ 667,930 1,580,856 ------------ -------------- NET ASSETS................................................................................ $ 3,031,589 $ 7,964,497 ============ ==============
See accompanying Notes to Financial Statements. 74 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. U.S. Core Core Equity 1 Equity 2 Portfolio Portfolio -------------- -------------- ASSETS: Investments at Value (including $275,950, $504,448, $194,968 and $1,066,975 of securities on loan, respectively)...................................................... $ 3,774,682 $ 6,129,097 Temporary Cash Investments at Value & Cost.............................................. 31,672 28,695 Collateral Received from Securities on Loan at Value & Cost............................. 821 1,503 Affiliated Collateral Received from Securities on Loan at Value & Cost.................. 285,212 521,669 Receivables:............................................................................ Investment Securities Sold............................................................ 163 351 Dividends and Interest................................................................ 2,830 4,754 Securities Lending Income............................................................. 136 306 Fund Shares Sold...................................................................... 5,712 7,766 Prepaid Expenses and Other Assets....................................................... 95 87 -------------- -------------- Total Assets......................................................................... 4,101,323 6,694,228 -------------- -------------- LIABILITIES: Payables:............................................................................... Upon Return of Securities Loaned...................................................... 286,033 523,172 Investment Securities Purchased....................................................... 17,382 8,246 Fund Shares Redeemed.................................................................. 1,117 3,892 Due to Advisor........................................................................ 519 1,000 Accrued Expenses and Other Liabilities.................................................. 167 298 -------------- -------------- Total Liabilities.................................................................... 305,218 536,608 -------------- -------------- NET ASSETS.............................................................................. $ 3,796,105 $ 6,157,620 ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,796,105; $6,157,620; $2,010,219 and $4,529,855 and shares outstanding of 314,101,011; 509,958,439; 167,450,522 and 190,610,819, respectively.............................................................. $ 12.09 $ 12.07 ============== ============== NUMBER OF SHARES AUTHORIZED............................................................. 1,500,000,000 2,300,000,000 ============== ============== Investments at Cost..................................................................... $ 3,044,250 $ 5,043,721 ============== ============== NET ASSETS CONSIST OF: Paid-In Capital......................................................................... $ 3,129,457 $ 5,112,004 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................................................ 6,237 9,634 Accumulated Net Realized Gain (Loss).................................................... (70,021) (49,394) Net Unrealized Appreciation (Depreciation).............................................. 730,432 1,085,376 -------------- -------------- NET ASSETS.............................................................................. $ 3,796,105 $ 6,157,620 ============== ==============
U.S. U.S. Vector Small Equity Cap Portfolio Portfolio -------------- -------------- ASSETS: Investments at Value (including $275,950, $504,448, $194,968 and $1,066,975 of securities on loan, respectively)...................................................... $ 2,003,812 $ 4,518,928 Temporary Cash Investments at Value & Cost.............................................. 8,472 22,078 Collateral Received from Securities on Loan at Value & Cost............................. 583 3,197 Affiliated Collateral Received from Securities on Loan at Value & Cost.................. 202,292 1,110,010 Receivables:............................................................................ Investment Securities Sold............................................................ 171 2,885 Dividends and Interest................................................................ 1,211 1,054 Securities Lending Income............................................................. 114 596 Fund Shares Sold...................................................................... 1,982 2,137 Prepaid Expenses and Other Assets....................................................... 42 61 -------------- -------------- Total Assets......................................................................... 2,218,679 5,660,946 -------------- -------------- LIABILITIES: Payables:............................................................................... Upon Return of Securities Loaned...................................................... 202,875 1,113,207 Investment Securities Purchased....................................................... 3,911 14,152 Fund Shares Redeemed.................................................................. 1,096 2,249 Due to Advisor........................................................................ 490 1,282 Accrued Expenses and Other Liabilities.................................................. 88 201 -------------- -------------- Total Liabilities.................................................................... 208,460 1,131,091 -------------- -------------- NET ASSETS.............................................................................. $ 2,010,219 $ 4,529,855 ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,796,105; $6,157,620; $2,010,219 and $4,529,855 and shares outstanding of 314,101,011; 509,958,439; 167,450,522 and 190,610,819, respectively.............................................................. $ 12.00 $ 23.76 ============== ============== NUMBER OF SHARES AUTHORIZED............................................................. 1,000,000,000 1,000,000,000 ============== ============== Investments at Cost..................................................................... $ 1,639,974 $ 3,299,245 ============== ============== NET ASSETS CONSIST OF: Paid-In Capital......................................................................... $ 1,706,262 $ 3,412,304 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................................................ 2,410 3,718 Accumulated Net Realized Gain (Loss).................................................... (62,291) (105,850) Net Unrealized Appreciation (Depreciation).............................................. 363,838 1,219,683 -------------- -------------- NET ASSETS.............................................................................. $ 2,010,219 $ 4,529,855 ============== ==============
See accompanying Notes to Financial Statements. 75 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. DFA Large Micro Real Estate Cap Cap Securities International Portfolio Portfolio Portfolio -------------- ------------ ------------- ASSETS: Investments at Value (including $498,632, $647,227, $351,234 and $1,131,113 of securities on loan, respectively)....................... $ 3,782,550 $ 3,152,056 $ 1,908,284 Temporary Cash Investments at Value & Cost............................. 4,712 19,467 5,770 Collateral Received from Securities on Loan at Value & Cost............ 1,516 1,938 1,249 Affiliated Collateral Received from Securities on Loan at Value & Cost. 526,244 672,941 372,838 Foreign Currencies at Value............................................ -- -- 3,389 Cash................................................................... -- -- 15 Receivables:........................................................... Investment Securities Sold........................................... 2,299 -- 505 Dividends, Interest and Tax Reclaims................................. 1,061 2,605 9,145 Securities Lending Income............................................ 532 92 478 Fund Shares Sold..................................................... 1,315 1,661 1,434 Unrealized Gain on Foreign Currency Contracts.......................... -- -- 29 Prepaid Expenses and Other Assets...................................... 32 41 34 -------------- ------------ ------------ Total Assets....................................................... 4,320,261 3,850,801 2,303,170 -------------- ------------ ------------ LIABILITIES: Payables:.............................................................. Upon Return of Securities Loaned..................................... 527,760 674,879 374,087 Investment Securities Purchased...................................... 1,334 16,648 3,869 Fund Shares Redeemed................................................. 2,887 1,971 926 Due to Advisor....................................................... 1,547 751 384 Accrued Expenses and Other Liabilities................................. 188 145 127 -------------- ------------ ------------ Total Liabilities.................................................. 533,716 694,394 379,393 -------------- ------------ ------------ NET ASSETS............................................................. $ 3,786,545 $ 3,156,407 $ 1,923,777 ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,786,545; $3,156,407; $1,923,777 and $6,063,718 and shares outstanding of 250,225,113; 129,852,728; 88,252,834 and 491,945,902, respectively.... $ 15.13 $ 24.31 $ 21.80 ============== ============ ============ NUMBER OF SHARES AUTHORIZED............................................ 1,500,000,000 700,000,000 500,000,000 ============== ============ ============ Investments at Cost.................................................... $ 2,854,316 $ 2,294,360 $ 1,484,568 ============== ============ ============ Foreign Currencies at Cost............................................. $ -- $ -- $ 3,309 ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................ $ 3,019,546 $ 2,549,319 $ 1,676,916 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................................... 2,635 4,294 12,129 Accumulated Net Realized Gain (Loss)................................... (163,870) (254,902) (189,293) Net Unrealized Foreign Exchange Gain (Loss)............................ -- -- 229 Net Unrealized Appreciation (Depreciation)............................. 928,234 857,696 423,796 -------------- ------------ ------------ NET ASSETS............................................................. $ 3,786,545 $ 3,156,407 $ 1,923,777 ============== ============ ============
International Core Equity Portfolio -------------- ASSETS: Investments at Value (including $498,632, $647,227, $351,234 and $1,131,113 of securities on loan, respectively)....................... $ 6,013,743 Temporary Cash Investments at Value & Cost............................. 28,753 Collateral Received from Securities on Loan at Value & Cost............ 1,559 Affiliated Collateral Received from Securities on Loan at Value & Cost. 1,218,053 Foreign Currencies at Value............................................ 13,734 Cash................................................................... 15 Receivables:........................................................... Investment Securities Sold........................................... 763 Dividends, Interest and Tax Reclaims................................. 27,057 Securities Lending Income............................................ 1,739 Fund Shares Sold..................................................... 6,304 Unrealized Gain on Foreign Currency Contracts.......................... 62 Prepaid Expenses and Other Assets...................................... 110 -------------- Total Assets....................................................... 7,311,892 -------------- LIABILITIES: Payables:.............................................................. Upon Return of Securities Loaned..................................... 1,219,612 Investment Securities Purchased...................................... 24,200 Fund Shares Redeemed................................................. 2,263 Due to Advisor....................................................... 1,693 Accrued Expenses and Other Liabilities................................. 406 -------------- Total Liabilities.................................................. 1,248,174 -------------- NET ASSETS............................................................. $ 6,063,718 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,786,545; $3,156,407; $1,923,777 and $6,063,718 and shares outstanding of 250,225,113; 129,852,728; 88,252,834 and 491,945,902, respectively.... $ 12.33 ============== NUMBER OF SHARES AUTHORIZED............................................ 2,000,000,000 ============== Investments at Cost.................................................... $ 5,258,487 ============== Foreign Currencies at Cost............................................. $ 13,060 ============== NET ASSETS CONSIST OF: Paid-In Capital........................................................ $ 5,333,846 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................................... 35,717 Accumulated Net Realized Gain (Loss)................................... (62,355) Net Unrealized Foreign Exchange Gain (Loss)............................ 580 Net Unrealized Appreciation (Depreciation)............................. 755,930 -------------- NET ASSETS............................................................. $ 6,063,718 ==============
See accompanying Notes to Financial Statements. 76 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
Asia United International Japanese Pacific Kingdom Small Small Small Small Company Company Company Company Portfolio Portfolio Portfolio Portfolio -------------- ------------ ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value.......... $ 6,986,397 $ 169,096 $ 169,658 $ 39,416 Temporary Cash Investments at Value & Cost....................... 11,083 -- -- -- Cash............................................................. 15 -- -- -- Receivables:..................................................... Affiliated Investment Companies Sold............................ -- 1,382 155 26 Fund Shares Sold................................................ 12,901 -- 25 -- Prepaid Expenses and Other Assets................................ 52 9 19 10 -------------- ------------ ------------ ------------ Total Assets.................................................. 7,010,448 170,487 169,857 39,452 -------------- ------------ ------------ ------------ LIABILITIES: Payables:........................................................ Fund Shares Redeemed............................................ 2,437 1,382 180 26 Due to Advisor.................................................. 2,251 53 56 12 Accrued Expenses and Other Liabilities........................... 225 22 19 7 -------------- ------------ ------------ ------------ Total Liabilities............................................. 4,913 1,457 255 45 -------------- ------------ ------------ ------------ NET ASSETS....................................................... $ 7,005,535 $ 169,030 $ 169,602 $ 39,407 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $7,005,535; $169,030; $169,602 and $39,407 and shares outstanding of 373,955,745; 10,764,061; 6,048,087 and 1,400,854, respectively................................................... $ 18.73 $ 15.70 $ 28.04 $ 28.13 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 100,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost........... $ 5,617,599 $ 228,036 $ 131,164 $ 30,883 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 5,590,694 $ 319,921 $ 162,119 $ 33,260 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 13,826 1,350 (2,357) 207 Accumulated Net Realized Gain (Loss)............................. 31,616 (93,338) (28,659) (2,602) Net Unrealized Foreign Exchange Gain (Loss)...................... 601 37 5 9 Net Unrealized Appreciation (Depreciation)....................... 1,368,798 (58,940) 38,494 8,533 -------------- ------------ ------------ ------------ NET ASSETS....................................................... $ 7,005,535 $ 169,030 $ 169,602 $ 39,407 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 77 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA Continental International Small Real Estate Company Securities Portfolio Portfolio ------------ ------------- ASSETS: Investments in Affiliated Investment Companies at Value................................... $ 157,927 -- Investments at Value (including $0, $174,537, $0 and $943,209 of securities on loan, respectively)............................................................................ -- $ 1,100,580 Temporary Cash Investments at Value & Cost................................................ -- 2,412 Collateral Received from Securities on Loan at Value & Cost............................... -- 395 Affiliated Collateral Received from Securities on Loan at Value & Cost.................... -- 199,193 Foreign Currencies at Value............................................................... -- 1,666 Cash...................................................................................... -- 16 Receivables:.............................................................................. Investment Securities/Affiliated Investment Companies Sold.............................. 67 45 Dividends, Interest and Tax Reclaims.................................................... -- 5,741 Securities Lending Income............................................................... -- 220 Fund Shares Sold........................................................................ 25 1,010 Unrealized Gain on Foreign Currency Contracts............................................. -- 2 Prepaid Expenses and Other Assets......................................................... 11 267 ------------ ------------ Total Assets........................................................................... 158,030 1,311,547 ------------ ------------ LIABILITIES: Payables:................................................................................. Upon Return of Securities Loaned........................................................ -- 199,588 Investment Securities/Affiliated Investment Companies................................... Purchased............................................................................... -- 933 Fund Shares Redeemed.................................................................... 92 396 Due to Advisor.......................................................................... 51 308 Accrued Expenses and Other Liabilities.................................................... 19 98 ------------ ------------ Total Liabilities...................................................................... 162 201,323 ------------ ------------ NET ASSETS................................................................................ $ 157,868 $ 1,110,224 ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Cass Shares -- based on net assets of $157,868; $1,110,224; $816,819 and $9,275,519 and shares outstanding of 7,806,496; 198,726,765; 91,994,628 and 489,608,697, respectively............................................................................. $ 20.22 $ 5.59 ============ ============ NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 700,000,000 ============ ============ Investments in Affiliated Investment Companies at Cost.................................... $ 116,394 $ -- ------------ ------------ Investments at Cost....................................................................... $ -- $ 1,014,462 ============ ============ Foreign Currencies at Cost................................................................ $ -- $ 1,616 ============ ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................... $ 143,379 $ 1,266,359 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 961 (72,834) Accumulated Net Realized Gain (Loss)...................................................... (28,061) (169,545) Net Unrealized Foreign Exchange Gain (Loss)............................................... 56 76 Net Unrealized Appreciation (Depreciation)................................................ 41,533 86,168 ------------ ------------ NET ASSETS................................................................................ $ 157,868 $ 1,110,224 ============ ============
DFA DFA Global International Real Estate Small Cap Securities Value Portfolio Portfolio ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value................................... $ 815,127 -- Investments at Value (including $0, $174,537, $0 and $943,209 of securities on loan, respectively)............................................................................ -- $ 9,184,267 Temporary Cash Investments at Value & Cost................................................ 1,244 14,399 Collateral Received from Securities on Loan at Value & Cost............................... -- 1,467 Affiliated Collateral Received from Securities on Loan at Value & Cost.................... -- 1,027,360 Foreign Currencies at Value............................................................... -- 48,278 Cash...................................................................................... -- 16 Receivables:.............................................................................. Investment Securities/Affiliated Investment Companies Sold.............................. -- 19,111 Dividends, Interest and Tax Reclaims.................................................... -- 43,980 Securities Lending Income............................................................... -- 2,006 Fund Shares Sold........................................................................ 1,666 3,746 Unrealized Gain on Foreign Currency Contracts............................................. -- 168 Prepaid Expenses and Other Assets......................................................... 24 122 ------------ -------------- Total Assets........................................................................... 818,061 10,344,920 ------------ -------------- LIABILITIES: Payables:................................................................................. Upon Return of Securities Loaned........................................................ -- 1,028,827 Investment Securities/Affiliated Investment Companies................................... Purchased............................................................................... 807 31,607 Fund Shares Redeemed.................................................................... 396 3,617 Due to Advisor.......................................................................... 17 4,863 Accrued Expenses and Other Liabilities.................................................... 22 487 ------------ -------------- Total Liabilities...................................................................... 1,242 1,069,401 ------------ -------------- NET ASSETS................................................................................ $ 816,819 $ 9,275,519 ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Cass Shares -- based on net assets of $157,868; $1,110,224; $816,819 and $9,275,519 and shares outstanding of 7,806,496; 198,726,765; 91,994,628 and 489,608,697, respectively............................................................................. $ 8.88 $ 18.94 ============ ============== NUMBER OF SHARES AUTHORIZED............................................................... 500,000,000 2,300,000,000 ============ ============== Investments in Affiliated Investment Companies at Cost.................................... $ 583,053 $ -- ------------ -------------- Investments at Cost....................................................................... $ -- $ 8,217,071 ============ ============== Foreign Currencies at Cost................................................................ $ -- $ 46,927 ============ ============== NET ASSETS CONSIST OF: Paid-In Capital........................................................................... $ 612,813 $ 7,987,652 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... (134) 49,219 Accumulated Net Realized Gain (Loss)...................................................... (27,934) 268,947 Net Unrealized Foreign Exchange Gain (Loss)............................................... -- 1,154 Net Unrealized Appreciation (Depreciation)................................................ 232,074 968,547 ------------ -------------- NET ASSETS................................................................................ $ 816,819 $ 9,275,519 ============ ==============
See accompanying Notes to Financial Statements. 78 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
International Vector World ex Equity U.S. Value Portfolio Portfolio ------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value.......................................... $ -- $ 43,108 Investments at Value (including $73,942, $0 and $0 of securities on loan, respectively).......... 477,436 -- Temporary Cash Investments at Value & Cost....................................................... 2,801 107 Collateral Received from Securities on Loan at Value & Cost...................................... 1,971 -- Affiliated Collateral Received from Securities on Loan at Value & Cost........................... 79,087 -- Foreign Currencies at Value...................................................................... 1,331 -- Cash............................................................................................. 15 16 Receivables:..................................................................................... Investment Securities/Affiliated Investment Companies Sold..................................... 97 -- Dividends, Interest and Tax Reclaims........................................................... 2,096 -- Securities Lending Income...................................................................... 134 -- Fund Shares Sold............................................................................... 480 199 Unrealized Gain on Foreign Currency Contracts.................................................... 2 -- Prepaid Expenses and Other Assets................................................................ 11 25 Deferred Offering Costs.......................................................................... -- 7 ------------ ------------ Total Assets.................................................................................. 565,461 43,462 ------------ ------------ LIABILITIES: Payables:........................................................................................ Upon Return of Securities Loaned............................................................... 81,058 -- Investment Securities/Affiliated Investment Companies Purchased................................ 2,561 73 Fund Shares Redeemed........................................................................... 129 -- Due to Advisor................................................................................. 173 3 Accrued Expenses and Other Liabilities........................................................... 11 5 ------------ ------------ Total Liabilities............................................................................. 83,932 81 ------------ ------------ NET ASSETS....................................................................................... $ 481,529 $ 43,381 ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $481,529; $43,381 and $2,574,363 and shares outstanding of 40,698,238; 3,406,642 and 79,539,745, respectively............................... $ 11.83 $ 12.73 ============ ============ NUMBER OF SHARES AUTHORIZED...................................................................... 500,000,000 100,000,000 ============ ============ Investments in Affiliated Investment Companies at Cost........................................... $ -- $ 35,669 ------------ ------------ Investments at Cost.............................................................................. $ 340,819 $ -- ============ ============ Foreign Currencies at Cost....................................................................... $ 1,300 $ -- ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................................................. $ 335,390 $ 35,392 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 2,354 223 Accumulated Net Realized Gain (Loss)............................................................. 7,088 335 Deferred Thailand Capital Gains Tax.............................................................. -- (7) Net Unrealized Foreign Exchange Gain (Loss)...................................................... 49 (1) Net Unrealized Appreciation (Depreciation)....................................................... 136,648 7,439 ------------ ------------ NET ASSETS....................................................................................... $ 481,529 $ 43,381 ============ ============
Emerging Markets Portfolio ------------ ASSETS: Investments in Affiliated Investment Companies at Value.......................................... $ 2,575,286 Investments at Value (including $73,942, $0 and $0 of securities on loan, respectively).......... -- Temporary Cash Investments at Value & Cost....................................................... -- Collateral Received from Securities on Loan at Value & Cost...................................... -- Affiliated Collateral Received from Securities on Loan at Value & Cost........................... -- Foreign Currencies at Value...................................................................... -- Cash............................................................................................. -- Receivables:..................................................................................... Investment Securities/Affiliated Investment Companies Sold..................................... -- Dividends, Interest and Tax Reclaims........................................................... -- Securities Lending Income...................................................................... -- Fund Shares Sold............................................................................... 2,146 Unrealized Gain on Foreign Currency Contracts.................................................... -- Prepaid Expenses and Other Assets................................................................ 25 Deferred Offering Costs.......................................................................... -- ------------ Total Assets.................................................................................. 2,577,457 ------------ LIABILITIES: Payables:........................................................................................ Upon Return of Securities Loaned............................................................... -- Investment Securities/Affiliated Investment Companies Purchased................................ 1,007 Fund Shares Redeemed........................................................................... 1,139 Due to Advisor................................................................................. 842 Accrued Expenses and Other Liabilities........................................................... 106 ------------ Total Liabilities............................................................................. 3,094 ------------ NET ASSETS....................................................................................... $ 2,574,363 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $481,529; $43,381 and $2,574,363 and shares outstanding of 40,698,238; 3,406,642 and 79,539,745, respectively............................... $ 32.37 ============ NUMBER OF SHARES AUTHORIZED...................................................................... 500,000,000 ============ Investments in Affiliated Investment Companies at Cost........................................... $ 1,178,839 ------------ Investments at Cost.............................................................................. $ -- ============ Foreign Currencies at Cost....................................................................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................................................. $ 1,047,522 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 7,859 Accumulated Net Realized Gain (Loss)............................................................. 127,169 Deferred Thailand Capital Gains Tax.............................................................. (4,691) Net Unrealized Foreign Exchange Gain (Loss)...................................................... 57 Net Unrealized Appreciation (Depreciation)....................................................... 1,396,447 ------------ NET ASSETS....................................................................................... $ 2,574,363 ============
See accompanying Notes to Financial Statements. 79 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
Emerging Emerging Markets Markets Small Cap Value Portfolio Portfolio ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value......................................... $ 2,135,949 $ 15,403,054 Investments at Value (including $0, $0 and $442,358 of securities on loan, respectively)........ -- -- Temporary Cash Investments at Value & Cost...................................................... -- -- Collateral Received from Securities on Loan at Value & Cost..................................... -- -- Affiliated Collateral Received from Securities on Loan at Value & Cost.......................... -- -- Foreign Currencies at Value..................................................................... -- -- Cash............................................................................................ -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.................................... -- -- Dividends, Interest and Tax Reclaims.......................................................... -- -- Securities Lending Income..................................................................... -- -- Fund Shares Sold.............................................................................. 1,733 20,913 Unrealized Gain on Foreign Currency Contracts................................................... -- -- Prepaid Expenses and Other Assets............................................................... 36 130 ------------ -------------- Total Assets................................................................................. 2,137,718 15,424,097 ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................................................. -- -- Investment Securities/Affiliated Investment Companies Purchased............................... 860 18,440 Fund Shares Redeemed.......................................................................... 873 2,473 Due to Advisor................................................................................ 786 4,997 Deferred Thailand Capital Gains Tax............................................................. -- -- Accrued Expenses and Other Liabilities.......................................................... 60 429 ------------ -------------- Total Liabilities............................................................................ 2,579 26,339 ------------ -------------- NET ASSETS $ 2,135,139 $ 15,397,758 ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $45,012 and $0 and shares outstanding of 0; 1,193,853 and 0, respectively.................................................................. N/A $ 37.70 ============ ============== NUMBER OF SHARES AUTHORIZED..................................................................... N/A 100,000,000 ============ ============== Institutional Class Shares -- based on net assets of $2,135,139; $15,352,746 and $5,410,193 and shares outstanding of 85,966,761; 407,030,979 and 233,522,337, respectively $ 24.84 $ 37.72 ============ ============== NUMBER OF SHARES AUTHORIZED..................................................................... 500,000,000 1,500,000,000 ============ ============== Investments in Affiliated Investment Companies at Cost.......................................... $ 1,438,989 $ 11,251,655 ------------ -------------- Investments at Cost............................................................................. $ -- $ -- ============ ============== Foreign Currencies at Cost...................................................................... $ -- $ -- ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................................................................. $ 1,362,549 $ 11,064,980 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 5,803 27,637 Accumulated Net Realized Gain (Loss)............................................................ 73,718 175,841 Deferred Thailand Capital Gains Tax............................................................. (3,961) (22,443) Net Unrealized Foreign Exchange Gain (Loss)..................................................... 70 344 Net Unrealized Appreciation (Depreciation)...................................................... 696,960 4,151,399 ------------ -------------- NET ASSETS $ 2,135,139 $ 15,397,758 ============ ==============
Emerging Markets Core Equity Portfolio -------------- ASSETS: Investments in Affiliated Investment Companies at Value......................................... -- Investments at Value (including $0, $0 and $442,358 of securities on loan, respectively)........ $ 5,384,388 Temporary Cash Investments at Value & Cost...................................................... 17,934 Collateral Received from Securities on Loan at Value & Cost..................................... 658 Affiliated Collateral Received from Securities on Loan at Value & Cost.......................... 469,495 Foreign Currencies at Value..................................................................... 3,794 Cash............................................................................................ 11,206 Receivables: Investment Securities/Affiliated Investment Companies Sold.................................... 87 Dividends, Interest and Tax Reclaims.......................................................... 13,348 Securities Lending Income..................................................................... 524 Fund Shares Sold.............................................................................. 6,242 Unrealized Gain on Foreign Currency Contracts................................................... 7 Prepaid Expenses and Other Assets............................................................... 92 -------------- Total Assets................................................................................. 5,907,775 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................................................. 470,153 Investment Securities/Affiliated Investment Companies Purchased............................... 14,326 Fund Shares Redeemed.......................................................................... 2,825 Due to Advisor................................................................................ 2,401 Deferred Thailand Capital Gains Tax............................................................. 7,576 Accrued Expenses and Other Liabilities.......................................................... 301 -------------- Total Liabilities............................................................................ 497,582 -------------- NET ASSETS $ 5,410,193 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $45,012 and $0 and shares outstanding of 0; 1,193,853 and 0, respectively.................................................................. N/A ============== NUMBER OF SHARES AUTHORIZED..................................................................... N/A ============== Institutional Class Shares -- based on net assets of $2,135,139; $15,352,746 and $5,410,193 and shares outstanding of 85,966,761; 407,030,979 and 233,522,337, respectively $ 23.17 ============== NUMBER OF SHARES AUTHORIZED..................................................................... 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost.......................................... $ -- -------------- Investments at Cost............................................................................. $ 3,738,884 ============== Foreign Currencies at Cost...................................................................... $ 3,758 ============== NET ASSETS CONSIST OF: Paid-In Capital................................................................................. $ 3,809,933 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 16,003 Accumulated Net Realized Gain (Loss)............................................................ (53,903) Deferred Thailand Capital Gains Tax............................................................. (7,576) Net Unrealized Foreign Exchange Gain (Loss)..................................................... 196 Net Unrealized Appreciation (Depreciation)...................................................... 1,645,540 -------------- NET ASSETS $ 5,410,193 ==============
See accompanying Notes to Financial Statements. 80 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
Enhanced U.S. U.S. U.S. U.S. Large Large Cap Targeted Small Cap Company Value Value Value Portfolio Portfolio* Portfolio Portfolio ---------- ---------- --------- ---------- Investment Income Dividends............................................. $ 53 $ 62,551 $ 12,857 $ 37,356 Interest.............................................. 874 11 8 15 Income from Securities Lending........................ -- 2,287 1,122 4,142 Expenses Allocated from Affiliated Investment Company. -- (4,245) -- -- ------- ---------- -------- ---------- Total Investment Income........................... 927 60,604 13,987 41,513 ------- ---------- -------- ---------- Expenses Investment Advisory Services Fees..................... 42 -- 1,351 7,430 Administrative Services Fees.......................... 125 5,541 3,377 11,145 Accounting & Transfer Agent Fees...................... 19 50 152 398 S&P 500(R) Fees....................................... 3 -- -- -- Shareholder Servicing Fees --......................... Class R1 Shares..................................... -- -- 24 -- Class R2 Shares..................................... -- -- 10 -- Custodian Fees........................................ 7 -- 28 59 Filing Fees........................................... 16 63 56 25 Shareholders' Reports................................. 3 96 48 92 Directors'/Trustees' Fees & Expenses.................. 1 46 15 46 Professional Fees..................................... 2 45 28 87 Other................................................. 3 29 15 47 ------- ---------- -------- ---------- Total Expenses.................................... 221 5,870 5,104 19,329 ------- ---------- -------- ---------- Net Investment Income (Loss).......................... 706 54,734 8,883 22,184 ------- ---------- -------- ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:.......................... Investment Securities Sold.......................... 176 222,001 94,913 203,550 Futures............................................. 28,921 (9,927) 9 -- Foreign Currency Transactions....................... (791) -- -- -- Change in Unrealized Appreciation..................... (Depreciation) of:.................................. Investment Securities............................... 2,424 1,166,305 468,304 1,430,498 Futures............................................. (4,985) -- -- -- Translation of Foreign Currency Denominated Amounts. (1,179) -- -- -- ------- ---------- -------- ---------- Net Realized and Unrealized Gain (Loss)............... 24,566 1,378,379 563,226 1,634,048 ------- ---------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... $25,272 $1,433,113 $572,109 $1,656,232 ======= ========== ======== ==========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's Master Fund (Affiliated Investment Companies). See accompanying Notes to Financial Statements. 81 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
U.S. U.S. U.S. U.S. Core Core Vector Small Equity 1 Equity 2 Equity Cap Portfolio Portfolio Portfolio Portfolio --------- ---------- --------- --------- Investment Income Dividends...................................................... $ 26,563 $ 42,188 $ 11,870 $ 21,210 Interest....................................................... 11 13 5 13 Income from Securities Lending................................. 699 1,655 665 3,630 -------- ---------- -------- -------- Total Investment Income.................................... 27,273 43,856 12,540 24,853 -------- ---------- -------- -------- Expenses Investment Advisory Services Fees.............................. 2,846 5,635 2,717 602 Administrative Services Fees................................... -- -- -- 6,421 Accounting & Transfer Agent Fees............................... 183 302 104 218 Custodian Fees................................................. 36 44 24 48 Filing Fees.................................................... 61 61 23 37 Shareholders' Reports.......................................... 22 48 22 45 Directors'/Trustees' Fees & Expenses........................... 19 33 10 22 Professional Fees.............................................. 38 60 19 46 Other.......................................................... 18 32 12 24 -------- ---------- -------- -------- Total Expenses............................................. 3,223 6,215 2,931 7,463 -------- ---------- -------- -------- Net Investment Income (Loss)................................... 24,050 37,641 9,609 17,390 -------- ---------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:................................... Investment Securities Sold................................... 11,682 37,688 21,681 126,594 Futures...................................................... -- -- -- 930 Change in Unrealized Appreciation (Depreciation) of:........... Investment Securities........................................ 553,180 979,420 335,386 738,366 -------- ---------- -------- -------- Net Realized and Unrealized Gain (Loss)........................ 564,862 1,017,108 357,067 865,890 -------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations. $588,912 $1,054,749 $366,676 $883,280 ======== ========== ======== ========
See accompanying Notes to Financial Statements. 82 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
U.S. DFA Micro Real Estate Large Cap International Cap Securities International Core Equity Portfolio Portfolio Portfolio Portfolio --------- ----------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $1, $0, $2,251 and $6,016, respectively)........................................ $ 19,182 $ 23,715 $ 26,697 $ 76,089 Interest....................................................... 8 8 5 19 Income from Securities Lending................................. 2,953 461 1,181 4,690 -------- -------- -------- -------- Total Investment Income.................................... 22,143 24,184 27,883 80,798 -------- -------- -------- -------- Expenses Investment Advisory Services Fees.............................. 1,764 4,222 2,164 9,409 Administrative Services Fees................................... 7,056 -- -- -- Accounting & Transfer Agent Fees............................... 195 157 103 291 Custodian Fees................................................. 34 14 150 522 Filing Fees.................................................... 19 32 15 58 Shareholders' Reports.......................................... 48 55 38 55 Directors'/Trustees' Fees & Expenses........................... 22 18 11 31 Professional Fees.............................................. 43 32 24 61 Other.......................................................... 27 17 21 60 -------- -------- -------- -------- Total Expenses............................................. 9,208 4,547 2,526 10,487 -------- -------- -------- -------- Net Investment Income (Loss)................................... 12,935 19,637 25,357 70,311 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities. -- 7,319 -- -- Net Realized Gain (Loss) on:................................... Investment Securities Sold................................... 109,951 (16,475) (1,912) 17,177 Foreign Currency Transactions................................ -- -- 231 143 Change in Unrealized Appreciation (Depreciation) of:........... Investment Securities and Foreign Currency................... 623,901 412,942 198,433 696,997 Translation of Foreign Currency Denominated Amounts.......... -- -- 54 205 -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)........................ 733,852 403,786 196,806 714,522 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................... $746,787 $423,423 $222,163 $784,833 ======== ======== ======== ========
See accompanying Notes to Financial Statements. 83 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
International Japanese Asia Pacific Small Small Small Company Company Company Portfolio* Portfolio* Portfolio* ------------- ---------- ------------ Investment Income Net Investment Income Received from Affiliated Investment Companies:................. Dividends (Net of Foreign Taxes Withheld of $5,774, $136, $63, and $0, respectively). $ 69,613 $ 1,805 $ 2,174 Interest............................................................................. 18 1 -- Income from Securities Lending....................................................... 7,048 99 187 Expenses Allocated from Affiliated Investment Companies ............................. (4,242) (92) (116) ---------- ------- ------- Total Net Investment Income Received from Affiliated Investment Companies.......... 72,437 1,813 2,245 ---------- ------- ------- Fund Investment Income Interest............................................................................. 9 -- -- ---------- ------- ------- Total Fund Investment Income....................................................... 9 -- -- ---------- ------- ------- Fund Expenses Administrative Services Fees......................................................... 12,321 274 296 Accounting & Transfer Agent Fees..................................................... 42 7 7 Filing Fees.......................................................................... 42 9 11 Shareholders' Reports................................................................ 72 1 2 Directors'/Trustees' Fees & Expenses................................................. 35 1 1 Professional Fees.................................................................... 34 2 2 Other................................................................................ 20 2 3 ---------- ------- ------- Total Expenses..................................................................... 12,566 296 322 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).................................................................... -- -- -- ---------- ------- ------- Net Expenses......................................................................... 12,566 296 322 ---------- ------- ------- Net Investment Income (Loss)......................................................... 59,880 1,517 1,923 ---------- ------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:......................................................... Investment Securities Sold.......................................................... 114,761 (4,303) 5,308 Futures............................................................................. (271) -- -- Foreign Currency Transactions....................................................... 551 (25) 34 Change in Unrealized Appreciation (Depreciation) of:................................. Investment Securities and Foreign Currency.......................................... 832,723 17,018 11,477 Translation of Foreign Currency Denominated Amounts ................................ 152 (10) 7 ---------- ------- ------- Net Realized and Unrealized Gain (Loss).............................................. 947,916 12,680 16,826 ---------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations........................ $1,007,796 $14,197 $18,749 ========== ======= =======
United Kingdom Small Company Portfolio* ---------- Investment Income Net Investment Income Received from Affiliated Investment Companies:................. Dividends (Net of Foreign Taxes Withheld of $5,774, $136, $63, and $0, respectively). $ 508 Interest............................................................................. -- Income from Securities Lending....................................................... 5 Expenses Allocated from Affiliated Investment Companies ............................. (22) ------ Total Net Investment Income Received from Affiliated Investment Companies.......... 491 ------ Fund Investment Income Interest............................................................................. -- ------ Total Fund Investment Income....................................................... -- ------ Fund Expenses Administrative Services Fees......................................................... 71 Accounting & Transfer Agent Fees..................................................... 7 Filing Fees.......................................................................... 8 Shareholders' Reports................................................................ 1 Directors'/Trustees' Fees & Expenses................................................. -- Professional Fees.................................................................... 1 Other................................................................................ 1 ------ Total Expenses..................................................................... 89 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).................................................................... (6) ------ Net Expenses......................................................................... 83 ------ Net Investment Income (Loss)......................................................... 408 ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:......................................................... Investment Securities Sold.......................................................... 444 Futures............................................................................. -- Foreign Currency Transactions....................................................... 6 Change in Unrealized Appreciation (Depreciation) of:................................. Investment Securities and Foreign Currency.......................................... 4,994 Translation of Foreign Currency Denominated Amounts ................................ 5 ------ Net Realized and Unrealized Gain (Loss).............................................. 5,449 ------ Net Increase (Decrease) in Net Assets Resulting from Operations........................ $5,857 ======
--------- *Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's Master Fund (Affiliated Investment Companies). See accompanying Notes to Financial Statements. 84 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
DFA Continental International DFA Global Small Real Estate Real Estate Company Securities Securities Portfolio* Portfolio Portfolio ----------- ------------- ----------- Investment Income................................................................ Net Investment Income Received from Affiliated Investment Companies:........... Dividends (Net of Foreign Taxes Withheld of $194, $0, $0 and $0, respectively). $ 1,239 -- -- Income Distributions Received from Affiliated Investment Company............... -- -- $36,425 Interest....................................................................... 1 -- -- Income from Securities Lending................................................. 231 -- -- Expenses Allocated from Affiliated Investment Company.......................... (98) -- -- ------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies.... 1,373 -- 36,425 ------- -------- ------- Fund Investment Income........................................................... Dividends (Net of Foreign Taxes Withheld of $0, $1,913, $0 and $7,543, respectively)................................................................. -- $ 38,416 -- Interest....................................................................... -- 4 1 Income from Securities Lending................................................. -- 629 -- ------- -------- ------- Total Fund Investment Income................................................. -- 39,049 1 ------- -------- ------- Fund Expenses.................................................................... Investment Advisory Services Fees.............................................. -- 1,692 1,215 Administrative Services Fees................................................... 276 -- -- Accounting & Transfer Agent Fees............................................... 7 63 10 Custodian Fees................................................................. -- 91 -- Filing Fees.................................................................... 8 25 15 Shareholders' Reports.......................................................... 2 25 9 Directors'/Trustees' Fees & Expenses........................................... 1 6 4 Professional Fees.............................................................. 2 14 6 Other.......................................................................... 2 87 6 ------- -------- ------- Total Expenses............................................................... 298 2,003 1,265 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).............................................................. -- -- (1,117) ------- -------- ------- Net Expenses................................................................... 298 2,003 148 ------- -------- ------- Net Investment Income (Loss)................................................... 1,075 37,046 36,278 ------- -------- ------- Realized and Unrealized Gain (Loss).............................................. Net Realized Gain (Loss) on:................................................... Investment Securities Sold.................................................... 1,452 (66,439) (4,507) Futures....................................................................... (16) -- -- Foreign Currency Transactions................................................. 19 90 -- Change in Unrealized Appreciation (Depreciation) of:........................... Investment Securities and Foreign Currency.................................... 23,688 155,357 65,666 Translation of Foreign Currency Denominated Amounts........................... 9 (15) -- ------- -------- ------- Net Realized and Unrealized Gain (Loss)........................................ 25,152 88,993 61,159 ------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations.................. $26,227 $126,039 $97,437 ======= ======== =======
DFA International Small Cap Value Portfolio ------------- Investment Income................................................................ Net Investment Income Received from Affiliated Investment Companies:........... Dividends (Net of Foreign Taxes Withheld of $194, $0, $0 and $0, respectively). -- Income Distributions Received from Affiliated Investment Company............... -- Interest....................................................................... -- Income from Securities Lending................................................. -- Expenses Allocated from Affiliated Investment Company.......................... -- ---------- Total Net Investment Income Received from Affiliated Investment Companies.... -- ---------- Fund Investment Income........................................................... Dividends (Net of Foreign Taxes Withheld of $0, $1,913, $0 and $7,543, respectively)................................................................. $ 93,595 Interest....................................................................... 17 Income from Securities Lending................................................. 6,636 ---------- Total Fund Investment Income................................................. 100,248 ---------- Fund Expenses.................................................................... Investment Advisory Services Fees.............................................. 27,431 Administrative Services Fees................................................... -- Accounting & Transfer Agent Fees............................................... 452 Custodian Fees................................................................. 957 Filing Fees.................................................................... 56 Shareholders' Reports.......................................................... 105 Directors'/Trustees' Fees & Expenses........................................... 52 Professional Fees.............................................................. 105 Other.......................................................................... 97 ---------- Total Expenses............................................................... 29,255 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).............................................................. -- ---------- Net Expenses................................................................... 29,255 ---------- Net Investment Income (Loss)................................................... 70,993 ---------- Realized and Unrealized Gain (Loss).............................................. Net Realized Gain (Loss) on:................................................... Investment Securities Sold.................................................... 267,626 Futures....................................................................... -- Foreign Currency Transactions................................................. 2,222 Change in Unrealized Appreciation (Depreciation) of:........................... Investment Securities and Foreign Currency.................................... 1,217,712 Translation of Foreign Currency Denominated Amounts........................... 468 ---------- Net Realized and Unrealized Gain (Loss)........................................ 1,488,028 ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................. $1,559,021 ==========
-------- *Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's Master Fund (Affiliated Investment Companies). See accompanying Notes to Financial Statements. 85 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
International Vector World ex Equity U.S. Value Portfolio Portfolio*** ------------- ------------ Investment Income............................................................................... Net Investment Income Received from Affiliated Investment Companies:.......................... Dividends (Net of Foreign Taxes Withheld of $0, $35 and $1,710, respectively)................. -- $ 436 Income Distributions Received from Affiliated Investment Companies............................ -- 21 Interest...................................................................................... -- -- Income from Securities Lending................................................................ -- 22 Expenses Allocated from Affiliated Investment Companies....................................... -- (35) ------- ------ Total Investment Income..................................................................... -- 444 ------- ------ Fund Investment Income.......................................................................... Dividends (Net of Foreign Taxes Withheld of $404, $0 and $0, respectively).................... $ 5,474 -- Interest...................................................................................... 2 -- Income from Securities Lending................................................................ 387 -- ------- ------ Total Fund Investment Income................................................................ 5,863 -- ------- ------ Fund Expenses................................................................................... Investment Advisory Services Fees............................................................. 942 85 Administrative Services Fees.................................................................. -- -- Accounting & Transfer Agent Fees.............................................................. 34 6 Custodian Fees................................................................................ 92 -- Filing Fees................................................................................... 14 7 Shareholders' Reports......................................................................... 4 1 Directors'/Trustees' Fees & Expenses.......................................................... 2 -- Audit Fees.................................................................................... 2 3 Legal Fees.................................................................................... 3 4 Organizational & Offering Costs............................................................... -- 10 Other......................................................................................... 6 -- ------- ------ Total Expenses.............................................................................. 1,099 116 ------- ------ Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C). -- (55) ------- ------ Net Expenses.................................................................................. 1,099 61 ------- ------ Net Investment Income (Loss).................................................................. 4,764 383 ------- ------ Realized and Unrealized Gain (Loss)............................................................. Capital Gain Distributions Received from Affiliated Investment Companies...................... -- 48 Net Realized Gain (Loss) on:.................................................................. Investment Securities Sold................................................................... 7,432 286 Foreign Currency Transactions**.............................................................. 96 3 Change in Unrealized Appreciation (Depreciation) of:.......................................... Investment Securities and Foreign Currency................................................... 53,317 4,037 Translation of Foreign Currency Denominated Amounts.......................................... 18 2 Change in Deferred Thailand Capital Gains Tax................................................. -- (4) ------- ------ Net Realized and Unrealized Gain (Loss)....................................................... 60,863 4,372 ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations................................. $65,627 $4,755 ======= ======
Emerging Markets Portfolio* ---------- Investment Income............................................................................... Net Investment Income Received from Affiliated Investment Companies:.......................... Dividends (Net of Foreign Taxes Withheld of $0, $35 and $1,710, respectively)................. $ 21,526 Income Distributions Received from Affiliated Investment Companies............................ -- Interest...................................................................................... 7 Income from Securities Lending................................................................ 1,253 Expenses Allocated from Affiliated Investment Companies....................................... (2,287) -------- Total Investment Income..................................................................... 20,499 -------- Fund Investment Income.......................................................................... Dividends (Net of Foreign Taxes Withheld of $404, $0 and $0, respectively).................... -- Interest...................................................................................... -- Income from Securities Lending................................................................ -- -------- Total Fund Investment Income................................................................ -- -------- Fund Expenses................................................................................... Investment Advisory Services Fees............................................................. -- Administrative Services Fees.................................................................. 4,852 Accounting & Transfer Agent Fees.............................................................. 21 Custodian Fees................................................................................ -- Filing Fees................................................................................... 21 Shareholders' Reports......................................................................... 47 Directors'/Trustees' Fees & Expenses.......................................................... 15 Audit Fees.................................................................................... 3 Legal Fees.................................................................................... 13 Organizational & Offering Costs............................................................... -- Other......................................................................................... 10 -------- Total Expenses.............................................................................. 4,982 -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C). -- -------- Net Expenses.................................................................................. 4,982 -------- Net Investment Income (Loss).................................................................. 15,517 -------- Realized and Unrealized Gain (Loss)............................................................. Capital Gain Distributions Received from Affiliated Investment Companies...................... -- Net Realized Gain (Loss) on:.................................................................. Investment Securities Sold................................................................... 126,905 Foreign Currency Transactions**.............................................................. 344 Change in Unrealized Appreciation (Depreciation) of:.......................................... Investment Securities and Foreign Currency................................................... 123,764 Translation of Foreign Currency Denominated Amounts.......................................... (1) Change in Deferred Thailand Capital Gains Tax................................................. (476) -------- Net Realized and Unrealized Gain (Loss)....................................................... 250,536 -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................. $266,053 ========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's respective Master Fund (Affiliated Investment Companies). ** Net of foreign capital gain taxes withheld of $0, $0, and $199, respectively. ***Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Funds (Affiliated Investment Companies). See accompanying Notes to Financial Statements. 86 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
Emerging Emerging Emerging Markets Markets Markets Small Cap Value Core Equity Portfolio* Portfolio* Portfolio ---------- ---------- ----------- Investment Income....................................................... Dividends (Net of Foreign Taxes Withheld of $1,309, $8,028 and $3,619, respectively)........................................................ $ 16,061 $ 93,343 $ 40,258 Interest............................................................... 9 53 20 Income from Securities Lending......................................... 1,709 4,293 2,323 Expenses Allocated from Affiliated Investment Companies................ (2,803) (11,971) -- -------- ---------- -------- Total Investment Income............................................ 14,976 85,718 42,601 -------- ---------- -------- Expenses Investment Advisory Services Fees...................................... -- -- 12,779 Administrative Services Fees........................................... 4,304 26,473 -- Accounting & Transfer Agent Fees....................................... 18 83 253 Shareholder Servicing Fees -- Class R2 Shares.......................... -- 51 -- Custodian Fees......................................................... -- -- 1,681 Filing Fees............................................................ 30 183 80 Shareholders' Reports.................................................. 21 96 60 Directors'/Trustees' Fees & Expenses................................... 11 69 24 Professional Fees...................................................... 10 62 64 Other.................................................................. 6 34 40 -------- ---------- -------- Total Expenses..................................................... 4,400 27,051 14,981 -------- ---------- -------- Net Investment Income (Loss)........................................... 10,576 58,667 27,620 -------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:........................................... Investment Securities Sold........................................... 74,460 187,988 3,271 Foreign Currency Transactions**...................................... (266) (1,476) (2,186) Change in Unrealized Appreciation (Depreciation) of:................... Investment Securities and Foreign Currency........................... 43,846 1,005,623 407,434 Translation of Foreign Currency Denominated Amounts.................. 67 223 139 Change in Deferred Thailand Capital Gains Tax.......................... (428) (6,364) (1,611) -------- ---------- -------- Net Realized and Unrealized Gain (Loss)................................ 117,679 1,185,994 407,047 -------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations $128,255 $1,244,661 $434,667 ======== ========== ========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's respective Master Fund (Affiliated Investment Companies). ** Net of foreign capital gain taxes withheld of $163, $669 and $1,842, respectively. See accompanying Notes to Financial Statements. 87 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Enhanced U.S. Large U.S. Large Company Cap Value Portfolio Portfolio -------------------- ------------------------ Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- -------- ----------- ----------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 706 $ 1,547 $ 54,734 $ 120,445 Net Realized Gain (Loss) on: Investment Securities Sold 176 1,013 222,001 498,315 Futures 28,921 15,127 (9,927) -- Foreign Currency Transactions (791) (51) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 2,424 143 1,166,305 533,400 Futures (4,985) 8,702 -- -- Translation of Foreign Currency Denominated Amounts (1,179) (171) -- -- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 25,272 26,310 1,433,113 1,152,160 -------- -------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares -- -- -- -- Class R2 Shares -- -- -- -- Institutional Class Shares (270) (1,589) (59,199) (116,599) Net Long-Term Gains: Class R1 Shares -- -- -- -- Class R2 Shares -- -- -- -- Institutional Class Shares -- -- -- -- -------- -------- ----------- ----------- Total Distributions (270) (1,589) (59,199) (116,599) -------- -------- ----------- ----------- Capital Share Transactions (1): Shares Issued 11,775 15,684 1,005,771 1,304,022 Shares Issued in Lieu of Cash Distributions 259 1,525 55,585 108,979 Shares Redeemed (21,776) (49,431) (1,223,772) (1,391,178) -------- -------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions (9,742) (32,222) (162,416) 21,823 -------- -------- ----------- ----------- Total Increase (Decrease) in Net Assets 15,260 (7,501) 1,211,498 1,057,384 Net Assets Beginning of Period 157,730 165,231 6,921,036 5,863,652 -------- -------- ----------- ----------- End of Period $172,990 $157,730 $ 8,132,534 $ 6,921,036 ======== ======== =========== =========== (1) Shares Issued and Redeemed: Shares Issued 1,449 2,221 48,311 74,182 Shares Issued in Lieu of Cash Distributions 33 224 2,749 6,369 Shares Redeemed (2,666) (6,983) (61,685) (79,010) Shares Reduced by Reverse Stock Split (Note G) -- -- -- -- -------- -------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed (1,184) (4,538) (10,625) 1,541 ======== ======== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 664 $ 228 $ 12,921 $ 17,386
U.S. Targeted Value Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 8,883 $ 13,743 Net Realized Gain (Loss) on: Investment Securities Sold 94,913 87,567 Futures 9 (256) Foreign Currency Transactions -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 468,304 298,035 Futures -- -- Translation of Foreign Currency Denominated Amounts -- -- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 572,109 399,089 ---------- ---------- Distributions From: Net Investment Income: Class R1 Shares (152) (312) Class R2 Shares (20) (29) Institutional Class Shares (8,884) (12,213) Net Long-Term Gains: Class R1 Shares (87) -- Class R2 Shares (14) -- Institutional Class Shares (4,668) -- ---------- ---------- Total Distributions (13,825) (12,554) ---------- ---------- Capital Share Transactions (1): Shares Issued 553,051 911,104 Shares Issued in Lieu of Cash Distributions 13,036 11,528 Shares Redeemed (364,047) (521,662) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions 202,040 400,970 ---------- ---------- Total Increase (Decrease) in Net Assets 760,324 787,505 Net Assets Beginning of Period 2,271,265 1,483,760 ---------- ---------- End of Period $3,031,589 $2,271,265 ========== ========== (1) Shares Issued and Redeemed: Shares Issued 32,530 65,207 Shares Issued in Lieu of Cash Distributions 803 900 Shares Redeemed (21,609) (38,952) Shares Reduced by Reverse Stock Split (Note G) (9) (1,473) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed 11,715 25,682 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 2,124 $ 2,297
See accompanying Notes to Financial Statements. 88 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Small U.S. Core Cap Value Portfolio Equity 1 Portfolio ----------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 22,184 $ 26,885 $ 24,050 $ 37,162 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 203,550 464,145 11,682 848 In-Kind Redemptions...................................... -- 56,505* -- -- Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities.................................... 1,430,498 929,717 553,180 406,078 ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 1,656,232 1,477,252 588,912 444,088 ---------- ----------- ---------- ---------- Distributions From:......................................... Net Investment Income:.................................... Institutional Class Shares............................... (24,108) (25,747) (24,006) (31,326) ---------- ----------- ---------- ---------- Total Distributions..................................... (24,108) (25,747) (24,006) (31,326) ---------- ----------- ---------- ---------- Capital Share Transactions (1):............................. Shares Issued............................................. 635,054 1,005,684 559,157 935,366 Shares Issued in Lieu of Cash Distributions............... 22,833 24,638 21,848 28,011 Shares Redeemed........................................... (880,791) (1,596,209)* (247,215) (468,313) ---------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................................... (222,904) (565,887) 333,790 495,064 ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................. 1,409,220 885,618 898,696 907,826 Net Assets Beginning of Period....................................... 6,555,277 5,669,659 2,897,409 1,989,583 ---------- ----------- ---------- ---------- End of Period............................................. $7,964,497 $ 6,555,277 $3,796,105 $2,897,409 ========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................................. 24,264 48,187 49,654 97,948 Shares Issued in Lieu of Cash Distributions............... 916 1,272 1,991 3,032 Shares Redeemed........................................... (33,970) (78,455) (22,083) (49,368) ---------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... (8,790) (28,996) 29,562 51,612 ========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 1,744 $ 3,668 $ 6,237 $ 6,193
U.S. Core Equity 2 Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 37,641 $ 65,265 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 37,688 9,966 In-Kind Redemptions...................................... -- -- Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities.................................... 979,420 767,061 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 1,054,749 842,292 ---------- ---------- Distributions From:......................................... Net Investment Income:.................................... Institutional Class Shares............................... (39,987) (53,941) ---------- ---------- Total Distributions..................................... (39,987) (53,941) ---------- ---------- Capital Share Transactions (1):............................. Shares Issued............................................. 710,112 1,032,528 Shares Issued in Lieu of Cash Distributions............... 39,067 52,914 Shares Redeemed........................................... (596,688) (687,751) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................................... 152,491 397,691 ---------- ---------- Total Increase (Decrease) in Net Assets................. 1,167,253 1,186,042 Net Assets Beginning of Period....................................... 4,990,367 3,804,325 ---------- ---------- End of Period............................................. $6,157,620 $4,990,367 ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................................. 63,138 110,280 Shares Issued in Lieu of Cash Distributions............... 3,583 5,795 Shares Redeemed........................................... (53,050) (73,302) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... 13,671 42,773 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 9,634 $ 11,980
-------- *See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 89 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Vector U.S. Small Equity Portfolio Cap Portfolio ---------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 9,609 $ 15,896 $ 17,390 $ 22,549 Net Realized Gain (Loss) on: Investment Securities Sold 21,681 11,302 126,594 186,403 Futures -- -- 930 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 335,386 260,530 738,366 519,280 ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 366,676 287,728 883,280 728,232 ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares (10,167) (14,799) (18,329) (21,528) ---------- ---------- ---------- ---------- Total Distributions (10,167) (14,799) (18,329) (21,528) ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued 275,465 375,571 698,089 754,050 Shares Issued in Lieu of Cash Distributions 10,001 14,588 16,860 20,104 Shares Redeemed (190,179) (282,779) (441,502) (611,402) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions 95,287 107,380 273,447 162,752 ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets 451,796 380,309 1,138,398 869,456 Net Assets Beginning of Period 1,558,423 1,178,114 3,391,457 2,522,001 ---------- ---------- ---------- ---------- End of Period $2,010,219 $1,558,423 $4,529,855 $3,391,457 ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued 24,855 41,113 32,093 42,652 Shares Issued in Lieu of Cash Distributions 928 1,659 795 1,220 Shares Redeemed (17,053) (30,825) (20,249) (35,288) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed 8,730 11,947 12,639 8,584 ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 2,410 $ 2,968 $ 3,718 $ 4,657
U.S. Micro Cap Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 12,935 $ 17,911 Net Realized Gain (Loss) on: Investment Securities Sold 109,951 246,080 Futures -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 623,901 507,946 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 746,787 771,937 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares (13,527) (17,526) ---------- ---------- Total Distributions (13,527) (17,526) ---------- ---------- Capital Share Transactions (1): Shares Issued 278,787 291,712 Shares Issued in Lieu of Cash Distributions 12,942 16,858 Shares Redeemed (416,730) (703,060) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions (125,001) (394,490) ---------- ---------- Total Increase (Decrease) in Net Assets 608,259 359,921 Net Assets Beginning of Period 3,178,286 2,818,365 ---------- ---------- End of Period $3,786,545 $3,178,286 ========== ========== (1) Shares Issued and Redeemed: Shares Issued 19,794 26,534 Shares Issued in Lieu of Cash Distributions 951 1,594 Shares Redeemed (29,867) (63,240) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed (9,122) (35,112) ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 2,635 $ 3,227
See accompanying Notes to Financial Statements. 90 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Large Cap Securities International Portfolio Portfolio ---------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 19,637 $ 75,701 $ 25,357 $ 38,398 Capital Gain Distributions Received from Investment Securities 7,319 3,056 -- -- Net Realized Gain (Loss) on: Investment Securities Sold (16,475) (57,195) (1,912) (16,990) Foreign Currency Transactions -- -- 231 383 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 412,942 825,263 198,433 134,897 Translation of Foreign Currency Denominated Amounts -- -- 54 134 ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 423,423 846,825 222,163 156,822 ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares (28,337) (70,908) (17,212) (40,390) ---------- ---------- ---------- ---------- Total Distributions (28,337) (70,908) (17,212) (40,390) ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued 349,648 469,431 217,296 380,265 Shares Issued in Lieu of Cash Distributions 27,455 68,782 16,602 39,047 Shares Redeemed (305,334) (643,137) (131,758) (283,409) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions 71,769 (104,924) 102,140 135,903 ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets 466,855 670,993 307,091 252,335 Net Assets Beginning of Period 2,689,552 2,018,559 1,616,686 1,364,351 ---------- ---------- ---------- ---------- End of Period $3,156,407 $2,689,552 $1,923,777 $1,616,686 ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued 15,858 25,336 10,687 20,917 Shares Issued in Lieu of Cash Distributions 1,317 3,862 838 2,285 Shares Redeemed (13,976) (34,560) (6,508) (15,664) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed 3,199 (5,362) 5,017 7,538 ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 4,294 $ 12,994 $ 12,129 $ 3,984
International Core Equity Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 70,311 $ 96,219 Capital Gain Distributions Received from Investment Securities -- -- Net Realized Gain (Loss) on: Investment Securities Sold 17,177 19,341 Foreign Currency Transactions 143 299 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 696,997 410,019 Translation of Foreign Currency Denominated Amounts 205 333 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 784,833 526,211 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares (50,759) (83,173) ---------- ---------- Total Distributions (50,759) (83,173) ---------- ---------- Capital Share Transactions (1): Shares Issued 742,455 1,275,823 Shares Issued in Lieu of Cash Distributions 48,718 79,558 Shares Redeemed (328,518) (631,272) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions 462,655 724,109 ---------- ---------- Total Increase (Decrease) in Net Assets 1,196,729 1,167,147 Net Assets Beginning of Period 4,866,989 3,699,842 ---------- ---------- End of Period $6,063,718 $4,866,989 ========== ========== (1) Shares Issued and Redeemed: Shares Issued 64,861 128,031 Shares Issued in Lieu of Cash Distributions 4,363 8,624 Shares Redeemed (28,801) (63,215) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed 40,423 73,440 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 35,717 $ 16,165
See accompanying Notes to Financial Statements. 91 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Japanese Small Company Small Company Portfolio Portfolio ---------------------- -------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- ---------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 59,880 $ 90,630 $ 1,517 $ 1,730 Net Realized Gain (Loss) on: Investment Securities Sold 114,761 157,743 (4,303) (12,297) Futures (271) -- -- -- Foreign Currency Transactions 551 1,622 (25) 76 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 832,723 551,254 17,018 10,741 Translation of Foreign Currency Denominated Amounts 152 210 (10) 31 ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,007,796 801,459 14,197 281 ---------- ---------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares (78,027) (84,604) (798) (1,845) ---------- ---------- -------- -------- Total Distributions (78,027) (84,604) (798) (1,845) ---------- ---------- -------- -------- Capital Share Transactions (1): Shares Issued 851,082 1,099,327 54,332 11,290 Shares Issued in Lieu of Cash Distributions 74,050 80,737 688 1,609 Shares Redeemed (360,960) (655,189) (14,322) (10,460) ---------- ---------- -------- -------- Net Increase (Decrease) from Capital Share Transactions 564,172 524,875 40,698 2,439 ---------- ---------- -------- -------- Total Increase (Decrease) in Net Assets 1,493,941 1,241,730 54,097 875 Net Assets Beginning of Period 5,511,594 4,269,864 114,933 114,058 ---------- ---------- -------- -------- End of Period $7,005,535 $5,511,594 $169,030 $114,933 ========== ========== ======== ======== (1) Shares Issued and Redeemed: Shares Issued 49,024 75,592 3,496 793 Shares Issued in Lieu of Cash Distributions 4,478 5,955 46 116 Shares Redeemed (21,119) (45,123) (911) (742) ---------- ---------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed 32,383 36,424 2,631 167 ========== ========== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 13,826 $ 31,973 $ 1,350 $ 631
Asia Pacific Small Company Portfolio -------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- -------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 1,923 $ 3,468 Net Realized Gain (Loss) on: Investment Securities Sold 5,308 5,129 Futures -- -- Foreign Currency Transactions 34 (4) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 11,477 19,235 Translation of Foreign Currency Denominated Amounts 7 (12) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 18,749 27,816 -------- -------- Distributions From: Net Investment Income: Institutional Class Shares (4,932) (3,162) -------- -------- Total Distributions (4,932) (3,162) -------- -------- Capital Share Transactions (1): Shares Issued 35,594 28,331 Shares Issued in Lieu of Cash Distributions 4,505 2,788 Shares Redeemed (15,825) (26,115) -------- -------- Net Increase (Decrease) from Capital Share Transactions 24,274 5,004 -------- -------- Total Increase (Decrease) in Net Assets 38,091 29,658 Net Assets Beginning of Period 131,511 101,853 -------- -------- End of Period $169,602 $131,511 ======== ======== (1) Shares Issued and Redeemed: Shares Issued 1,340 1,254 Shares Issued in Lieu of Cash Distributions 177 135 Shares Redeemed (598) (1,206) -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed 919 183 ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (2,357) $ 652
See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
United Kingdom Continental Small Company Small Company Portfolio Portfolio ------------------- -------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- -------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 408 $ 693 $ 1,075 $ 1,996 Net Realized Gain (Loss) on: Investment Securities Sold 444 86 1,452 (5,002) Futures -- -- (16) -- Foreign Currency Transactions 6 3 19 51 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 4,994 6,121 23,688 19,653 Translation of Foreign Currency Denominated Amounts 5 (1) 9 1 ------- ------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 5,857 6,902 26,227 16,699 ------- ------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares (404) (694) (711) (1,863) ------- ------- -------- -------- Total Distributions (404) (694) (711) (1,863) ------- ------- -------- -------- Capital Share Transactions (1): Shares Issued 1,516 2,343 9,801 15,385 Shares Issued in Lieu of Cash Distributions 308 537 577 1,577 Shares Redeemed (1,621) (3,200) (6,132) (14,618) ------- ------- -------- -------- Net Increase (Decrease) from Capital Share Transactions 203 (320) 4,246 2,344 ------- ------- -------- -------- Total Increase (Decrease) in Net Assets 5,656 5,888 29,762 17,180 Net Assets Beginning of Period 33,751 27,863 128,106 110,926 ------- ------- -------- -------- End of Period $39,407 $33,751 $157,868 $128,106 ======= ======= ======== ======== (1) Shares Issued and Redeemed: Shares Issued 60 115 550 1,040 Shares Issued in Lieu of Cash Distributions 13 27 34 118 Shares Redeemed (64) (155) (343) (978) ------- ------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed 9 (13) 241 180 ======= ======= ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 207 $ 203 $ 961 $ 597
DFA International Real Estate Securities Portfolio --------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- --------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 37,046 $ 51,453 Net Realized Gain (Loss) on: Investment Securities Sold (66,439) (52,532) Futures -- -- Foreign Currency Transactions 90 253 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 155,357 149,959 Translation of Foreign Currency Denominated Amounts (15) (8) ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 126,039 149,125 ---------- --------- Distributions From: Net Investment Income: Institutional Class Shares (107,338) (78,863) ---------- --------- Total Distributions (107,338) (78,863) ---------- --------- Capital Share Transactions (1): Shares Issued 163,873 236,837 Shares Issued in Lieu of Cash Distributions 106,188 78,275 Shares Redeemed (137,092) (169,149) ---------- --------- Net Increase (Decrease) from Capital Share Transactions 132,969 145,963 ---------- --------- Total Increase (Decrease) in Net Assets 151,670 216,225 Net Assets Beginning of Period 958,554 742,329 ---------- --------- End of Period $1,110,224 $ 958,554 ========== ========= (1) Shares Issued and Redeemed: Shares Issued 31,839 48,350 Shares Issued in Lieu of Cash Distributions 21,940 16,761 Shares Redeemed (26,685) (35,159) ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed 27,094 29,952 ========== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (72,834) $ (2,542)
See accompanying Notes to Financial Statements. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Global DFA International Real Estate Securities Small Cap Value Portfolio Portfolio --------------------- ----------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- --------- ----------- ----------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 36,278 $ 31,064 $ 70,993 $ 111,256 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... (4,507) (16,221) 267,626 198,099 Foreign Currency Transactions............................ -- -- 2,222 2,837 Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities and Foreign Currency............... 65,666 134,183 1,217,712 395,701 Translation of Foreign Currency Denominated Amounts...... -- -- 468 688 --------- --------- ---------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 97,437 149,026 1,559,021 708,581 --------- --------- ---------- ----------- Distributions From:......................................... Net Investment Income:.................................... Institutional Class Shares............................... (41,423) (30,870) (59,714) (101,689) Net Long-Term Gains:...................................... Institutional Class Shares............................... -- -- (138,537) -- --------- --------- ---------- ----------- Total Distributions..................................... (41,423) (30,870) (198,251) (101,689) --------- --------- ---------- ----------- Capital Share Transactions (1):............................. Shares Issued............................................. 188,648 291,090 701,180 1,457,097 Shares Issued in Lieu of Cash Distributions............... 40,672 30,424 187,635 94,455 Shares Redeemed........................................... (163,976) (176,711) (629,384) (1,363,083) --------- --------- ---------- ----------- Net Increase (Decrease) from Capital Share Transactions........................................... 65,344 144,803 259,431 188,469 --------- --------- ---------- ----------- Total Increase (Decrease) in Net Assets................. 121,358 262,959 1,620,201 795,361 Net Assets Beginning of Period....................................... 695,461 432,502 7,655,318 6,859,957 --------- --------- ---------- ----------- End of Period............................................. $ 816,819 $ 695,461 $9,275,519 $ 7,655,318 ========= ========= ========== =========== (1) Shares Issued and Redeemed: Shares Issued............................................. 23,132 40,187 40,684 96,841 Shares Issued in Lieu of Cash Distributions............... 5,345 4,617 11,427 6,841 Shares Redeemed........................................... (20,440) (24,880) (36,343) (89,769) --------- --------- ---------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... 8,037 19,924 15,768 13,913 ========= ========= ========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (134) $ 5,011 $ 49,219 $ 37,940
International Vector Equity Portfolio -------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- -------- (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 4,764 $ 5,813 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 7,432 5,866 Foreign Currency Transactions............................ 96 77 Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities and Foreign Currency............... 53,317 28,748 Translation of Foreign Currency Denominated Amounts...... 18 27 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 65,627 40,531 -------- -------- Distributions From:......................................... Net Investment Income:.................................... Institutional Class Shares............................... (3,496) (5,380) Net Long-Term Gains:...................................... Institutional Class Shares............................... (2,419) -- -------- -------- Total Distributions..................................... (5,915) (5,380) -------- -------- Capital Share Transactions (1):............................. Shares Issued............................................. 80,294 109,333 Shares Issued in Lieu of Cash Distributions............... 5,629 5,137 Shares Redeemed........................................... (27,229) (49,042) -------- -------- Net Increase (Decrease) from Capital Share Transactions........................................... 58,694 65,428 -------- -------- Total Increase (Decrease) in Net Assets................. 118,406 100,579 Net Assets Beginning of Period....................................... 363,123 262,544 -------- -------- End of Period............................................. $481,529 $363,123 ======== ======== (1) Shares Issued and Redeemed: Shares Issued............................................. 7,316 11,526 Shares Issued in Lieu of Cash Distributions............... 534 590 Shares Redeemed........................................... (2,481) (5,261) -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... 5,369 6,855 ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 2,354 $ 1,086
See accompanying Notes to Financial Statements. 94 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
World ex U.S. Emerging Markets Value Portfolio Portfolio ------------------------- ---------------------- For the Period Six Months Aug. 23, Six Months Year Ended 2010(a) to Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- -------------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations:............................................ Net Investment Income (Loss)......................... $ 383 $ 40 $ 15,517 $ 37,045 Capital Gain Distributions Received from Affiliated Investment Companies................................ 48 -- -- -- Net Realized Gain (Loss) on:......................... Investment Securities Sold.......................... 286 212 126,905 148,805 Foreign Currency Transactions*...................... 3 2 344 506 Change in Unrealized Appreciation (Depreciation) of:. Investment Securities and Foreign Currency.......... 4,037 3,256 123,764 317,270 Translation of Foreign Currency Denominated Amounts............................................ 2 (3) (1) (6) Change in Deferred Thailand Capital Gains Tax........ (4) (3) (476) (2,143) ------- ------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................... 4,755 3,504 266,053 501,477 ------- ------- ---------- ---------- Distributions From:.................................... Net Investment Income:............................... Institutional Class Shares.......................... (206) -- (10,928) (34,414) Net Short-Term Gains:................................ Institutional Class Shares.......................... (19) -- (77) (2,485) Net Long-Term Gains:................................. Institutional Class Shares.......................... (195) -- (136,141) (29,814) ------- ------- ---------- ---------- Total Distributions................................ (420) -- (147,146) (66,713) ------- ------- ---------- ---------- Capital Share Transactions (1):........................ Shares Issued........................................ 9,508 28,812 296,651 464,965 Shares Issued in Lieu of Cash Distributions.......... 420 -- 134,996 60,045 Shares Redeemed...................................... (498) (2,700) (348,689) (553,564) ------- ------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions...................................... 9,430 26,112 82,958 (28,554) ------- ------- ---------- ---------- Total Increase (Decrease) in Net Assets............ 13,765 29,616 201,865 406,210 Net Assets Beginning of Period.................................. 29,616 -- 2,372,498 1,966,288 ------- ------- ---------- ---------- End of Period........................................ $43,381 $29,616 $2,574,363 $2,372,498 ======= ======= ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................................ 804 2,860 9,668 16,688 Shares Issued in Lieu of Cash Distributions.......... 37 -- 4,568 2,260 Shares Redeemed...................................... (42) (252) (11,486) (20,100) ------- ------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......................................... 799 2,608 2,750 (1,152) ======= ======= ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 223 $ 46 $ 7,859 $ 3,270
Emerging Markets Small Cap Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations:............................................ Net Investment Income (Loss)......................... $ 10,576 $ 23,479 Capital Gain Distributions Received from Affiliated Investment Companies................................ -- -- Net Realized Gain (Loss) on:......................... Investment Securities Sold.......................... 74,460 97,897 Foreign Currency Transactions*...................... (266) 76 Change in Unrealized Appreciation (Depreciation) of:. Investment Securities and Foreign Currency.......... 43,846 373,644 Translation of Foreign Currency Denominated Amounts............................................ 67 (72) Change in Deferred Thailand Capital Gains Tax........ (428) (2,963) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................... 128,255 492,061 ---------- ---------- Distributions From:.................................... Net Investment Income:............................... Institutional Class Shares.......................... (7,986) (22,294) Net Short-Term Gains:................................ Institutional Class Shares.......................... -- -- Net Long-Term Gains:................................. Institutional Class Shares.......................... (58,359) -- ---------- ---------- Total Distributions................................ (66,345) (22,294) ---------- ---------- Capital Share Transactions (1):........................ Shares Issued........................................ 295,802 468,984 Shares Issued in Lieu of Cash Distributions.......... 53,551 18,296 Shares Redeemed...................................... (109,162) (257,967) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions...................................... 240,191 229,313 ---------- ---------- Total Increase (Decrease) in Net Assets............ 302,101 699,080 Net Assets Beginning of Period.................................. 1,833,038 1,133,958 ---------- ---------- End of Period........................................ $2,135,139 $1,833,038 ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................................ 12,716 22,700 Shares Issued in Lieu of Cash Distributions.......... 2,310 933 Shares Redeemed...................................... (4,623) (13,059) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......................................... 10,403 10,574 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 5,803 $ 3,213
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. *Net of foreign capital gain taxes withheld of $0, $0, $199, $0, $163 and $179, respectively. See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Value Portfolio ------------------------ Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets.............................................. Operations:.................................................................... Net Investment Income (Loss)................................................. $ 58,667 $ 125,933 Net Realized Gain (Loss) on:................................................. Investment Securities Sold.................................................. 187,988 577,480 Foreign Currency Transactions*.............................................. (1,476) (3,090) Change in Unrealized Appreciation (Depreciation) of:......................... Investment Securities and Foreign Currency.................................. 1,005,623 1,724,116 Translation of Foreign Currency Denominated Amounts......................... 223 2 Change in Deferred Thailand Capital Gains Tax................................ (6,364) (9,879) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations............ 1,244,661 2,414,562 ----------- ----------- Distributions From:............................................................ Net Investment Income:....................................................... Class R2 Shares............................................................. (113) (5,375) Institutional Class Shares.................................................. (43,731) (109,197) Net Short-Term Gains:........................................................ Class R2 Shares............................................................. (224) (513) Institutional Class Shares.................................................. (67,767) (65,356) Net Long-Term Gains:......................................................... Class R2 Shares............................................................. (1,580) (909) Institutional Class Shares.................................................. (477,706) (115,729) ----------- ----------- Total Distributions........................................................ (591,121) (297,079) ----------- ----------- Capital Share Transactions (1):................................................ Shares Issued................................................................ 3,477,054 3,348,220 Shares Issued in Lieu of Cash Distributions.................................. 547,866 272,770 Shares Redeemed.............................................................. (863,240) (1,562,283) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................... 3,161,680 2,058,707 ----------- ----------- Total Increase (Decrease) in Net Assets.................................... 3,815,220 4,176,190 Net Assets..................................................................... Beginning of Period.......................................................... 11,582,538 7,406,348 ----------- ----------- End of Period................................................................ $15,397,758 $11,582,538 =========== =========== (1) Shares Issued and Redeemed:................................................ Shares Issued................................................................ 97,725 121,548 Shares Issued in Lieu of Cash Distributions.................................. 15,834 12,712 Shares Redeemed.............................................................. (24,474) (53,662) Shares Reduced by Conversion of Shares (Note G).............................. (19,608) -- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.................... 69,477 80,598 =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 27,637 $ 12,814
Emerging Markets Core Equity Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets.............................................. Operations:.................................................................... Net Investment Income (Loss)................................................. $ 27,620 $ 51,443 Net Realized Gain (Loss) on:................................................. Investment Securities Sold.................................................. 3,271 35,721 Foreign Currency Transactions*.............................................. (2,186) (776) Change in Unrealized Appreciation (Depreciation) of:......................... Investment Securities and Foreign Currency.................................. 407,434 789,087 Translation of Foreign Currency Denominated Amounts......................... 139 (19) Change in Deferred Thailand Capital Gains Tax................................ (1,611) (4,133) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............ 434,667 871,323 ---------- ---------- Distributions From:............................................................ Net Investment Income:....................................................... Class R2 Shares............................................................. -- -- Institutional Class Shares.................................................. (20,180) (48,768) Net Short-Term Gains:........................................................ Class R2 Shares............................................................. -- -- Institutional Class Shares.................................................. -- -- Net Long-Term Gains:......................................................... Class R2 Shares............................................................. -- -- Institutional Class Shares.................................................. -- -- ---------- ---------- Total Distributions........................................................ (20,180) (48,768) ---------- ---------- Capital Share Transactions (1):................................................ Shares Issued................................................................ 1,116,553 1,458,158 Shares Issued in Lieu of Cash Distributions.................................. 18,058 43,732 Shares Redeemed.............................................................. (318,787) (599,598) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.................... 815,824 902,292 ---------- ---------- Total Increase (Decrease) in Net Assets.................................... 1,230,311 1,724,847 Net Assets..................................................................... Beginning of Period.......................................................... 4,179,882 2,455,035 ---------- ---------- End of Period................................................................ $5,410,193 $4,179,882 ========== ========== (1) Shares Issued and Redeemed:................................................ Shares Issued................................................................ 51,130 77,138 Shares Issued in Lieu of Cash Distributions.................................. 842 2,449 Shares Redeemed.............................................................. (14,631) (32,331) Shares Reduced by Conversion of Shares (Note G).............................. -- -- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................... 37,341 47,256 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 16,003 $ 8,563
-------- *Net of foreign capital gain taxes withheld of $669, $1,720, $1,842 and $982, respectively. See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio --------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 --------------------------------------------------------------------------------- Income From Investment Operations....... Net Investment Income (Loss)........... 0.03(A) 0.07(A) 0.05(A) 0.39(A) 0.30(A) Net Gains (Losses) on Securities (Realized and Unrealized)............ 1.20 1.05 0.61 (3.74) 0.45 --------------------------------------------------------------------------------- Total From Investment Operations..... 1.23 1.12 0.66 (3.35) 0.75 -------------------------------------------------------------------------------------------------------------------------- Less Distributions...................... Net Investment Income.................. (0.01) (0.07) (0.59) (0.36) (0.36) Net Realized Gains..................... -- -- (0.06) (0.73) (0.43) ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (0.01) (0.07) (0.65) (1.09) (0.79) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 8.75 $ 7.53 $ 6.48 $ 6.47 $ 10.91 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Total Return............................ 16.40%(C) 17.40% 12.23% (33.89)%(C) 7.13% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $ 172,990 $ 157,730 $ 165,231 $ 200,331 $ 337,050 Ratio of Expenses to Average Net Assets. 0.27%(B) 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) Ratio of Net Investment Income to Average Net Assets..................... 0.85%(B) 0.98% 0.86% 4.74%(B) 2.67% Portfolio Turnover Rate................. 72%(C) 78% 46%* N/A N/A -------------------------------------------------------------------------------------------------------------------------- U.S. Large Cap Value Portfolio --------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40 ---------- ---------- ---------- ---------- ---------- Income From Investment Operations....... Net Investment Income (Loss)........... 0.15(A) 0.33(A) 0.31(A) 0.36(A) 0.33(A) Net Gains (Losses) on Securities (Realized and Unrealized)............ 3.92 2.76 1.28 (8.83) (0.43) ---------- ---------- ---------- ---------- ---------- Total From Investment Operations..... 4.07 3.09 1.59 (8.47) (0.10) -------------------------------------------------------------------------------------------------------------------------- Less Distributions...................... Net Investment Income.................. (0.17) (0.32) (0.34) (0.35) (0.32) Net Realized Gains..................... -- -- (0.02) (1.04) (0.54) ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (0.17) (0.32) (0.36) (1.39) (0.86) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 22.48 $ 18.58 $ 15.81 $ 14.58 $ 24.44 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Total Return............................ 22.00%(C) 19.72% 11.76% (36.63)%(C) (0.49)% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $8,132,534 $6,921,036 $5,863,652 $5,330,448 $7,535,552 Ratio of Expenses to Average Net Assets. 0.28%(B)(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D) Ratio of Net Investment Income to Average Net Assets..................... 1.50%(B) 1.86% 2.26% 1.86%(B) 1.28% Portfolio Turnover Rate................. N/A N/A N/A N/A N/A --------------------------------------------------------------------------------------------------------------------------
Enhanced U.S. Large Company Portfolio -------------------------------- Year Year Ended Ended Nov. 30, Nov. 30, 2006 2005 ------------------------------------------------------------------------------ Net Asset Value, Beginning of Period.... $ 9.82 $ 9.35 ------------------------------------- Income From Investment Operations....... Net Investment Income (Loss)........... 0.12(A) 0.29 Net Gains (Losses) on Securities (Realized and Unrealized)............ 1.19 0.37 ------------------------------------- Total From Investment Operations..... 1.31 0.66 ------------------------------------------------------------------------------ Less Distributions...................... Net Investment Income.................. (0.18) (0.19) Net Realized Gains..................... -- -- ---------- ---------- Total Distributions.................. (0.18) (0.19) ------------------------------------------------------------------------------ Net Asset Value, End of Period.......... $ 10.95 $ 9.82 ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Total Return............................ 13.52% 7.08% ------------------------------------------------------------------------------ Net Assets, End of Period (thousands)... $ 347,216 $ 313,543 Ratio of Expenses to Average Net Assets. 0.26%(D) 0.34%(D) Ratio of Net Investment Income to Average Net Assets..................... 1.19% 3.11% Portfolio Turnover Rate................. N/A N/A ------------------------------------------------------------------------------ U.S. Large Cap Value Portfolio -------------------------------- Year Year Ended Ended Nov. 30, Nov. 30, 2006 2005 ------------------------------------------------------------------------------ Net Asset Value, Beginning of Period.... $ 21.93 $ 19.37 ---------- ---------- Income From Investment Operations....... Net Investment Income (Loss)........... 0.38(A) 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)............ 3.50 2.49 ---------- ---------- Total From Investment Operations..... 3.88 2.79 ------------------------------------------------------------------------------ Less Distributions...................... Net Investment Income.................. (0.35) (0.23) Net Realized Gains..................... (0.06) -- ---------- ---------- Total Distributions.................. (0.41) (0.23) ------------------------------------------------------------------------------ Net Asset Value, End of Period.......... $ 25.40 $ 21.93 ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Total Return............................ 17.97% 14.49% ------------------------------------------------------------------------------ Net Assets, End of Period (thousands)... $6,410,086 $4,046,083 Ratio of Expenses to Average Net Assets. 0.28%(D) 0.30%(D) Ratio of Net Investment Income to Average Net Assets..................... 1.64% 1.48% Portfolio Turnover Rate................. N/A N/A ------------------------------------------------------------------------------
*For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in securities rather than through the Series. **Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+ ----------------------------------------- Period Six Months Year Year Jan. 31, Ended Ended Ended 2008(a) April 30, Oct. 31, Oct. 31, to Oct. 31, 2011 2010 2009 2008 ----------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 14.75 $ 11.73 $ 10.92 $ 14.69 ------- ------- ------- ------- Income From Investment Operations............................ Net Investment Income (Loss)(A)............................ 0.05 0.07 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized). 3.59 3.07 0.87 (3.76) ------- ------- ------- ------- Total From Investment Operations.......................... 3.64 3.14 0.99 (3.63) ----------------------------------------------------------------------------------------------------------------- Less Distributions........................................... Net Investment Income...................................... (0.05) (0.12) (0.18) (0.14) Net Realized Gains......................................... (0.03) -- -- -- ------- ------- ------- ------- Total Distributions....................................... (0.08) (0.12) (0.18) (0.14) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 18.31 $ 14.75 $ 11.73 $ 10.92 ----------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------- Total Return................................................. 24.77%(C) 26.93% 9.36% (24.96)%(C) ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $53,925 $41,316 $31,393 $25,599 Ratio of Expenses to Average Net Assets...................... 0.48%(B) 0.49% 0.52% 0.50%(B)(E) Ratio of Net Investment Income to Average Net Assets......... 0.57%(B) 0.59% 1.12% 1.24%(B)(E) Portfolio Turnover Rate...................................... 10%(C) 20% 17% 20%(C) -----------------------------------------------------------------------------------------------------------------
U.S. Targeted Value Portfolio-Class R2 Shares+ ---------------------------------------- Period Six Months Year Year June 30, Ended Ended Ended 2008(a) April 30, Oct. 31, Oct. 31, to Oct. 31, 2011 2010 2009 2008 ------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $14.76 $11.74 $10.91 $ 13.94 ------ ------ ------ ------- Income From Investment Operations............................ Net Investment Income (Loss)(A)............................ 0.03 0.05 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized). 3.59 3.07 0.88 (3.02) ------ ------ ------ ------- Total From Investment Operations.......................... 3.62 3.12 0.98 (2.97) ------------------------------------------------------------------------------------------------------------- Less Distributions........................................... Net Investment Income...................................... (0.05) (0.10) (0.15) (0.06) Net Realized Gains......................................... (0.03) -- -- -- ------ ------ ------ ------- Total Distributions....................................... (0.08) (0.10) (0.15) (0.06) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $18.30 $14.76 $11.74 $ 10.91 ------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------- Total Return................................................. 24.55%(C) 26.66% 9.23% (21.40)%(C) ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $9,351 $5,967 $2,930 $ 1,715 Ratio of Expenses to Average Net Assets...................... 0.63%(B) 0.64% 0.67% 0.66%(B)(E) Ratio of Net Investment Income to Average Net Assets......... 0.38%(B) 0.44% 0.91% 1.35%(B)(E) Portfolio Turnover Rate...................................... 10%(C) 20% 17% 20%(C) -------------------------------------------------------------------------------------------------------------
+All per share amounts and net assets values have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares ----------------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.. $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33 $ 17.09 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations.......... Net Investment Income (Loss)..... 0.06(A) 0.09(A) 0.12(A) 0.18(A) 0.20(A) 0.21(A) 0.32 Net Gains (Losses) on Securities (Realized and Unrealized)....... 3.58 3.06 0.88 (4.68) (1.32) 2.84 1.59 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations....... 3.64 3.15 1.00 (4.50) (1.12) 3.05 1.91 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions... Net Investment Income............ (0.06) (0.09) (0.14) (0.15) (0.20) (0.25) (0.23) Net Realized Gains.. (0.03) -- -- (0.40) (1.48) (1.44) (1.44) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.... (0.09) (0.09) (0.14) (0.55) (1.68) (1.69) (1.67) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 18.31 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- Total Return......... 24.74%(C) 27.02% 9.47% (29.27)%(C) (6.59)% 19.48% 12.17% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).. $2,968,313 $2,223,982 $1,449,437 $ 855,448 $ 554,805 $ 215,338 $ 172,595 Ratio of Expenses to Average Net Assets.............. 0.38%(B) 0.38% 0.41% 0.40%(B) 0.41%(D)** 0.46%(D) 0.47%(D) Ratio of Net Investment Income to Average Net Assets.............. 0.67%(B) 0.69% 1.19% 1.39%(B) 1.12% 1.19% 1.91% Portfolio Turnover Rate................ 10%(C) 20% 17% 20%(C) 9%(C)* N/A N/A --------------------------------------------------------------------------------------------------------------------------------- U.S. Small Cap Value Portfolio ----------------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.. $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74 $ 27.71 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations.......... Net Investment Income (Loss)..... 0.08(A) 0.09(A) 0.04(A) 0.18(A) 0.30(A) 0.28(A) 0.29 Net Gains (Losses) on Securities (Realized and Unrealized)....... 5.68 4.79 1.54 (7.86) (2.72) 5.06 2.66 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations....... 5.76 4.88 1.58 (7.68) (2.42) 5.34 2.95 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions... Net Investment Income............ (0.08) (0.08) (0.21) (0.22) (0.28) (0.23) (0.26) Net Realized Gains.. -- -- -- (2.27) (2.40) (2.26) (1.66) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.... (0.08) (0.08) (0.21) (2.49) (2.68) (2.49) (1.92) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 28.17 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- Total Return......... 25.68%(C) 27.69% 9.97% (31.80)%(C) (8.41)% 20.29% 11.32% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).. $7,964,497 $6,555,277 $5,669,659 $5,503,945 $8,802,846 $8,738,278 $6,924,234 Ratio of Expenses to Average Net Assets.............. 0.52%(B) 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) 0.53%(D) 0.55%(D) Ratio of Net Investment Income to Average Net Assets.............. 0.60%(B) 0.43% 0.27% 0.86%(B) 0.98% 0.94% 1.04% Portfolio Turnover Rate................ 6%(C) 19% 21%+ N/A N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------------------
* For the period March 30, 2007 through November 30, 2007. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series. **Represents the combined ratios for the respective portfolio and for the period December 1, 2006 through March 29, 2007, its respective pro-rata share of its Master Fund Series. + For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, U.S. Small Cap Value Portfolio invests directly in securities rather than through the Series. ++Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio ------------------------------------------------------------------------------------------------------ Period Period Sept. 15, Six Months Year Year Dec. 1, Year Year 2005(a) Ended Ended Ended 2007 to Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22 $ 10.00 ---------- ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations............... Net Investment Income (Loss)................. 0.08(A) 0.15(A) 0.15(A) 0.17(A) 0.19(A) 0.17(A) 0.03 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.91 1.61 0.73 (4.03) 0.35 1.28 0.19 ---------- ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations............ 1.99 1.76 0.88 (3.86) 0.54 1.45 0.22 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions........ Net Investment Income.... (0.08) (0.12) (0.15) (0.16) (0.18) (0.17) -- Net Realized Gains....... -- -- -- -- (0.03) -- -- ---------- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.... 0.08) (0.12) (0.15) (0.16) (0.21) (0.17) -- --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 12.09 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- Total Return.............. 19.65%(C) 20.80% 11.64% (32.85)%(C) 4.68% 14.35% 2.20%(C) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $3,796,105 $2,897,409 $1,989,583 $1,320,562 $1,210,031 $ 652,270 $123,591 Ratio of Expenses to Average Net Assets....... 0.19%(B) 0.20% 0.22% 0.20%(B) 0.20% 0.23% 0.23%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).. 0.19%(B) 0.20% 0.22% 0.20%(B) 0.20% 0.23% 0.37%(B)(E) Ratio of Net Investment Income to Average Net Assets................... 1.45%(B) 1.53% 2.02% 1.78%(B) 1.53% 1.52% 1.85%(B)(E) Portfolio Turnover Rate... 2%(C) 4% 7% 5%(C) 10% 6% 0%(C) --------------------------------------------------------------------------------------------------------------------------------- U.S. Core Equity 2 Portfolio ------------------------------------------------------------------------------------------------------ Period Period Sept. 15, Six Months Year Year Dec. 1, Year Year 2005(a) Ended Ended Ended 2007 to Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24 $ 10.00 ---------- ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations............... Net Investment Income (Loss)................. 0.07(A) 0.14(A) 0.14(A) 0.17(A) 0.19(A) 0.17(A) 0.03 Net Gains (Losses) on Securities (Realized and Unrealized)........ 2.02 1.64 0.66 (4.04) 0.13 1.40 0.21 ---------- ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations............ 2.09 1.78 0.80 (3.87) 0.32 1.57 0.24 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions........ Net Investment Income.... (0.08) (0.11) (0.14) (0.17) (0.17) (0.16) -- Net Realized Gains....... -- -- -- -- (0.03) -- -- ---------- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.... (0.08) (0.11) (0.14) (0.17) (0.20) (0.16) -- --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 12.07 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- Total Return.............. 20.86%(C) 21.41% 10.66% (33.16)%(C) 2.78% 15.50% 2.40%(C) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $6,157,620 $4,990,367 $3,804,325 $2,501,028 $2,939,420 $1,216,310 $182,078 Ratio of Expenses to Average Net Assets....... 0.22%(B) 0.23% 0.24% 0.23%(B) 0.23% 0.26% 0.26%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).. 0.22%(B) 0.23% 0.24% 0.23%(B) 0.23% 0.26% 0.38%(B)(E) Ratio of Net Investment Income to Average Net Assets................... 1.35%(B) 1.47% 1.89% 1.77%(B) 1.55% 1.55% 1.92%(B)(E) Portfolio Turnover Rate... 4%(C) 7% 4% 8%(C) 7% 5% 0%(C) ---------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Vector Equity Portfolio ---------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 ---------- ---------- ---------- -------- -------- Income From Investment Operations.................. Net Investment Income (Loss)(A).................. 0.06 0.10 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 2.18 1.79 0.57 (3.89) (0.25) ---------- ---------- ---------- -------- -------- Total From Investment Operations................ 2.24 1.89 0.68 (3.74) (0.09) -------------------------------------------------------------------------------------------------------------------- Less Distributions................................. Net Investment Income............................ (0.06) (0.10) (0.13) (0.16) (0.14) Net Realized Gains............................... -- -- -- -- (0.18) ---------- ---------- ---------- -------- -------- Total Distributions............................. (0.06) (0.10) (0.13) (0.16) (0.32) -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 12.00 $ 9.82 $ 8.03 $ 7.48 $ 11.38 -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Total Return....................................... 22.91%(C) 23.65% 9.47% (33.29)%(C) (0.87)% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $2,010,219 $1,558,423 $1,178,114 $850,623 $959,742 Ratio of Expenses to Average Net Assets............ 0.33%(B) 0.33% 0.35% 0.34%(B) 0.34% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)............... 0.33%(B) 0.33% 0.35% 0.34%(B) 0.33% Ratio of Net Investment Income to Average Net Assets............................................ 1.07%(B) 1.13% 1.60% 1.66%(B) 1.29% Portfolio Turnover Rate............................ 5%(C) 11% 11% 11%(C) 14% --------------------------------------------------------------------------------------------------------------------
U.S. Vector Equity Portfolio ---------------------------- Period Dec. 30, 2005(a) to Nov. 30, 2006 -------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............... $ 10.00 -------- Income From Investment Operations.................. Net Investment Income (Loss)(A).................. 0.13 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.73 -------- Total From Investment Operations................ 1.86 -------------------------------------------------------------------------------- Less Distributions................................. Net Investment Income............................ (0.07) Net Realized Gains............................... -- -------- Total Distributions............................. (0.07) -------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 11.79 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Total Return....................................... 18.65%(C) -------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $403,312 Ratio of Expenses to Average Net Assets............ 0.36%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)............... 0.39%(B)(E) Ratio of Net Investment Income to Average Net Assets............................................ 1.24%(B)(E) Portfolio Turnover Rate............................ 24%(C) --------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Portfolio --------------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period. $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75 $ 19.13 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations.......... Net Investment Income (Loss)..... 0.09(A) 0.13(A) 0.06(A) 0.14(A) 0.21(A) 0.17(A) 0.15 Net Gains (Losses) on Securities (Realized and Unrealized)....... 4.71 4.17 1.65 (6.08) (0.66) 2.84 1.75 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations....... 4.80 4.30 1.71 (5.94) (0.45) 3.01 1.90 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions... Net Investment Income............ (0.10) (0.13) (0.17) (0.17) (0.21) (0.13) (0.13) Net Realized Gains.. -- -- -- (1.18) (1.16) (1.17) (0.15) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.... (0.10) (0.13) (0.17) (1.35) (1.37) (1.30) (0.28) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 23.76 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Return......... 25.26%(C) 28.99% 13.08% (30.67)%(C) (2.17)% 15.49% 10.04% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).. $4,529,855 $3,391,457 $2,522,001 $2,066,849 $3,285,093 $3,297,199 $2,641,670 Ratio of Expenses to Average Net Assets.............. 0.38%(B) 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) 0.38%(D) 0.40%(D) Ratio of Net Investment Income to Average Net Assets.............. 0.87%(B) 0.76% 0.50% 0.86%(B) 0.95% 0.82% 0.78% Portfolio Turnover Rate................ 8%(C) 19% 17%* N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------- U.S. Micro Cap Portfolio --------------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period. $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91 $ 15.06 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations.......... Net Investment Income (Loss)..... 0.05(A) 0.06(A) 0.03(A) 0.10(A) 0.14(A) 0.10(A) 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)....... 2.88 2.68 0.54 (4.32) (0.69) 2.04 1.43 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations....... 2.93 2.74 0.57 (4.22) (0.55) 2.14 1.50 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions... Net Investment Income............ (0.05) (0.06) (0.19) (0.13) (0.13) (0.08) (0.06) Net Realized Gains.. -- -- -- (1.26) (1.35) (1.14) (0.59) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.... (0.05) (0.06) (0.19) (1.39) (1.48) (1.22) (0.65) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 15.13 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Return......... 23.99%(C) 28.77% 6.61% (31.33)%(C) (3.63)% 14.52% 10.33% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).. $3,786,545 $3,178,286 $2,818,365 $2,924,225 $4,700,371 $4,824,003 $3,949,511 Ratio of Expenses to Average Net Assets.............. 0.53%(B) 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) 0.53%(D) 0.55%(D) Ratio of Net Investment Income to Average Net Assets.............. 0.74%(B) 0.58% 0.38% 0.91%(B) 0.89% 0.64% 0.48% Portfolio Turnover Rate................ 6%(C) 9% 12%* N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------
* For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, the Portfolios invest directly in securities rather than through the Series. ** Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio -------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.................. $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75 $ 23.02 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations................. Net Investment Income (Loss)................... 0.15(A) 0.58(A) 0.58(A) 0.64(A) 0.62(A) 0.64(A) 0.82 Net Gains (Losses) on Securities (Realized and Unrealized).......... 3.15 5.92 (0.62) (9.28) (5.64) 8.84 3.33 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.............. 3.30 6.50 (0.04) (8.64) (5.02) 9.48 4.15 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions.......... Net Investment Income...... (0.23) (0.55) (0.83) (0.30) (0.70) (1.02) (0.86) Net Realized Gains......... -- -- -- (2.10) (0.88) (0.41) (0.56) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions...... (0.23) (0.55) (0.83) (2.40) (1.58) (1.43) (1.42) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 24.31 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Return................ 15.69%(C) 43.21% 0.98% (34.46)%(C) (15.45)% 38.23% 18.81% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $3,156,407 $2,689,552 $2,018,559 $1,746,961 $2,671,457 $2,837,026 $1,836,650 Ratio of Expenses to Average Net Assets......... 0.33%(B) 0.33% 0.36% 0.33%(B) 0.33% 0.33% 0.37% Ratio of Net Investment Income to Average Net Assets..................... 1.41%(B) 3.13% 4.54% 3.01%(B) 1.99% 2.25% 3.11% Portfolio Turnover Rate..... 2%(C) 2% 2% 13%(C) 17% 10% 3% ------------------------------------------------------------------------------------------------------------------------------- Large Cap International Portfolio -------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.................. $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00 $ 17.31 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations................. Net Investment Income (Loss)................... 0.30(A) 0.48(A) 0.48(A) 0.68(A) 0.68(A) 0.55(A) 0.44 Net Gains (Losses) on Securities (Realized and Unrealized).......... 2.28 1.43 3.16 (12.06) 3.57 4.68 1.72 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.............. 2.58 1.91 3.64 (11.38) 4.25 5.23 2.16 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions.......... Net Investment Income...... (0.20) (0.51) (0.43) (0.64) (0.67) (0.63) (0.47) Net Realized Gains......... -- -- -- (0.35) -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions...... (0.20) (0.51) (0.43) (0.99) (0.67) (0.63) (0.47) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 21.80 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Return................ 13.42%(C) 10.99% 25.20% (43.14)%(C) 18.18% 28.00% 12.73% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $1,923,777 $1,616,686 $1,364,351 $1,206,860 $2,224,180 $1,673,239 $1,125,455 Ratio of Expenses to Average Net Assets......... 0.29%(B) 0.30% 0.32% 0.29%(B) 0.29% 0.29% 0.37% Ratio of Net Investment Income to Average Net Assets..................... 2.96%(B) 2.65% 3.14% 3.18%(B) 2.62% 2.56% 2.41% Portfolio Turnover Rate..... 2%(C) 7% 12% 12%(C) 5% 4% 4% -------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 103 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Core Equity Portfolio -------------------------------------------------------------------------------------------- Period Period Sept. 15, Six Months Year Year Dec. 1, Year Year 2005(a) Ended Ended Ended 2007 to Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07 $ 10.00 ---------- ---------- ---------- ---------- ---------- -------- -------- Income From Investment Operations.................... Net Investment Income (Loss)(A)................... 0.15 0.23 0.23 0.37 0.35 0.28 0.04 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.51 0.96 2.32 (6.76) 1.54 2.71 0.03 ---------- ---------- ---------- ---------- ---------- -------- -------- Total From Investment Operations................. 1.66 1.19 2.55 (6.39) 1.89 2.99 0.07 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions............. Net Investment Income......... (0.11) (0.20) (0.22) (0.35) (0.32) (0.24) -- Net Realized Gains............ -- -- -- (0.15) (0.04) -- -- ---------- ---------- ---------- ---------- ---------- -------- -------- Total Distributions......... (0.11) (0.20) (0.22) (0.50) (0.36) (0.24) -- ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 12.33 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Total Return................... 15.51%(C) 12.48% 34.81% (45.76)%(C) 14.83% 30.06% 0.70%(C) ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $6,063,718 $4,866,989 $3,699,842 $1,981,049 $2,342,187 $851,077 $121,249 Ratio of Expenses to Average Net Assets.................... 0.39%(B) 0.40% 0.41% 0.41%(B) 0.41% 0.48% 0.49%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees)....... 0.39%(B) 0.40% 0.41% 0.41%(B) 0.41% 0.46% 0.90%(B)(E) Ratio of Net Investment Income to Average Net Assets.. 2.64%(B) 2.31% 2.84% 3.39%(B) 2.49% 2.35% 1.89%(B)(E) Portfolio Turnover Rate........ 2%(C) 2% 5% 4%(C) 4% 2% 0%(C) ----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Small Company Portfolio -------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19 $ 14.12 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)................... 0.17 0.28 0.28 0.44 0.43 0.36 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)................. 2.65 2.13 3.91 (9.55) 2.07 4.02 2.38 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................. 2.82 2.41 4.19 (9.11) 2.50 4.38 2.69 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income......... (0.23) (0.26) (0.27) (0.45) (0.46) (0.36) (0.29) Net Realized Gains............ -- -- -- (1.17) (0.67) (0.78) (0.33) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.23) (0.26) (0.27) (1.62) (1.13) (1.14) (0.62) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 18.73 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Total Return................... 17.64%(C) 17.61% 42.34% (47.13)%(C) 13.29% 28.51% 19.74% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $7,005,535 $5,511,594 $4,269,864 $3,084,373 $5,597,209 $4,546,071 $2,725,231 Ratio of Expenses to Average Net Assets (D) 0.55%(B) 0.56% 0.57% 0.55%(B) 0.55% 0.56% 0.64% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D) 0.55%(B) 0.56% 0.57% 0.55%(B) 0.55% 0.56% 0.64% Ratio of Net Investment Income to Average Net Assets 1.96%(B) 1.94% 2.48% 2.90%(B) 2.03% 2.04% 2.05% ---------------------------------------------------------------------------------------------------------------------------- Japanese Small Company Portfolio -------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Ended Ended Ended 2007 to Ended Year Ended Year Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97 $ 13.99 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)................... 0.17 0.22 0.22 0.29 0.27 0.22 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.50 (0.18) 2.39 (4.78) (0.52) (0.73) 4.00 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................. 1.67 0.04 2.61 (4.49) (0.25) (0.51) 4.16 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income......... (0.10) (0.23) (0.26) (0.29) (0.23) (0.23) (0.18) Net Realized Gains............ -- -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.10) (0.23) (0.26) (0.29) (0.23) (0.23) (0.18) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 15.70 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97 ---------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- Total Return................... 11.62%(C) 0.33% 22.08% (27.16)%(C) (1.51)% (2.94)% 30.13% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 169,030 $ 114,933 $ 114,058 $ 133,373 $ 199,080 $ 168,957 $ 169,995 Ratio of Expenses to Average Net Assets (D) 0.57%(B) 0.57% 0.59% 0.58%(B) 0.56% 0.61% 0.68% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D) 0.57%(B) 0.57% 0.59% 0.58%(B) 0.56% 0.58% 0.68% Ratio of Net Investment Income to Average Net Assets 2.23%(B) 1.52% 1.68% 2.18%(B) 1.51% 1.19% 1.03% ----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio ------------------------------------------------------------------------------------ Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28 $ 14.54 -------- -------- -------- ------- -------- ------- ------- Income From Investment Operations....... Net Investment Income (Loss)........... 0.34(A) 0.69(A) 0.50(A) 0.83(A) 0.79(A) 0.64(A) 0.70 Net Gains (Losses) on Securities (Realized and Unrealized)............ 3.00 4.99 8.95 (17.04) 8.43 4.92 0.54 -------- -------- -------- ------- -------- ------- ------- Total From Investment Operations..... 3.34 5.68 9.45 (16.21) 9.22 5.56 1.24 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions...................... Net Investment Income.................. (0.94) (0.63) (0.53) (0.85) (0.75) (0.58) (0.50) Net Realized Gains..................... -- -- -- -- -- -- -- Return of Capital...................... -- -- -- -- -- -- -- -------- -------- -------- ------- -------- ------- ------- Total Distributions.................. (0.94) (0.63) (0.53) (0.85) (0.75) (0.58) (0.50) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 28.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28 ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- Total Return............................ 13.39%(C) 28.36% 84.11% (57.94)%(C) 46.55% 37.52% 8.81% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $169,602 $131,511 $101,853 $64,044 $146,307 $71,537 $38,927 Ratio of Expenses to Average Net Assets(D).............................. 0.60%(B) 0.63% 0.65% 0.62%(B) 0.62% 0.64% 0.74% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D).................... 0.60%(B) 0.61% 0.65% 0.61%(B) 0.59% 0.64% 0.86% Ratio of Net Investment Income to Average Net Assets..................... 2.62%(B) 3.14% 3.53% 3.85%(B) 3.13% 3.68% 3.89% ----------------------------------------------------------------------------------------------------------------------------- United Kingdom Small Company Portfolio ------------------------------------------------------------------------------------ Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65 $ 23.47 -------- -------- -------- ------- -------- ------- ------- Income From Investment Operations....... Net Investment Income (Loss)........... 0.29(A) 0.50(A) 0.55(A) 0.77(A) 0.78(A) 0.61(A) 0.64(A) Net Gains (Losses) on Securities (Realized and Unrealized)............ 3.89 4.41 5.44 (15.84) (0.08) 9.61 2.15 -------- -------- -------- ------- -------- ------- ------- Total From Investment Operations..... 4.18 4.91 5.99 (15.07) 0.70 10.22 2.79 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions...................... Net Investment Income.................. (0.29) (0.50) (0.43) (0.72) (1.03) (0.68) (0.59) Net Realized Gains..................... -- -- -- (1.22) (1.35) (1.22) (1.02) Return of Capital...................... -- -- -- (0.01) -- -- -- -------- -------- -------- ------- -------- ------- ------- Total Distributions.................. (0.29) (0.50) (0.43) (1.95) (2.38) (1.90) (1.61) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 28.13 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65 ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- Total Return............................ 16.76%(C) 25.37% 42.81% (50.97)%(C) 1.94% 44.15% 12.35% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $ 39,407 $ 33,751 $ 27,863 $25,883 $ 37,139 $31,808 $20,578 Ratio of Expenses to Average Net Assets(D).............................. 0.59%(B) 0.60% 0.61% 0.59%(B) 0.59% 0.60% 0.70% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D).................... 0.63%(B) 0.64% 0.70% 0.65%(B) 0.62% 0.67% 0.89% Ratio of Net Investment Income to Average Net Assets..................... 2.31%(B) 2.39% 3.62% 3.41%(B) 2.28% 2.20% 2.70% ----------------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes............................................................
See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Continental Small Company Portfolio ---------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78 $ 14.12 -------- -------- -------- ------- -------- ------- ------- Income From Investment Operations Net Investment Income (Loss) 0.14(A) 0.27(A) 0.28(A) 0.52(A) 0.40(A) 0.31(A) 0.21 Net Gains (Losses) on Securities (Realized and Unrealized) 3.24 1.89 4.29 (11.32) 3.00 6.28 2.28 -------- -------- -------- ------- -------- ------- ------- Total From Investment Operations 3.38 2.16 4.57 (10.80) 3.40 6.59 2.49 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions Net Investment Income (0.09) (0.25) (0.28) (0.45) (0.38) (0.34) (0.30) Net Realized Gains -- -- -- (0.96) (0.54) (1.56) (0.53) Return of Capital -- -- -- (0.01) -- -- -- -------- -------- -------- ------- -------- ------- ------- Total Distributions (0.09) (0.25) (0.28) (1.42) (0.92) (1.90) (0.83) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 20.22 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78 ------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------ Total Return 20.10%(C) 14.85% 43.12% (49.89)%(C) 16.99% 46.33% 18.42% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $157,868 $128,106 $110,926 $93,988 $170,909 $90,261 $52,061 Ratio of Expenses to Average Net Assets 0.58%(B)(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(D) 0.62%(D) 0.71%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) 0.58%(B)(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D) 0.61%(D) 0.78%(D) Ratio of Net Investment Income (Loss) to Average Net Assets 1.57%(B) 1.78% 2.39% 3.04%(B) 1.70% 1.78% 1.77% Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------
DFA International Real Estate Securities Portfolio ------------------------------------------------------------------------ Period Six Months Year Year Dec. 1, Period Ended Ended Ended 2007 to March 1, 2007(a) April 30, Oct. 31, Oct. 31, Oct. 31, to 2011 2010 2009 2008 Nov. 30, 2007 -------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00 ---------- -------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss) 0.20(A) 0.31(A) 0.26(A) 0.34(A) 0.23(A) Net Gains (Losses) on Securities (Realized and Unrealized) 0.46 0.58 0.91 (5.08) (0.76) ---------- -------- -------- -------- -------- Total Fr\om Investment Operations 0.66 0.89 1.17 (4.74) (0.53) -------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income (0.65) (0.55) (0.11) (0.43) (0.12) Net Realized Gains -- -- -- -- -- Return of Capital -- -- -- -- -- ---------- -------- -------- -------- -------- Total Distributions (0.65) (0.55) (0.11) (0.43) (0.12) -------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 5.59 $ 5.58 $ 5.24 $ 4.18 $ 9.35 -------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------- Total Return 13.59%(C) 18.96% 29.25% (52.85)%(C) (5.38)%(C) -------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $1,110,224 $958,554 $742,329 $394,480 $336,840 Ratio of Expenses to Average Net Assets 0.42%(B) 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/ or Recovery of Previously Waived Fees) 0.42%(B) 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Net Investment Income (Loss) to Average Net Assets 7.73%(B) 6.42% 6.40% 5.20%(B) 3.50%(B)(E) Portfolio Turnover Rate 7%(C) 6% 5% 1%(C) 2%(C) -------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio --------------------------------------------------- Period Six Months Year Year June 4, Ended Ended Ended 2008(a) to April 30, Oct. 31, Oct. 31, Oct. 31, 2011 2010 2009 2008 --------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period $ 8.28 $ 6.75 $ 6.04 $ 10.00 -------- -------- -------- ------- Income From Investment Operations Net Investment Income (Loss)(A) 0.43 0.40 0.19 -- Net Gains (Losses) on Securities (Realizedand Unrealized) 0.71 1.60 0.62 (3.96) -------- -------- -------- ------- Total From Investment Operations................. 1.14 2.00 0.81 (3.96) --------------------------------------------------------------------------------------------- Less Distributions Net Investment Income (0.54) (0.47) (0.10) -- Net Realized Gains -- -- -- -- -------- -------- -------- ------- Total Distributions (0.54) (0.47) (0.10) -- --------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 8.88 $ 8.28 $ 6.75 $ 6.04 --------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------- Total Return 14.83%(C) 31.38% 13.81% (39.60)%(C) --------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $816,819 $695,461 $432,502 $90,672 Ratio of Expenses to Average Net Assets 0.41%(B)(D) 0.41%(D) 0.47%(D) 0.54%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) 0.73%(B)(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets 10.55%(B) 5.59% 3.40% (0.04)%(B)(E) Portfolio Turnover Rate N/A N/A N/A N/A ---------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio ----------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57 $ 15.16 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A) 0.15 0.24 0.26 0.52 0.46 0.36 0.40 Net Gains (Losses) on Securities (Realizedand Unrealized) 3.05 1.22 4.14 (9.60) 1.66 4.95 2.77 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................. 3.20 1.46 4.40 (9.08) 2.12 5.31 3.17 -------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income (0.13) (0.22) (0.24) (0.58) (0.53) (0.38) (0.36) Net Realized Gains (0.29) -- (0.06) (1.57) (1.25) (0.79) (0.40) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.42) (0.22) (0.30) (2.15) (1.78) (1.17) (0.76) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 18.94 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57 -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- Total Return 20.17%(C) 10.01% 41.42% (45.17)%(C) 10.25% 31.73% 21.75% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $9,275,519 $7,655,318 $6,859,957 $4,799,748 $8,180,859 $6,733,067 $4,128,428 Ratio of Expenses to Average Net Assets 0.70%(B) 0.70% 0.71% 0.69%(B) 0.69% 0.70% 0.75% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) 0.70%(B) 0.70% 0.71% 0.69%(B) 0.69% 0.70% 0.75% Ratio of Net Investment Income to Average Net Assets 1.70%(B) 1.57% 2.19% 3.22%(B) 2.03% 1.85% 2.44% Portfolio Turnover Rate 10%(C) 18% 22% 16%(C) 18% 14% 13% -------------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.........................................................
See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Vector Equity Portfolio World ex U.S. Value Portfolio ------------------------------------------ ---------------------------- Period Six Months Year Year August 14, Six Months Period Ended Ended Ended 2008(a) to Ended Aug. 23, 2010(a) April 30, Oct. 31, Oct. 31, Oct. 31, April 30, to 2011 2010 2009 2008 2011 Oct. 31, 2010 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) (Unaudited) Net Asset Value, Beginning of Period.............................. $ 10.28 $ 9.22 $ 6.74 $ 10.00 $ 11.35 $ 10.00 -------- -------- -------- ------- ------- ------- Income From Investment Operations.... Net Investment Income (Loss) (A).... 0.12 0.18 0.17 0.06 0.13 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)......... 1.59 1.05 2.46 (3.32) 1.40 1.33 -------- -------- -------- ------- ------- ------- Total From Investment Operations.. 1.71 1.23 2.63 (3.26) 1.53 1.35 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions................... Net Investment Income............... (0.09) (0.17) (0.15) -- (0.07) -- Net Realized Gains.................. (0.07) -- -- -- (0.08) -- -------- -------- -------- ------- ------- ------- Total Distributions............... (0.16) (0.17) (0.15) -- (0.15) -- ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period....... $ 11.83 $ 10.28 $ 9.22 $ 6.74 $ 12.73 $ 11.35 ------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------ Total Return......................... 16.83%(C) 13.62% 39.52% (32.60)%(C) 13.65%(C) 13.50%(C) ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)......................... $481,529 $363,123 $262,544 $66,774 $43,381 $29,616 Ratio of Expenses to Average Net Assets.............................. 0.53%(B) 0.54% 0.60% 0.60%(B)(E) 0.60%(B)(D) 0.90%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)............................... 0.53%(B) 0.53% 0.59% 1.15%(B)(E) 0.91%(B)(D) 1.37%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.................. 2.30%(B) 1.91% 2.31% 3.01%(B)(E) 2.14%(B) 0.76%(B)(E) Portfolio Turnover Rate.............. 4%(C) 5% 8% 0%(C) N/A N/A ------------------------------------------------------------------------------------------------------------------------------ See page 1 & 2 for the Definitions of Abbreviations and Footnotes.............................................................
See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Portfolio ----------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............................. $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89 $ 15.61 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations.... Net Investment Income (Loss)(A)..... 0.20 0.48 0.42 0.70 0.64 0.48 0.58 Net Gains (Losses) on Securities (Realized and Unrealized)......... 3.18 6.07 8.42 (16.85) 9.88 5.61 4.13 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.. 3.38 6.55 8.84 (16.15) 10.52 6.09 4.71 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions................... Net Investment Income............... (0.14) (0.46) (0.41) (0.69) (0.53) (0.58) (0.43) Net Realized Gains.................. (1.77) (0.42) (0.25) (1.34) (0.16) -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (1.91) (0.88) (0.66) (2.03) (0.69) (0.58) (0.43) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 32.37 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89 -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- Total Return......................... 11.53%(C) 26.53% 53.39% (48.37)%(C) 42.08% 31.31% 30.65% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $2,574,363 $2,372,498 $1,966,288 $1,508,260 $3,388,442 $2,344,990 $1,805,186 Ratio of Expenses to Average Net Assets(D)........................... 0.60%(B) 0.60% 0.62% 0.60%(B) 0.60% 0.61% 0.69% Ratio of Net Investment Income to Average Net Assets.................. 1.29%(B) 1.76% 2.15% 2.59%(B) 2.12% 2.13% 3.28% -------------------------------------------------------------------------------------------------------------------------------- Emerging Markets Small Cap Portfolio ----------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............................. $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37 $ 11.44 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations.... Net Investment Income (Loss)(A)..... 0.13 0.34 0.26 0.44 0.31 0.30 0.27 Net Gains (Losses) on Securities (Realized and Unrealized)......... 1.31 6.79 8.14 (12.95) 6.86 4.86 2.37 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.. 1.44 7.13 8.40 (12.51) 7.17 5.16 2.64 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions................... Net Investment Income............... (0.10) (0.32) (0.28) (0.41) (0.26) (0.26) (0.22) Net Realized Gains.................. (0.76) -- -- (1.49) (1.13) (0.31) (0.49) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.86) (0.32) (0.28) (1.90) (1.39) (0.57) (0.71) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 24.84 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37 -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- Total Return......................... 6.21%(C) 41.33% 91.35% (57.00)%(C) 42.58% 39.95% 24.27% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $2,135,139 $1,833,038 $1,133,958 $ 547,329 $1,458,152 $ 838,948 $ 482,378 Ratio of Expenses to Average Net Assets(D)........................... 0.76%(B) 0.78% 0.80% 0.77%(B) 0.78% 0.81% 0.97% Ratio of Net Investment Income to Average Net Assets.................. 1.11%(B) 1.70% 2.05% 2.61%(B) 1.48% 1.92% 2.21% -------------------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes...............................................................
See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio- Institutional Class Emerging Markets Value Portfolio-Class R2 Shares + Shares ------------------------------------------- ------------- Period Jan. 29, Six Six Months Year Year 2008(a) Months Ended Ended Ended to Ended April 30, Oct. 31, Oct. 31, Oct. 31, April 30, 2011 2010 2009 2008 2011 --------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period....................... $ 36.35 $ 46.84 $ 85.43 $187.35 $ 36.27 ------- ------- ------- ------- ----------- Income from Investment Operations................... Net Investment Income (Loss). 0.11(A) 0.56(A) 0.56(A) 3.93(A) 0.16(A) Net Gains (Losses) on Securities (Realized and Unrealized)................ 2.97 9.18 21.36 (92.36) 3.05 ------- ------- ------- ------- ----------- Total from Investment Operations................. 3.08 9.74 21.92 (88.43) 3.21 --------------------------------------------------------------------------------------------------- Less Distributions............ Net Investment Income........ (0.10) (7.12) (6.00) (13.49) (0.13) Net Realized Gains........... (1.63) (13.11) (54.52) -- (1.63) ------- ------- ------- ------- ----------- Total Distributions........ (1.73) (20.23) (60.52) (13.49) (1.76) --------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 37.70 $ 36.35 $ 46.83 $ 85.43 $ 37.72 --------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------- Total Return.................. 8.93%(C) 29.71% 78.29% (50.51)%(C) 9.30%(C) --------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $45,012 $39,668 $ 5,082 $ 1,799 $15,352,746 Ratio of Expenses to Average Net Assets (D)............... 0.85%(B) 0.86% 0.90% 0.92%(B)(E) 0.59%(B) Ratio of Net Investment Income to Average Net Assets. 0.62%(B) 1.39% 1.39% 3.35%(B)(E) 0.89%(B) ---------------------------------------------------------------------------------------------------
Emerging Markets Value Portfolio-Institutional Class Shares ----------------------------------------------------------------------------------- Period Year Year Dec. 1, Year Year Year Ended Ended 2007 to Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period....................... $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86 $ 17.93 ----------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations................... Net Investment Income (Loss). 0.45(A) 0.38(A) 0.98(A) 0.78(A) 0.60(A) 0.50 Net Gains (Losses) on Securities (Realized and Unrealized)................ 8.01 12.41 (25.48) 14.82 8.65 4.96 ----------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 8.46 12.79 (24.50) 15.60 9.25 5.46 ------------------------------------------------------------------------------------------------------------------- Less Distributions............ Net Investment Income........ (0.39) (0.34) (1.00) (0.63) (0.60) (0.44) Net Realized Gains........... (0.70) (2.91) (0.99) (0.38) (0.25) (0.09) ----------- ---------- ---------- ---------- ---------- ---------- Total Distributions........ (1.09) (3.25) (1.99) (1.01) (0.85) (0.53) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86 ------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------- Total Return.................. 30.04% 78.59% (55.65)%(C) 50.98% 41.55% 31.06% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $11,542,870 $7,401,266 $3,735,580 $7,485,802 $4,283,696 $2,077,480 Ratio of Expenses to Average Net Assets (D)............... 0.60% 0.62% 0.60%(B) 0.60% 0.63% 0.70% Ratio of Net Investment Income to Average Net Assets. 1.40% 1.76% 2.82%(B) 2.00% 2.22% 2.45% -------------------------------------------------------------------------------------------------------------------
+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) Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio --------------------------------------------------------------------------------------------- Period Period April 5, Six Months Year Year Dec. 1, Year Year 2005(a) Ended Ended Ended 2007 to Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54 $ 10.00 ---------- ---------- ---------- ---------- ---------- -------- -------- Income From Investment Operations............... Net Investment Income (Loss)................. 0.13(A) 0.30(A) 0.25(A) 0.43(A) 0.35(A) 0.27(A) 0.10 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.83 4.81 6.56 (11.27) 6.10 3.54 1.51 ---------- ---------- ---------- ---------- ---------- -------- -------- Total From Investment Operations............ 1.96 5.11 6.81 (10.84) 6.45 3.81 1.61 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions........ Net Investment Income.... (0.10) (0.29) (0.20) (0.40) (0.32) (0.22) (0.07) Net Realized Gains....... -- -- -- (0.08) (0.06) -- -- ---------- ---------- ---------- ---------- ---------- -------- -------- Total Distributions.... (0.10) (0.29) (0.20) (0.48) (0.38) (0.22) (0.07) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 23.17 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Total Return.............. 9.24%(C) 31.30% 69.47% (51.93)%(C) 43.20% 33.39% 16.12%(C) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $5,410,193 $4,179,882 $2,455,035 $1,155,526 $1,829,466 $822,136 $218,563 Ratio of Expenses to Average Net Assets....... 0.65%(B) 0.65% 0.67% 0.65%(B) 0.65% 0.74% 1.00%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).. 0.65%(B) 0.65% 0.67% 0.65%(B) 0.65% 0.72% 1.09%(B)(E) Ratio of Net Investment Income to Average Net Assets................... 1.20%(B) 1.63% 2.03% 2.62%(B) 1.87% 2.02% 1.79%(B)(E) Portfolio Turnover Rate... 0%(C) 4% 6% 3%(C) 2% 6% 2%(C) ------------------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes..............................................................
See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of sixty operational portfolios, of which twenty-six (the "Portfolios") are included in this report and the remaining thirty-four are presented in separate reports. Of the Portfolios, eight invest all of their assets in a corresponding series of The DFA Investment Trust Company and one invests in the Dimensional Emerging Markets Value Fund. DFA Global Real Estate Securities Portfolio invests in two portfolios of the DFA Investment Dimensions Group Inc. and World ex U.S. Value Portfolio invests in portfolios within The DFA Investment Trust Company, DFA Investment Dimensions Group Inc. and Dimensional Emerging Markets Value Fund.
Percentage Ownership Feeder Funds Master Funds at 04/30/11 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78% Japanese Small Company Portfolio The Japanese Small Company Series 11% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 15% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 3% Continental Small Company Portfolio The Continental Small Company Series 6% Emerging Markets Portfolio The Emerging Markets Series 94% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 98% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 98% Fund of Funds ------------- International Small Company Portfolio The Japanese Small Company Series 89% The Asia Pacific Small Company Series 85% The United Kingdom Small Company Series 97% The Continental Small Company Series 94% The Canadian Small Company Series 100% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 14% DFA International Real Estate Securities Portfolio 32% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series --
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 and World ex U.S. Value Portfolio also invest in short-term temporary cash investments. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. Prior to March 30, 2007, U.S.Targeted Value Portfolio invested substantially all of its assets in shares of The U.S. Targeted Value Series. At the close of business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata share of cash and securities from The U.S. Targeted Value Series in a complete liquidation of its interest 113 in the Series. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. The Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio invest directly in securities rather than through a Master Fund. See Federal Income Taxes note for more information regarding these transactions. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the 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 - 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 Portfolios' own assumptions in determining the fair value of investments) Securities held by Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio (the "Domestic Equity Portfolios") and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio and Emerging Markets Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is taken 114 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. These securities are generally categorized as Level 2 in the hierarchy. 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 the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Debt Securities held by Enhanced U.S. Large Company Portfolio, (the "Fixed Income Portfolio"), are valued on the basis of prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are classified as Level 2 in the hierarchy. Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy. Master Fund shares held by DFA Global Real Estate Securities Portfolio and World ex U.S. Value Portfolio are valued at their respective daily net asset value. The Feeder Funds, International Small Company Portfolio and World ex U.S. Value Portfolio's investments reflect proportionate interest in the net assets of their corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. A summary of inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed 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. 115 The Portfolios did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2011. 2. Foreign Currency Translation: Securities and other assets and liabilities of Enhanced U.S. Large Company Portfolio and the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. Enhanced U.S. Large Company Portfolio also enters into forward currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked to market daily based on daily forward exchange rates. The International Equity Portfolios do not isolate the effect of fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, Enhanced U.S. Large Company Portfolio does isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and Enhanced U.S. Large Company Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: 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 or Other Expenses. Each Director 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 shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2011, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. 116 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 R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Portfolio. Income, gains and losses, and common expenses of the Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. 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 and Emerging Markets Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis, from their respective Master Funds, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Core Equity Portfolio's investments in Thailand and the investments in Thailand held by the Master Funds of Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. Emerging Markets Core Equity Portfolio and the Master Funds of Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio each accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. These funds are also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned. C. Investment Advisor and Administrator: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors/Trustees, and other administrative services. For the six months ended April 30, 2011, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio*............. 0.05% U.S. Targeted Value Portfolio*..................... 0.10% U.S. Small Cap Value Portfolio*.................... 0.20% 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............... 0.30% Large Cap International Portfolio.................. 0.25% International Core Equity Portfolio................ 0.35% DFA International Real Estate Securities Portfolio. 0.35% DFA Global Real Estate Securities Portfolio........ 0.35%
117 DFA International Small Cap Value Portfolio. 0.65% International Vector Equity Portfolio....... 0.45% World ex U.S. Value Portfolio............... 0.47% Emerging Markets Core Equity Portfolio...... 0.55%
For the six months ended April 30, 2011, the Feeder Funds' and 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 administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio*. 0.15% U.S. Large Cap Value Portfolio......... 0.15% U.S. Targeted Value Portfolio*......... 0.25% U.S. Small Cap Value Portfolio*........ 0.30% U.S. Small Cap Portfolio*.............. 0.32% U.S. Micro Cap Portfolio*.............. 0.40% International Small Company Portfolio.. 0.40% Japanese Small Company Portfolio....... 0.40% Asia Pacific Small Company Portfolio... 0.40% United Kingdom Small Company Portfolio. 0.40% Continental Small Company Portfolio.... 0.40% Emerging Markets Portfolio............. 0.40% Emerging Markets Small Cap Portfolio... 0.45% Emerging Markets Value Portfolio....... 0.40%
* Effective March 30, 2007, U.S. Targeted Value Portfolio, and on February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio no longer invest substantially all of their assets in their respective Series. Instead, the Portfolios' assets are managed directly in accordance with the Portfolios' investment objective and strategies, pursuant to an investment management agreement between the Fund, on behalf of the Portfolios, and Dimensional, which previously was the manager of the Series' assets. The investment advisory fee paid by the Portfolios are identical to the advisory fee that was charged to the Series. Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2012, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the six months ended April 30, 2011, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The 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 Assumed Expense Waived Fees/ Subject to Future Institutional Class Shares Limits Expenses Assumed Recovery -------------------------- ------- ---------------- ----------------- U.S. Targeted Value Portfolio (1). 0.50% -- -- U.S. Core Equity 1 Portfolio (2).. 0.23% -- -- U.S. Core Equity 2 Portfolio (2).. 0.26% -- --
118
Previously Recovery Waived Fees/ of Previously Expenses Assumed Expense Waived Fees/ Subject to Future Institutional Class Shares Limits Expenses Assumed Recovery -------------------------- ------- ---------------- ----------------- U.S. Vector Equity Portfolio (2)....................... 0.36% -- -- International Core Equity Portfolio (2)................ 0.49% -- -- International Small Company Portfolio (3).............. 0.45% -- -- Japanese Small Company Portfolio (3)................... 0.47% -- -- Asia Pacific Small Company Portfolio (3)............... 0.47% -- -- United Kingdom Small Company Portfolio (3)............. 0.47% -- $ 54 Continental Small Company Portfolio (3)................ 0.47% -- -- DFA International Real Estate Securities Portfolio (2). 0.65% -- -- DFA Global Real Estate Securities Portfolio (4)........ 0.55% -- 3,697 International Vector Equity Portfolio (2).............. 0.60% -- -- World ex U.S. Value Portfolio (8)...................... 0.60% -- 80 Emerging Markets Core Equity Portfolio (2)............. 0.85% -- -- Class R1 Shares --------------- U.S. Targeted Value Portfolio (5)...................... 0.62% -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (6)...................... 0.77% -- -- Emerging Markets Value Portfolio (7)................... 0.96% -- --
(1) The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolios 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. At any time that the annualized expenses of the Portfolio are less than the rate listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above. (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of a Portfolio are less than the rates 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 applicable percentage of average net assets on an annualized basis, as listed above. (3) The Advisor has contractually agreed to waive its administration fee and to assume each Portfolio's other direct expenses (not including expenses incurred through its investment in other investment companies) 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 Fee Waiver and Expense Assumption Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund(s). At any time that the direct expenses of a Portfolio are less than the rates listed above as a percentage of average net assets on an annualized basis, 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 applicable percentage of average net assets on an annualized basis, as listed above. 119 (4) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) ("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. At any time that the annualized Portfolio Expenses of the Portfolio are less than the rate listed above as a percentage of average net assets on an annualized basis, 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 applicable percentage of average net assets on an annualized basis, as listed above. The Advisor has 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. (5) The Advisor has contractually agreed to waive all or a portion of its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R1 Shares to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the Class R1 Shares' annualized expenses are less than the rate listed above as a percentage of average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above. (6) The Advisor has contractually agreed to waive all or a portion of its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R2 Shares to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the Class R2 Shares' annualized expenses are less than the rate listed above as a percentage of average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above. (7) The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding administration fees and custodian fees) to the extent necessary to limit the expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) of the Class R2 shares to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate 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 expenses to exceed the applicable percentage of average net assets, as listed above. (8) 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) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed the rate listed above as a percentage of average net assets on an annualized basis the ("Expense Limitation Amount"). The maximum amount that may be waived to limit Portfolio Expenses pursuant to this paragraph is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio's Expense Limitation Amount, the Advisor retains the right to seek reimbursement for the amount of any Remaining Management Fees previously waived to the extent that such reimbursement will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount. 120 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 six months ended April 30, 2011, the total related amounts paid by the Fund to the CCO were $109 (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 April 30, 2011, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): Enhanced U.S. Large Company Portfolio.............. $ 6 U.S. Large Cap Value Portfolio..................... 199 U.S. Targeted Value Portfolio...................... 51 U.S. Small Cap Value Portfolio..................... 197 U.S. Core Equity 1 Portfolio....................... 68 U.S. Core Equity 2 Portfolio....................... 123 U.S. Vector Equity Portfolio....................... 39 U.S. Small Cap Portfolio........................... 87 U.S. Micro Cap Portfolio........................... 99 DFA Real Estate Securities Portfolio............... 65 Large Cap International Portfolio.................. 46 International Core Equity Portfolio................ 116 International Small Company Portfolio.............. 139 Japanese Small Company Portfolio................... 4 Asia Pacific Small Company Portfolio............... 3 United Kingdom Small Company Portfolio............. 1 Continental Small Company Portfolio................ 4 DFA International Real Estate Securities Portfolio. 21 DFA Global Real Estate Securities Portfolio........ 11 DFA International Small Cap Value Portfolio........ 217 International Vector Equity Portfolio.............. 8 World ex U.S. Value Portfolio...................... -- Emerging Markets Portfolio......................... 63 Emerging Markets Small Cap Portfolio............... 35 Emerging Markets Value Portfolio................... 232 Emerging Markets Core Equity Portfolio............. 81
E. Purchases and Sales of Securities: For the six months ended April 30, 2011, 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. $35,060 $36,437 $ 88,870 $ 73,339 U.S. Targeted Value Portfolio......... -- -- 473,318 273,305 U.S. Small Cap Value Portfolio........ -- -- 473,768 657,133
121
U.S. Government Other Investment Securities Securities ----------------- ------------------ Purchases Sales Purchases Sales --------- ------- --------- -------- U.S. Core Equity 1 Portfolio....................... -- -- $385,254 $ 64,858 U.S. Core Equity 2 Portfolio....................... -- -- 342,363 206,758 U.S. Vector Equity Portfolio....................... -- -- 187,487 93,928 U.S. Small Cap Portfolio........................... -- -- 601,020 321,897 U.S. Micro Cap Portfolio........................... -- -- 220,298 336,831 DFA Real Estate Securities Portfolio............... -- -- 150,846 60,299 Large Cap International Portfolio.................. -- -- 130,669 30,612 International Core Equity Portfolio................ -- -- 529,912 82,929 DFA International Real Estate Securities Portfolio. -- -- 112,312 72,054 DFA International Small Cap Value Portfolio........ -- -- 864,586 804,411 International Vector Equity Portfolio.............. -- -- 70,757 14,972 Emerging Markets Core Equity Portfolio............. -- -- 832,943 19,988
F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2010, primarily attributable to net realized gains on securities considered to be "passive foreign investment companies", non-deductible offering costs, foreign bond bifurcation, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes and 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. -- $ (15) $ 15 U.S. Large Cap Value Portfolio........ -- -- -- U.S. Targeted Value Portfolio......... $ 30 (200) 170 U.S. Small Cap Value Portfolio........ 55,514 (388) (55,126) U.S. Core Equity 1 Portfolio.......... -- (16) 16 U.S. Core Equity 2 Portfolio.......... -- (42) 42 U.S. Vector Equity Portfolio.......... -- (24) 24 U.S. Small Cap Portfolio.............. (104) (144) 248 U.S. Micro Cap Portfolio.............. -- (258) 258 DFA Real Estate Securities Portfolio.. -- 4 (4) Large Cap International Portfolio..... -- 383 (383) International Core Equity Portfolio... (13) 971 (958) International Small Company Portfolio. (8,877) 11,998 (3,121)
122
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Japanese Small Company Portfolio................... $(4,574) $ 81 $ 4,493 Asia Pacific Small Company Portfolio............... (259) 100 159 United Kingdom Small Company Portfolio............. (74) 33 41 Continental Small Company Portfolio................ (195) 476 (281) DFA International Real Estate Securities Portfolio. 136 790 (926) DFA Global Real Estate Securities Portfolio........ 101 (101) -- DFA International Small Cap Value Portfolio........ 13,148 16,536 (29,684) International Vector Equity Portfolio.............. 207 (62) (145) World ex U.S. Value Portfolio...................... (4) 6 (2) Emerging Markets Portfolio......................... 15,558 (2,642) (12,916) Emerging Markets Small Cap Portfolio............... 2,294 (295) (1,999) Emerging Markets Value Portfolio................... 48,632 (11,121) (37,511) Emerging Markets Core Equity Portfolio............. -- (776) 776
The tax character of dividends and distributions declared and paid during the year ended October 31, 2009 and the year ended October 31, 2010 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 2009.................................. $ 19,564 -- $ 19,564 2010.................................. 1,589 -- 1,589 U.S. Large Cap Value Portfolio 2009.................................. 130,238 -- 130,238 2010.................................. 116,599 -- 116,599 U.S. Targeted Value Portfolio 2009.................................. 14,179 -- 14,179 2010.................................. 12,576 $ 7 12,583 U.S. Small Cap Value Portfolio 2009.................................. 69,882 -- 69,882 2010.................................. 25,747 -- 25,747 U.S. Core Equity 1 Portfolio 2009.................................. 31,598 -- 31,598 2010.................................. 31,326 -- 31,326 U.S. Core Equity 2 Portfolio 2009.................................. 55,009 -- 55,009 2010.................................. 53,941 -- 53,941
123
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- U.S. Vector Equity Portfolio 2009............................................... $16,454 -- $16,454 2010............................................... 14,799 -- 14,799 U.S. Small Cap Portfolio 2009............................................... 26,412 -- 26,412 2010............................................... 21,528 -- 21,528 U.S. Micro Cap Portfolio 2009............................................... 57,816 -- 57,816 2010............................................... 17,526 -- 17,526 DFA Real Estate Securities Portfolio 2009............................................... 95,934 -- 95,934 2010............................................... 70,908 -- 70,908 Large Cap International Portfolio 2009............................................... 32,286 -- 32,286 2010............................................... 40,390 -- 40,390 International Core Equity Portfolio 2009............................................... 77,469 -- 77,469 2010............................................... 83,173 -- 83,173 International Small Company Portfolio 2009............................................... 81,118 -- 81,118 2010............................................... 84,604 -- 84,604 Japanese Small Company Portfolio 2009............................................... 2,426 -- 2,426 2010............................................... 1,845 -- 1,845 Asia Pacific Small Company Portfolio 2009............................................... 2,724 -- 2,724 2010............................................... 3,162 -- 3,162 United Kingdom Small Company Portfolio 2009............................................... 658 -- 658 2010............................................... 694 -- 694 Continental Small Company Portfolio 2009............................................... 2,087 -- 2,087 2010............................................... 1,863 -- 1,863 DFA International Real Estate Securities Portfolio 2009............................................... 11,227 -- 11,227 2010............................................... 79,025 -- 79,025
124
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- DFA Global Real Estate Securities Portfolio 2009........................................ $ 2,370 -- $ 2,370 2010........................................ 30,971 -- 30,971 DFA International Small Cap Value Portfolio 2009........................................ 108,717 $ 25,188 133,905 2010........................................ 108,095 6,990 115,085 International Vector Equity Portfolio 2009........................................ 3,671 -- 3,671 2010........................................ 5,534 54 5,588 Emerging Markets Portfolio 2009........................................ 36,673 23,932 60,605 2010........................................ 40,081 42,220 82,301 Emerging Markets Small Cap Portfolio 2009........................................ 16,832 -- 16,832 2010........................................ 22,951 1,637 24,588 Emerging Markets Value Portfolio 2009........................................ 114,611 518,510 633,121 2010........................................ 190,697 142,234 332,931 Emerging Markets Core Equity Portfolio 2009........................................ 29,028 -- 29,028 2010........................................ 48,768 -- 48,768
World ex U.S. Value Portfolio commenced operations on August 23, 2010 and did not pay any distributions for the year ended October 31, 2010. At October 31, 2010, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total - -------------- ------------- ------- U.S. Targeted Value Portfolio...................... $ 22 $ 7 $ 29 DFA International Real Estate Securities Portfolio. 162 -- 162 DFA Global Real Estate Securities Portfolio........ 101 -- 101 DFA International Small Cap Value Portfolio........ 6,406 6,990 13,396 International Vector Equity Portfolio.............. 154 54 208 Emerging Markets Portfolio......................... 3,182 12,406 15,588 Emerging Markets Small Cap Portfolio............... 657 1,637 2,294 Emerging Markets Value Portfolio................... 10,256 25,596 35,852
125 At October 31, 2010, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Earnings Short-Term Long-Term Loss (Accumulated Capital Gains Capital Gains Carryforward Losses) -------------- ------------- ------------ ------------- Enhanced U.S. Large Company Portfolio.............. $ 60 -- $ (83,155) $ (83,095) U.S. Large Cap Value Portfolio..................... 17,615 -- (1,943,065) (1,925,450) U.S. Targeted Value Portfolio...................... 2,337 $ 4,739 -- 7,076 U.S. Small Cap Value Portfolio..................... 3,841 -- (111,515) (107,674) U.S. Core Equity 1 Portfolio....................... 6,246 -- (81,149) (74,903) U.S. Core Equity 2 Portfolio....................... 12,077 -- (84,843) (72,766) U.S. Vector Equity Portfolio....................... 2,999 -- (83,542) (80,543) U.S. Small Cap Portfolio........................... 4,727 -- (202,569) (197,842) U.S. Micro Cap Portfolio........................... 3,313 -- (269,190) (265,877) DFA Real Estate Securities Portfolio............... 13,051 -- (190,348) (177,297) Large Cap International Portfolio.................. 6,285 -- (168,708) (162,423) International Core Equity Portfolio................ 23,835 -- (79,551) (55,716) International Small Company Portfolio.............. 62,669 -- (75,782) (13,113) Japanese Small Company Portfolio................... 746 -- (86,440) (85,694) Asia Pacific Small Company Portfolio............... 4,232 -- (33,364) (29,132) United Kingdom Small Company Portfolio............. 216 -- (2,879) (2,663) Continental Small Company Portfolio................ 655 -- (29,435) (28,780) DFA International Real Estate Securities Portfolio. 99,500 -- (86,757) 12,743 DFA Global Real Estate Securities Portfolio........ 5,020 -- (2,755) 2,265 DFA International Small Cap Value Portfolio........ 52,524 138,419 -- 190,943 International Vector Equity Portfolio.............. 2,022 2,417 -- 4,439 World ex U.S. Value Portfolio...................... 78 194 272 544 Emerging Markets Portfolio......................... 3,780 136,068 -- 139,848 Emerging Markets Small Cap Portfolio............... 3,840 58,346 -- 62,186 Emerging Markets Value Portfolio................... 82,579 479,238 -- 561,817 Emerging Markets Core Equity Portfolio............. 9,681 -- (53,657) (43,976)
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. As of October 31, 2010, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
2011 2012 2013 2014 2015 2016 2017 2018 Total - ---- ---- ---- ---- ------ -------- ---------- ------- ---------- Enhanced U.S. Large Company Portfolio. -- -- -- -- -- $ 83,155 -- -- $ 83,155 U.S. Large Cap Value Portfolio........ -- -- -- -- -- -- $1,943,065 -- 1,943,065 U.S. Small Cap Value Portfolio........ -- -- -- -- -- -- 111,515 -- 111,515 U.S. Core Equity 1 Portfolio.......... -- -- -- -- $2,284 18,644 60,221 -- 81,149 U.S. Core Equity 2 Portfolio.......... -- -- -- -- 5,654 42,181 37,008 -- 84,843 U.S. Vector Equity Portfolio.......... -- -- -- -- -- 3,326 80,216 -- 83,542 U.S. Small Cap Portfolio.............. -- -- -- -- -- 202,067 502 -- 202,569 U.S. Micro Cap Portfolio.............. -- -- -- -- -- 207,930 61,260 -- 269,190 DFA Real Estate Securities Portfolio.. -- -- -- -- -- 82,044 62,969 $45,335 190,348 Large Cap International Portfolio..... -- -- -- -- -- 19,004 135,393 14,311 168,708 International Core Equity Portfolio... -- -- -- -- -- -- 79,551 -- 79,551 International Small Company Portfolio. -- -- -- -- -- -- 75,782 -- 75,782
126
2011 2012 2013 2014 2015 2016 2017 2018 Total ------- ------ ------ ------ ------ ------- ------- ------- ------- Japanese Small Company Portfolio................... $19,912 $3,801 $3,055 $2,451 $8,004 $23,057 $13,952 $12,208 $86,440 Asia Pacific Small Company Portfolio............... 501 1,151 907 864 -- 21,680 8,261 -- 33,364 United Kingdom Small Company Portfolio............. -- -- -- -- -- 892 1,987 -- 2,879 Continental Small Company Portfolio................ -- -- -- -- -- 16,959 7,224 5,252 29,435 DFA International Real Estate Securities Portfolio -- -- -- -- 46 13,446 34,576 38,689 86,757 DFA Global Real Estate Securities Portfolio........ -- -- -- -- -- -- -- 2,755 2,755 Emerging Markets Core Equity Portfolio............. -- -- -- -- -- 27,213 26,444 -- 53,657
During the year ended October 31, 2010, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Enhanced U.S. Large Company Portfolio....... $ 24,806 U.S. Large Cap Value Portfolio.............. 498,328 U.S. Targeted Value Portfolio............... 82,599 U.S. Small Cap Value Portfolio.............. 462,423 U.S. Core Equity 1 Portfolio................ 981 U.S. Core Equity 2 Portfolio................ 9,909 U.S. Vector Equity Portfolio................ 11,136 U.S. Small Cap Portfolio.................... 178,052 U.S. Micro Cap Portfolio.................... 245,602 International Core Equity Portfolio......... 18,702 International Small Company Portfolio....... 155,578 Asia Pacific Small Company Portfolio........ 5,335 United Kingdom Small Company Portfolio...... 129 DFA International Small Cap Value Portfolio. 32,601 International Vector Equity Portfolio....... 3,383 Emerging Markets Small Cap Portfolio........ 37,102 Emerging Markets Core Equity Portfolio...... 35,738
For the year ended October 31, 2010, Japanese Small Company Portfolio had capital loss carryforward expirations of $4,453 (in thousands). Some of the Portfolios' investments and investments held by the Master Funds are in securities considered to be "passive foreign investment companies" for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for federal income tax purposes. At October 31, 2010, the following Portfolios had cumulative unrealized appreciation (depreciation) (mark to market) to be included in distributable net investment income for federal tax purposes. For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes. Amounts listed below are in thousands. 127
Mark to Market Realized Gains -------------- -------------- Large Cap International Portfolio.................. $ 1,994 -- International Core Equity Portfolio................ 6,636 $ 660 International Small Company Portfolio.............. 30,541 9,481 Japanese Small Company Portfolio................... 109 3 Asia Pacific Small Company Portfolio............... 3,577 44 United Kingdom Small Company Portfolio............. 12 -- Continental Small Company Portfolio................ 54 425 DFA International Real Estate Securities Portfolio. 102,024 688 DFA International Small Cap Value Portfolio........ 14,397 19,367 International Vector Equity Portfolio.............. 929 15 World ex U.S. Value Portfolio...................... -- -- Emerging Markets Portfolio......................... 434 -- Emerging Markets Small Cap Portfolio............... 590 285 Emerging Markets Value Portfolio................... 292 4 Emerging Markets Core Equity Portfolio............. 1,040 --
At April 30, 2011, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------- ------------ -------------- -------------- Enhanced U.S. Large Company Portfolio.............. $ 173,885 $ 4,562 $ (121) $ 4,441 U.S. Large Cap Value Portfolio..................... 5,528,601 2,639,034 (33,865) 2,605,169 U.S. Targeted Value Portfolio...................... 2,716,433 795,479 (128,476) 667,003 U.S. Small Cap Value Portfolio..................... 8,004,369 2,577,087 (1,006,718) 1,570,369 U.S. Core Equity 1 Portfolio....................... 3,362,560 889,724 (159,897) 729,827 U.S. Core Equity 2 Portfolio....................... 5,598,062 1,508,983 (426,081) 1,082,902 U.S. Vector Equity Portfolio....................... 1,851,902 518,586 (155,329) 363,257 U.S. Small Cap Portfolio........................... 4,461,462 1,540,902 (348,151) 1,192,751 U.S. Micro Cap Portfolio........................... 3,391,506 1,460,307 (536,791) 923,516 DFA Real Estate Securities Portfolio............... 2,994,218 1,009,048 (156,864) 852,184 Large Cap International Portfolio.................. 1,884,007 568,336 (164,202) 404,134 International Core Equity Portfolio................ 6,507,005 1,288,195 (533,092) 755,103 International Small Company Portfolio.............. 5,639,000 1,905,064 (546,584) 1,358,480 Japanese Small Company Portfolio................... 228,185 70,225 (129,314) (59,089) Asia Pacific Small Company Portfolio............... 131,801 89,080 (51,223) 37,857 United Kingdom Small Company Portfolio............. 31,024 29,728 (21,336) 8,392 Continental Small Company Portfolio................ 116,471 101,096 (59,640) 41,456 DFA International Real Estate Securities Portfolio 1,240,003 146,570 (83,993) 62,577 DFA Global Real Estate Securities Portfolio........ 611,140 232,074 (26,843) 205,231 DFA International Small Cap Value Portfolio........ 9,261,087 2,374,337 (1,407,931) 966,406 International Vector Equity Portfolio.............. 425,115 151,474 (15,294) 136,180 World ex U.S. Value Portfolio...................... 35,783 6,860 572 7,432 Emerging Markets Portfolio......................... 1,179,239 1,473,244 (77,197) 1,396,047
128
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- Emerging Markets Small Cap Portfolio... $ 1,439,542 $ 770,701 $ (74,294) $ 696,407 Emerging Markets Value Portfolio....... 11,261,434 4,735,469 (593,849) 4,141,620 Emerging Markets Core Equity Portfolio. 4,228,409 1,796,793 (152,727) 1,644,066
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Portfolio's tax postions and has concluded that no provision for income tax is required in any Portfolios' financial statements. No Portfolio is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next six months. Each of the Portfolios' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in a RIC/RIC master-feeder structure, each with a RIC feeder ("the Portfolios"), having 100% investment in their respective master fund, have each made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S) 301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, each master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owners, the respective portfolios (the RIC feeders), with the respective portfolios deemed the surviving entities. The final tax year end of the Master Funds was October 21, 2008 for The U.S. Micro Cap Series and The U.S. Small Cap Value Series and October 24, 2008 for The U.S. Small Cap Series. For Federal income tax purposes, pursuant to Code (S)337(a), each of the master funds recognizes no gain or loss and, pursuant to Code (S)332(a), each of the Portfolios recognizes no gain or loss on the deemed liquidation. However, pursuant to IRC (S)332 (c), each of the aforementioned Portfolios has recognized the master fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC Code (S)334(b)(1) and (S)1223, each of the Portfolios will maintain each respective master fund's holding period and tax basis in the assets deemed transferred to the respective Portfolio. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the master's investment securities were sold to its shareholders and, pursuant to IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008. On November 1, 2008, The Enhanced U.S. Large Company Series, a master fund in a RIC/RIC master-feeder structure and Enhanced U.S. Large Company Portfolio ("the Portfolio"), having 100% investment in its respective master fund, made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change the Series' federal entity classification from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, the master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owner, the Portfolio, with the Portfolio deemed the surviving entity. The final tax year end of the Master Fund was October 31, 2008. For Federal income tax purposes, pursuant to Code (S)337(a), the Master Fund did not recognize any gain or loss and, pursuant to Code (S)332(a), the 129 Portfolio did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC (S)332(c), the Portfolio has recognized the Master Fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC Code (S)334(b)(1) and (S)1223, the Portfolio will maintain its respective master fund's holding period and tax basis in the assets deemed transferred to the respective Portfolio. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure with one RIC feeder (Emerging Markets Value Portfolio) and other direct client investors, made a "Check-the-Box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principals for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund has a shareholder owning 80% or more of the fund's shares, and also has shareholders owning less than 80%, the transaction creates a non-taxable transaction, pursuant to Internal Revenue Code (S)332, for those owning more than 80%, and a taxable transaction, pursuant to Internal Revenue Code (S)331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of the master fund was October 31, 2009. For federal income tax purposes, pursuant to Code (S)336(a), the master fund recognizes gain or loss relative to the investment of the less than 80% shareholders as if the master's investment securities were sold to those shareholders and, pursuant to Code (S)331, each of those shareholders recognizes gain or loss as if it liquidated its investment in the master. Pursuant to Code (S)334(a), each of these shareholders will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date. In regards to the shareholder owning 80% or more of the master fund, pursuant to Code (S)332(a), the shareholder will not recognize any gain or loss on the deemed liquidation. However, pursuant to Code (S)332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it is utilized by the master fund to satisfy its dividends paid deduction for the tax year, must be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to Code (S)334(b)(1) and (S)1223, the 80% or greater shareholder's basis and holding period in the securities received in liquidation is the same as it was in the possession of the master. As a result of the transaction, Dimensional Emerging Markets Value Fund recognized a $104,402,506 and ($16,523) capital gain and currency loss respectively, for the tax year ended October 31, 2009. Certain prior year balances have been reclassified to conform with current year presentation. Such reclassifications impacted the paid-in capital, undistributed net investment income/distributions in excess of net investment income and accumulated net realized gain/loss components of net assets on the statements of assets and liabilities of International Small Company Portfolio and Emerging Markets Value Portfolio. These reclassifications had no impact on net assets, net asset value, the financial highlights or total return. 130 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Six Months Year Ended Ended April 30, 2011 Oct. 31, 2010 ------------------- -------------------- Amount Shares Amount Shares ---------- ------- ----------- ------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued........................................ $ 6,540 391 $ 7,401 778 Shares Issued in Lieu of Cash Distributions.......... 239 15 312 35 Shares Redeemed...................................... (4,337) (257) (5,936) (632) Shares Reduced by Reverse Stock Split................ -- (2) -- (1,314) ---------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ 2,442 147 $ 1,777 (1,133) ========== ======= =========== ======= Class R2 Shares Shares Issued........................................ $ 4,897 303 $ 5,859 572 Shares Issued in Lieu of Cash Distributions.......... 34 2 29 3 Shares Redeemed...................................... (3,133) (192) (3,559) (360) Shares Reduced by Reverse Stock Split................ -- (7) -- (159) ---------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 1,798 106 $ 2,329 56 ========== ======= =========== ======= Institutional Class Shares Shares Issued........................................ $ 541,614 31,836 $ 897,844 63,857 Shares Issued in Lieu of Cash Distributions.......... 12,763 786 11,187 862 Shares Redeemed...................................... (356,577) (21,160) (512,167) (37,960) ---------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 197,800 11,462 $ 396,864 26,759 ========== ======= =========== ======= Emerging Markets Value Portfolio Class R2 Shares Shares Issued........................................ $ 47,533 1,733 $ 34,637 18,214 Shares Issued in Lieu of Cash Distributions.......... 1,917 55 6,798 3,947 Shares Redeemed...................................... (45,863) (1,458) (6,985) (3,724) Shares Reduced by Conversion of Shares............... -- (19,608) -- -- ---------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 3,587 (19,278) $ 34,450 18,437 ========== ======= =========== ======= Institutional Class Shares Shares Issued........................................ $3,429,521 95,992 $ 3,313,583 103,334 Shares Issued in Lieu of Cash Distributions.......... 545,949 15,779 265,972 8,765 Shares Redeemed...................................... (817,377) (23,016) (1,555,298) (49,938) ---------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $3,158,093 88,755 $ 2,024,257 62,161 ========== ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of U.S. Targeted Value Portfolio's Class R1 and Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R1 Shares received one share for every 1.469 shares held and each shareholder of Class R2 Shares received one share for every 1.394 shares held. The purpose of the reverse split was to reduce the number of Class R1 Shares and Class R2 Shares, thereby increasing the net asset value of each Class R1 Share and Class R2 Share outstanding in order to more closely align the net asset values with the net asset value 131 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 retroactively restated to reflect the reverse stock splits for the respective Class R1 Shares and Class R2 Shares. The Board of Directors/Trustees of DFA Investment Dimensions Group Inc. authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, shareholders and investors purchased and redeemed class R2A Shares of the Portfolio. The value of a shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares has 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 six-month period ended April 30, 2011 have been retroactively restated to reflect the conversion. Additionally, the capital share activity in the Statement of Changes in Net Assets and capital share activity earlier in this note shows the reduction of shares as a result of the conversion. H. Financial Instruments: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on April 29, 2011. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a Portfolio uses derivatives, how derivatives are accounted for and how derivative instruments affect a Portfolio's results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Portfolios. 3. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio may enter into forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation of translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. 132 At April 30, 2011, Enhanced U.S. Large Company 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 Sold Amount April 30, 2011 Gain (Loss) ---------- -------- ----------------- -------- -------------- ----------- 05/04/11. 29,539 Canadian Dollars $ 30,967 $ 31,216 $ 249 05/04/11. (4,322) Canadian Dollars (4,541) (4,567) (26) 05/04/11. (25,217) Canadian Dollars (25,898) (26,649) (751) 06/01/11. (29,627) Canadian Dollars (31,040) (31,289) (249) 05/04/11. UK Pound 3,236 Sterling 5,347 5,405 58 05/04/11. UK Pound (3,236) Sterling (5,194) (5,405) (211) 06/01/11. UK Pound (3,255) Sterling (5,377) (5,434) (57) 05/04/11. 4,726 Euro 6,926 6,998 72 05/04/11. 2,884 Euro 4,177 4,272 95 05/04/11. (7,610) Euro (10,803) (11,270) (467) 06/01/11. (4,730) Euro (6,928) (7,000) (72) -------- -------- ------- $(42,364) $(43,723) $(1,359) ======== ======== =======
*During the six months ended April 30, 2011, the Portfolio's average cost of forward currency contracts was $(49,600) (in thousands). Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 4. Futures Contracts: Certain Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Additionally, Enhanced U.S. Large Company Portfolio uses stock index futures to hedge against changes in equity securities' prices in the normal course of pursuing its investment objectives. Upon entering into a futures contract, the Portfolio deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolio could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2011, the following Portfolio had outstanding futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Description Date Contracts* Value Gain (Loss) ------------- ---------- ---------- -------- ----------- Enhanced U.S. Large Company Portfolio. S&P 500 Index(R) 06/17/2011 489 $166,223 $5,422 Securities have been segregated as collateral for open futures contracts......................
133 *During the six months ended April 30, 2011 the Portfolio's average notional value of outstanding futures contracts was $154,531 (in thousands). Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments' (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period. The following is a summary of the Portfolios' derivative instrument holdings for the six months ended April 30, 2011. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2011:
Location on the Statements of Assets and Liabilities - ------------------------------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------------------- ------------------------------------ ------------------------------------ Foreign exchange contracts. Unrealized Gain on Forward Currency Unrealized Loss on 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 April 30, 2011 (amounts in thousands):
Asset Derivatives Value ---------------------------- Total Value Foreign at Exchange Equity April 30, 2011 Contracts Contracts -------------- --------- ---------------- Enhanced U.S. Large Company Portfolio. $5,896 $474 $5,422* Liability Derivatives Value ---------------------------- Foreign Total Value at Exchange April 30, 2011 Contracts Equity Contracts -------------- --------- ---------------- Enhanced U.S. Large Company Portfolio. $(1,833) $(1,833) --
*Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the six months ended April 30, 2011 (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
134 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 six months ended April 30, 2011 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts -------- --------- --------- Enhanced U.S. Large Company Portfolio. $ 27,248 $(1,673) $ 28,921 U.S. Targeted Value Portfolio*........ 9 -- 9 U.S. Small Cap Portfolio*............. 930 -- 930 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts -------- --------- --------- Enhanced U.S. Large Company Portfolio. $(6,171) $(1,186) $(4,985)
*As of April 30, 2011, there were no futures contracts outstanding. During the six months ended April 30, 2011, the Portfolio had limited activity in futures contracts. I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011; however, PNC Bank is expected to extend the term of the line of credit to June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is currently negotiating a new $250 million unsecured discretionary line of credit with The Bank of New York Mellon, an affiliate of its domestic custodian bank, to replace the existing line of credit. The Fund anticipates the new line of credit will have substantially the same terms and conditions as the existing line of credit. For the six months ended April 30, 2011, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- DFA Global Real Estate Securities Portfolio. 1.93% $4,770 1 -- $4,770
*Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2011 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 April 30, 2011. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2011 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 135 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 13, 2012. For the six months ended April 30, 2011, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Targeted Value Portfolio...................... 0.92% $ 1,675 11 -- $ 3,038 U.S. Small Cap Value Portfolio..................... 0.94% 2,192 9 $ 1 10,491 U.S. Core Equity 2 Portfolio....................... 0.92% 4,188 5 1 7,690 U.S. Vector Equity Portfolio....................... 0.90% 8,110 1 -- 8,110 U.S. Small Cap Portfolio........................... 0.90% 4,160 7 1 11,611 U.S. Micro Cap Portfolio........................... 0.86% 6,908 13 2 15,925 DFA Real Estate Securities Portfolio............... 0.93% 5,182 6 1 14,265 Large Cap International Portfolio.................. 0.93% 1,657 5 -- 2,086 International Core Equity Portfolio................ 0.90% 910 1 -- 910 International Small Company Portfolio.............. 0.93% 3,757 13 1 7,646 DFA International Real Estate Securities Portfolio 0.93% 11,492 11 3 19,502 DFA Global Real Estate Securities Portfolio 0.94% 5,529 18 3 32,769 DFA International Small Cap Value Portfolio........ 0.92% 2,781 23 2 10,166 World ex U.S. Value Portfolio...................... 0.91% 46 1 -- 46 Emerging Markets Core Equity Portfolio............. 0.93% 4,114 9 1 6,987
*Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2011 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 April 30, 2011. J. Securities Lending: As of April 30, 2011, some of the Portfolios had securities on loan to brokers/dealers, for which each Portfolio received cash collateral. In addition, Emerging Markets Core Equity Portfolio received non-cash collateral with a market value of $98,204 (in thousands). Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered 136 money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repuchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. K. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10% and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. L. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. In-Kind Redemptions: In accordance with guidelines described in the Portfolios' prospectus, the fund may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, the fund recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. During the year ended October 31, 2010, U.S. Small Cap Value Portfolio realized net gains of in-kind redemptions in the amount of $56,505 (amount in thousands). N. Recently Issued Accounting Standards: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles ("GAAP") and International Financial Reporting Standards ("IFRSs")". ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures 137 are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined. O. Other: At April 30, 2011, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares - ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares.............. 2 74% U.S. Large Cap Value Portfolio -- Institutional Class Shares..................... 3 76% U.S. Targeted Value Portfolio -- Class R1 Shares................................. 1 95% U.S. Targeted Value Portfolio -- Class R2 Shares................................. 2 79% U.S. Targeted Value Portfolio -- Institutional Class Shares...................... 2 55% U.S. Small Cap Value Portfolio -- Institutional Class Shares..................... 2 52% U.S. Core Equity 1 Portfolio -- Institutional Class Shares....................... 3 65% U.S. Core Equity 2 Portfolio -- Institutional Class Shares....................... 3 65% U.S. Vector Equity Portfolio -- Institutional Class Shares....................... 4 89% U.S. Small Cap Portfolio -- Institutional Class Shares........................... 3 49% U.S. Micro Cap Portfolio -- Institutional Class Shares........................... 2 57% DFA Real Estate Securities Portfolio -- Institutional Class Shares............... 3 73% Large Cap International Portfolio -- Institutional Class Shares.................. 2 71% International Core Equity Portfolio -- Institutional Class Shares................ 3 70% International Small Company Portfolio -- Institutional Class Shares.............. 2 47% Japanese Small Company Portfolio -- Institutional Class Shares................... 3 62% Asia Pacific Small Company Portfolio -- Institutional Class Shares............... 3 80% United Kingdom Small Company Portfolio -- Institutional Class Shares............. 2 89% Continental Small Company Portfolio -- Institutional Class Shares................ 4 84% DFA International Real Estate Securities Portfolio -- Institutional Class Shares. 3 83% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares........ 3 93% DFA International Small Cap Value Portfolio -- Institutional Class Shares........ 2 49% International Vector Equity Portfolio -- Institutional Class Shares.............. 3 87% World ex U.S. Value Portfolio -- Institutional Class Shares...................... 3 92% Emerging Markets Portfolio -- Institutional Class Shares......................... 3 68% Emerging Markets Small Cap Portfolio -- Institutional Class Shares............... 1 28% Emerging Markets Value Portfolio -- Class R2 Shares.............................. 1 78% Emerging Markets Value Portfolio -- Institutional Class Shares................... 2 29% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............. 2 57%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results 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. 138 On November 1, 2010 a class action complaint was filed in the bankruptcy case of the Tribune Company, (the "Tribune"), and subsequently additional similar class actions have been filed seeking the same recovery (the "Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of other mutual funds, institutional investors and others who owned shares in Tribune in 2007 when it became private in a leveraged buyout transaction and who, at that time, sold their shares back to Tribune for cash in the amount of $34 per share. The Lawsuits allege that the payment for the shares by the Tribune violated the rights of creditors and seeks to have the cash paid to shareholders returned to the Tribune's bankruptcy estate and/or various creditors of the Tribune. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. P. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 139 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the period indicated.
For the Period November 8, 2010 to April 30, 2011 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/09/10 04/30/11 Ratio* Period* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $1,143.98 0.55% $2.81 Hypothetical 5% Annual Return. $1,000.00 $1,022.07 0.55% $2.76
-------- * The Fund commenced operations on November 8, 2010. Expenses are equal to the fund's annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (174), then divided by the number of days in the year (365) to reflect the period. The "Ending Account Value" is derived from the fund's share class actual return since inception. The "Hypothetical 5% Annual Return" information reflects the 181 day period for the six-months ended April 30, 2011 to allow for comparability. 140 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 March 31, 2011. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Corporate.......... 57.2% Government......... 13.3% Foreign Corporate.. 16.1% Foreign Government. 10.0% Supranational...... 3.4% ------ 100.0%
141 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Face Amount^ Value+ ------- ----- (000) BONDS -- (78.8%) AUSTRALIA -- (2.4%) BHP Billiton Finance USA, Ltd. (u)5.125%, 03/29/12 700 $ 729,770 (u)5.500%, 04/01/14 960 1,069,362 Telstra Corp., Ltd. (u)6.375%, 04/01/12 1,250 1,315,109 Westpac Banking Corp. NL (u)2.250%, 11/19/12 2,000 2,038,364 ----------- TOTAL AUSTRALIA 5,152,605 ----------- AUSTRIA -- (1.0%) Oesterreichische Kontrollbank AG (u)1.375%, 01/21/14 2,000 2,013,318 ----------- CANADA -- (8.0%) Bank of Nova Scotia (u)2.375%, 12/17/13 2,800 2,865,369 Canadian National Railway Co. (u)4.400%, 03/15/13 1,150 1,222,607 Canadian Natural Resources, Ltd. (u)5.150%, 02/01/13 625 667,379 Export Development Canada (u)2.375%, 03/19/12 1,000 1,018,427 Manitoba, Province of Canada (u)2.125%, 04/22/13 1,500 1,538,614 Ontario, Province of Canada (u)1.875%, 11/19/12 1,000 1,019,955 (u)4.375%, 02/15/13 600 638,690 (u)1.375%, 01/27/14 1,300 1,308,359 Potash Corp. of Saskatchewan, Inc. (u)7.750%, 05/31/11 350 351,817 Royal Bank of Canada (u)2.250%, 03/15/13 1,400 1,441,509 (u)1.125%, 01/15/14 1,000 997,351 Saskatchewan, Province of Canada (u)7.375%, 07/15/13 1,800 2,047,752 TransCanada Pipelines, Ltd. (u)4.000%, 06/15/13 1,475 1,561,795 ----------- TOTAL CANADA 16,679,624 ----------- FRANCE -- (1.9%) BNP Paribas SA (u)2.125%, 12/21/12 2,000 2,032,592 Total Capital SA (u)5.000%, 05/22/12 1,500 1,567,633
Face Amount^ Value+ ------- ----- (000) FRANCE -- (Continued) Veolia Environnement SA (u)5.250%, 06/03/13 425 $ 455,085 ---------- TOTAL FRANCE 4,055,310 ---------- GERMANY -- (2.0%) Deutsche Bank AG (u)4.875%, 05/20/13 1,300 1,387,732 Kreditanstalt fuer Wiederaufbau AG (u)1.375%, 07/15/13 1,700 1,721,876 Landwirtschaftliche Rentenbank (u)1.875%, 09/24/12 1,000 1,018,683 ---------- TOTAL GERMANY 4,128,291 ---------- NETHERLANDS -- (1.2%) Deutsche Telekom International Finance NV (u)5.250%, 07/22/13 525 568,077 Nederlandse Waterschapsbank (u)5.375%, 09/04/12 1,000 1,063,000 Shell International Finance NV (u)1.300%, 09/22/11 1,000 1,004,289 ---------- TOTAL NETHERLANDS 2,635,366 ---------- NORWAY -- (1.4%) Eksportfinans ASA (u)1.875%, 04/02/13 2,800 2,850,907 ---------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.7%) Asian Development Bank (u)1.625%, 07/15/13 1,200 1,222,228 European Investment Bank (u)2.625%, 11/15/11 1,000 1,012,579 Inter-American Development Bank (u)1.750%, 10/22/12 1,300 1,322,376 International Bank for Reconstruction & Development (u)2.000%, 04/02/12 1,000 1,015,246 Nordic Investment Bank (u)1.625%, 01/28/13 1,000 1,017,245 ---------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 5,589,674 ----------
142 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ----- (000) SWITZERLAND -- (1.7%) Credit Suisse AG (u)5.000%, 05/15/13 1,625 $1,741,709 UBS AG (u)2.250%, 08/12/13 1,735 1,763,338 ---------- TOTAL SWITZERLAND 3,505,047 ---------- UNITED KINGDOM -- (2.4%) Barclays Bank P.L.C. (u)5.450%, 09/12/12 2,000 2,119,774 BP Capital Markets P.L.C. (u)5.250%, 11/07/13 1,325 1,436,444 Diageo Capital P.L.C. (u)5.200%, 01/30/13 1,450 1,554,162 ---------- TOTAL UNITED KINGDOM 5,110,380 ---------- UNITED STATES -- (54.1%) 3M Co. 4.375%, 08/15/13 $3,000 3,245,499 Aetna, Inc. 5.750%, 06/15/11 100 100,618 Air Products & Chemicals, Inc. 4.150%, 02/01/13 500 521,581 American Express Credit Corp. 5.875%, 05/02/13 1,050 1,137,055 Anheuser-Busch InBev Worldwide, Inc. 2.500%, 03/26/13 450 461,236 Apache Corp. 6.000%, 09/15/13 715 795,580 Archer-Daniels-Midland Co. 7.125%, 03/01/13 325 360,051 Arrow Electronics, Inc. 6.875%, 07/01/13 350 382,586 AT&T, Inc. 4.950%, 01/15/13 975 1,038,392 6.700%, 11/15/13 380 428,651 Avery Dennison Corp. 4.875%, 01/15/13 1,300 1,367,462 Baker Hughes, Inc. 6.500%, 11/15/13 450 507,852 Baltimore Gas & Electric Co. 6.125%, 07/01/13 500 550,348 Bank of America Corp. 5.375%, 09/11/12 850 896,945 4.875%, 01/15/13 650 685,118
Face Amount Value+ ------ ----- (000) UNITED STATES -- (Continued) Bank of New York Mellon Corp. (The) 4.500%, 04/01/13 $1,000 $1,068,313 5.125%, 08/27/13 2,150 2,342,584 Baxter International, Inc. 1.800%, 03/15/13 910 924,741 BB&T Corp. 3.850%, 07/27/12 1,400 1,448,458 BlackRock, Inc. 2.250%, 12/10/12 1,820 1,859,811 Boeing Capital Corp. 5.800%, 01/15/13 350 378,829 Boeing Co. (The) 1.875%, 11/20/12 550 560,205 Bristol-Myers Squibb Co. 5.250%, 08/15/13 1,175 1,288,734 Burlington Northern Santa Fe LLC 5.900%, 07/01/12 100 105,779 4.300%, 07/01/13 1,200 1,275,311 Campbell Soup Co. 5.000%, 12/03/12 350 373,845 4.875%, 10/01/13 270 294,560 Capital One Financial Corp. 4.800%, 02/21/12 350 361,263 6.250%, 11/15/13 150 165,659 Caterpillar Financial Services Corp. 6.200%, 09/30/13 1,250 1,398,110 CenterPoint Energy Resources Corp. 7.875%, 04/01/13 425 475,149 Chubb Corp. 5.200%, 04/01/13 525 564,886 CIGNA Corp. 6.375%, 10/15/11 425 435,868 Cisco Systems, Inc. 1.625%, 03/14/14 1,250 1,257,070 Citigroup, Inc. 6.500%, 08/19/13 900 988,896 Coca-Cola Co. (The) 0.750%, 11/15/13 1,075 1,066,232 Coca-Cola Refreshments USA, Inc. 3.750%, 03/01/12 450 462,079 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13 775 873,888
143 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount Value+ ------ ----- (000) UNITED STATES -- (Continued).............. Computer Sciences Corp.................... 5.000%, 02/15/13 $ 850 $ 899,114 ConAgra Foods, Inc........................ 6.750%, 09/15/11 100 102,230 ConocoPhillips............................ 4.750%, 10/15/12 1,450 1,534,895 Consolidated Edison Co. of New York, Inc.. 4.875%, 02/01/13 600 636,562 COX Communications, Inc................... 7.125%, 10/01/12 800 865,545 CSX Corp.................................. 5.500%, 08/01/13 425 462,292 CVS Caremark Corp......................... 5.750%, 08/15/11 825 837,174 Daimler Finance North America LLC......... 6.500%, 11/15/13 1,400 1,567,318 Dell, Inc................................. 4.700%, 04/15/13 1,140 1,216,213 2.100%, 04/01/14 500 507,200 Dominion Resources, Inc................... 5.000%, 03/15/13 425 454,894 Dow Chemical Co. (The).................... 6.000%, 10/01/12 425 453,415 Dr. Pepper Snapple Group, Inc............. 2.350%, 12/21/12 600 612,974 Duke Energy Ohio, Inc..................... 5.700%, 09/15/12 425 452,749 E.I. Du Pont de Nemours & Co.............. 4.750%, 11/15/12 350 370,823 eBay, Inc................................. 0.875%, 10/15/13 1,635 1,626,704 Emerson Electric Co....................... 5.625%, 11/15/13 1,200 1,332,669 Energy Transfer Partners LP............... 6.000%, 07/01/13 425 462,519 Enterprise Products Operating LLC......... 7.625%, 02/15/12 650 683,491 EOG Resources, Inc........................ 6.125%, 10/01/13 750 831,301 Exelon Generation Co. LLC................. 5.350%, 01/15/14 1,680 1,819,860 Express Scripts, Inc...................... 5.250%, 06/15/12 425 444,865 Fifth Third Bancorp....................... 6.250%, 05/01/13 975 1,059,272
Face Amount Value+ ------ ----- (000) UNITED STATES -- (Continued).......... General Dynamics Corp................. 4.250%, 05/15/13 $ 750 $ 802,513 General Electric Capital Corp......... 2.800%, 01/08/13 2,000 2,053,090 1.875%, 09/16/13 600 604,016 2.100%, 01/07/14 600 606,419 General Electric Co................... 5.000%, 02/01/13 200 213,516 General Mills, Inc.................... 6.000%, 02/15/12 425 443,150 Georgia Power Co...................... 6.000%, 11/01/13 825 918,189 GlaxoSmithKline Capital, Inc.......... 4.850%, 05/15/13 1,300 1,401,225 Goldman Sachs Group, Inc. (The)....... 4.750%, 07/15/13 1,675 1,781,021 Hess Corp............................. 7.000%, 02/15/14 275 312,813 Hewlett-Packard Co.................... 1.250%, 09/13/13 1,550 1,553,570 Honeywell International, Inc.......... 4.250%, 03/01/13 975 1,035,703 HSBC Finance Corp..................... 4.750%, 07/15/13 1,300 1,391,053 International Business Machines Corp.. 2.100%, 05/06/13 1,645 1,687,190 John Deere Capital Corp............... 7.000%, 03/15/12 425 449,017 1.875%, 06/17/13 925 941,829 KeyCorp............................... 6.500%, 05/14/13 1,000 1,093,620 Kinder Morgan Energy Partners LP...... 7.125%, 03/15/12 425 448,270 5.850%, 09/15/12 1,000 1,061,694 Kraft Foods, Inc...................... 6.250%, 06/01/12 555 587,320 Kroger Co. (The)...................... 5.500%, 02/01/13 640 685,147 Lockheed Martin Corp.................. 4.121%, 03/14/13 775 821,107 McDonald's Corp....................... 4.300%, 03/01/13 975 1,039,158 MetLife, Inc.......................... 5.375%, 12/15/12 1,225 1,310,064 2.375%, 02/06/14 420 425,819
144 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued)................. Microsoft Corp............................... 0.875%, 09/27/13 $1,300 $1,298,125 Monsanto Co.................................. 7.375%, 08/15/12 400 431,886 Morgan Stanley............................... 5.300%, 03/01/13 750 800,265 National Rural Utilities Cooperative Finance Corp........................................ 7.250%, 03/01/12 425 448,387 Nestle Holdings, Inc......................... 2.000%, 01/28/13 2,000 2,040,568 NextEra Energy Capital Holdings, Inc......... 5.625%, 09/01/11 425 431,940 2.550%, 11/15/13 850 868,392 Northern Trust Corp.......................... 5.500%, 08/15/13 1,343 1,477,983 Nucor Corp................................... 4.875%, 10/01/12 440 463,989 Occidental Petroleum Corp.................... 1.450%, 12/13/13 1,000 1,009,095 Oracle Corp.................................. 4.950%, 04/15/13 750 809,025 Packaging Corp. of America................... 5.750%, 08/01/13 525 563,932 PepsiCo, Inc................................. 0.875%, 10/25/13 1,785 1,774,510 Philip Morris International, Inc............. 4.875%, 05/16/13 1,625 1,745,648 Pitney Bowes, Inc............................ 3.875%, 06/15/13 450 468,589 Plains All American Pipeline LP.............. 4.250%, 09/01/12 300 310,933 Praxair, Inc................................. 6.375%, 04/01/12 425 447,403 2.125%, 06/14/13 1,000 1,028,757 President & Fellows of Harvard College....... 5.000%, 01/15/14 2,500 2,737,350 Prudential Financial, Inc.................... 5.800%, 06/15/12 350 366,421 3.625%, 09/17/12 300 309,359 4.500%, 07/15/13 325 342,479 Reynolds American, Inc....................... 7.250%, 06/01/13 1,000 1,113,608 Ryder System, Inc............................ 5.000%, 06/15/12 525 545,790
Face Amount Value+ ------ ----- (000) UNITED STATES -- (Continued)...... Safeway, Inc...................... 5.800%, 08/15/12 $ 425 $ 451,298 Sara Lee Corp..................... 3.875%, 06/15/13 650 678,811 Sempra Energy..................... 2.000%, 03/15/14 400 400,495 St. Jude Medical, Inc............. 2.200%, 09/15/13 425 433,946 SunTrust Banks, Inc............... 5.250%, 11/05/12 525 552,755 Target Corp....................... 5.875%, 03/01/12 850 888,684 Time Warner Cable, Inc............ 6.200%, 07/01/13 425 467,993 Toyota Motor Credit Corp.......... 1.375%, 08/12/13 2,900 2,912,917 Travelers Property Casualty Corp.. 5.000%, 03/15/13 1,500 1,605,199 U.S. Bancorp...................... 2.000%, 06/14/13 200 204,036 Unilever Capital Corp............. 3.650%, 02/15/14 1,275 1,355,285 United Technologies Corp.......... 6.100%, 05/15/12 250 264,571 Valero Energy Corp................ 6.875%, 04/15/12 875 921,295 Verizon Communications, Inc....... 4.350%, 02/15/13 850 898,208 5.250%, 04/15/13 775 835,803 Wal-Mart Stores, Inc.............. 0.750%, 10/25/13 1,900 1,892,288 Walt Disney Co. (The)............. 4.700%, 12/01/12 725 770,166 Waste Management, Inc............. 6.375%, 11/15/12 425 459,000 ------------ TOTAL UNITED STATES............... 113,177,020 ------------ TOTAL BONDS....................... 164,897,542 ------------ AGENCY OBLIGATIONS -- (10.3%)......................... Federal Home Loan Bank............ 0.875%, 12/27/13 2,000 1,990,930 Federal Home Loan Mortgage Corporation...................... 1.125%, 12/15/11 2,000 2,010,630 0.375%, 11/30/12 1,000 997,554 4.875%, 11/15/13 500 549,304 1.375%, 02/25/14 2,000 2,016,042
145 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount Value+ ------ ----- (000) Federal National Mortgage Association.... 5.375%, 11/15/11 $ 2,000 $ 2,055,240 1.000%, 09/23/13 1,500 1,502,679 2.750%, 03/13/14 4,700 4,919,213 Tennessee Valley Authority............... 6.000%, 03/15/13 5,000 5,487,560 ----------- TOTAL AGENCY OBLIGATIONS................. 21,529,152 ----------- U.S. TREASURY OBLIGATIONS -- (6.3%).................................. U.S. Treasury Note....................... @@0.625%, 12/31/12 13,200 13,231,970 ----------- Shares/ Face Amount ------ (000) TEMPORARY CASH INVESTMENTS -- (4.6%)................ Citibank-US Dollars on Deposit in Custody Account...................... 3,871,710 3,871,710 Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $5,735,000 FNMA 2.24%, 07/06/15, valued at $5,878,375) to be repurchased at $5,789,092........................... $5,789 5,789,000 ----------- TOTAL TEMPORARY CASH INVESTMENTS............................. 9,660,710 -----------
Value+ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $208,694,690).......... $209,319,374 ============
146 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------- Investment in Securities (Market Value) -------------------------------------------- Level 1 Level 2 Level 3 Total ---------- ------------ ------- ------------ Bonds...................... -- $164,897,542 -- $164,897,542 Agency Obligations......... -- 21,529,152 -- 21,529,152 U.S. Treasury Obligations.. -- 13,231,970 -- 13,231,970 Temporary Cash Investments. $3,871,710 5,789,000 -- 9,660,710 Swap Agreements**.......... -- 2,732,655 -- 2,732,655 Futures Contracts**........ 34,797 -- -- 34,797 ---------- ------------ -- ------------ TOTAL...................... $3,906,507 208,180,319 -- $212,086,826 ========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Schedules of Investments. 147 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value................................................................... $ 199,659 Temporary Cash Investments at Value & Cost............................................. 9,661 Cash................................................................................... 843 Receivables:........................................................................... Interest.............................................................................. 1,850 Fund Shares Sold...................................................................... 1,422 Futures Margin Variation.............................................................. 54 Unrealized Gain on Swap Contracts...................................................... 2,733 Prepaid Expenses and Other Assets...................................................... 2 Deferred Offering Costs................................................................ 32 ------------ Total Assets........................................................................ 216,256 ------------ LIABILITIES: Payables:.............................................................................. Investment Securities Purchased....................................................... 2,997 Fund Shares Redeemed.................................................................. 924 Due to Advisor........................................................................ 43 Accrued Expenses and Other Liabilities................................................. 34 ------------ Total Liabilities................................................................... 3,998 ------------ NET ASSETS $ 212,258 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 18,565,704 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.43 ============ Investments at Cost.................................................................... $ 199,033 ------------ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 190,286 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 219 Accumulated Net Realized Gain (Loss)................................................... 18,360 Net Unrealized Appreciation (Depreciation)............................................. 3,393 ------------ NET ASSETS $ 212,258 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000 ============
See accompanying Notes to Financial Statements. 148 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD NOVEMBER 8, 2010(a) TO APRIL 30, 2011 (Unaudited) (Amounts in thousands) Investment Income Interest...................................................................................... $ 676 ------- Total Investment Income................................................................... 676 ------- Expenses Investment Advisory Services Fees............................................................. 232 Accounting & Transfer Agent Fees.............................................................. 21 Custodian Fees................................................................................ 4 Filing Fees................................................................................... 6 Shareholders' Reports......................................................................... 7 Professional Fees............................................................................. 21 Organizational & Offering Costs............................................................... 151 Other......................................................................................... 2 ------- Total Expenses............................................................................ 444 ------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (95) ------- Net Expenses.................................................................................. 349 ------- Net Investment Income (Loss).................................................................. 327 ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:.................................................................. Investment Securities Sold.................................................................. 39 Futures..................................................................................... (80) Swap Contracts.............................................................................. 18,401 Change in Unrealized Appreciation (Depreciation) of:.......................................... Investment Securities....................................................................... 625 Futures..................................................................................... 35 Swap Contracts.............................................................................. 2,733 ------- Net Realized and Unrealized Gain (Loss)....................................................... 21,753 ------- Net Increase (Decrease) in Net Assets Resulting from Operations $22,080 =======
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 149 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS (Amounts in thousands)
Period November 8, 2010(a) to April 30, 2011 ------------------- (Unaudited) Increase (Decrease) in Net Assets Operations:............................................................................ Net Investment Income (Loss).......................................................... $ 327 Net Realized Gain (Loss) on:.......................................................... Investment Securities Sold.......................................................... 39 Futures............................................................................. (80) Swap Contracts...................................................................... 18,401 Change in Unrealized Appreciation (Depreciation) of:.................................. Investment Securities............................................................... 625 Futures............................................................................. 35 Swap Contracts...................................................................... 2,733 -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 22,080 -------- Distributions From:.................................................................... Net Investment Income:................................................................ Institutional Shares................................................................ (108) -------- Total Distributions............................................................... (108) -------- Capital Share Transactions (1):........................................................ Shares Issued......................................................................... 199,379 Shares Issued in Lieu of Cash Distributions........................................... 105 Shares Redeemed....................................................................... (9,198) -------- Net Increase (Decrease) from Capital Share Transactions........................... 190,286 -------- Total Increase (Decrease) in Net Assets........................................... 212,258 Net Assets Beginning of Period................................................................... -- -------- End of Period......................................................................... $212,258 ======== (1) Shares Issued and Redeemed: Shares Issued......................................................................... 19,412 Shares Issued in Lieu of Cash Distributions........................................... 10 Shares Redeemed....................................................................... (856) -------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 18,566 ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 219
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 150 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout the period)
Period November 8, 2010(a) to April 30, 2011 ------------------------------------------------------------------------------------------------------------------ (Unaudited) 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).................................. 1.42 -------- Total from Investment Operations.......................................................... 1.44 ------------------------------------------------------------------------------------------------------------------ Less Distributions........................................................................... Net Investment Income....................................................................... (0.01) -------- Total Distributions....................................................................... (0.01) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................................................... $ 11.43 ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Total Return................................................................................. 14.40%(C) ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................................................ $212,258 Ratio of Expenses to Average Net Assets...................................................... 0.55%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)........................................................ 0.70%(B)(E) Ratio of Net Investment Income to Average Net Assets......................................... 0.51%(B)(E) Portfolio Turnover Rate...................................................................... 15%(C) ------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 151 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund offers sixty operational portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"), is included in this section of the report. The remaining portfolios are presented in separate reports. The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the "Subsidiary"), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the Investment Company Act of 1940, as amended. B. Basis for Consolidation: The Subsidiary commenced operations on November 8, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting rules relating to reporting of a wholly-owned subsidiary. The Portfolio will seek to gain exposure to commodities, commodities-related instruments, derivatives and other investments by directly investing in those instruments or through investments in the Subsidiary. The Subsidiary participates in the same investment goal as the Portfolio. The Subsidiary pursues its investment goal by investing in commodities, commodities-related instruments, derivatives and other investments. The Subsidiary (unlike the Portfolio) may invest without limitation in these instruments. However, the Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's assets exposed to any particular commodity, derivative or other investment will vary based on market conditions, but from time to time some exposure could be substantial. To the extent of the Portfolio's investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Porfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. As of April 30, 2011, the Portfolio held $45,685,433 in the Subsidiary, representing 21.13% 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 C. 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 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 - quoted prices in active markets for identical securities 152 . 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 prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are classified as Level 2 in the hierarchy. Futures contracts held by the Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Swap contracts generally are valued at a price at which the counterparties to such contracts would repurchase the instrument or terminate the contracts. These valuations are categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed 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. The Portfolio did not have any significant transfers between Level 1 and Level 2 during the period ended April 30, 2011. 2. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: 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 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 shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2011, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on 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 153 Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. D. Investment Advisor: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Portfolio. For the period ended April 30, 2011, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Portfolio's average daily net assets. Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of the Portfolio to the extent necessary to limit the ordinary operating expenses of the Portfolio (not including expenses incurred through an investment in unaffiliated investment companies) ("Portfolio Expenses") so that such Portfolio expenses do not exceed 0.55% of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2012, and may not be terminated by the Advisor prior to that date. At April 30, 2011, approximately $55 (in thousands) of previously waived fees are subject to future recovery by the Advisor over various periods not exceeding April 30, 2014. 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 six months ended April 30, 2011, the total related amounts paid by the Fund to the CCO were $109 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. E. Deferred Compensation: At April 30, 2011, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): DFA Commodity Strategy Portfolio $--
F. Purchases and Sales of Securities: For the period ended April 30, 2011, the Portfolio made the following purchases and sales of investments securities, other than short-term securities (amounts in thousands):
U.S.Government Other Investment Securities Securities ---------------- ----------------- Purchases Sales Purchases Sales --------- ------ --------- ------- $188,852 $8,858 $31,245 $10,856
G. Federal Income Taxes: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from these amounts determined under accounting principles generally 154 accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. The Portfolio commenced operations on November 8, 2010 and did not pay any distributions for the year ended October 31, 2010. At April 30, 2011, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------- ------------ -------------- -------------- $208,694. $654 $(28) $626
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Portfolio's tax position and has concluded that no provision for income tax is required in the Portfolios' financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next six months. H. Financial Instruments: In accordance with the Fund's investment objectives and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Portfolio may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on April 29, 2011. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Master Funds may be inhibited. Derivative Financial Instruments: Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a Portfolio uses derivatives, how derivatives are accounted for and how derivative instruments affect a Portfolio's results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Portfolios. The Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio's total assets in the Dimensional Cayman Commodity Fund I, LTD., the "Subsidiary". The Subsidiary may invest without limitation in commodity-linked notes, swap agreements and other commodity-linked derivative instruments, including futures contracts on individual commodities or a subset of commodities and options on commodities. The accompanying consolidated schedule of investments includes investments of DFA Commodity Strategy Portfolio and its wholly-owned Subsidiary. 155 3. Commodity-Linked Derivatives: The DFA Commodity Strategy Portfolio invests in commodity-linked derivative instruments, such as swap agreements, commodity options, futures, options on futures, and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. 4. Swap Agreements: The Portfolio may enter into swap agreements with respect to commodities, interest rates and indexes of commodities or securities, specific securities and commodities, and mortgage, credit and event-linked swaps, and to the extent the Portfolio may invest in foreign currency-denominated securities, may enter into swap agreements with respect to foreign currencies. The Portfolio may enter into swap transactions for any legal purpose consistent with its investment objective and policies, such as for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining a return or spread through purchases and/or sales of instruments in other markets, to seek to increase total return (speculation), to protect against currency fluctuations, as a duration management technique, to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard "swap" transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. An investment in a commodity swap agreement, for example, may involve the exchange of floating-rate interest payments for the total return on a commodity index. In a total return commodity swap, the Portfolio will receive the price appreciation of a commodity index, a portion of the index, or a single commodity in exchange for paying an agreed-upon fee. The Portfolio may also enter into credit default swap agreements. The "buyer" in a credit default contract is obligated to pay the "seller" a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or "par value," of the reference obligation in exchange for the reference obligation. The Portfolio may be either the buyer or seller in a credit default swap transaction. Credit default swap transactions involve greater risks than if the Portfolio had invested in the reference obligation directly. Most swap agreements entered into by the Portfolio will calculate the obligations of the parties to the agreement on a "net" basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. The Portfolio's current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Portfolio) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the segregation of assets determined to be liquid to avoid any potential leveraging of the Portfolio's portfolio. Because they are two party contracts and because they may have terms of greater than seven days, swap agreements may be considered to be illiquid. The Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty beyond any collateral received. The types of swap agreements in which the Portfolio invests do not involve the delivery of securities, other underlying assets, or principal. Accordingly, the risk of loss is limited to the net amount of interest payments that the Portfolio is contractually obligated to make. 5. Commodity-Linked Notes: The Portfolio may gain exposure to the commodities markets through commodity-linked structured notes, swap agreements and commodity futures and options. These instruments have one or more commodity-dependent components. They are derivative instruments because at least part of their value is derived from the value of an underlying commodity index, commodity futures contract, index, or other readily measurable economic variable. The Portfolio may invest, either directly or though investments in Dimensional Cayman Commodity Fund I, LTD. (a wholly-owned subsidiary of the Portfolio, the "Subsidiary") in commodity-linked structured notes, futures and swap agreements whose performance is linked to individual commodities or commodity indices and options on them. 156 Some of the commodity-linked notes in which the Portfolio invests may involve leverage. Economic leverage occurs when an investor has the right to a return on an investment that exceeds the return that the investor would expect to receive based on the amount contributed to the investment. Economically leveraged derivative instruments can increase the gain or the loss associated with changes in the value of the underlying instrument. Commodity-linked structured notes and certain other commodity-linked instruments may be principal protected, partially protected, or offer no principal protection. A principal protected hybrid instrument means that the issuer will pay, at a minimum, the par value of the note at maturity. Partially protected commodity-linked instruments may suffer some loss of principal if the underlying commodity index, futures contract, or economic variable to which the commodity-linked instrument is linked declines in value during the term of the commodity-linked instrument. The Portfolio also may invest in commodity-linked instruments that offer no principal protection. At maturity, there is a risk that the underlying commodity index, futures contract, or other economic variable may have declined sufficiently in value such that some or all of the face value of the instrument might not be returned. 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. 6. Futures Contracts: A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization or production weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract. The Portfolio is required to segregate with its futures commission merchant an amount of cash or securities acceptable to the broker equal to approximately 1% to 10% of the contract amount. This amount is known as "initial margin" and is in the nature of a performance bond or good faith deposit on the contract which is returned to the Portfolio upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker, will be made daily as the currency, financial instrument index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as "marking-to-market." As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses. At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio's existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price and subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio's performance. 157 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. 7. Options on Futures Contracts: The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer's futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change would be reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. At April 30, 2011, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding commodity-linked futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Description Date Contracts* Value Gain (Loss) ------------------------- ---------- ---------- -------- ----------- CBOT Wheat Futures....... 07/18/11 5 $ 200 $ (4) Coffee C Futures......... 07/29/11 1 112 2 Copper Futures........... 07/29/11 3 313 (10) Corn Futures............. 07/18/11 9 340 -- Gold 100 Oz Futures...... 08/31/11 3 467 11 Heating Oil Futures...... 07/28/11 1 138 -- Lean Hogs Futures........ 07/19/11 2 77 (1) Live Cattle Futures...... 09/12/11 3 139 -- LME PRI Aluminum Futures. 05/18/11 3 207 2 Natural Gas Futures...... 07/31/11 9 429 23 RBOB Gasoline Futures.... 07/28/11 1 141 1 Silver Futures........... 07/29/11 1 243 1 Soybean Futures.......... 07/18/11 5 349 4 Soybean Oil Futures...... 07/25/11 3 106 -- Sugar #11 World Futures.. 09/15/11 4 100 (1) WTI Crude Oil Futures.... 07/31/11 6 687 7 ------ ---- $4,048 $ 35 ====== ====
158 Dimensional Cayman Commodity Fund I, LTD. securities have been segregated as collateral for open futures contracts. * During the period ended April 30, 2011 the Portfolio's average notional value of outstanding futures contracts was $2,355 (in thousands). At April 30, 2011, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding total return index swaps (dollar amounts in thousands):
Unrealized Expiration Notional Appreciation Counterparty Date Amount* (Depreciation) -------------------------------- ---------- -------- -------------- Citibank, N.A................... 07/27/11 USD $79,588 $1,066 Deutsche Bank AG, London Branch. 07/27/11 USD 63,760 853 UBS AG.......................... 07/27/11 USD 60,782 814 ------ $2,733 ======
* During the period ended April 30, 2011 the Portfolio's average notional value of outstanding swap contracts was $126,840 (in thousands). Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments' (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period. The following is a summary of the Portfolios' derivative instrument holdings for the period ended April 30, 2011. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2011:
Location on the Statements of Assets and Liabilities ---------------------------------------------------- Derivative Type Asset Derivatives -------------------- ---------------------------------------------------- Commodity contracts Receivables: Futures Margin Variation Other contracts Unrealized Gain on Swap Contracts
The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2011 (amounts in thousands):
Asset Derivatives Value ----------------------- Total Value at Commodity Other April 30, 2011 Contracts Contracts -------------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $2,768.... $35*..... $2,733....
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the period ended April 30, 2011 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income -------------------- ----------------------------------------------------------------------- Commodity contracts. Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
159
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income ---------------- - ----------------------------------------------------------------- Other contracts. Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the period ended April 30, 2011 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income --------------------------- Commodity Other Total Contracts Contracts ------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $18,321 $(80) $18,401
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Commodity Other Total Contracts Contracts ------ --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $2,768 $35 $2,733
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011; however, PNC Bank is expected to extend the term of the line of credit to June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is currently negotiating a new $250 million unsecured discretionary line of credit with The Bank of New York Mellon, an affiliate of its domestic custodian bank, to replace the existing line of credit. The Fund anticipates the new line of credit will have substantially the same terms and conditions as the existing line of credit. There were no borrowings by the Portfolio under this line of credit during the period ended April 30, 2011. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2011 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 13, 2012. There were no borrowings by the Portfolio under this line of credit during the period ended April 30, 2011. 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 160 unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. K. Recently Issued Accounting Standards: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles ("GAAP") and International Financial Reporting Standards ("IFRSs")". ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined. L. Other: At April 30, 2011, two shareholders held 89% of the outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. The Portfolio is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolio and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 161 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. TheExpense Tables below illustrate your fund's costs in two ways. ActualFund 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 April 30, 2011 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* -------- -------- ------ ------- DFA International Value Portfolio** ----------------------------------- Actual Fund Return................ Class R2 Shares.................. $1,000.00 $1,143.36 0.71% $3.77 Institutional Class Shares....... $1,000.00 $1,144.37 0.44% $2.34 Hypothetical 5% Annual Return..... Class R2 Shares.................. $1,000.00 $1,021.27 0.71% $3.56 Institutional Class Shares....... $1,000.00 $1,022.61 0.44% $2.21
162 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* --------- --------- ---------- -------- U.S. Large Company Portfolio ---------------------------- Actual Fund Return............ $1,000.00 $1,163.08 0.10% $0.54 Hypothetical 5% Annual Return. $1,000.00 $1,024.30 0.10% $0.50
-------- * 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 (181), 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). 163 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 March 31, 2011. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company is represented in the Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Master Fund's holdings which reflects the investments by country. FEEDER FUND
Affiliated Investment Companies ------------------------------- DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio Consumer Discretionary........ 10.6% Consumer Staples.............. 10.4% Energy........................ 13.0% Financials.................... 13.9% Health Care................... 11.3% Industrials................... 11.2% Information Technology........ 18.1% Materials..................... 3.8% Real Estate Investment Trusts. 1.4% Telecommunication Services.... 3.0% Utilities..................... 3.3% ------ 100.0%
164 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Value+ - ----- AFFILIATED INVESTMENT COMPANY -- (100.0%).............. Investment in The DFA International Value Series of The DFA Investment Trust Company..................... $6,111,230,553 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $4,368,279,405)............................. $6,111,230,553 ==============
See the summary of inputs used to value the Portfolio's Master Fund's investments as of April 30, 2011 located within this report (See Security Valuation Note): See accompanying Notes to Financial Statements. 165 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (95.3%)............ Consumer Discretionary -- (10.1%)... *Amazon.com, Inc.................. 117,505 $23,089,733 0.6% Comcast Corp. Class A............. 915,683 24,027,522 0.6% *Ford Motor Co.................... 1,247,529 19,299,274 0.5% Home Depot, Inc................... 540,479 20,073,390 0.5% McDonald's Corp................... 344,077 26,944,670 0.6% Walt Disney Co. (The)............. 626,308 26,993,875 0.6% Other Securities.................. 292,691,826 7.0% ----------- ---- Total Consumer Discretionary........ 433,120,290 10.4% ----------- ----- Consumer Staples -- (9.9%).......... Altria Group, Inc................. 689,932 18,517,775 0.4% Coca-Cola Co. (The)............... 756,660 51,044,284 1.2% Kraft Foods, Inc. Class A......... 576,792 19,368,675 0.5% PepsiCo, Inc...................... 523,225 36,044,970 0.9% Philip Morris International, Inc.. 592,690 41,156,394 1.0% Procter & Gamble Co. (The)........ 923,692 59,947,611 1.4% Wal-Mart Stores, Inc.............. 646,105 35,522,853 0.8% Other Securities.................. 165,593,895 4.0% ----------- ---- Total Consumer Staples.............. 427,196,457 10.2% ----------- ----- Energy -- (12.4%)................... Chevron Corp...................... 662,052 72,454,971 1.7% ConocoPhillips.................... 471,494 37,215,021 0.9% Exxon Mobil Corp.................. 1,635,334 143,909,392 3.5% Occidental Petroleum Corp......... 268,076 30,638,406 0.7% Schlumberger, Ltd................. 448,853 40,284,557 1.0% Other Securities.................. 208,925,001 5.0% ----------- ---- Total Energy........................ 533,427,348 12.8% ----------- ----- Financials -- (13.3%)............... Bank of America Corp.............. 3,337,932 40,989,805 1.0% *Berkshire Hathaway, Inc.......... 570,860 47,552,638 1.1% *Citigroup, Inc................... 9,582,606 43,984,162 1.1% Goldman Sachs Group, Inc. (The)... 171,662 25,922,679 0.6% JPMorgan Chase & Co............... 1,313,752 59,946,504 1.4% Wells Fargo & Co.................. 1,737,400 50,575,714 1.2% Other Securities.................. 302,646,908 7.3% ----------- ---- Total Financials.................... 571,618,410 13.7% ----------- ----- Health Care -- (10.8%).............. Abbott Laboratories............... 510,389 26,560,644 0.7% *Amgen, Inc....................... 307,521 17,482,569 0.4% Johnson & Johnson................. 902,067 59,283,843 1.4% Merck & Co., Inc.................. 1,016,793 36,553,708 0.9% Pfizer, Inc....................... 2,636,804 55,267,412 1.3% UnitedHealth Group, Inc........... 360,698 17,757,163 0.4% Other Securities.................. 248,931,181 6.0% ----------- ---- Total Health Care................... 461,836,520 11.1% ----------- ----- Industrials -- (10.7%).............. 3M Co............................. 234,752 22,820,242 0.5% Boeing Co. (The).................. 242,829 19,372,898 0.5% Caterpillar, Inc.................. 210,682 24,314,810 0.6% General Electric Co............... 3,501,952 71,614,918 1.7% United Parcel Service, Inc........ 325,549 24,406,409 0.6% United Technologies Corp.......... 303,564 27,193,263 0.6%
166 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ----- --------------- Industrials -- (Continued)............................................ Other Securities.................................................... $ 270,059,903 6.5% -------------- ----- Total Industrials..................................................... 459,782,443 11.0% -------------- ----- Information Technology -- (17.2%)..................................... *Apple, Inc......................................................... 303,835 105,804,462 2.5% Cisco Sytems, Inc................................................... 1,823,119 32,013,970 0.8% *EMC Corp........................................................... 682,217 19,334,030 0.5% *Google, Inc........................................................ 82,709 45,001,967 1.1% Hewlett-Packard Co.................................................. 717,160 28,951,749 0.7% Intel Corp.......................................................... 1,809,929 41,972,254 1.0% International Business Machines Corp................................ 402,200 68,607,276 1.6% Microsoft Corp...................................................... 2,438,555 63,451,201 1.5% Oracle Corp......................................................... 1,283,032 46,253,304 1.1% QUALCOMM, Inc....................................................... 542,103 30,813,135 0.7% Other Securities.................................................... 257,724,565 6.2% -------------- ----- Total Information Technology.......................................... 739,927,913 17.7% -------------- ----- Materials -- (3.6%)................................................... E.I. du Pont de Nemours & Co........................................ 303,953 17,261,491 0.4% Freeport-McMoRan Copper & Gold, Inc. Class B........................ 312,153 17,177,780 0.4% Other Securities.................................................... 119,731,233 2.9% -------------- ----- Total Materials....................................................... 154,170,504 3.7% -------------- ----- Real Estate Investment Trusts -- (1.4%)............................... Other Securities.................................................... 58,232,787 1.4% -------------- ----- Telecommunication Services -- (2.8%).................................. AT&T, Inc........................................................... 1,949,576 60,670,805 1.5% Verizon Communications, Inc......................................... 932,691 35,237,066 0.8% Other Securities.................................................... 26,284,062 0.6% -------------- ----- Total Telecommunication Services...................................... 122,191,933 2.9% -------------- ----- Utilities -- (3.1%)................................................... Other Securities.................................................... 134,355,757 3.2% -------------- ----- TOTAL COMMON STOCKS................................................... 4,095,860,362 98.1% -------------- ----- TEMPORARY CASH INVESTMENTS -- (1.6%).................................. BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares. 70,397,322 70,397,322 1.7% -------------- -----
Shares/ Face Amount ------------ (000) SECURITIES LENDING COLLATERAL -- (3.1%)..................................................... (S)@DFA Short Term Investment Fund.......................................................... 131,029,372 131,029,372 3.2% @Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $386,657 FNMA 3.50%, 02/01/26, valued at $388,767) to be repurchased at $377,445......................... $ 377 377,443 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL......................................................... 131,406,815 3.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,829,400,719)...................................................................... $4,297,664,499 103.0% ============== ======
167 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks...................... Consumer Discretionary............ $ 433,120,290 -- -- $ 433,120,290 Consumer Staples.................. 427,196,457 -- -- 427,196,457 Energy............................ 533,427,348 -- -- 533,427,348 Financials........................ 571,618,410 -- -- 571,618,410 Health Care....................... 461,836,520 -- -- 461,836,520 Industrials....................... 459,782,443 -- -- 459,782,443 Information Technology............ 739,927,913 -- -- 739,927,913 Materials......................... 154,170,504 -- -- 154,170,504 Real Estate Investment Trusts..... 58,232,787 -- -- 58,232,787 Telecommunication Services........ 122,191,933 -- -- 122,191,933 Utilities......................... 134,355,757 -- -- 134,355,757 Temporary Cash Investments......... 70,397,322 -- -- 70,397,322 Securities Lending Collateral...... -- $131,406,815 -- 131,406,815 Futures Contracts**................ 3,899,817 -- -- 3,899,817 -------------- ------------ -- -------------- TOTAL.............................. $4,170,157,501 $131,406,815 -- $4,301,564,316 ============== ============ == ============== ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment..........................
See accompanying Notes to Financial Statements. 168 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES April 30, 2011 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA International U.S. Large Value Company Portfolio Portfolio -------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value................................ $ 6,111,231 -- Investments at Value (including $0 and $127,106 of securities on loan, respectively). -- $ 4,095,860 Temporary Cash Investments at Value & Cost........................................... -- 70,397 Collateral Received from Securities on Loan at Value & Cost.......................... 378 Affiliated Collateral Received from Securities on Loan at Value & Cost............... 131,029 Cash................................................................................. -- 4,973 Receivables:........................................................................ Dividends and Interest.............................................................. -- 4,305 Securities Lending Income........................................................... -- 46 Fund Shares Sold.................................................................... 4,235 1,252 Futures Margin Variation............................................................ -- 265 Prepaid Expenses and Other Assets.................................................... 52 58 -------------- ------------ Total Assets...................................................................... 6,115,518 4,308,563 -------------- ------------ LIABILITIES: Payables:............................................................................ Upon Return of Securities Loaned.................................................... -- 131,407 Affiliated Investment Company Purchased............................................. 984 -- Fund Shares Redeemed................................................................ 3,251 2,033 Due to Advisor...................................................................... 980 268 Accrued Expenses and Other Liabilities............................................... 241 399 -------------- ------------ Total Liabilities................................................................. 5,456 134,107 -------------- ------------ NET ASSETS $ 6,110,062 $ 4,174,456 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $6,455 and $0 and shares outstanding of 319,287 and 0, respectively........................................................ $ 20.22 N/A ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $6,103,607 and $4,174,456 and shares outstanding of 301,996,875 and 387,782,662, respectively $ 20.21 $ 10.76 ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000 ============== ============ Investment in Affiliated Investment Company at Cost.................................. $ 4,368,280 $ -- -------------- ------------ Investments at Cost.................................................................. $ -- $ 2,627,596 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital...................................................................... $ 5,314,575 $ 3,352,305 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................................... 45,950 9,493 Accumulated Net Realized Gain (Loss)................................................. (994,197) (659,506) Net Unrealized Foreign Exchange Gain (Loss).......................................... 783 -- Net Unrealized Appreciation (Depreciation)........................................... 1,742,951 1,472,164 -------------- ------------ NET ASSETS $ 6,110,062 $ 4,174,456 ============== ============
See accompanying Notes to Financial Statements. 169 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
DFA International U.S. Large Value Company Portfolio* Portfolio ------------- ---------- Investment Income Dividends (Net of Foreign Taxes Withheld of $6,680 and $0, respectively)............. $ 85,264 $ 38,579 Interest............................................................................. 12 11 Income from Securities Lending....................................................... 4,398 251 Expenses Allocated from Affiliated Investment Company................................ (6,428) -- -------- -------- Total Investment Income............................................................ 83,246 38,841 -------- -------- Expenses Investment Advisory Services Fees.................................................... -- 491 Administrative Services Fees......................................................... 5,582 982 Accounting & Transfer Agent Fees..................................................... 40 215 Shareholder Servicing Fees -- Class R2 Shares........................................ 8 -- S&P 500(R) Fees...................................................................... -- 23 Custodian Fees....................................................................... -- 27 Filing Fees.......................................................................... 58 40 Shareholders' Reports................................................................ 66 67 Directors'/Trustees' Fees & Expenses................................................. 34 26 Professional Fees.................................................................... 45 58 Other................................................................................ 21 14 -------- -------- Total Expenses..................................................................... 5,854 1,943 -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................................................................... -- 5 -------- -------- Net Expenses......................................................................... 5,854 1,948 -------- -------- Net Investment Income (Loss)......................................................... 77,392 36,893 -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:......................................................... Investment Securities Sold......................................................... 97,663 (23,983) Futures............................................................................ -- 5,554 Foreign Currency Transactions...................................................... 941 -- Change in Unrealized Appreciation (Depreciation) of:................................. Investment Securities and Foreign Currency......................................... 585,621 569,628 Futures............................................................................ -- 2,454 Translation of Foreign Currency Denominated Amounts................................ 261 -- -------- -------- Net Realized and Unrealized Gain (Loss).............................................. 684,486 553,653 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations $761,878 $590,546 ======== ========
-------- * 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. 170 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International Value Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations:.................................................................... Net Investment Income (Loss)................................................. $ 77,392 $ 108,980 Capital Gain Distributions Received from Investment Securities............... -- -- Net Realized Gain (Loss) on:................................................. Investment Securities Sold.................................................. 97,663 255,538 Futures..................................................................... -- -- Foreign Currency Transactions............................................... 941 (99) Change in Unrealized Appreciation (Depreciation) of:......................... Investment Securities and Foreign Currency.................................. 585,621 138,488 Futures..................................................................... -- -- Translation of Foreign Currency Denominated Amounts......................... 261 342 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............ 761,878 503,249 ---------- ---------- Distributions From:............................................................ Net Investment Income:....................................................... Class R2 Shares............................................................. (42) (249) Institutional Class Shares.................................................. (45,833) (107,160) ---------- ---------- Total Distributions........................................................ (45,875) (107,409) ---------- ---------- Capital Share Transactions (1):................................................ Shares Issued................................................................ 590,051 1,032,364 Shares Issued in Lieu of Cash Distributions.................................. 43,333 101,479 Shares Redeemed.............................................................. (402,134) (808,163) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.................... 231,250 325,680 ---------- ---------- Total Increase (Decrease) in Net Assets.................................... 947,253 721,520 Net Assets Beginning of Period.......................................................... 5,162,809 4,441,289 ---------- ---------- End of Period................................................................ $6,110,062 $5,162,809 ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................................................ 31,421 62,742 Shares Issued in Lieu of Cash Distributions.................................. 2,346 6,675 Shares Redeemed.............................................................. (21,411) (49,142) Shares Reduced by Reverse Stock Split (Note G)............................... (2) (453) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................... 12,354 19,822 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 45,950 $ 14,433
U.S. Large Company Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations:.................................................................... Net Investment Income (Loss)................................................. $ 36,893 $ 43,125 Capital Gain Distributions Received from Investment Securities............... -- 81 Net Realized Gain (Loss) on:................................................. Investment Securities Sold.................................................. (23,983) (88,214) Futures..................................................................... 5,554 76 Foreign Currency Transactions............................................... -- -- Change in Unrealized Appreciation (Depreciation) of:......................... Investment Securities and Foreign Currency.................................. 569,628 688,388 Futures..................................................................... 2,454 (3,735) Translation of Foreign Currency Denominated Amounts......................... -- -- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............ 590,546 639,721 ---------- ---------- Distributions From:............................................................ Net Investment Income:....................................................... Class R2 Shares............................................................. -- -- Institutional Class Shares.................................................. (37,031) (35,473) ---------- ---------- Total Distributions........................................................ (37,031) (35,473) ---------- ---------- Capital Share Transactions (1):................................................ Shares Issued................................................................ 317,842 3,071,799 Shares Issued in Lieu of Cash Distributions.................................. 31,108 30,048 Shares Redeemed.............................................................. (440,982) (778,811) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.................... (92,032) 2,323,036 ---------- ---------- Total Increase (Decrease) in Net Assets.................................... 461,483 2,927,284 Net Assets Beginning of Period.......................................................... 3,712,973 785,689 ---------- ---------- End of Period................................................................ $4,174,456 $3,712,973 ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................................................ 31,384 350,368 Shares Issued in Lieu of Cash Distributions.................................. 3,134 3,492 Shares Redeemed.............................................................. (44,115) (52,726) Shares Reduced by Reverse Stock Split (Note G)............................... -- -- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................... (9,597) 301,134 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 9,493 $ 9,631
See accompanying Notes to Financial Statements. 171 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Value Portfolio- DFA International Value Portfolio- Class R2 Shares+ Institutional Class Shares ------------------------------------------- ---------------------------------------- Period April 30, Six Months Year Year 2008(a) Six Months Year Year Ended Ended Ended to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, April 30, Oct. 31, Oct. 31, 2011 2010 2009 2008 2011 2010 2009 ----------- -------- -------- --------- ----------- ---------- ---------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period........................ $17.82 $17.13 $13.58 $ 26.31 $ 17.81 $ 16.46 $ 12.54 ------ ------ ------ ------- ---------- ---------- ---------- Income from Investment Operations.................... Net Investment Income (Loss)...................... 0.24(A) 0.37(A) 0.42(A) 0.66(A) 0.26(A) 0.39(A) 0.40(A) Net Gains (Losses) on Securities (Realizedand Unrealized)................. 2.29 1.29 4.10 (11.73) 2.30 1.34 3.92 ------ ------ ------ ------- ---------- ---------- ---------- Total from Investment Operations................. 2.53 1.66 4.52 (11.07) 2.56 1.73 4.32 Less Distributions............. Net Investment Income........ (0.13) (0.97) (0.97) (1.66) (0.16) (0.38) (0.40) Net Realized Gains........... -- -- -- -- -- -- -- ------ ------ ------ ------- ---------- ---------- ---------- Total Distributions......... (0.13) (0.97) (0.97) (1.66) (0.16) (0.38) (0.40) ------ ------ ------ ------- ---------- ---------- ---------- Net Asset Value, End of Period........................ $20.22 $17.82 $17.13 $ 13.58 $ 20.21 $ 17.81 $ 16.46 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- Total Return................... 14.34%(C) 10.60% 34.86% (44.63)%(C) 14.44%(C) 10.94% 35.11% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $6,455 $4,952 $3,443 $ 3,372 $6,103,607 $5,157,857 $4,437,846 Ratio of Expenses to Average 0.44%(B) Net Assets (D)................ 0.71%(B) 0.72% 0.74% 0.73%(B)(E) 0.45% 0.46% Ratio of Net Investment Income 2.80%(B) to Average Net Assets......... 2.56%(B) 2.11% 2.96% 7.47%(B)(E) 2.34% 3.00% ---------------------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio- Institutional Class Shares --------------------------------------------------- Period Dec. 1, Year Year Year 2007 to Ended Ended Ended Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2008 2007 2006 2005 ---------- -------- ---------- ---------- Net Asset Value, Beginning of Period........................ $ 25.51 $22.71 $ 17.67 $ 15.73 ---------- ------ ---------- ---------- Income from Investment Operations.................... Net Investment Income (Loss)...................... 0.74(A) 0.72(A) 0.66(A) 0.48 Net Gains (Losses) on Securities (Realizedand Unrealized)................. (12.44) 3.09 5.37 1.89 ---------- ------ ---------- ---------- Total from Investment Operations................. (11.70) 3.81 6.03 2.37 Less Distributions............. Net Investment Income........ (0.78) (0.63) (0.65) (0.42) Net Realized Gains........... (0.49) (0.38) (0.34) (0.01) ---------- ------ ---------- ---------- Total Distributions......... (1.27) (1.01) (0.99) (0.43) ---------- ------ ---------- ---------- Net Asset Value, End of Period........................ $ 12.54 $25.51 $ 22.71 $ 17.67 ------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------ Total Return................... (47.96)%(C) 17.09% 35.39% 15.40% ------------------------------------------------------------------------------------ Net Assets, End of Period $3,350,073 (thousands)................... $6,262,069 $4,456,059 $2,518,457 Ratio of Expenses to Average Net Assets (D)................ 0.44%(B) 0.44% 0.44% 0.48% Ratio of Net Investment Income to Average Net Assets......... 3.86%(B) 2.89% 3.25% 2.86% ------------------------------------------------------------------------------------
+All per share amounts and net assets values have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 172 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ---------------------------------------------------------------------- Six Months Year Year Period Year Ended Ended Ended Dec. 1, 2007 Ended April 30, Oct. 31, Oct. 31, to Nov. 30, 2011 2010 2009 Oct. 31, 2008 2007 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period.............. $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00 ---------- ---------- -------- -------- ---------- Income from Investment Operations................. Net Investment Income (Loss).................... 0.09(A) 0.18(A) 0.18(A) 0.20(A) 0.22(A) Net Gains (Losses) on Securities (Realized and Unrealized).................................... 1.43 1.15 0.55 (3.99) 0.62 ---------- ---------- -------- -------- ---------- Total from Investment Operations............... 1.52 1.33 0.73 (3.79) 0.84 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions................................ Net Investment Income........................... (0.10) (0.15) (0.19) (0.22) (0.21) ---------- ---------- -------- -------- ---------- Total Distributions............................ (0.10) (0.15) (0.19) (0.22) (0.21) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.................... $ 10.76 $ 9.34 $ 8.16 $ 7.62 $ 11.63 ------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------ Total Return...................................... 16.31%(C) 16.47% 10.07% (33.10)%(C) 7.71% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)............. $4,174,456 $3,712,973 $785,689 $729,218 $1,002,142 Ratio of Expenses to Average Net Assets........... 0.10%(B) 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees)..................................... 0.10%(B) 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D) Ratio of Net Investment Income to Average Net Assets........................................... 1.89%(B) 1.99% 2.53% 2.10%(B) 1.90% Portfolio Turnover Rate........................... 2%(C) 1%* N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------
U.S. Large Company Portfolio ------------------------ Year Year Ended Ended Nov. 30, Nov. 30, 2006 2005 ------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............. $ 9.82 $ 9.23 -------- -------- Income from Investment Operations................. Net Investment Income (Loss).................... 0.19(A) 0.17 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 1.18 0.61 -------- -------- Total from Investment Operations............... 1.37 0.78 ------------------------------------------------------------------------------- Less Distributions................................ Net Investment Income........................... (0.19) (0.19) -------- -------- Total Distributions............................ (0.19) (0.19) ------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 11.00 $ 9.82 ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- Total Return...................................... 14.11% 8.50% ------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $877,405 $692,595 Ratio of Expenses to Average Net Assets........... 0.10%(D) 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees)..................................... 0.11%(D) 0.14%(D) Ratio of Net Investment Income to Average Net Assets........................................... 1.90% 1.82% Portfolio Turnover Rate........................... N/A N/A -------------------------------------------------------------------------------
* For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. ** Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See Page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 173 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) 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, of which DFA International Value Portfolio and U.S. Large Company Portfolio (the "Portfolios") are presented in this section of the report. The remaining 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 April 30, 2011, DFA International Value Portfolio 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 Portfolio. Class R2 shares of DFA International Value Portfolio commenced operations on April 30, 2008. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. The Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group Inc. and of Dimensional Investment Group Inc. approved an Agreement and Plan of Reorganization (the "Plan") which provided that (i) U.S. Large Company Institutional Index Portfolio (the "Acquiring Fund"), a portfolio of Dimensional Investment Group Inc. would acquire substantially all of the assets of U.S. Large Company Portfolio (the "Target Fund"), a portfolio of DFA Investment Dimensions Group Inc. in exchange solely for shares of capital stock of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be distributed to the shareholders of the Target Fund according to their respective interests in the Target Fund; and (iii) the Target Fund would be liquidated and dissolved (the "Reorganization"). In conjunction with completing the Reorganization, the Acquiring Fund would change its name to "U.S. Large Company Portfolio." The Reorganization took place on May 7, 2010 and the Acquiring Fund changed its name to U.S. Large Company Portfolio effective May 8, 2010. The purpose of the transaction was to lower fees for the shareholders of the Target Fund and create operating efficiencies from economies of scale. The Reorganization was accomplished by a tax-free exchange of the following shares on May 7, 2010:
Target Value Fund Shares Acquiring Fund Shares (in thousands) ------------------ ---------- ------------------------------ ----------- -------------- U.S. Large........ U.S. Large Company............ Company Portfolio. 83,482,168 Institutional Index Portfolio. 311,973,980 $2,731,987
174 The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
Target Unrealized Appreciation Fund Net Assets (Depreciation) Acquiring Fund Net Assets ------------------ ---------- ----------------------- ------------------------------ ---------- U.S. Large........ U.S. Large Company............ Company Portfolio. $2,731,987 $315,984 Institutional Index Portfolio. $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investment Income.................................. $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b) -------- Net Increase in Net Assets Resulting from Operations... $572,754 ========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b)$596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize a fair value heirarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - 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 Portfolio's own assumptions in determining the fair value of investments) DFA International Value Portfolio's investment reflects its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy. 175 Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by U.S. Large Company Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, U.S. Large Company Portfolio values the securities at the mean of the most recent quoted bid and asked prices. 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. These securities are generally categorized as Level 2 in the hierarchy. 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 the Advisor) 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. 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 at the end of the Schedules of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolios did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2011. 2. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: 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 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 shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2011, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. Other: The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Feeder Fund estimates the character of distributions received that may be considered return of capital distributions. Expenses directly attributable to the Feeder Fund are 176 directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. C. Investment Advisor: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides administrative services to the Portfolios, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors/Trustees, and other administrative services. The Advisor provides investment advisory services to the Portfolios and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the six months ended April 30, 2011, the Portfolios' administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA International Value Portfolio. 0.20% U.S. Large Company Portfolio...... 0.05%
For the six months ended April 30, 2011, the Portfolio's investment advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: U.S. Large Company Portfolio. 0.025%
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2012, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the six months ended April 30, 2011, 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 Assumed Expense Waived Fees/ Subject to Future Limits Expenses Assumed Recovery ------- ---------------- ----------------- DFA International Value Portfolio -- Class R2 Shares (1). 0.79% -- -- U.S. Large Company Portfolio (2)......................... 0.10% $ 5 $615
(1) The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding administration fees and custodian fees) to the extent necessary to limit the expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) of the Class R2 shares of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's Class R2 shares' annualized expenses to exceed the applicable percentage of average net assets as listed above. (2) The Advisor has contractually agreed to waive all or a portion of its administration fee to the extent necessary to reduce the ordinary operating expenses (not including expenses incurred through investment in other investment companies) ("Portfolio Expenses"), so that such Portfolio Expenses do not exceed the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above. 177 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 six months ended April 30, 2011, the total related amounts paid by the Fund to the CCO were $16 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2011, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follow (amounts in thousands): DFA International Value Portfolio. $142 U.S. Large Company Portfolio...... 211
E. Purchases and Sales of Securities: For the six months ended April 30, 2011, 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. $ 75,482 Sales..... 189,643
There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income, accumulated net realized gains or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2010, primarily attributable to distribution of assets and liabilities by a partnership in complete liquidation and the expiration of capital loss carryforwards, 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. -- $ (99) $ 99 U.S. Large Company Portfolio...... $453,344 (147) (453,197)
178 The tax character of dividends and distributions declared and paid during the years ended October 31, 2009 and October 31, 2010 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- DFA International Value Portfolio 2009.............................. $105,700 -- $105,700 2010.............................. 107,409 -- 107,409 U.S. Large Company Portfolio 2009.............................. 18,243 -- 18,243 2010.............................. 35,473 -- 35,473
At October 31, 2010, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Earnings Short-Term Long-Term Capital Loss (Accumulated Capital Gains Capital Gains Caryforward Losses) -------------- ------------- ------------ ------------- DFA International Value Portfolio. $14,594 -- $(1,092,654) $(1,078,060) U.S. Large Company Portfolio...... 9,826 -- (386,326) (376,500)
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. As of October 31, 2010, the Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration date (amounts in thousands):
Expires on October 31, --------------------------------------------------------------------------- 2011 2012 2013 2014 2015 2016 2017 2018 Total ------- ------ ------- ------ ------- ---------- ------- ------- ---------- DFA International Value Portfolio. -- -- -- -- -- $1,092,654 -- -- $1,092,654 U.S. Large Company Portfolio...... $13,997 $5,486 $10,569 $1,944 $86,015 100,024 $87,500 $80,791 386,326
For the year ended October 31, 2010, DFA International Value Portfolio had utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes of $255,554 (in thousands). For the period ended October 31, 2010, U.S. Large Company Portfolio had capital loss carryforward expirations of $42,619 (in thousands). At April 30, 2011, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------- ------------ -------------- -------------- DFA International Value Portfolio. $4,368,433 $1,813,659 $ (70,861) $1,742,798 U.S. Large Company Portfolio...... 3,030,598 1,640,955 (373,889) 1,267,066
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 postions and has concluded that no provision for income tax is required in the Portfolios' financial statements. The Portfolios are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next six months. The Portfolios' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. 179 On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if the master's investment securities were sold to its shareholders and, pursuant to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it liquidated its investment in the master. As a result of the transaction, The DFA International Value Series recognized a ($2,309,440,866) and ($718,733) capital and currency loss respectively for tax year ended October 31, 2008. For tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date. Certain prior year balances have been reclassified to conform with current year presentations. Such reclassfications impacted the paid-in-capital, undistributed net investment income/distributions in excess of net investment income and accumulated net realized gain/loss components of net assets on the statement of assets and liabilities of U.S. Large Company Portfolio. These reclassifications had no impact on net assets, net asset value, the financial highlights or total return. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Six Months Year Ended Ended April 30, 2011 Oct. 31, 2010 ------------------ ------------------- Amount Shares Amount Shares --------- ------- ---------- ------- DFA International Value Portfolio..................... Class R2 Shares Shares Issued........................................ $ 2,878 158 $ 2,443 375 Shares Issued in Lieu of Cash Distributions.......... 42 2 249 43 Shares Redeemed...................................... (2,133) (117) (1,361) (215) Shares Reduced by Reverse Stock Split................ -- (2) -- (453) --------- ------- ---------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 787 41 $ 1,331 (250) ========= ======= ========== ======= Institutional Class Shares Shares Issued........................................ $ 587,173 31,263 $1,029,921 62,367 Shares Issued in Lieu of Cash Distributions.......... 43,291 2,344 101,230 6,632 Shares Redeemed...................................... (400,001) (21,294) (806,802) (48,927) --------- ------- ---------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 230,463 12,313 $ 324,349 20,072 ========= ======= ========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of DFA International Value Portfolio's Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R2 Shares received one share for every 2.631 shares held. The purpose of the reverse split was to reduce the number of Class R2 Shares, thereby increasing the net asset value of each Class R2 Share outstanding in order to more closely align the net asset value with the net asset value of DFA International Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the 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 retroactively restated to reflect the reverse stock splits for the respective Class R2 Shares. 180 H. Financial Instruments: In accordance with U.S. Large Company Portfolio investment objectives and policies, U.S. Large Company Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: U.S. Large Company Portfolio may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on April 29, 2011. Derivative Financial Instruments: Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a fund's results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Series. 2. Futures Contracts: U.S. Large Company Portfolio may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, U.S. Large Company Portfolio deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by U.S. Large Company Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, U.S. Large Company Portfolio 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 U.S. Large Company Portfolio could lose more than the initial margin requirements. Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2011, U.S. Large Company Portfolio had outstanding futues contracts (dollar amounts in thousands):
Approximate Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------- ---------- ---------- -------- ----------- ----------- U.S. Large Company Portfolio. S&P 500 (R) Index 06/17/2011 221 $75,123 $3,900 $4,973
*During the six months ended April 30, 2011, U.S. Large Company Portfolio's average notional value of outstanding futures contracts was $57,060 (in thousands). Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments' (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period. The following is a summary of U.S. Large Company Portfolio's derivative instrument holdings for the six months ended April 30, 2011. 181 The following is a summary of U.S. Large Company Portfolio's location and value of derivative instrument holdings on U.S. Large Compnay Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure as of April 30, 2011 (amounts in thousands):
Asset Derivatives Value - ----------------------- Location on the Statements of Assets and Equity Liabilities Contracts -------------------------- ----------------------- Receivables: Futures U.S. Large Company Portfolio. Margin Variation $3,900*
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on U.S. Large Company Portfolio's Statement of Operations for U.S. Large Company Portfolio's derivative instrument holdings through the six months ended April 30, 2011:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts. Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure for the six months ended April 30, 2011 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio. $5,554 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio. $2,454
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowings. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011; however, PNC Bank is expected to extend the term of the line of credit to June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is currently negotiating a new $250 million unsecured discretionary line of credit with The Bank of New York Mellon, an affiliate of its domestic custodian bank, to replace the existing line of credit. The Fund anticipates the new line 182 of credit will have substantially the same terms and conditions as the existing line of credit. There were no borrowings by the Portfolios under this line of credit during the six months ended April 30, 2011. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2011 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement of the line of credit expires on January 13, 2012. For the six months ended April 30, 2011, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Large Company Portfolio. 0.92% $9,899 2 $1 $12,782
*Number of Days Outstanding represents the total of single or consecutive days during the six months ended that each Series' available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of April 30, 2011. J. Securities Lending: As of April 30, 2011, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio receives cash collateral. The Portfolio invests its cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to its stated investment policies, the Portfolio will generally invest its cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. 183 K. Shareholder Servicing Fees: The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in the DFA International Value Portfolio Class R2 Shares. L. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. Recently Issued Accounting Standards: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles ("GAAP") and International Financial Reporting Standards ("IFRSs")". ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined. N. Other: At April 30, 2011, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders is an omnibus account, which typically holds shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Oustanding Shareholders Shares ------------ ------------- DFA International Value Portfolio -- Class R2 Shares............ 2 68% DFA International Value Portfolio -- Institutional Class Shares. 2 46% U.S. Large Company Portfolio.................................... 2 66%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results 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. 184 O. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 185 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 April 30, 2011 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* --------- --------- ---------- -------- The U.S. Large Cap Value Series Actual Fund Return................. $1,000.00 $1,220.56 0.12% $0.66 Hypothetical 5% Annual Return...... $1,000.00 $1,024.20 0.12% $0.60 The DFA International Value Series Actual Fund Return................. $1,000.00 $1,146.18 0.23% $1.22 Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
186 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return.................. $1,000.00 $1,118.48 0.14% $0.74 Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70 The Asia Pacific Small Company Series ------------------------------------- Actual Fund Return.................. $1,000.00 $1,136.55 0.16% $0.85 Hypothetical 5% Annual Return....... $1,000.00 $1,024.00 0.16% $0.80 The United Kingdom Small Company Series --------------------------------------- Actual Fund Return.................. $1,000.00 $1,170.60 0.12% $0.65 Hypothetical 5% Annual Return....... $1,000.00 $1,024.20 0.12% $0.60 The Continental Small Company Series ------------------------------------ Actual Fund Return.................. $1,000.00 $1,203.33 0.14% $0.76 Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70 The Canadian Small Company Series --------------------------------- Actual Fund Return.................. $1,000.00 $1,254.73 0.14% $0.78 Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70 The Emerging Markets Series --------------------------- Actual Fund Return.................. $1,000.00 $1,117.61 0.19% $1.00 Hypothetical 5% Annual Return....... $1,000.00 $1,023.85 0.19% $0.95 The Emerging Markets Small Cap Series ------------------------------------- Actual Fund Return.................. $1,000.00 $1,064.47 0.30% $1.54 Hypothetical 5% Annual Return....... $1,000.00 $1,023.31 0.30% $1.51
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. 187 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 March 31, 2011. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS The U.S. Large Cap Value Series Consumer Discretionary..... 16.3% Consumer Staples........... 7.7% Energy..................... 17.5% Financials................. 21.3% Health Care................ 10.0% Industrials................ 13.3% Information Technology..... 3.4% Materials.................. 3.0% Telecommunication Services. 6.3% Utilities.................. 1.2% ----- 100.0% The DFA International Value Series Consumer Discretionary..... 15.4% Consumer Staples........... 5.7% Energy..................... 11.5% Financials................. 30.3% Health Care................ 1.5% Industrials................ 9.6% Information Technology..... 2.8% Materials.................. 12.7% Other...................... -- Telecommunication Services. 7.1% Utilities.................. 3.4% ----- 100.0% The Japanese Small Company Series Consumer Discretionary... 22.8% Consumer Staples......... 9.5% Energy................... 1.1% Financials............... 10.6% Health Care.............. 4.5% Industrials.............. 27.5% Information Technology... 11.3% Materials................ 12.2% Utilities................ 0.5% ----- 100.0% 188 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED
The Asia Pacific Small Company Series Consumer Discretionary........ 23.3% Consumer Staples.............. 3.8% Energy........................ 5.9% Financials.................... 12.4% Health Care................... 5.1% Industrials................... 22.4% Information Technology........ 3.9% Materials..................... 17.2% Other......................... -- Real Estate Investment Trusts. 0.1% Telecommunication Services.... 2.0% Utilities..................... 3.9% ------ 100.0% The Canadian Small Company Series Consumer Discretionary........ 10.0% Consumer Staples.............. 2.4% Energy........................ 25.3% Financials.................... 6.9% Health Care................... 3.1% Industrials................... 9.9% Information Technology........ 5.6% Materials..................... 34.7% Real Estate Investment Trusts. 0.1% Telecommunication Services.... 0.3% Utilities..................... 1.7% ------ 100.0%
The United Kingdom Small Company Series Consumer Discretionary.......... 21.4% Consumer Staples................ 4.2% Energy.......................... 5.5% Financials...................... 13.1% Health Care..................... 1.7% Industrials..................... 31.2% Information Technology.......... 11.1% Materials....................... 7.1% Other........................... -- Real Estate Investment Trusts... -- Telecommunication Services...... 1.8% Utilities....................... 2.9% ------ 100.0% The Emerging Markets Series Consumer Discretionary.......... 7.1% Consumer Staples................ 8.2% Energy.......................... 15.2% Financials...................... 21.1% Health Care..................... 0.7% Industrials..................... 6.6% Information Technology.......... 14.1% Materials....................... 14.9% Other........................... -- Real Estate Investment Trusts... 0.1% Telecommunication Services...... 8.9% Utilities....................... 3.1% ------ 100.0%
The Continental Small Company Series Consumer Discretionary........ 14.8% Consumer Staples.............. 6.7% Energy........................ 5.2% Financials.................... 17.0% Health Care................... 7.7% Industrials................... 25.7% Information Technology........ 10.2% Materials..................... 9.4% Other......................... -- Real Estate Investment Trusts. 0.1% Telecommunication Services.... 1.1% Utilities..................... 2.1% ------ 100.0% The Emerging Markets Small Cap Series Consumer Discretionary........ 19.0% Consumer Staples.............. 10.5% Energy........................ 1.7% Financials.................... 16.6% Health Care................... 4.8% Industrials................... 16.5% Information Technology........ 9.9% Materials..................... 16.0% Other......................... 0.1% Real Estate Investment Trusts. 0.1% Telecommunication Services.... 1.0% Utilities..................... 3.8% ------ 100.0%
189 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (95.1%)................... Consumer Discretionary -- (15.5%).......... Carnival Corp............................ 2,260,335 $ 86,050,953 0.8% CBS Corp. Class B........................ 3,870,469 97,613,228 0.9% Comcast Corp. Class A.................... 11,535,742 302,697,870 2.9% Comcast Corp. Special Class A............ 3,843,964 94,369,316 0.9% *Liberty Media Corp. Interactive Class A. 3,585,265 62,670,432 0.6% #News Corp. Class A...................... 9,024,175 160,810,799 1.6% #News Corp. Class B...................... 3,247,295 61,373,876 0.6% #Time Warner Cable, Inc.................. 2,004,056 156,576,895 1.5% #Time Warner, Inc........................ 6,251,359 236,676,452 2.3% Other Securities......................... 435,275,174 4.2% -------------- ----- Total Consumer Discretionary............... 1,694,114,995 16.3% -------------- ----- Consumer Staples -- (7.3%)................. Archer-Daniels-Midland Co................ 2,981,045 110,358,286 1.0% CVS Caremark Corp........................ 6,816,437 247,027,677 2.4% Kraft Foods, Inc. Class A................ 6,193,330 207,972,021 2.0% Other Securities......................... 235,468,214 2.3% -------------- ----- Total Consumer Staples..................... 800,826,198 7.7% -------------- ----- Energy -- (16.6%).......................... Anadarko Petroleum Corp.................. 2,773,608 218,948,616 2.1% Chesapeake Energy Corp................... 3,174,634 106,889,927 1.0% #Chevron Corp............................ 639,240 69,958,426 0.7% ConocoPhillips........................... 5,825,280 459,789,350 4.4% Hess Corp................................ 1,453,921 124,979,049 1.2% Marathon Oil Corp........................ 3,514,978 189,949,411 1.8% National-Oilwell, Inc.................... 1,945,893 149,230,534 1.4% #Pioneer Natural Resources Co............ 577,949 59,083,726 0.6% #Valero Energy Corp...................... 2,742,854 77,622,768 0.7% Other Securities......................... 359,665,592 3.5% -------------- ----- Total Energy............................... 1,816,117,399 17.4% -------------- ----- Financials -- (20.3%)...................... Bank of America Corp..................... 21,876,033 268,637,685 2.6% Capital One Financial Corp............... 2,343,277 128,247,550 1.2% *Citigroup, Inc.......................... 78,417,143 359,934,686 3.5% CME Group, Inc........................... 314,577 93,042,439 0.9% Hartford Financial Services Group, Inc... 2,160,202 62,581,052 0.6% Loews Corp............................... 2,466,987 109,188,845 1.0% MetLife, Inc............................. 4,607,955 215,606,214 2.1% Morgan Stanley........................... 3,042,449 79,560,041 0.8% #Prudential Financial, Inc............... 2,197,605 139,372,109 1.3% #SunTrust Banks, Inc..................... 2,563,152 72,255,255 0.7% Other Securities......................... 685,712,027 6.6% -------------- ----- Total Financials........................... 2,214,137,903 21.3% -------------- ----- Health Care -- (9.5%)...................... Aetna, Inc............................... 1,938,699 80,223,365 0.8% *Humana, Inc............................. 712,843 54,261,609 0.5% Pfizer, Inc.............................. 14,482,035 303,543,454 2.9% *Thermo Fisher Scientific, Inc........... 1,994,284 119,637,097 1.1% UnitedHealth Group, Inc.................. 2,296,880 113,075,402 1.1% WellPoint, Inc........................... 2,580,122 198,127,568 1.9% Other Securities......................... 172,306,807 1.7% -------------- ----- Total Health Care.......................... 1,041,175,302 10.0% -------------- -----
190 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ----- --------------- Industrials -- (12.6%)................................................ CSX Corp............................................................ 2,287,204 $ 179,980,083 1.7% General Electric Co................................................. 15,225,603 311,363,581 3.0% Norfolk Southern Corp............................................... 2,186,220 163,266,910 1.6% #Northrop Grumman Corp.............................................. 1,926,678 122,555,988 1.2% Tyco International, Ltd............................................. 1,149,868 56,044,566 0.5% Union Pacific Corp.................................................. 2,594,778 268,481,680 2.6% Other Securities.................................................... 277,885,139 2.7% --------------- ------ Total Industrials..................................................... 1,379,577,947 13.3% --------------- ------ Information Technology -- (3.2%)...................................... Other Securities.................................................... 350,589,780 3.4% --------------- ------ Materials -- (2.9%)................................................... #Alcoa, Inc......................................................... 5,357,434 91,076,378 0.8% International Paper Co.............................................. 2,299,481 71,007,973 0.7% Other Securities.................................................... 155,591,864 1.5% --------------- ------ Total Materials....................................................... 317,676,215 3.0% --------------- ------ Telecommunication Services -- (6.0%).................................. AT&T, Inc........................................................... 12,865,019 400,359,391 3.8% #CenturyLink, Inc................................................... 1,452,902 59,249,344 0.6% #*Sprint Nextel Corp................................................. 13,961,200 72,319,016 0.7% #Verizon Communications, Inc........................................ 1,599,525 60,430,054 0.6% Other Securities.................................................... 58,771,008 0.5% --------------- ------ Total Telecommunication Services...................................... 651,128,813 6.2% --------------- ------ Utilities -- (1.2%)................................................... Public Service Enterprise Group, Inc................................ 1,751,371 56,341,605 0.5% Other Securities.................................................... 67,245,478 0.7% --------------- ------ Total Utilities....................................................... 123,587,083 1.2% --------------- ------ TOTAL COMMON STOCKS................................................... 10,388,931,635 99.8% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.1%).................................. BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares. 10,178,864 10,178,864 0.1% --------------- ------ Shares/ Face Amount ----------- (000) SECURITIES LENDING COLLATERAL -- (4.8%)............................... (S)@DFA Short Term Investment Fund.................................... 523,266,285 523,266,285 5.1% @Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $1,544,114 FNMA 3.500%, 02/01/26, valued at $1,552,540) to be repurchased at $1,507,328..................... $1,507 1,507,320 0.0% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................... 524,773,605 5.1% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,580,486,809)................................................ $10,923,884,104 105.0% =============== ======
191 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- ------------ ------- --------------- Common Stocks................. Consumer Discretionary...... $ 1,694,114,995 -- -- $ 1,694,114,995 Consumer Staples............ 800,826,198 -- -- 800,826,198 Energy...................... 1,816,117,399 -- -- 1,816,117,399 Financials.................. 2,214,137,903 -- -- 2,214,137,903 Health Care................. 1,041,175,302 -- -- 1,041,175,302 Industrials................. 1,379,577,947 -- -- 1,379,577,947 Information Technology...... 350,589,780 -- -- 350,589,780 Materials................... 317,676,215 -- -- 317,676,215 Telecommunication Services.. 651,128,813 -- -- 651,128,813 Utilities................... 123,587,083 -- -- 123,587,083 Temporary Cash Investments.... 10,178,864 -- -- 10,178,864 Securities Lending Collateral. -- $524,773,605 -- 524,773,605 --------------- ------------ -- --------------- TOTAL......................... $10,399,110,499 $524,773,605 -- $10,923,884,104 =============== ============ == ===============
See accompanying Notes to Financial Statements. 192 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (83.0%)........................ AUSTRALIA -- (4.8%)............................. #Australia & New Zealand Banking Group, Ltd... 1,696,439 $ 45,188,322 0.6% #National Australia Bank, Ltd................. 1,901,632 56,616,627 0.7% Wesfarmers, Ltd............................... 2,539,298 93,023,189 1.1% Other Securities.............................. 274,559,990 3.4% ------------ ----- TOTAL AUSTRALIA................................. 469,388,128 5.8% ------------ ----- AUSTRIA -- (0.3%)............................... Other Securities.............................. 33,729,173 0.4% ------------ ----- BELGIUM -- (0.8%)............................... Other Securities.............................. 81,832,923 1.0% ------------ ----- CANADA -- (10.2%)............................... #Encana Corp.................................. 2,051,015 68,912,717 0.9% #Manulife Financial Corp...................... 3,219,919 57,820,033 0.7% #Nexen, Inc................................... 1,719,282 45,482,882 0.6% #Sun Life Financial, Inc...................... 1,494,503 48,919,049 0.6% Suncor Energy, Inc............................ 2,545,871 117,344,432 1.4% Talisman Energy, Inc.......................... 2,162,345 52,221,723 0.6% Teck Resources, Ltd. Class B.................. 1,303,030 70,828,973 0.9% #Thomson Reuters Corp......................... 1,832,184 74,282,702 0.9% #TransCanada Corp............................. 1,941,948 83,556,205 1.0% Other Securities.............................. 368,196,722 4.5% ------------ ----- TOTAL CANADA.................................... 987,565,438 12.1% ------------ ----- DENMARK -- (1.3%)............................... Other Securities.............................. 125,784,300 1.5% ------------ ----- FINLAND -- (0.7%)............................... Other Securities.............................. 72,344,385 0.9% ------------ ----- FRANCE -- (8.3%)................................ #AXA SA....................................... 3,678,548 82,466,032 1.0% BNP Paribas SA................................ 607,569 48,031,142 0.6% Cie de Saint-Gobain SA........................ 875,747 60,426,286 0.8% Credit Agricole SA............................ 2,709,992 45,077,952 0.6% #GDF Suez SA.................................. 2,720,289 111,230,825 1.4% Societe Generale Paris SA..................... 1,255,581 83,907,846 1.0% #Vivendi SA................................... 3,447,034 108,081,627 1.3% Other Securities.............................. 270,063,507 3.3% ------------ ----- TOTAL FRANCE.................................... 809,285,217 10.0% ------------ ----- GERMANY -- (8.1%)............................... #Allianz SE................................... 439,353 69,027,351 0.8% #Allianz SE Sponsored ADR..................... 2,834,240 44,639,280 0.6% Bayerische Motoren Werke AG................... 915,762 86,217,868 1.1% *Daimler AG................................... 2,088,586 161,419,483 2.0% Deutsche Bank AG.............................. 965,050 62,853,121 0.8% Deutsche Telekom AG........................... 2,852,483 47,140,915 0.6% #Deutsche Telekom AG Sponsored ADR............ 3,099,741 51,455,701 0.6% #E.ON AG...................................... 1,598,720 54,642,935 0.7% #Munchener Rueckversicherungs-Gesellschaft AG. 412,644 68,067,628 0.8% Other Securities.............................. 139,601,150 1.7% ------------ ----- TOTAL GERMANY................................... 785,065,432 9.7% ------------ ----- GREECE -- (0.1%)................................ Other Securities.............................. 10,014,324 0.1% ------------ -----
193 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- HONG KONG -- (1.4%)..................... Hutchison Whampoa, Ltd................ 5,618,000 $ 64,322,781 0.8% Other Securities...................... 73,073,228 0.9% -------------- ----- TOTAL HONG KONG......................... 137,396,009 1.7% -------------- ----- IRELAND -- (0.1%)....................... Other Securities...................... 11,433,581 0.1% -------------- ----- ISRAEL -- (0.4%)........................ Other Securities...................... 36,826,376 0.4% -------------- ----- ITALY -- (1.5%)......................... Other Securities...................... 142,505,906 1.7% -------------- ----- JAPAN -- (16.1%)........................ Mitsubishi Heavy Industries, Ltd...... 9,007,000 43,038,599 0.5% #Mitsubishi UFJ Financial Group, Inc.. 13,207,406 63,390,116 0.8% Nissan Motor Co., Ltd................. 4,831,600 46,487,303 0.6% #Sony Corp. Sponsored ADR............. 1,801,665 51,005,136 0.6% #Sumitomo Corp........................ 3,241,900 44,721,492 0.5% #Toyota Motor Corp. Sponsored ADR..... 551,545 43,947,106 0.5% Other Securities...................... 1,272,689,380 15.7% -------------- ----- TOTAL JAPAN............................. 1,565,279,132 19.2% -------------- ----- MALAYSIA -- (0.0%)...................... Other Securities...................... -- 0.0% -------------- ----- NETHERLANDS -- (3.2%)................... ArcelorMittal NV...................... 2,446,831 90,424,916 1.1% *ING Groep NV......................... 3,849,884 50,719,361 0.6% *Koninklijke Philips Electronics NV... 1,939,039 57,430,601 0.7% Other Securities...................... 109,870,597 1.4% -------------- ----- TOTAL NETHERLANDS....................... 308,445,475 3.8% -------------- ----- NEW ZEALAND -- (0.1%)................... Other Securities...................... 5,336,761 0.1% -------------- ----- NORWAY -- (0.9%)........................ Other Securities...................... 87,106,036 1.1% -------------- ----- PORTUGAL -- (0.1%)...................... Other Securities...................... 9,833,096 0.1% -------------- ----- SINGAPORE -- (1.0%)..................... Other Securities...................... 94,898,798 1.2% -------------- ----- SPAIN -- (2.7%)......................... #Repsol YPF SA Sponsored ADR.......... 1,432,181 51,157,505 0.6% Other Securities...................... 207,178,508 2.6% -------------- ----- TOTAL SPAIN............................. 258,336,013 3.2% -------------- ----- SWEDEN -- (2.1%)........................ Nordea Bank AB........................ 4,013,687 45,762,056 0.6% Other Securities...................... 162,959,751 2.0% -------------- ----- TOTAL SWEDEN............................ 208,721,807 2.6% -------------- ----- SWITZERLAND -- (5.2%)................... #Holcim, Ltd. AG...................... 886,165 77,213,358 0.9% Swiss Reinsurance Co., Ltd. AG........ 1,108,107 66,116,889 0.8% Zurich Financial Services AG.......... 322,634 90,717,790 1.1%
194 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ------------- -------------- SWITZERLAND -- (Continued)................................................................ Other Securities........................................................................ $ 273,495,501 -------------- TOTAL SWITZERLAND......................................................................... 507,543,538 -------------- UNITED KINGDOM -- (13.6%)................................................................. Aviva P.L.C............................................................................. 7,396,866 55,357,784 #Barclays P.L.C. Sponsored ADR.......................................................... 4,180,831 79,644,831 Kingfisher P.L.C........................................................................ 10,285,817 47,258,773 Royal Dutch Shell P.L.C. ADR............................................................ 3,242,203 254,059,027 Vodafone Group P.L.C.................................................................... 34,976,333 101,109,152 Vodafone Group P.L.C. Sponsored ADR..................................................... 8,335,538 242,730,867 Xstrata P.L.C........................................................................... 3,843,909 98,592,431 Other Securities........................................................................ 442,839,701 -------------- TOTAL UNITED KINGDOM...................................................................... 1,321,592,566 -------------- TOTAL COMMON STOCKS....................................................................... 8,070,264,414 -------------- RIGHTS/WARRANTS -- (0.0%)................................................................. PORTUGAL -- (0.0%)........................................................................ Other Securities........................................................................ 134,266 -------------- SPAIN -- (0.0%)........................................................................... Other Securities........................................................................ 257,338 -------------- TOTAL RIGHTS/WARRANTS..................................................................... 391,604 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.1%)...................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130............................................................................. $8,222 8,222,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (16.9%).................................................. (S)@DFA Short Term Investment Fund........................................................ 1,646,576,000 1,646,576,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at $1,321,755............................................................................. $1,322 1,321,751 -------------- TOTAL SECURITIES LENDING COLLATERAL....................................................... 1,647,897,751 -------------- TOTAL INVESTMENTS -- (100.0%)............................................................. (Cost $7,369,761,306)................................................................... $9,726,775,769 ==============
Percentage of Net Assets** --------------- SWITZERLAND -- (Continued)................................................................ Other Securities........................................................................ 3.4% ------ TOTAL SWITZERLAND......................................................................... 6.2% ------ UNITED KINGDOM -- (13.6%)................................................................. Aviva P.L.C............................................................................. 0.7% #Barclays P.L.C. Sponsored ADR.......................................................... 1.0% Kingfisher P.L.C........................................................................ 0.6% Royal Dutch Shell P.L.C. ADR............................................................ 3.1% Vodafone Group P.L.C.................................................................... 1.2% Vodafone Group P.L.C. Sponsored ADR..................................................... 3.0% Xstrata P.L.C........................................................................... 1.2% Other Securities........................................................................ 5.5% ------ TOTAL UNITED KINGDOM...................................................................... 16.3% ------ TOTAL COMMON STOCKS....................................................................... 99.2% ------ RIGHTS/WARRANTS -- (0.0%)................................................................. PORTUGAL -- (0.0%)........................................................................ Other Securities........................................................................ 0.0% ------ SPAIN -- (0.0%)........................................................................... Other Securities........................................................................ 0.0% ------ TOTAL RIGHTS/WARRANTS..................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.1%)...................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130............................................................................. 0.1% ------ SECURITIES LENDING COLLATERAL -- (16.9%).................................................. (S)@DFA Short Term Investment Fund........................................................ 20.3% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at $1,321,755............................................................................. 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL....................................................... 20.3% ------ TOTAL INVESTMENTS -- (100.0%)............................................................. (Cost $7,369,761,306)................................................................... 119.6% ======
195 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks................. Australia................... $ 8,439,298 $ 460,948,830 -- $ 469,388,128 Austria..................... -- 33,729,173 -- 33,729,173 Belgium..................... 4,541,994 77,290,929 -- 81,832,923 Canada...................... 987,565,438 -- -- 987,565,438 Denmark..................... -- 125,784,300 -- 125,784,300 Finland..................... 2,515,212 69,829,173 -- 72,344,385 France...................... 33,906,195 775,379,022 -- 809,285,217 Germany..................... 123,575,824 661,489,608 -- 785,065,432 Greece...................... 984,576 9,029,748 -- 10,014,324 Hong Kong................... -- 137,396,009 -- 137,396,009 Ireland..................... 6,174,077 5,259,504 -- 11,433,581 Israel...................... 4,108,164 32,718,212 -- 36,826,376 Italy....................... 28,173,735 114,332,171 -- 142,505,906 Japan....................... 134,310,391 1,430,968,741 -- 1,565,279,132 Malaysia.................... -- -- -- -- Netherlands................. 26,000,266 282,445,209 -- 308,445,475 New Zealand................. -- 5,336,761 -- 5,336,761 Norway...................... 533,709 86,572,327 -- 87,106,036 Portugal.................... -- 9,833,096 -- 9,833,096 Singapore................... -- 94,898,798 -- 94,898,798 Spain....................... 100,033,060 158,302,953 -- 258,336,013 Sweden...................... 14,472,862 194,248,945 -- 208,721,807 Switzerland................. 66,974,850 440,568,688 -- 507,543,538 United Kingdom.............. 663,451,513 658,141,053 -- 1,321,592,566 Rights/Warrants............... Portugal.................... 134,266 -- -- 134,266 Spain....................... 257,338 -- -- 257,338 Temporary Cash Investments.... -- 8,222,000 -- 8,222,000 Securities Lending Collateral. -- 1,647,897,751 -- 1,647,897,751 -------------- -------------- -- -------------- TOTAL......................... $2,206,152,768 $7,520,623,001 -- $9,726,775,769 ============== ============== == ==============
See accompanying Notes to Financial Statements. 196 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (86.4%).............. Consumer Discretionary -- (19.7%)..... Aoyama Trading Co., Ltd............. 250,500 $ 4,126,612 0.3% Autobacs Seven Co., Ltd............. 100,400 3,690,046 0.2% Exedy Corp.......................... 119,700 3,824,051 0.3% *Haseko Corp........................ 5,356,000 3,589,532 0.2% Kayaba Industry Co., Ltd............ 633,000 5,265,926 0.4% *K's Holdings Corp.................. 156,927 4,891,112 0.3% Nifco, Inc.......................... 187,400 4,738,275 0.3% #*Pioneer Electronic Corp............ 981,300 4,150,730 0.3% #Ryohin Keikaku Co., Ltd............ 92,200 4,279,821 0.3% Shimachu Co., Ltd................... 161,100 3,760,811 0.3% Sumitomo Forestry Co., Ltd.......... 433,066 3,795,604 0.3% Toyobo Co., Ltd..................... 2,970,000 4,692,999 0.3% Other Securities.................... 283,004,359 19.1% ------------ ----- Total Consumer Discretionary.......... 333,809,878 22.6% ------------ ----- Consumer Staples -- (8.2%)............ Fuji Oil Co., Ltd................... 258,900 3,594,194 0.2% Morinaga Milk Industry Co., Ltd..... 886,000 3,576,420 0.2% Nichirei Corp....................... 839,000 3,686,298 0.3% Other Securities.................... 127,288,516 8.6% ------------ ----- Total Consumer Staples................ 138,145,428 9.3% ------------ ----- Energy -- (1.0%)...................... Other Securities.................... 16,415,458 1.1% ------------ ----- Financials -- (9.2%).................. Bank of Okinawa, Ltd. (The)......... 92,500 3,710,734 0.2% Century Tokyo Leasing Corp.......... 254,990 4,374,982 0.3% Hyakugo Bank, Ltd. (The)............ 885,609 3,860,107 0.3% Kiyo Holdings, Inc.................. 2,526,900 3,596,475 0.2% Musashino Bank, Ltd................. 127,700 4,044,141 0.3% San-in Godo Bank, Ltd. (The)........ 547,000 4,057,201 0.3% Other Securities.................... 131,523,976 8.9% ------------ ----- Total Financials...................... 155,167,616 10.5% ------------ ----- Health Care -- (3.8%)................. Kaken Pharmaceutical Co., Ltd....... 353,000 4,579,538 0.3% KYORIN Holdings, Inc................ 205,000 3,660,079 0.2% #Nipro Corp......................... 189,900 3,872,841 0.3% #Sawai Pharmaceutical Co., Ltd...... 53,400 4,791,485 0.3% Other Securities.................... 48,299,942 3.3% ------------ ----- Total Health Care..................... 65,203,885 4.4% ------------ ----- Industrials -- (23.7%)................ #Asahi Diamond Industrial Co., Ltd.. 241,000 5,013,117 0.3% Duskin Co., Ltd..................... 211,600 4,268,817 0.3% #Hitachi Zosen Corp................. 2,937,500 4,289,823 0.3% #*Makino Milling Machine Co., Ltd.... 388,000 3,647,468 0.2% #Miura Co., Ltd..................... 137,600 3,909,526 0.3% #Mori Seiki Co., Ltd................ 381,900 4,898,750 0.3% #Nachi-Fujikoshi Corp............... 663,000 3,704,420 0.3% #OKUMA Corp......................... 513,000 4,832,293 0.3% Sankyu, Inc......................... 863,000 3,966,052 0.3% Takara Standard Co., Ltd............ 501,000 3,784,898 0.3% Other Securities.................... 359,358,977 24.3% ------------ ----- Total Industrials..................... 401,674,141 27.2% ------------ -----
197 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ------ ----- Information Technology -- (9.8%)............................................................ #Anritsu Corp............................................................................. 458,000 $ 3,654,714 #Capcom Co., Ltd.......................................................................... 199,400 3,705,483 Horiba, Ltd............................................................................... 145,650 4,382,098 #Kakaku.com, Inc.......................................................................... 647 3,728,546 Mitsumi Electric Co., Ltd................................................................. 278,000 3,564,793 #Net One Systems Co., Ltd................................................................. 1,984 3,592,498 #Nichicon Corp............................................................................ 270,300 4,154,274 Ulvac, Inc................................................................................ 160,300 3,588,009 Other Securities.......................................................................... 134,805,153 -------------- Total Information Technology................................................................ 165,175,568 -------------- Materials -- (10.5%)........................................................................ FP Corp................................................................................... 61,200 3,531,788 Nippon Light Metal Co., Ltd............................................................... 1,944,000 3,971,974 Sumitomo Bakelite Co., Ltd................................................................ 591,000 3,790,225 Sumitomo Osaka Cement Co., Ltd............................................................ 1,521,000 4,135,556 #Taiheiyo Cement Corp..................................................................... 3,133,000 5,371,601 #Toagosei Co., Ltd........................................................................ 941,000 5,096,217 Tokai Carbon Co., Ltd..................................................................... 751,000 3,960,897 Other Securities.......................................................................... 148,348,719 -------------- Total Materials............................................................................. 178,206,977 -------------- Utilities -- (0.5%)......................................................................... Other Securities.......................................................................... 7,928,232 -------------- TOTAL COMMON STOCKS......................................................................... 1,461,727,183 -------------- RIGHTS/WARRANTS -- (0.0%)................................................................... Other Securities.......................................................................... -- -------------- Face Amount Value+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (0.2%)........................................................ Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $4,235,000 FNMA 2.24%, 07/06/15, valued at $4,340,875) to be repurchased at $4,276,090... $4,276 4,276,000 -------------- Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (13.4%).................................................... (S)@DFA Short Term Investment Fund.......................................................... 221,671,392 221,671,392 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $4,563,870)## to be repurchased at $4,474,397............................................................................... $4,474 4,474,382 -------------- TOTAL SECURITIES LENDING COLLATERAL......................................................... 226,145,774 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,787,483,188)...................................................................... $1,692,148,957 ==============
Percentage of Net Assets** --------------- Information Technology -- (9.8%)............................................................ #Anritsu Corp............................................................................. 0.3% #Capcom Co., Ltd.......................................................................... 0.3% Horiba, Ltd............................................................................... 0.3% #Kakaku.com, Inc.......................................................................... 0.3% Mitsumi Electric Co., Ltd................................................................. 0.2% #Net One Systems Co., Ltd................................................................. 0.2% #Nichicon Corp............................................................................ 0.3% Ulvac, Inc................................................................................ 0.2% Other Securities.......................................................................... 9.1% ------ Total Information Technology................................................................ 11.2% ------ Materials -- (10.5%)........................................................................ FP Corp................................................................................... 0.2% Nippon Light Metal Co., Ltd............................................................... 0.3% Sumitomo Bakelite Co., Ltd................................................................ 0.3% Sumitomo Osaka Cement Co., Ltd............................................................ 0.3% #Taiheiyo Cement Corp..................................................................... 0.4% #Toagosei Co., Ltd........................................................................ 0.3% Tokai Carbon Co., Ltd..................................................................... 0.3% Other Securities.......................................................................... 10.0% ------ Total Materials............................................................................. 12.1% ------ Utilities -- (0.5%)......................................................................... Other Securities.......................................................................... 0.5% ------ TOTAL COMMON STOCKS......................................................................... 98.9% ------ RIGHTS/WARRANTS -- (0.0%)................................................................... Other Securities.......................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.2%)........................................................ Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $4,235,000 FNMA 2.24%, 07/06/15, valued at $4,340,875) to be repurchased at $4,276,090... 0.3% ------ SECURITIES LENDING COLLATERAL -- (13.4%).................................................... (S)@DFA Short Term Investment Fund.......................................................... 15.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $4,563,870)## to be repurchased at $4,474,397............................................................................... 0.3% ------ TOTAL SECURITIES LENDING COLLATERAL......................................................... 15.3% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,787,483,188)...................................................................... 114.5% ======
198 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ------------------------------------------------ Investment in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ---------- -------------- ------- -------------- Common Stocks................. Consumer Discretionary...... -- $ 333,809,878 -- $ 333,809,878 Consumer Staples............ $ 65,172 138,080,256 -- 138,145,428 Energy...................... -- 16,415,458 -- 16,415,458 Financials.................. -- 155,167,616 -- 155,167,616 Health Care................. -- 65,203,885 -- 65,203,885 Industrials................. 1,076,398 400,597,743 -- 401,674,141 Information Technology...... -- 165,175,568 -- 165,175,568 Materials................... -- 178,206,977 -- 178,206,977 Utilities................... -- 7,928,232 -- 7,928,232 Rights/Warrants............... -- -- -- -- Temporary Cash Investments.... -- 4,276,000 -- 4,276,000 Securities Lending Collateral. -- 226,145,774 -- 226,145,774 ---------- -------------- -- -------------- TOTAL......................... $1,141,570 $1,691,007,387 -- $1,692,148,957 ========== ============== == ==============
See accompanying Notes to Financial Statements. 199 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (84.3%)..................... AUSTRALIA -- (51.7%)......................... Adelaide Brighton, Ltd..................... 1,917,857 $ 6,655,998 0.6% Ansell, Ltd................................ 503,479 7,702,234 0.7% APA Group, Ltd............................. 1,773,977 8,281,926 0.8% *Atlas Iron, Ltd........................... 2,593,241 10,014,504 0.9% Australian Infrastructure Fund............. 3,159,690 6,571,688 0.6% Beach Petroleum, Ltd....................... 4,257,412 4,491,142 0.4% Boart Longyear Group....................... 1,792,094 8,976,872 0.8% Bradken, Ltd............................... 634,599 5,553,583 0.5% #Campbell Brothers, Ltd.................... 294,836 14,657,425 1.3% #Challenger Financial Services Group, Ltd.. 1,750,037 9,281,573 0.8% #ConnectEast Group, Ltd.................... 14,936,366 7,705,073 0.7% #David Jones, Ltd.......................... 1,447,885 7,415,523 0.7% #Downer EDI, Ltd........................... 1,149,707 4,680,369 0.4% DUET Group, Ltd............................ 3,697,647 6,901,024 0.6% #Flight Centre, Ltd........................ 192,954 4,994,112 0.5% #Goodman Fielder, Ltd...................... 5,129,571 6,053,766 0.6% #Graincorp, Ltd. Series A.................. 681,088 5,854,200 0.5% Iluka Resources, Ltd....................... 573,137 7,886,027 0.7% #Independence Group NL..................... 892,724 6,589,108 0.6% #IOOF Holdings, Ltd........................ 989,055 7,784,133 0.7% #JB Hi-Fi, Ltd............................. 407,557 8,472,841 0.8% *Karoon Gas Australia, Ltd................. 667,086 4,851,071 0.4% #Kingsgate Consolidated, Ltd............... 557,653 4,756,200 0.4% Mineral Resources, Ltd..................... 389,673 4,992,402 0.5% Monadelphous Group, Ltd.................... 318,887 6,734,839 0.6% *Mount Gibson Iron, Ltd.................... 2,962,399 6,147,151 0.6% #Myer Holdings, Ltd........................ 2,133,900 7,410,693 0.7% #Navitas, Ltd.............................. 1,157,537 5,179,719 0.5% *PanAust, Ltd.............................. 8,757,197 7,454,486 0.7% #Perpetual Trustees Australia, Ltd......... 159,965 5,070,503 0.5% *Perseus Mining, Ltd....................... 1,605,654 5,181,070 0.5% #Primary Health Care, Ltd.................. 1,781,885 6,796,821 0.6% #Reece Australia, Ltd...................... 238,457 5,493,927 0.5% #SAI Global, Ltd........................... 1,045,821 5,749,666 0.5% #Seek, Ltd................................. 666,916 5,102,086 0.5% Seven Group Holdings, Ltd.................. 712,694 7,145,642 0.6% #Southern Cross Media Group, Ltd........... 2,546,520 4,590,720 0.4% Spark Infrastructure Group, Ltd............ 4,761,050 6,199,067 0.6% Super Retail Group, Ltd.................... 836,106 6,595,224 0.6% Ten Network Holdings, Ltd.................. 3,492,166 5,185,837 0.5% Tower Australia Group, Ltd................. 1,617,790 7,093,004 0.6% #Transfield Services, Ltd.................. 1,745,379 6,819,577 0.6% #UGL, Ltd.................................. 332,576 5,514,381 0.5% #West Australian Newspapers Holdings, Ltd.. 1,216,239 6,681,153 0.6% Other Securities........................... 373,863,826 34.0% ------------ ----- TOTAL AUSTRALIA.............................. 667,132,186 60.7% ------------ ----- HONG KONG -- (18.1%)......................... Giordano International, Ltd................ 7,162,000 5,173,960 0.5% #Luk Fook Holdings International, Ltd...... 1,226,000 4,554,137 0.4% #Pacific Basin Shipping, Ltd............... 7,551,000 4,685,250 0.4% #Techtronic Industries Co., Ltd............ 4,086,000 5,598,146 0.5% Other Securities........................... 212,989,026 19.4% ------------ ----- TOTAL HONG KONG.............................. 233,000,519 21.2% ------------ ----- MALAYSIA -- (0.0%)........................... Other Securities........................... 4,355 0.0% ------------ -----
200 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ------ ----- NEW ZEALAND -- (4.9%)....................................................................... Fisher & Paykel Healthcare Corp., Ltd..................................................... 2,569,174 $6,437,606 Sky City Entertainment Group, Ltd......................................................... 2,560,206 7,386,175 Other Securities.......................................................................... 49,413,687 -------------- TOTAL NEW ZEALAND........................................................................... 63,237,468 -------------- SINGAPORE -- (9.6%)......................................................................... Other Securities.......................................................................... 123,955,395 -------------- TOTAL COMMON STOCKS......................................................................... 1,087,329,923 -------------- RIGHTS/WARRANTS -- (0.0%)................................................................... AUSTRALIA -- (0.0%)......................................................................... Other Securities.......................................................................... 1,031 -------------- SINGAPORE -- (0.0%)......................................................................... Other Securities.......................................................................... 327,840 -------------- TOTAL RIGHTS/WARRANTS....................................................................... 328,871 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.0%)........................................................ Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $650,000 FNMA 2.24%, 07/06/15, valued at $666,250) to be repurchased at $653,010......... $653 653,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (15.7%).................................................... (S)@DFA Short Term Investment Fund.......................................................... 201,646,000 201,646,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $454,600)## to be repurchased at $445,687................................................................................. $446 445,686 -------------- TOTAL SECURITIES LENDING COLLATERAL......................................................... 202,091,686 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,019,396,170)...................................................................... $1,290,403,480 ==============
Percentage of Net Assets** --------------- NEW ZEALAND -- (4.9%)....................................................................... Fisher & Paykel Healthcare Corp., Ltd..................................................... 0.6% Sky City Entertainment Group, Ltd......................................................... 0.6% Other Securities.......................................................................... 4.5% ------ TOTAL NEW ZEALAND........................................................................... 5.7% ------ SINGAPORE -- (9.6%)......................................................................... Other Securities.......................................................................... 11.3% ------ TOTAL COMMON STOCKS......................................................................... 98.9% ------ RIGHTS/WARRANTS -- (0.0%)................................................................... AUSTRALIA -- (0.0%)......................................................................... Other Securities.......................................................................... 0.0% ------ SINGAPORE -- (0.0%)......................................................................... Other Securities.......................................................................... 0.0% ------ TOTAL RIGHTS/WARRANTS....................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.0%)........................................................ Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $650,000 FNMA 2.24%, 07/06/15, valued at $666,250) to be repurchased at $653,010......... 0.1% ------ SECURITIES LENDING COLLATERAL -- (15.7%).................................................... (S)@DFA Short Term Investment Fund.......................................................... 18.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $454,600)## to be repurchased at $445,687................................................................................. 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL......................................................... 18.4% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,019,396,170)...................................................................... 117.4% ======
201 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ------------------------------------- Investment in Securities (Market Value) ------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------------- ------- -------------- Common Stocks................. Australia................... $10,064,366 $ 657,067,820 -- $ 667,132,186 Hong Kong................... 1,145,078 231,855,441 -- 233,000,519 Malaysia.................... -- 4,355 -- 4,355 New Zealand................. 79,490 63,157,978 -- 63,237,468 Singapore................... 265,477 123,689,918 -- 123,955,395 Rights/Warrants............... Australia................... 335 696 -- 1,031 Singapore................... 327,840 -- -- 327,840 Temporary Cash Investments.... -- 653,000 -- 653,000 Securities Lending Collateral. -- 202,091,686 -- 202,091,686 ----------- -------------- -- -------------- TOTAL....................... $11,882,586 $1,278,520,894 -- $1,290,403,480 =========== ============== == ==============
See accompanying Notes to Financial Statements. 202 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (98.3%)..................... Consumer Discretionary -- (21.1%)............ *Berkeley Group Holdings P.L.C. (The)...... 477,432 $ 8,470,415 0.7% Daily Mail & General Trust P.L.C. Series A. 1,068,559 8,914,668 0.7% GKN P.L.C.................................. 3,596,147 13,418,925 1.0% *Inchcape P.L.C............................ 1,643,458 10,032,419 0.8% Informa P.L.C.............................. 1,496,188 10,439,622 0.8% Persimmon P.L.C............................ 1,099,320 8,892,926 0.7% Thomas Cook Group P.L.C.................... 3,007,335 8,628,710 0.7% United Business Media P.L.C................ 917,439 9,278,061 0.7% William Hill P.L.C......................... 2,714,131 10,146,570 0.8% Other Securities........................... 182,552,238 14.3% ------------ ----- Total Consumer Discretionary................. 270,774,554 21.2% ------------ ----- Consumer Staples -- (4.1%)................... Tate & Lyle P.L.C.......................... 1,074,000 10,673,726 0.8% Other Securities........................... 42,603,978 3.4% ------------ ----- Total Consumer Staples....................... 53,277,704 4.2% ------------ ----- Energy -- (5.3%)............................. *Afren P.L.C............................... 3,590,716 9,617,903 0.7% John Wood Group P.L.C...................... 1,071,070 12,427,861 1.0% *Premier Oil P.L.C......................... 422,955 14,215,573 1.1% Other Securities........................... 32,593,518 2.6% ------------ ----- Total Energy................................. 68,854,855 5.4% ------------ ----- Financials -- (12.9%)........................ Aberdeen Asset Management P.L.C............ 2,716,498 10,379,884 0.8% Amlin P.L.C................................ 1,777,720 12,434,118 1.0% Catlin Group, Ltd. P.L.C................... 1,334,735 8,825,564 0.7% #Henderson Group P.L.C..................... 3,124,354 8,488,434 0.7% Hiscox, Ltd. P.L.C......................... 1,517,006 10,469,923 0.8% IG Group Holdings P.L.C.................... 1,317,769 10,309,471 0.8% #London Stock Exchange Group P.L.C......... 544,693 7,950,486 0.6% Provident Financial P.L.C.................. 501,557 8,453,996 0.7% Other Securities........................... 88,613,962 6.9% ------------ ----- Total Financials............................. 165,925,838 13.0% ------------ ----- Health Care -- (1.6%)........................ Other Securities........................... 20,875,412 1.7% ------------ ----- Industrials -- (30.7%)....................... Babcock International Group P.L.C.......... 1,312,221 14,056,564 1.1% Balfour Beatty P.L.C....................... 2,529,020 13,887,921 1.1% Carillion P.L.C............................ 1,610,191 10,568,104 0.8% Charter International P.L.C................ 654,213 8,992,285 0.7% *Cookson Group P.L.C....................... 1,062,056 12,741,552 1.0% Firstgroup P.L.C........................... 1,710,421 9,294,198 0.7% Hays P.L.C................................. 5,207,030 10,371,657 0.8% Homeserve P.L.C............................ 1,162,452 9,497,191 0.8% IMI P.L.C.................................. 1,144,362 20,942,717 1.6% Intertek Group P.L.C....................... 518,306 18,412,693 1.4% Meggitt P.L.C.............................. 2,465,596 14,834,737 1.2% Melrose P.L.C.............................. 1,897,545 11,243,800 0.9% Michael Page International P.L.C........... 1,310,832 12,132,598 1.0% Rotork P.L.C............................... 366,679 10,536,732 0.8% Spirax-Sarco Engineering P.L.C............. 319,520 10,742,876 0.8% Stagecoach Group P.L.C..................... 2,035,130 8,401,445 0.7% Travis Perkins P.L.C....................... 881,638 15,879,591 1.3%
203 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ ------ ----- Industrials -- (Continued)..................................................................... Ultra Electronics Holdings P.L.C............................................................. 283,178 $ 8,176,431 Other Securities............................................................................. 173,479,365 -------------- Total Industrials.............................................................................. 394,192,457 -------------- Information Technology -- (10.9%).............................................................. Halma P.L.C.................................................................................. 1,541,075 9,624,609 *Imagination Technologies Group P.L.C........................................................ 936,573 7,839,064 Logica P.L.C................................................................................. 6,203,909 14,055,074 *Misys P.L.C................................................................................. 1,604,251 8,461,615 Spectris P.L.C............................................................................... 515,234 12,767,765 Other Securities............................................................................. 87,622,720 -------------- Total Information Technology................................................................... 140,370,847 -------------- Materials -- (7.0%)............................................................................ Croda International P.L.C.................................................................... 514,684 16,171,143 Mondi P.L.C.................................................................................. 1,078,021 10,714,345 Victrex P.L.C................................................................................ 340,523 8,369,179 Other Securities............................................................................. 54,257,575 -------------- Total Materials................................................................................ 89,512,242 -------------- Real Estate Investment Trusts -- (0.0%)........................................................ Other Securities............................................................................. 402,049 -------------- Telecommunication Services -- (1.8%)........................................................... Other Securities............................................................................. 23,040,222 -------------- Utilities -- (2.9%)............................................................................ *Drax Group P.L.C............................................................................ 1,388,611 10,227,374 Northumbrian Water Group P.L.C............................................................... 1,966,497 11,537,216 Pennon Group P.L.C........................................................................... 1,351,544 14,929,895 Other Securities............................................................................. 237,494 -------------- Total Utilities................................................................................ 36,931,979 -------------- TOTAL COMMON STOCKS............................................................................ 1,264,158,159 -------------- PREFERRED STOCKS -- (0.0%)..................................................................... Consumer Staples -- (0.0%)..................................................................... Other Securities............................................................................. 4,548 -------------- RIGHTS/WARRANTS -- (0.0%)...................................................................... Other Securities............................................................................. 12,988 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.1%)........................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $775,000 FNMA 2.24%, 07/06/15, valued at $794,375) to be repurchased at $780,021..................... $780 780,000 --------------
Percentage of Net Assets** --------------- Industrials -- (Continued)..................................................................... Ultra Electronics Holdings P.L.C............................................................. 0.6% Other Securities............................................................................. 13.6% ----- Total Industrials.............................................................................. 30.9% ----- Information Technology -- (10.9%).............................................................. Halma P.L.C.................................................................................. 0.7% *Imagination Technologies Group P.L.C........................................................ 0.6% Logica P.L.C................................................................................. 1.1% *Misys P.L.C................................................................................. 0.7% Spectris P.L.C............................................................................... 1.0% Other Securities............................................................................. 6.9% ----- Total Information Technology................................................................... 11.0% ----- Materials -- (7.0%)............................................................................ Croda International P.L.C.................................................................... 1.3% Mondi P.L.C.................................................................................. 0.8% Victrex P.L.C................................................................................ 0.7% Other Securities............................................................................. 4.2% ----- Total Materials................................................................................ 7.0% ----- Real Estate Investment Trusts -- (0.0%)........................................................ Other Securities............................................................................. 0.0% ----- Telecommunication Services -- (1.8%)........................................................... Other Securities............................................................................. 1.8% ----- Utilities -- (2.9%)............................................................................ *Drax Group P.L.C............................................................................ 0.8% Northumbrian Water Group P.L.C............................................................... 0.9% Pennon Group P.L.C........................................................................... 1.2% Other Securities............................................................................. 0.0% ----- Total Utilities................................................................................ 2.9% ----- TOTAL COMMON STOCKS............................................................................ 99.1% ----- PREFERRED STOCKS -- (0.0%)..................................................................... Consumer Staples -- (0.0%)..................................................................... Other Securities............................................................................. 0.0% ----- RIGHTS/WARRANTS -- (0.0%)...................................................................... Other Securities............................................................................. 0.0% ----- TEMPORARY CASH INVESTMENTS -- (0.1%)........................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $775,000 FNMA 2.24%, 07/06/15, valued at $794,375) to be repurchased at $780,021..................... 0.1% -----
204 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares/ Face Amount Value+ ------ ----- (000) SECURITIES LENDING COLLATERAL -- (1.6%)..................................................... (S)@DFA Short Term Investment Fund.......................................................... 20,248,051 $ 20,248,051 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $128,343)## to be repurchased at $125,826................................................................................. $126 125,826 -------------- TOTAL SECURITIES LENDING COLLATERAL......................................................... 20,373,877 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,032,781,538)...................................................................... $1,285,329,572 ==============
Percentage of Net Assets** --------------- SECURITIES LENDING COLLATERAL -- (1.6%)..................................................... (S)@DFA Short Term Investment Fund.......................................................... 1.6% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $128,343)## to be repurchased at $125,826................................................................................. 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL......................................................... 1.6% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,032,781,538)...................................................................... 100.8% ======
Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ---------------------------------------------- Investment in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total -------- -------------- ------- -------------- Common Stocks................... Consumer Discretionary........ $ 67,755 $ 270,706,799 -- $ 270,774,554 Consumer Staples.............. 319,369 52,958,335 -- 53,277,704 Energy........................ -- 68,854,855 -- 68,854,855 Financials.................... 7,425 165,918,413 -- 165,925,838 Health Care................... 34,533 20,840,879 -- 20,875,412 Industrials................... 97,512 394,094,945 -- 394,192,457 Information Technology........ -- 140,370,847 -- 140,370,847 Materials..................... -- 89,512,242 -- 89,512,242 Real Estate Investment Trusts. -- 402,049 -- 402,049 Telecommunication Services.... -- 23,040,222 -- 23,040,222 Utilities..................... -- 36,931,979 -- 36,931,979 Preferred Stocks................ Consumer Staples.............. -- 4,548 -- 4,548 Rights/Warrants................. -- 12,988 -- 12,988 Temporary Cash Investments...... -- 780,000 -- 780,000 Securities Lending Collateral... -- 20,373,877 -- 20,373,877 -------- -------------- -- -------------- TOTAL........................... $526,594 $1,284,802,978 -- $1,285,329,572 ======== ============== == ==============
See accompanying Notes to Financial Statements. 205 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (82.6%)....... AUSTRIA -- (2.1%).............. Andritz AG................... 108,026 $ 11,156,772 0.4% Other Securities............. 56,218,358 2.1% ------------ ----- TOTAL AUSTRIA.................. 67,375,130 2.5% ------------ ----- BELGIUM -- (2.8%).............. Ackermans & van Haaren NV.... 87,214 9,123,574 0.3% D'ieteren SA................. 129,060 9,373,552 0.3% Other Securities............. 74,770,233 2.8% ------------ ----- TOTAL BELGIUM.................. 93,267,359 3.4% ------------ ----- DENMARK -- (2.3%).............. *Topdanmark A.S.............. 53,386 9,808,134 0.3% Other Securities............. 64,927,456 2.4% ------------ ----- TOTAL DENMARK.................. 74,735,590 2.7% ------------ ----- FINLAND -- (5.4%).............. *KCI Konecranes Oyj.......... 245,559 11,813,486 0.5% Other Securities............. 163,658,230 6.0% ------------ ----- TOTAL FINLAND.................. 175,471,716 6.5% ------------ ----- FRANCE -- (10.5%).............. Arkema SA.................... 199,362 20,763,577 0.8% *Atos Origin SA.............. 143,571 8,845,870 0.3% Nexans SA.................... 110,500 11,711,186 0.4% *Rhodia SA................... 333,947 15,543,003 0.6% *Valeo SA.................... 232,962 14,839,036 0.6% Other Securities............. 272,482,859 10.0% ------------ ----- TOTAL FRANCE................... 344,185,531 12.7% ------------ ----- GERMANY -- (12.4%)............. #*Aareal Bank AG.............. 423,110 12,827,414 0.5% #Aixtron SE.................. 314,748 13,367,177 0.5% Aurubis AG................... 152,783 9,029,595 0.3% Bilfinger Berger SE.......... 162,980 15,689,829 0.6% #MTU Aero Engines Holding AG. 176,697 13,526,481 0.5% Rheinmetall AG............... 120,000 10,757,796 0.4% Rhoen-Klinikum AG............ 406,308 9,293,479 0.3% #*SGL Carbon SE............... 229,387 12,204,924 0.4% #Software AG................. 70,053 13,258,747 0.5% Symrise AG................... 330,233 10,869,746 0.4% Wincor Nixdorf AG............ 119,287 9,859,086 0.4% Other Securities............. 274,313,538 10.1% ------------ ----- TOTAL GERMANY.................. 404,997,812 14.9% ------------ ----- GREECE -- (2.2%)............... Other Securities............. 70,718,259 2.6% ------------ ----- IRELAND -- (2.3%).............. DCC P.L.C. (0242493)......... 308,989 10,308,113 0.4% *Dragon Oil P.L.C............ 1,347,570 12,561,228 0.4% Paddy Power P.L.C. (0258810). 180,573 8,824,308 0.3% Other Securities............. 42,932,391 1.6% ------------ ----- TOTAL IRELAND.................. 74,626,040 2.7% ------------ ----- ISRAEL -- (2.4%)............... Other Securities............. 77,833,729 2.9% ------------ -----
206 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- ITALY -- (7.2%)............... Bulgari SpA................. 525,731 $ 9,575,649 0.3% Prysmian SpA................ 653,038 15,415,106 0.6% Other Securities............ 211,495,780 7.8% -------------- ----- TOTAL ITALY................... 236,486,535 8.7% -------------- ----- NETHERLANDS -- (4.4%)......... Aalberts Industries NV...... 377,504 9,547,547 0.4% #*ASM International NV....... 205,174 8,899,893 0.3% *CSM NV..................... 233,047 8,927,576 0.3% #Imtech NV.................. 272,622 10,353,369 0.4% Nutreco NV.................. 143,733 11,185,989 0.4% SBM Offshore NV............. 556,537 16,276,196 0.6% Other Securities............ 77,583,584 2.9% -------------- ----- TOTAL NETHERLANDS............. 142,774,154 5.3% -------------- ----- NORWAY -- (2.8%).............. Other Securities............ 91,009,733 3.3% -------------- ----- PORTUGAL -- (0.8%)............ Other Securities............ 25,988,392 1.0% -------------- ----- SPAIN -- (4.7%)............... #Grifols SA................. 457,616 9,058,317 0.4% Other Securities............ 144,638,737 5.3% -------------- ----- TOTAL SPAIN................... 153,697,054 5.7% -------------- ----- SWEDEN -- (6.6%).............. Elekta AB Series B.......... 302,500 13,805,452 0.5% *Lundin Petroleum AB........ 699,240 10,612,260 0.4% #Trelleborg AB Series B..... 878,565 10,632,177 0.4% Other Securities............ 180,911,547 6.7% -------------- ----- TOTAL SWEDEN.................. 215,961,436 8.0% -------------- ----- SWITZERLAND -- (13.6%)........ Aryzta AG................... 289,931 16,171,926 0.6% #*Clariant AG................ 928,757 19,280,933 0.7% *Dufry AG................... 65,162 8,524,342 0.3% #Galenica Holding AG........ 18,828 12,432,711 0.5% *GAM Holding AG............. 780,910 15,391,811 0.6% *George Fisher AG........... 15,351 10,037,208 0.4% Helvetia Holding AG......... 22,754 10,683,310 0.4% #*Logitech International SA.. 676,961 9,387,974 0.3% #*Meyer Burger Technology AG. 200,895 10,050,669 0.4% *Nobel Biocare Holding AG... 478,680 10,633,007 0.4% PSP Swiss Property AG....... 148,327 13,503,004 0.5% Sulzer AG................... 76,216 13,768,437 0.5% Swiss Life Holding AG....... 93,938 17,151,719 0.6% #*Temenos Group AG........... 259,801 8,642,205 0.3% Other Securities............ 268,508,651 9.9% -------------- ----- TOTAL SWITZERLAND............. 444,167,907 16.4% -------------- ----- UNITED KINGDOM -- (0.1%)...... Other Securities............ 3,033,111 0.1% -------------- ----- TOTAL COMMON STOCKS........... 2,696,329,488 99.4% -------------- ----- RIGHTS/WARRANTS -- (0.0%)..... BELGIUM -- (0.0%)............. Other Securities............ 2,080 0.0% -------------- -----
207 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------ ----- DENMARK -- (0.0%).............................................................................. Other Securities............................................................................. $ 8,623 -------------- FRANCE -- (0.0%)............................................................................... Other Securities............................................................................. 14,164 -------------- GREECE -- (0.0%)............................................................................... Other Securities............................................................................. -- -------------- ITALY -- (0.0%)................................................................................ Other Securities............................................................................. 5,453 -------------- NORWAY -- (0.0%)............................................................................... Other Securities............................................................................. 1,757 -------------- PORTUGAL -- (0.0%)............................................................................. Other Securities............................................................................. 80,321 -------------- SPAIN -- (0.0%)................................................................................ Other Securities............................................................................. 71,955 -------------- SWITZERLAND -- (0.0%).......................................................................... Other Securities............................................................................. 319 -------------- TOTAL RIGHTS/WARRANTS.......................................................................... 184,672 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.0%)........................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $980,000 FNMA 2.24%, 07/06/15, valued at $1,004,500) to be repurchased at $985,016................... $985 985,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (17.4%)....................................................... (S)@DFA Short Term Investment Fund............................................................. 565,595,550 565,595,550 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,822,713)## to be repurchased at $1,786,980.................................................................................. $1,787 1,786,974 -------------- TOTAL SECURITIES LENDING COLLATERAL............................................................ 567,382,524 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,542,449,640)......................................................................... $3,264,881,684 ==============
Percentage of Net Assets** --------------- DENMARK -- (0.0%).............................................................................. Other Securities............................................................................. 0.0% ------ FRANCE -- (0.0%)............................................................................... Other Securities............................................................................. 0.0% ------ GREECE -- (0.0%)............................................................................... Other Securities............................................................................. 0.0% ------ ITALY -- (0.0%)................................................................................ Other Securities............................................................................. 0.0% ------ NORWAY -- (0.0%)............................................................................... Other Securities............................................................................. 0.0% ------ PORTUGAL -- (0.0%)............................................................................. Other Securities............................................................................. 0.0% ------ SPAIN -- (0.0%)................................................................................ Other Securities............................................................................. 0.0% ------ SWITZERLAND -- (0.0%).......................................................................... Other Securities............................................................................. 0.0% ------ TOTAL RIGHTS/WARRANTS.......................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.0%)........................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $980,000 FNMA 2.24%, 07/06/15, valued at $1,004,500) to be repurchased at $985,016................... 0.0% ------ SECURITIES LENDING COLLATERAL -- (17.4%)....................................................... (S)@DFA Short Term Investment Fund............................................................. 20.8% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,822,713)## to be repurchased at $1,786,980.................................................................................. 0.1% ------ TOTAL SECURITIES LENDING COLLATERAL............................................................ 20.9% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,542,449,640)......................................................................... 120.3% ======
208 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ------------------------------------------------- Investment in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------------- ------- -------------- Common Stocks Austria $ 123,646 $ 67,251,484 -- $ 67,375,130 Belgium 287,009 92,980,350 -- 93,267,359 Denmark 331,264 74,404,326 -- 74,735,590 Finland -- 175,471,716 -- 175,471,716 France 253,573 343,931,958 -- 344,185,531 Germany 1,637,837 403,359,975 -- 404,997,812 Greece 2,097,516 68,620,743 -- 70,718,259 Ireland 26,116 74,599,924 -- 74,626,040 Israel 4,556,230 73,277,499 -- 77,833,729 Italy -- 236,486,535 -- 236,486,535 Netherlands -- 142,774,154 -- 142,774,154 Norway -- 91,009,733 -- 91,009,733 Portugal -- 25,988,392 -- 25,988,392 Spain 3,333,060 150,363,994 -- 153,697,054 Sweden 11,558 215,949,878 -- 215,961,436 Switzerland 93,555 444,074,352 -- 444,167,907 United Kingdom -- 3,033,111 -- 3,033,111 Rights/Warrants Belgium 2,080 -- -- 2,080 Denmark 8,623 -- -- 8,623 France 14,164 -- -- 14,164 Greece -- -- -- -- Italy 5,453 -- -- 5,453 Norway -- 1,757 -- 1,757 Portugal 80,321 -- -- 80,321 Spain 71,388 567 -- 71,955 Switzerland 319 -- -- 319 Temporary Cash Investments -- 985,000 -- 985,000 Securities Lending Collateral -- 567,382,524 -- 567,382,524 ----------- -------------- -- -------------- TOTAL $12,933,712 $3,251,947,972 -- $3,264,881,684 =========== ============== == ==============
See accompanying Notes to Financial Statements. 209 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (77.9%).................. Consumer Discretionary -- (7.8%).......... Astral Media, Inc. Class A.............. 195,947 $ 7,623,325 0.8% #Corus Entertainment, Inc. Class B...... 295,300 6,207,807 0.7% #*Dollarama, Inc......................... 197,346 6,184,335 0.7% Groupe Aeroplan, Inc.................... 696,151 9,542,967 1.0% #*Imax Corp.............................. 270,137 9,496,123 1.0% Quebecor, Inc. Class B.................. 169,593 6,024,437 0.6% #RONA, Inc.............................. 470,775 6,881,381 0.7% Other Securities........................ 43,360,688 4.5% ------------ ----- Total Consumer Discretionary.............. 95,321,063 10.0% ------------ ----- Consumer Staples -- (1.9%)................ Other Securities........................ 23,292,761 2.4% ------------ ----- Energy -- (19.7%)......................... #AltaGas, Ltd........................... 257,664 6,911,708 0.7% *Bankers Petroleum, Ltd................. 810,182 7,107,235 0.8% *BlackPearl Resources, Inc.............. 954,830 8,043,117 0.8% #Daylight Energy, Ltd................... 724,488 8,315,742 0.9% #Ensign Energy Services, Inc............ 448,952 8,669,189 0.9% *Legacy Oil & Gas, Inc.................. 422,302 6,016,626 0.6% #Mullen Group, Ltd...................... 264,757 5,937,899 0.6% *Precision Drilling Corp................ 773,845 11,720,339 1.2% *Progress Energy Resources Corp......... 529,187 7,237,415 0.8% ShawCor, Ltd............................ 222,500 7,962,638 0.8% #*SouthGobi Resources, Ltd............... 475,269 5,967,548 0.6% #Trican Well Service, Ltd............... 494,693 12,192,824 1.3% #*Uranium One, Inc....................... 1,819,900 7,578,509 0.8% Other Securities........................ 137,946,677 14.4% ------------ ----- Total Energy.............................. 241,607,466 25.2% ------------ ----- Financials -- (5.4%)...................... AGF Management, Ltd. Class B............ 330,879 6,924,276 0.7% #Canadian Western Bank.................. 240,300 7,698,032 0.8% Home Capital Group, Inc................. 120,600 7,265,444 0.8% #TMX Group, Inc......................... 231,476 9,923,021 1.0% Other Securities........................ 34,451,268 3.6% ------------ ----- Total Financials.......................... 66,262,041 6.9% ------------ ----- Health Care -- (2.4%)..................... *SXC Health Solutions Corp.............. 187,154 10,343,268 1.1% Other Securities........................ 19,548,934 2.0% ------------ ----- Total Health Care......................... 29,892,202 3.1% ------------ ----- Industrials -- (7.7%)..................... CAE, Inc................................ 530,943 7,154,810 0.7% IESI-BFC, Ltd........................... 352,770 8,952,077 0.9% #Ritchie Brothers Auctioneers, Inc...... 290,737 9,114,051 1.0% #Russel Metals, Inc..................... 243,400 6,688,580 0.7% Toromont Industries, Ltd................ 279,959 9,755,587 1.0% Other Securities........................ 52,528,563 5.5% ------------ ----- Total Industrials......................... 94,193,668 9.8% ------------ ----- Information Technology -- (4.4%).......... *Celestica, Inc......................... 847,607 9,379,533 1.0% MacDonald Dettweiler & Associates, Ltd.. 152,820 9,208,126 0.9% #*Open Text Corp......................... 190,644 11,678,620 1.2%
210 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ ------ ----- Information Technology -- (Continued) Other Securities $ 23,586,681 Total Information Technology 53,852,960 Materials -- (27.0%) #Alamos Gold, Inc. 423,220 7,103,243 *Consolidated Thompson Iron Mines, Ltd. 656,633 11,881,369 #*Detour Gold Corp. 237,256 8,019,285 #*Euro Goldfields, Ltd. 521,960 7,259,941 #*First Majestic Silver Corp. 326,583 6,848,181 HudBay Minerals, Inc. 583,822 9,317,457 *Lake Shore Gold Corp. 1,280,732 5,495,716 #Methanex Corp. 379,100 12,256,692 *New Gold, Inc. 539,829 6,064,982 #*NovaGold Resources, Inc. 499,855 6,434,745 *Quadra FNX Mining, Ltd. 611,063 10,029,920 *SEMAFO, Inc. 949,885 8,071,739 Sherritt International Corp. 1,042,326 8,813,199 #*Silver Standard Resources, Inc. 284,767 9,905,070 Silvercorp Metals, Inc. 620,630 8,448,676 #*Thompson Creek Metals Co., Inc. 584,600 7,185,856 West Fraser Timber Co., Ltd. 131,316 7,466,893 Other Securities 190,355,911 -------------- Total Materials 330,958,875 -------------- Real Estate Investment Trusts -- (0.1%) Other Securities 562,745 -------------- Telecommunication Services -- (0.2%) Other Securities 2,617,421 -------------- Utilities -- (1.3%) Other Securities 15,709,835 -------------- TOTAL COMMON STOCKS 954,271,037 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $605,000 FNMA 2.24%, 07/06/15, valued at $620,125) to be repurchased at $606,010 $606 606,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (22.1%) (S)@DFA Short Term Investment Fund 269,460,449 269,460,449 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,008,564)## to be repurchased at $988,791............................................................................... $ 989 988,788 -------------- TOTAL SECURITIES LENDING COLLATERAL 270,449,237 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,043,681,080) $1,225,326,274 ==============
Percentage of Net Assets** --------------- Information Technology -- (Continued) Other Securities 2.5% Total Information Technology 5.6% Materials -- (27.0%) #Alamos Gold, Inc. 0.7% *Consolidated Thompson Iron Mines, Ltd. 1.2% #*Detour Gold Corp. 0.8% #*Euro Goldfields, Ltd. 0.8% #*First Majestic Silver Corp. 0.7% HudBay Minerals, Inc. 1.0% *Lake Shore Gold Corp. 0.6% #Methanex Corp. 1.3% *New Gold, Inc. 0.6% #*NovaGold Resources, Inc. 0.7% *Quadra FNX Mining, Ltd. 1.1% *SEMAFO, Inc. 0.8% Sherritt International Corp. 0.9% #*Silver Standard Resources, Inc. 1.0% Silvercorp Metals, Inc. 0.9% #*Thompson Creek Metals Co., Inc. 0.8% West Fraser Timber Co., Ltd. 0.8% Other Securities 19.9% ------ Total Materials 34.6% ------ Real Estate Investment Trusts -- (0.1%) Other Securities 0.1% ------ Telecommunication Services -- (0.2%) Other Securities 0.3% ------ Utilities -- (1.3%) Other Securities 1.7% ------ TOTAL COMMON STOCKS 99.7% ------ TEMPORARY CASH INVESTMENTS -- (0.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $605,000 FNMA 2.24%, 07/06/15, valued at $620,125) to be repurchased at $606,010 0.1% ------ SECURITIES LENDING COLLATERAL -- (22.1%) (S)@DFA Short Term Investment Fund 28.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,008,564)## to be repurchased at $988,791............................................................................... 0.1% ------ TOTAL SECURITIES LENDING COLLATERAL 28.2% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,043,681,080) 128.0% ======
211 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs ------------------------------------------------ Investment in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ------------ ------------ ------- -------------- Common Stocks.................... Consumer Discretionary $ 95,321,063 -- -- $ 95,321,063 Consumer Staples 23,292,761 -- -- 23,292,761 Energy 241,607,466 -- -- 241,607,466 Financials 66,262,041 -- -- 66,262,041 Health Care 29,892,202 -- -- 29,892,202 Industrials 94,193,668 -- -- 94,193,668 Information Technology 53,852,960 -- -- 53,852,960 Materials 330,958,875 -- -- 330,958,875 Real Estate Investment Trusts 562,745 -- -- 562,745 Telecommunication Services 2,617,421 -- -- 2,617,421 Utilities 15,709,835 -- -- 15,709,835 Temporary Cash Investments....... -- $ 606,000 -- 606,000 Securities Lending Collateral.... -- 270,449,237 -- 270,449,237 ------------ ------------ -- -------------- TOTAL............................ $954,271,037 $271,055,237 -- $1,225,326,274 ============ ============ == ==============
See accompanying Notes to Financial Statements. 212 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (85.0%).................................. BRAZIL -- (4.6%).......................................... BRF - Brasil Foods SA ADR............................... 590,060 $ 12,220,143 0.4% Petroleo Brasilerio SA ADR.............................. 1,009,389 37,680,491 1.4% #Vale SA Sponsored ADR.................................. 375,714 12,548,848 0.4% Other Securities........................................ 70,233,484 2.6% ------------ ----- TOTAL BRAZIL.............................................. 132,682,966 4.8% ------------ ----- CHILE -- (1.7%)........................................... Other Securities........................................ 50,098,578 1.8% ------------ ----- CHINA -- (12.0%).......................................... Bank of China, Ltd...................................... 40,360,100 22,390,727 0.8% China Construction Bank Corp............................ 26,181,590 24,825,704 0.9% #China Life Insurance Co., Ltd. ADR..................... 250,705 13,460,351 0.5% #China Mobile, Ltd. Sponsored ADR....................... 696,697 32,110,765 1.2% #CNOOC, Ltd. ADR........................................ 68,756 17,151,184 0.6% Industrial & Commercial Bank of China, Ltd. Series H.... 35,627,185 30,219,447 1.1% #PetroChina Co., Ltd. ADR............................... 116,910 17,019,758 0.6% #Tencent Holdings, Ltd.................................. 700,600 20,095,538 0.8% Other Securities........................................ 172,363,905 6.3% ------------ ----- TOTAL CHINA............................................... 349,637,379 12.8% ------------ ----- COLOMBIA -- (0.4%)........................................ Other Securities........................................ 10,070,883 0.4% ------------ ----- CZECH REPUBLIC -- (0.6%).................................. Other Securities........................................ 18,089,752 0.7% ------------ ----- EGYPT -- (0.1%)........................................... Other Securities........................................ 3,237,365 0.1% ------------ ----- HUNGARY -- (0.7%)......................................... Other Securities........................................ 19,965,905 0.7% ------------ ----- INDIA -- (8.4%)........................................... HDFC Bank, Ltd.......................................... 306,074 15,870,362 0.6% Infosys Technologies, Ltd............................... 282,676 18,581,616 0.7% #Infosys Technologies, Ltd. Sponsored ADR............... 233,496 15,219,269 0.5% Reliance Industries, Ltd................................ 1,645,075 36,515,394 1.3% Tata Consultancy Services, Ltd.......................... 481,215 12,667,589 0.5% Other Securities........................................ 146,193,541 5.3% ------------ ----- TOTAL INDIA............................................... 245,047,771 8.9% ------------ ----- INDONESIA -- (2.5%)....................................... PT Astra International Tbk.............................. 2,078,561 13,661,027 0.5% Other Securities........................................ 59,463,387 2.2% ------------ ----- TOTAL INDONESIA........................................... 73,124,414 2.7% ------------ ----- ISRAEL -- (0.0%).......................................... Other Securities........................................ 37 0.0% ------------ ----- MALAYSIA -- (3.4%)........................................ Other Securities........................................ 98,899,092 3.6% ------------ ----- MEXICO -- (6.2%).......................................... #America Movil S.A.B. de C.V. Series L.................. 22,345,121 64,016,791 2.3% #Fomento Economico Mexicano S.A.B. de C.V. Series B & D. 2,109,900 13,267,863 0.5% Grupo Mexico S.A.B. de C.V. Series B.................... 3,928,317 13,602,050 0.5% #Wal-Mart de Mexico S.A.B. de C.V. Series V............. 6,300,780 19,704,134 0.7%
213 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- MEXICO -- (Continued)........................... Other Securities.............................. $ 70,617,877 2.6% -------------- ----- TOTAL MEXICO.................................... 181,208,715 6.6% -------------- ----- PERU -- (0.4%).................................. Other Securities.............................. 11,168,752 0.4% -------------- ----- PHILIPPINES -- (0.4%)........................... Other Securities.............................. 12,189,372 0.5% -------------- ----- POLAND -- (1.4%)................................ Other Securities.............................. 39,864,572 1.5% -------------- ----- RUSSIA -- (5.0%)................................ Gazprom OAO Sponsored ADR..................... 3,487,010 59,083,004 2.1% Lukoil OAO Sponsored ADR...................... 354,178 24,616,048 0.9% MMC Norilsk Nickel JSC ADR.................... 597,703 16,545,199 0.6% Other Securities.............................. 45,640,181 1.7% -------------- ----- TOTAL RUSSIA.................................... 145,884,432 5.3% -------------- ----- SOUTH AFRICA -- (7.8%).......................... Impala Platinum Holdings, Ltd................. 478,692 14,970,063 0.5% MTN Group, Ltd................................ 1,659,950 36,468,496 1.3% Naspers, Ltd. Series N........................ 324,237 19,216,311 0.7% #Sasol, Ltd. Sponsored ADR.................... 721,569 41,721,120 1.5% Standard Bank Group, Ltd...................... 861,864 13,536,033 0.5% Other Securities.............................. 102,788,992 3.8% -------------- ----- TOTAL SOUTH AFRICA.............................. 228,701,015 8.3% -------------- ----- SOUTH KOREA -- (14.3%).......................... Hyundai Heavy Industries Co., Ltd............. 39,086 19,548,628 0.7% #Hyundai Mobis................................ 53,070 17,800,124 0.6% Hyundai Motor Co., Ltd........................ 95,919 22,123,640 0.8% Kia Motors Corp............................... 225,130 16,195,539 0.6% LG Chemical, Ltd.............................. 32,392 16,092,933 0.6% POSCO......................................... 46,060 20,212,768 0.7% #Samsung Electronics Co., Ltd................. 95,982 80,171,919 2.9% Samsung Electronics Co., Ltd. GDR............. 49,372 20,610,804 0.8% #SK Innovation Co., Ltd....................... 51,889 11,287,927 0.4% Other Securities.............................. 193,951,277 7.1% -------------- ----- TOTAL SOUTH KOREA............................... 417,995,559 15.2% -------------- ----- TAIWAN -- (11.6%)............................... China Steel Corp.............................. 9,036,342 11,189,970 0.4% Formosa Chemicals & Fiber Co., Ltd............ 3,356,445 13,573,038 0.5% Formosa Plastics Corp......................... 4,522,648 18,520,887 0.7% Hon Hai Precision Industry Co., Ltd........... 5,190,997 19,712,931 0.7% HTC Corp...................................... 553,558 25,196,124 0.9% Nan Ya Plastic Corp........................... 6,052,564 18,590,966 0.7% #Taiwan Semiconductor Manufacturing Co., Ltd.. 22,386,808 57,903,170 2.1% Other Securities.............................. 174,610,573 6.4% -------------- ----- TOTAL TAIWAN.................................... 339,297,659 12.4% -------------- ----- THAILAND -- (1.9%).............................. Other Securities.............................. 54,725,930 2.0% -------------- ----- TURKEY -- (1.6%)................................ Other Securities.............................. 47,787,564 1.7% -------------- ----- TOTAL COMMON STOCKS............................. 2,479,677,712 90.4% -------------- -----
214 THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ------ ----- PREFERRED STOCKS -- (8.3%)................................................................ BRAZIL -- (8.3%).......................................................................... Banco Bradesco SA....................................................................... 1,584,132 $ 31,396,667 Cia de Bebidas das Americas SA Preferred ADR............................................ 661,939 21,565,973 Itau Unibanco Holding SA................................................................ 1,765,755 41,248,091 Petroleo Brasilerio SA ADR.............................................................. 1,376,550 45,935,474 Vale SA Series A........................................................................ 1,412,691 41,405,531 Other Securities........................................................................ 61,470,052 -------------- TOTAL BRAZIL.............................................................................. 243,021,788 -------------- TOTAL PREFERRED STOCKS.................................................................... 243,021,788 -------------- RIGHTS/WARRANTS -- (0.0%)................................................................. BRAZIL -- (0.0%).......................................................................... Other Securities........................................................................ 106 -------------- TAIWAN -- (0.0%).......................................................................... Other Securities........................................................................ 26,088 -------------- TOTAL RIGHTS/WARRANTS..................................................................... 26,194 -------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.2%)...................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $6,705,000 FNMA 2.24%, 07/06/15, valued at $6,872,625) to be repurchased at $6,769,107. $6,769 6,769,000 -------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (6.5%)................................................... (S)@DFA Short Term Investment Fund........................................................ 188,392,000 188,392,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $179,153)## to be repurchased at $175,641............................................................................... $176 175,640 -------------- TOTAL SECURITIES LENDING COLLATERAL....................................................... 188,567,640 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,415,552,525).................................................................... $2,918,062,334 ==============
Percentage of Net Assets** --------------- PREFERRED STOCKS -- (8.3%)................................................................ BRAZIL -- (8.3%).......................................................................... Banco Bradesco SA....................................................................... 1.2% Cia de Bebidas das Americas SA Preferred ADR............................................ 0.8% Itau Unibanco Holding SA................................................................ 1.5% Petroleo Brasilerio SA ADR.............................................................. 1.7% Vale SA Series A........................................................................ 1.5% Other Securities........................................................................ 2.2% ------ TOTAL BRAZIL.............................................................................. 8.9% ------ TOTAL PREFERRED STOCKS.................................................................... 8.9% ------ RIGHTS/WARRANTS -- (0.0%)................................................................. BRAZIL -- (0.0%).......................................................................... Other Securities........................................................................ 0.0% ------ TAIWAN -- (0.0%).......................................................................... Other Securities........................................................................ 0.0% ------ TOTAL RIGHTS/WARRANTS..................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.2%)...................................................... Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $6,705,000 FNMA 2.24%, 07/06/15, valued at $6,872,625) to be repurchased at $6,769,107. 0.2% ------ SECURITIES LENDING COLLATERAL -- (6.5%)................................................... (S)@DFA Short Term Investment Fund........................................................ 6.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $179,153)## to be repurchased at $175,641............................................................................... 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL....................................................... 6.9% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,415,552,525).................................................................... 106.4% ======
215 THE EMERGING MARKETS SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks................. Brazil...................... $132,682,966 -- -- $ 132,682,966 Chile....................... 50,098,578 -- -- 50,098,578 China....................... 100,798,351 $ 248,839,028 -- 349,637,379 Colombia.................... 10,070,883 -- -- 10,070,883 Czech Republic.............. -- 18,089,752 -- 18,089,752 Egypt....................... -- 3,237,365 -- 3,237,365 Hungary..................... -- 19,965,905 -- 19,965,905 India....................... 30,113,356 214,934,415 -- 245,047,771 Indonesia................... -- 73,124,414 -- 73,124,414 Israel...................... -- 37 -- 37 Malaysia.................... 2,163,060 96,736,032 -- 98,899,092 Mexico...................... 181,200,077 8,638 -- 181,208,715 Peru........................ 11,168,752 -- -- 11,168,752 Philippines................. -- 12,189,372 -- 12,189,372 Poland...................... -- 39,864,572 -- 39,864,572 Russia...................... 740,666 145,143,766 -- 145,884,432 South Africa................ 64,559,947 164,141,068 -- 228,701,015 South Korea................. 5,334,552 412,661,007 -- 417,995,559 Taiwan...................... 9,062,700 330,234,959 -- 339,297,659 Thailand.................... 54,725,930 -- -- 54,725,930 Turkey...................... 443,693 47,343,871 -- 47,787,564 Preferred Stocks.............. Brazil...................... 243,021,788 -- -- 243,021,788 Rights/Warrants............... Brazil...................... 106 -- -- 106 Taiwan...................... -- 26,088 -- 26,088 Temporary Cash Investments.... -- 6,769,000 -- 6,769,000 Securities Lending Collateral. -- 188,567,640 -- 188,567,640 ------------ -------------- -- -------------- TOTAL......................... $896,185,405 $2,021,876,929 -- $2,918,062,334 ============ ============== == ==============
See accompanying Notes to Financial Statements. 216 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (88.6%)........................... ARGENTINA -- (0.0%)................................ Other Securities................................. $ 1 0.0% ------------ ----- BRAZIL -- (7.4%)................................... *Anhanguera Educacional Participacoes SA......... 288,445 6,441,058 0.3% *BR Malls Participacoes SA....................... 567,258 5,992,771 0.3% *Cia Hering SA................................... 315,490 6,828,397 0.3% Diagnosticos Da America SA....................... 507,200 6,809,092 0.3% Duratex SA....................................... 624,462 6,569,315 0.3% *Localiza Rent a Car SA.......................... 268,500 4,616,657 0.2% Lojas Renner SA.................................. 273,700 10,142,836 0.5% Sul America SA................................... 411,948 5,357,524 0.3% Totvs SA......................................... 267,020 5,110,585 0.2% Other Securities................................. 118,512,845 5.4% ------------ ----- TOTAL BRAZIL....................................... 176,381,080 8.1% ------------ ----- CHILE -- (2.1%).................................... Other Securities................................. 49,538,319 2.3% ------------ ----- CHINA -- (12.5%)................................... *Brilliance China Automotive Holdings, Ltd....... 11,292,000 11,072,619 0.5% #ENN Energy Holdings, Ltd........................ 2,178,000 7,441,116 0.3% #Lonking Holdings, Ltd........................... 6,648,000 4,905,480 0.2% #*Semiconductor Manufacturing International Corp.. 93,483,000 8,383,100 0.4% Other Securities................................. 266,309,787 12.2% ------------ ----- TOTAL CHINA........................................ 298,112,102 13.6% ------------ ----- HUNGARY -- (0.1%).................................. Other Securities................................. 3,876,120 0.2% ------------ ----- INDIA -- (10.0%)................................... Other Securities................................. 239,196,971 10.9% ------------ ----- INDONESIA -- (3.4%)................................ PT Charoen Pokphand Indonesia Tbk................ 30,466,000 6,876,300 0.3% PT Kalbe Farma Tbk............................... 12,304,238 5,148,026 0.2% Other Securities................................. 68,716,159 3.2% ------------ ----- TOTAL INDONESIA.................................... 80,740,485 3.7% ------------ ----- ISRAEL -- (0.0%)................................... Other Securities................................. 651,403 0.0% ------------ ----- MALAYSIA -- (5.1%)................................. Dialog Group Berhad.............................. 6,956,692 5,854,232 0.2% Other Securities................................. 117,449,179 5.4% ------------ ----- TOTAL MALAYSIA..................................... 123,303,411 5.6% ------------ ----- MEXICO -- (3.5%)................................... Embotelladora Arca S.A.B. de C.V................. 1,891,600 11,485,953 0.5% #*Empresas ICA S.A.B. de C.V. Sponsored ADR....... 681,589 6,727,283 0.3% Grupo Continental S.A.B. de C.V.................. 3,036,559 11,368,928 0.5% *Industrias CH S.A.B. de C.V. Series B........... 1,172,808 4,647,750 0.2% Other Securities................................. 48,669,626 2.3% ------------ ----- TOTAL MEXICO....................................... 82,899,540 3.8% ------------ ----- PHILIPPINES -- (2.3%).............................. Other Securities................................. 54,232,225 2.5% ------------ -----
217 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- POLAND -- (2.2%).......................................... Other Securities........................................ $ 54,175,832 2.5% -------------- ----- SOUTH AFRICA -- (8.4%).................................... Adcock Ingram Holdings, Ltd............................. 565,230 5,248,914 0.3% AECI, Ltd............................................... 459,895 6,012,681 0.3% Aveng, Ltd.............................................. 1,051,746 5,588,707 0.3% AVI, Ltd................................................ 1,007,184 4,722,875 0.2% Clicks Group, Ltd....................................... 970,964 6,451,141 0.3% Foschini Group, Ltd. (The).............................. 672,822 9,287,008 0.4% Imperial Holdings, Ltd.................................. 380,116 6,746,036 0.3% JD Group, Ltd........................................... 983,807 7,191,413 0.3% MMI Holdings, Ltd....................................... 1,925,326 4,994,411 0.2% Mr. Price Group, Ltd.................................... 693,186 7,101,614 0.3% PSG Group, Ltd.......................................... 742,484 4,936,302 0.2% Reunert, Ltd............................................ 689,181 6,541,015 0.3% Spar Group, Ltd. (The).................................. 622,477 9,234,629 0.4% Tongaat-Hulett, Ltd..................................... 629,016 9,191,761 0.4% Woolworths Holdings, Ltd................................ 1,576,910 7,197,198 0.4% Other Securities........................................ 99,891,434 4.6% -------------- ----- TOTAL SOUTH AFRICA........................................ 200,337,139 9.2% -------------- ----- SOUTH KOREA -- (13.0%).................................... *BS Financial Group, Inc................................ 413,910 6,025,284 0.3% #CJ Cheiljedang Corp.................................... 23,413 5,434,748 0.3% Daegu Bank, Ltd......................................... 367,913 6,153,086 0.3% *Daelim Industrial Co., Ltd............................. 46,223 5,227,996 0.2% Dongbu Insurance Co., Ltd............................... 97,230 4,636,282 0.2% *Hyosung T & C Co., Ltd................................. 60,227 4,943,455 0.2% #Hyundai Department Store Co., Ltd...................... 35,437 5,199,202 0.2% #Korea Komho Petrochemical Co., Ltd..................... 28,640 5,458,512 0.3% #Woongjin Coway Co., Ltd................................ 142,150 4,750,618 0.2% *Woori Investment & Securities Co., Ltd................. 252,470 5,068,309 0.2% Other Securities........................................ 258,070,476 11.8% -------------- ----- TOTAL SOUTH KOREA......................................... 310,967,968 14.2% -------------- ----- TAIWAN -- (12.8%)......................................... Other Securities........................................ 305,365,539 14.0% -------------- ----- THAILAND -- (3.1%)........................................ Other Securities........................................ 74,201,639 3.4% -------------- ----- TURKEY -- (2.7%).......................................... Other Securities........................................ 64,266,401 2.9% -------------- ----- TOTAL COMMON STOCKS....................................... 2,118,246,175 96.9% -------------- ----- PREFERRED STOCKS -- (2.6%)................................ BRAZIL -- (2.6%).......................................... #Braskem SA Preferred A Sponsored ADR................... 259,214 7,732,354 0.4% *Eletropaulo Metropolitana Eletricidade de Sao Paulo SA. 368,000 8,980,117 0.4% Klabin SA............................................... 1,412,700 5,468,690 0.2% *Suzano Papel e Celullose SA............................ 488,293 4,804,714 0.2% Ultrapar Participacoes SA............................... 267,380 4,673,881 0.2% Other Securities........................................ 30,973,705 1.4% -------------- ----- TOTAL BRAZIL.............................................. 62,633,461 2.8% -------------- ----- INDIA -- (0.0%)........................................... Other Securities........................................ 114,700 0.0% -------------- ----- MALAYSIA -- (0.0%)........................................ Other Securities........................................ 10,455 0.0% -------------- -----
218 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------ ----- PHILIPPINES -- (0.0%).................................................................... Other Securities....................................................................... $ 174 --------------- TOTAL PREFERRED STOCKS................................................................... 62,758,790 --------------- RIGHTS/WARRANTS -- (0.1%)................................................................ BRAZIL -- (0.0%)......................................................................... Other Securities....................................................................... 56 --------------- CHINA -- (0.0%).......................................................................... Other Securities....................................................................... -- --------------- POLAND -- (0.0%)......................................................................... Other Securities....................................................................... 639,526 --------------- TAIWAN -- (0.0%)......................................................................... Other Securities....................................................................... 103,520 --------------- THAILAND -- (0.1%)....................................................................... Other Securities....................................................................... 740,593 --------------- TURKEY -- (0.0%)......................................................................... Other Securities....................................................................... 113,565 --------------- TOTAL RIGHTS/WARRANTS.................................................................... 1,597,260 --------------- Shares/ Face Amount Value+ ------ ----- (000) SECURITIES LENDING COLLATERAL -- (8.7%).................................................. (S)@DFA Short Term Investment Fund....................................................... 206,164,900 206,164,900 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,840,727)## to be repurchased at $1,804,640.............................................................................. $1,805 1,804,634 --------------- TOTAL SECURITIES LENDING COLLATERAL...................................................... 207,969,534 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,670,482,090)................................................................... $2,390,571,759 ===============
Percentage of Net Assets** --------------- PHILIPPINES -- (0.0%).................................................................... Other Securities....................................................................... 0.0% ------ TOTAL PREFERRED STOCKS................................................................... 2.8% ------ RIGHTS/WARRANTS -- (0.1%)................................................................ BRAZIL -- (0.0%)......................................................................... Other Securities....................................................................... 0.0% ------ CHINA -- (0.0%).......................................................................... Other Securities....................................................................... 0.0% ------ POLAND -- (0.0%)......................................................................... Other Securities....................................................................... 0.0% ------ TAIWAN -- (0.0%)......................................................................... Other Securities....................................................................... 0.0% ------ THAILAND -- (0.1%)....................................................................... Other Securities....................................................................... 0.1% ------ TURKEY -- (0.0%)......................................................................... Other Securities....................................................................... 0.0% ------ TOTAL RIGHTS/WARRANTS.................................................................... 0.1% ------ SECURITIES LENDING COLLATERAL -- (8.7%).................................................. (S)@DFA Short Term Investment Fund....................................................... 9.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,840,727)## to be repurchased at $1,804,640.............................................................................. 0.1% ------ TOTAL SECURITIES LENDING COLLATERAL...................................................... 9.5% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,670,482,090)................................................................... 109.3% ======
219 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of inputs used to value the Series' investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs --------------------------------------------------- Investment in Securities (Market Value) --------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- --------------- Common Stocks................. Argentina................... -- $ 1 -- $ 1 Brazil...................... $176,381,080 -- -- 176,381,080 Chile....................... 49,538,319 -- -- 49,538,319 China....................... 1,408,043 296,704,059 -- 298,112,102 Hungary..................... -- 3,876,120 -- 3,876,120 India....................... 3,220,694 235,976,277 -- 239,196,971 Indonesia................... 377,789 80,362,696 -- 80,740,485 Israel...................... 2,447 648,956 -- 651,403 Malaysia.................... 34,460 123,268,951 -- 123,303,411 Mexico...................... 82,605,573 293,967 -- 82,899,540 Philippines................. 14,447 54,217,778 -- 54,232,225 Poland...................... -- 54,175,832 -- 54,175,832 South Africa................ 328,308 200,008,831 -- 200,337,139 South Korea................. 7,079,184 303,888,784 -- 310,967,968 Taiwan...................... 709,360 304,656,179 -- 305,365,539 Thailand.................... 73,926,838 274,801 -- 74,201,639 Turkey...................... -- 64,266,401 -- 64,266,401 Preferred Stocks.............. Brazil...................... 62,594,700 38,761 -- 62,633,461 India....................... -- 114,700 -- 114,700 Malaysia.................... 10,455 -- -- 10,455 Philippines................. -- 174 -- 174 Rights/Warrants............... Brazil...................... 56 -- -- 56 China....................... -- -- -- -- Poland...................... -- 639,526 -- 639,526 Taiwan...................... -- 103,520 -- 103,520 Thailand.................... -- 740,593 -- 740,593 Turkey...................... 113,565 -- -- 113,565 Securities Lending Collateral. -- 207,969,534 -- 207,969,534 ------------ -------------- ---- --------------- TOTAL......................... $458,345,318 $1,932,226,441 -- $2,390,571,759 ============ ============== ==== ===============
See accompanying Notes to Financial Statements. 220 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands)
The U.S. The DFA The Japanese The Asia Pacific Large Cap International Small Small Value Value Company Company Series Series Series Series ----------- ------------- ------------ ---------------- ASSETS: Investments at Value (including $505,764, $1,489,149, $212,417 and $177,875 of securitieson loan, respectively) $10,388,932 $8,070,656 $1,461,727 $1,087,659 Temporary Cash Investments at Value & Cost 10,179 8,222 4,276 653 Collateral Received from Securities on Loan at Value & Cost 1,507 1,322 4,474 446 Affiliated Collateral Received from Securities on Loan at Value & Cost 523,266 1,646,576 221,672 201,646 Foreign Currencies at Value -- 29,913 3,482 17,216 Cash -- 16 15 16 Receivables: Investment Securities Sold 11,012 18,234 -- 242 Dividends, Interest and Tax Reclaims 9,094 35,891 15,620 2,594 Securities Lending Income 516 3,179 173 241 Fund Shares Sold 687 1,237 -- -- Unrealized Gain on Foreign Currency Contracts -- 59 12 59 Prepaid Expenses and Other Assets 20 14 3 2 ----------- ---------- ---------- ---------- Total Assets 10,945,213 9,815,319 1,711,454 1,310,774 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned 524,773 1,647,898 226,146 202,092 Investment Securities Purchased 13,594 35,319 6,040 9,482 Fund Shares Redeemed 362 290 1,382 155 Due to Advisor 846 1,304 117 90 Unrealized Loss on Foreign Currency Contracts -- 58 -- 18 Accrued Expenses and Other Liabilities 375 507 109 30 ----------- ---------- ---------- ---------- Total Liabilities........................................ 539,950 1,685,376 233,794 211,867 ----------- ---------- ---------- ---------- NET ASSETS $10,405,263 $8,129,943 $1,477,660 $1,098,907 =========== ========== ========== ========== Investments at Cost......................................... $ 7,045,535 $5,713,642 $1,557,062 $ 816,651 =========== ========== ========== ========== Foreign Currencies at Cost.................................. $ -- $ 29,193 $ 3,412 $ 16,682 =========== ========== ========== ==========
See accompanying Notes to Financial Statements. 221 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands)
The United The The Kingdom Continental Canadian The The Emerging Small Small Small Emerging Markets Company Company Company Markets Small Cap Series Series Series Series Series ---------- ----------- ---------- ---------- ------------ ASSETS: Investments at Value (including $19,070, $531,267, $255,528, $179,800 and $190,411 of securities on loan,respectively) $1,264,176 $2,696,514 $ 954,271 $2,722,725 $2,182,602 Temporary Cash Investments at Value & Cost 780 985 606 6,769 -- Collateral Received from Securities on Loan at Value & Cost 126 1,787 989 176 1,805 Affiliated Collateral Received from Securities on Loan at Value & Cost 20,248 565,596 269,460 188,392 206,165 Foreign Currencies at Value............................ 2,838 14,698 8,119 7,252 3,600 Cash................................................... 15 16 15 1,212 -- Receivables: Investment Securities Sold............................ 1,466 1,501 -- 23,773 9,980 Dividends, Interest and Tax Reclaims.................. 6,812 5,485 690 6,291 4,060 Securities Lending Income............................. 18 1,283 210 222 310 Fund Shares Sold...................................... -- -- -- 1,007 860 Unrealized Gain on Foreign Currency Contracts.............................................. -- 1 -- 1 1 Prepaid Expenses and Other Assets...................... 2 4 2 5 3 ---------- ---------- ---------- ---------- ---------- Total Assets........................................ 1,296,481 3,287,870 1,234,362 2,957,825 2,409,386 ---------- ---------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned...................... 20,374 567,383 270,449 188,568 207,970 Investment Securities Purchased....................... 440 7,303 6,211 21,582 9,111 Fund Shares Redeemed.................................. 26 67 -- 141 -- Due to Advisor........................................ 100 217 79 224 357 Loan Payable.......................................... -- -- -- -- 848 Deferred Thailand Capital Gains Tax.................... -- -- -- 4,947 4,434 Accrued Expenses and Other Liabilities................. 53 71 18 334 46 ---------- ---------- ---------- ---------- ---------- Total Liabilities................................... 20,993 575,041 276,757 215,796 222,766 ---------- ---------- ---------- ---------- ---------- NET ASSETS............................................. $1,275,488 $2,712,829 $ 957,605 $2,742,029 $2,186,620 ========== ========== ========== ========== ========== Investments at Cost.................................... $1,011,628 $1,974,082 $ 772,626 $1,220,216 $1,462,513 ========== ========== ========== ========== ========== Foreign Currencies at Cost............................. $ 2,764 $ 14,296 $ 7,995 $ 7,196 $ 3,549 ========== ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 222 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
The Asia The U.S. The DFA The Japanese Pacific Large International Small Small Cap Value Value Company Company Series Series Series Series ---------- ------------- ------------ -------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $8,897, $1,277 and $419, respectively)...................................... $ 80,274 $ 113,603 $ 16,987 $ 14,565 Interest....................................................... 15 16 4 2 Income from Securities Lending................................. 2,935 5,858 991 1,261 ---------- ---------- -------- -------- Total Investment Income.................................... 83,224 119,477 17,982 15,828 ---------- ---------- -------- -------- Expenses Investment Advisory Services Fees.............................. 4,740 7,445 688 501 Accounting & Transfer Agent Fees............................... 449 357 76 59 Custodian Fees................................................. 47 565 130 201 Shareholders' Reports.......................................... 24 19 3 2 Directors'/Trustees' Fees & Expenses........................... 60 46 9 6 Professional Fees.............................................. 91 71 12 8 Other.......................................................... 36 69 10 7 ---------- ---------- -------- -------- Total Expenses............................................. 5,447 8,572 928 784 ---------- ---------- -------- -------- Net Investment Income (Loss)................................... 77,777 110,905 17,054 15,044 ---------- ---------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:................................... Investment Securities Sold................................... 284,130 132,766 7,570 40,183 Futures...................................................... (12,647) -- -- -- Foreign Currency Transactions................................ -- 1,257 (238) 227 Change in Unrealized Appreciation (Depreciation) of:........... Investment Securities and Foreign Currency................... 1,503,303 778,946 120,239 74,355 Translation of Foreign Currency Denominated Amounts.......... -- 338 (180) 43 ---------- ---------- -------- -------- Net Realized and Unrealized Gain (Loss)........................ 1,774,786 913,307 127,391 114,808 ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................... $1,852,563 $1,024,212 $144,445 $129,852 ========== ========== ======== ========
See accompanying Notes to Financial Statements. 223 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands)
The United The Kingdom Continental The Canadian The The Emerging Small Small Small Emerging Markets Company Company Company Markets Small Cap Series Series Series Series Series ---------- ----------- ------------ -------- ------------ Investment Income Dividends (Net of Foreign Taxes Withheld of $1, $3,300, $1,169, $1,822 and $1,342, respectively).. $ 16,043 $ 21,125 $ 6,617 $ 22,931 $ 16,458 Interest............................................ 1 8 4 8 9 Income from Securities Lending...................... 164 3,885 1,270 1,335 1,751 -------- -------- -------- -------- -------- Total Investment Income......................... 16,208 25,018 7,891 24,274 18,218 -------- -------- -------- -------- -------- Expenses Investment Advisory Services Fees................... 560 1,148 408 1,293 1,961 Accounting & Transfer Agent Fees.................... 64 119 50 132 103 Custodian Fees...................................... 40 298 74 901 753 Shareholders' Reports............................... 3 5 1 7 4 Directors'/Trustees' Fees & Expenses................ 6 13 4 16 11 Professional Fees................................... 9 19 5 59 24 Other............................................... 7 19 4 29 17 -------- -------- -------- -------- -------- Total Expenses.................................. 689 1,621 546 2,437 2,873 -------- -------- -------- -------- -------- Net Investment Income (Loss) 15,519 23,397 7,345 21,837 15,345 -------- -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:........................ Investment Securities Sold........................ 13,539 27,303 29,066 136,468 77,002 Futures........................................... -- (287) -- -- -- Foreign Currency Transactions..................... 184 319 94 368** (273)** Change in Unrealized Appreciation (Depreciation) of:............................................... Investment Securities and Foreign Currency........ 158,143 398,412 138,753 130,547 44,013 Translation of Foreign Currency Denominated Amounts......................................... 163 159 (23) 3 69 Change in Deferred Thailand Capital Gains Tax....... -- -- -- (519) (437) -------- -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss) 172,029 425,906 167,890 266,867 120,374 -------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations $187,548 $449,303 $175,235 $288,704 $135,719 ======== ======== ======== ======== ========
-------- **Net of foreign capital gain taxes withheld of $212 and $167, respectively. See accompanying Notes to Financial Statements. 224 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The U.S. The DFA Large Cap Value International Value Series Series ----------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 77,777 $ 167,346 $ 110,905 $ 164,482 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 284,130 638,095 132,766 360,748 Futures.................................................. (12,647) -- -- -- Foreign Currency Transactions............................ -- -- 1,257 (156) Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities and Foreign Currency............... 1,503,303 678,724 778,946 182,952 Translation of Foreign Currency Denominated Amounts...... -- -- 338 537 ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 1,852,563 1,484,165 1,024,212 708,563 ----------- ---------- ---------- ---------- Transactions in Interest:................................... Contributions............................................. 625,011 512,765 303,154 611,794 Withdrawals............................................... (888,711) (688,930) (117,056) (592,688) ----------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest... (263,700) (176,165) 186,098 19,106 ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................. 1,588,863 1,308,000 1,210,310 727,669 Net Assets Beginning of Period....................................... 8,816,400 7,508,400 6,919,633 6,191,964 ----------- ---------- ---------- ---------- End of Period............................................. $10,405,263 $8,816,400 $8,129,943 $6,919,633 =========== ========== ========== ==========
The Japanese Small Company Series ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 17,054 $ 23,032 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 7,570 (15,709) Futures.................................................. -- -- Foreign Currency Transactions............................ (238) 792 Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities and Foreign Currency............... 120,239 (460) Translation of Foreign Currency Denominated Amounts...... (180) 315 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 144,445 7,970 ---------- ---------- Transactions in Interest:................................... Contributions............................................. 134,547 61,990 Withdrawals............................................... (12,932) (41,396) ---------- ---------- Net Increase (Decrease) from Transactions in Interest... 121,615 20,594 ---------- ---------- Total Increase (Decrease) in Net Assets................. 266,060 28,564 Net Assets Beginning of Period....................................... 1,211,600 1,183,036 ---------- ---------- End of Period............................................. $1,477,660 $1,211,600 ========== ==========
See accompanying Notes to Financial Statements. 225 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Asia Pacific The United Kingdom Small Company Small Company Series Series -------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- -------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 15,044 $ 28,020 $ 15,519 $ 24,392 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 40,183 46,684 13,539 35,525 Futures.................................................. -- -- -- -- Foreign Currency Transactions............................ 227 (20) 184 126 Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities and Foreign Currency............... 74,355 129,509 158,143 152,112 Translation of Foreign Currency Denominated Amounts...... 43 (75) 163 (30) ---------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 129,852 204,118 187,548 212,125 ---------- -------- ---------- ---------- Transactions in Interest:................................... Contributions............................................. 59,832 85,604 52,839 59,131 Withdrawals............................................... (25,915) (35,581) (1,593) (5,034) ---------- -------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest... 33,917 50,023 51,246 54,097 ---------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets................. 163,769 254,141 238,794 266,222 Net Assets Beginning of Period....................................... 935,138 680,997 1,036,694 770,472 ---------- -------- ---------- ---------- End of Period............................................. $1,098,907 $935,138 $1,275,488 $1,036,694 ========== ======== ========== ==========
The Continental Small Company Series ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations:................................................. Net Investment Income (Loss).............................. $ 23,397 $ 38,583 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................... 27,303 72,573 Futures.................................................. (287) -- Foreign Currency Transactions............................ 319 811 Change in Unrealized Appreciation (Depreciation) of:...... Investment Securities and Foreign Currency............... 398,412 156,901 Translation of Foreign Currency Denominated Amounts...... 159 30 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 449,303 268,898 ---------- ---------- Transactions in Interest:................................... Contributions............................................. 195,707 199,653 Withdrawals............................................... (4,665) (26,959) ---------- ---------- Net Increase (Decrease) from Transactions in Interest... 191,042 172,694 ---------- ---------- Total Increase (Decrease) in Net Assets................. 640,345 441,592 Net Assets Beginning of Period....................................... 2,072,484 1,630,892 ---------- ---------- End of Period............................................. $2,712,829 $2,072,484 ========== ==========
See accompanying Notes to Financial Statements. 226 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Canadian Small Company The Emerging Series Markets Series -------------------- ----------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2011 2010 2011 2010 ----------- -------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 7,345 $ 5,240 $ 21,837 $ 48,891 Net Realized Gain (Loss) on: Investment Securities Sold 29,066 6,585 136,468 160,587 Foreign Currency Transactions 94 40 368** 541 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 138,753 168,950 130,547 337,045 Translation of Foreign Currency Denominated Amounts (23) (11) 3 (5) Change in Deferred Thailand Capital Gains Tax............. -- -- (519) (2,275) -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resultingfrom Operations............................................. 175,235 180,804 288,704 544,784 -------- -------- ---------- ---------- Transactions in Interest:................................... Contributions............................................. 126,648 117,737 126,062 199,169 Withdrawals............................................... (8,000) -- (202,230) (323,776) -------- -------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest... 118,648 117,737 (76,168) (124,607) -------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets................. 293,883 298,541 212,536 420,177 Net Assets Beginning of Period....................................... 663,722 365,181 2,529,493 2,109,316 -------- -------- ---------- ---------- End of Period............................................. $957,605 $663,722 $2,742,029 $2,529,493 ======== ======== ========== ==========
The Emerging Markets Small Cap Series ------------------------ Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ---------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) $ 15,345 $ 30,699 Net Realized Gain (Loss) on: Investment Securities Sold 77,002 102,089 Foreign Currency Transactions (273)** 77** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 44,013 382,774 Translation of Foreign Currency Denominated Amounts 69 (76) Change in Deferred Thailand Capital Gains Tax............. (437) (3,052) ---------- ---------- Net Increase (Decrease) in Net Assets Resultingfrom Operations............................................. 135,719 512,511 ---------- ---------- Transactions in Interest:................................... Contributions............................................. 215,115 344,585 Withdrawals............................................... (45,570) (143,713) ---------- ---------- Net Increase (Decrease) from Transactions in Interest... 169,545 200,872 ---------- ---------- Total Increase (Decrease) in Net Assets................. 305,264 713,383 Net Assets Beginning of Period....................................... 1,881,356 1,167,973 ---------- ---------- End of Period............................................. $2,186,620 $1,881,356 ========== ==========
-------- **Net of foreign capital gain taxes withheld of $212 and $167, respectively. See accompanying Notes to Financial Statements. 227 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+ ---------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Ended Ended Ended 2007 to Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 ----------------------------------------------------------------------------------------------------------- (Unaudited) Total Return............ 22.06%(C) 19.96% 11.90% (36.53)%(C) (0.32)% 18.16% ----------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............ $10,405,263 $8,816,400 $7,508,400 $6,739,363 $10,159,322 $8,866,306 Ratio of Expenses to Average Net Assets................. 0.12%(B) 0.12% 0.13% 0.11%(B) 0.11% 0.12% Ratio of Net Investment Income to Average Net Assets............. 1.66%(B) 2.02% 2.42% 1.97%(B) 1.44% 1.68% Portfolio Turnover Rate................... 7%(C) 28% 29% 19%(C) 9% 13% ----------------------------------------------------------------------------------------------------------- The DFA International Value Series+ ---------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Ended Ended Ended 2007 to Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 ----------------------------------------------------------------------------------------------------------- (Unaudited) Total Return............ 14.62%(C) 11.13% 35.41% (47.87)%(C) 17.32% 35.73% ----------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............ $ 8,129,943 $6,919,633 $6,191,964 $4,700,337 $ 9,638,721 $7,457,252 Ratio of Expenses to Average Net Assets................. 0.23%(B) 0.24% 0.24% 0.23%(B) 0.23% 0.23% Ratio of Net Investment Income to Average Net Assets............. 3.01%(B) 2.55% 3.22% 4.15%(B) 3.04% 3.29% Portfolio Turnover Rate................... 5%(C) 20% 18% 16%(C) 16% 8% -----------------------------------------------------------------------------------------------------------
The U.S. Large Cap Value Series+ ----------------------------------- Year Ended Nov. 30, 2005 ------------------------------------------------------------ Total Return............ 14.66% ------------------------------------------------------------ Net Assets, End of Period (thousands)............ $5,831,587 Ratio of Expenses to Average Net Assets................. 0.14% Ratio of Net Investment Income to Average Net Assets............. 1.56% Portfolio Turnover Rate................... 9% ------------------------------------------------------------ The DFA International Value Series+ ----------------------------------- Year Ended Nov. 30, 2005 ------------------------------------------------------------ Total Return............ 15.61% ------------------------------------------------------------ Net Assets, End of Period (thousands)............ $4,367,698 Ratio of Expenses to Average Net Assets................. 0.27% Ratio of Net Investment Income to Average Net Assets............. 2.71% Portfolio Turnover Rate................... 10% ------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 228 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Japanese Small Company Series -------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return.................. 11.85%(C) 0.72% 22.69% (26.87)%(C) (1.16)% (2.28)% 31.03% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $1,477,660 $1,211,600 $1,183,036 $1,062,964 $1,504,821 $1,385,722 $1,151,429 Ratio of Expenses to Average Net Assets................... 0.14%(B) 0.14% 0.15% 0.13%(B) 0.13% 0.14% 0.22% Ratio of Net Investment Income to Average Net Assets. 2.50%(B) 1.95% 2.15% 2.64%(B) 1.94% 1.68% 1.51% Portfolio Turnover Rate....... 3%(C) 10% 7% 10%(C) 9% 9% 6% --------------------------------------------------------------------------------------------------------------------------- The Asia Pacific Small Company Series -------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return.................. 13.66%(C) 28.91% 84.98% (57.75)%(C) 47.23% 38.26% 9.30% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $1,098,907 $ 935,138 $ 680,997 $ 441,237 $1,205,154 $ 749,627 $ 395,923 Ratio of Expenses to Average Net Assets................... 0.16%(B) 0.17% 0.18% 0.15%(B) 0.15% 0.17% 0.27% Ratio of Net Investment Income to Average Net Assets. 3.03%(B) 3.64% 4.00% 4.33%(B) 3.58% 4.19% 4.33% Portfolio Turnover Rate....... 9%(C) 18% 23% 20%(C) 25% 14% 10% --------------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes..........................................................
See accompanying Notes to Financial Statements. 229 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series ---------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------ (Unaudited) Total Return............. 17.06%(C) 25.94% 43.51% (50.77)%(C) 2.42% 44.80% 12.88% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)...... $1,275,488 $1,036,694 $ 770,472 $ 555,390 $1,158,580 $1,117,826 $643,038 Ratio of Expenses to Average Net Assets...... 0.12%(B) 0.13% 0.14% 0.12%(B) 0.12% 0.13% 0.22% Ratio of Net Investment Income to Average Net Assets.................. 2.80%(B) 2.86% 4.02% 3.79%(B) 2.72% 2.70% 3.19% Portfolio Turnover Rate.. 4%(C) 15% 10% 25%(C) 12% 8% 12% ------------------------------------------------------------------------------------------------------------------ The Continental Small Company Series ---------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------ (Unaudited) Total Return............. 20.33%(C) 15.37% 43.78% (49.66)%(C) 17.49% 47.10% 18.97% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)...... $2,712,829 $2,072,484 $1,630,892 $1,111,585 $2,256,122 $1,875,194 $981,938 Ratio of Expenses to Average Net Assets...... 0.14%(B) 0.15% 0.16% 0.14%(B) 0.14% 0.15% 0.24% Ratio of Net Investment Income to Average Net Assets.................. 2.06%(B) 2.24% 2.93% 3.49%(B) 2.16% 2.27% 2.16% Portfolio Turnover Rate.. 3%(C) 12% 7% 18%(C) 12% 7% 18% ------------------------------------------------------------------------------------------------------------------ See page 1 & 2 for the Definitions of Abbreviations and Footnotes.................................................
See accompanying Notes to Financial Statements. 230 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Canadian Small Company Series ---------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Period Ended Ended Ended 2007 to April 2, 2007(a) April 30, Oct. 31, Oct. 31, Oct. 31, to 2011 2010 2009 2008 Nov. 30, 2007 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return............. 25.47%(C) 43.17% 61.67% (56.44)%(C) 10.20%(C) ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...... $ 957,605 $ 663,722 $ 365,181 $ 232,873 $ 213,529 Ratio of Expenses to Average Net Assets...... 0.14%(B) 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Net Investment Income to Average Net Assets.................. 1.82%(B) 1.05% 1.37% 0.97%(B) 0.47%(B)(E) Portfolio Turnover Rate.. 9%(C) 10% 23% 21%(C) 6%(C) ----------------------------------------------------------------------------------------------------------------------------- The Emerging Markets Series --------------------------------------------------------------------------------------------------- Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return............. 11.76%(C) 27.04% 53.99% (48.15)%(C) 42.62% 31.87% 31.23% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...... $2,742,029 $2,529,493 $2,109,316 $1,624,524 $3,707,790 $2,414,971 $1,852,565 Ratio of Expenses to Average Net Assets...... 0.19%(B) 0.19% 0.20% 0.18%(B) 0.19% 0.20% 0.27% Ratio of Net Investment Income to Average Net Assets.................. 1.70%(B) 2.18% 2.57% 3.00%(B) 2.52% 2.54% 3.70% Portfolio Turnover Rate.. 6%(C) 12% 14% 19%(C) 7% 11% 9% ----------------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes............................................................
See accompanying Notes to Financial Statements. 231 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series ------------------------------------------------------------------------------------ Period Six Months Year Year Dec. 1, Year Year Year Ended Ended Ended 2007 to Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 2008 2007 2006 2005 ------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return.................. 6.45%(C) 41.96% 92.08% (56.84)%(C) 43.32% 40.55% 24.85% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $2,186,620 $1,881,356 $1,167,973 $566,379 $1,525,571 $903,529 $545,271 Ratio of Expenses to Average Net Assets................... 0.30%(B) 0.32% 0.33% 0.30%(B) 0.31% 0.34% 0.49% Ratio of Net Investment Income to Average Net Assets. 1.58%(B) 2.16% 2.52% 3.07%(B) 1.94% 2.39% 2.70% Portfolio Turnover Rate....... 8%(C) 15% 13% 19%(C) 16% 18% 8% ------------------------------------------------------------------------------------------------------------------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes..................................................
See accompanying Notes to Financial Statements. 232 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS (Unaudited) 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 investment portfolios, of which nine are included in this section of the report (collectively, the "Series"), and two are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios ------------------------- ------------------------------- The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series
Effective December 31, 2008 and November 1, 2008, The U.S. Large Cap Value Series and The DFA International Value Series, respectively, each a master fund in a RIC/RIC master-feeder structure, elected with the consent of their respective Holder(s) to change their U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. Each Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Series from November 30 to October 31. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the 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 - 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 Series' own assumptions in determining the fair value of investments) 233 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 of the day. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices. 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. These securities are generally categorized as Level 2 in the hierarchy. 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 the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Trust have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 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 at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Series did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2011. 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their 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. 234 The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (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 Directors'/Trustees' Fees & Expenses. 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 of the Fund; and (ii) five years following the effective date of the Trustee's first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board of the Fund (unless the Trustee files an amended Notice selecting a different distribution date). As of April 30, 2011, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Emerging Markets Series and The Emerging Markets Small Cap Series investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Emerging Markets Series and The Emerging Markets Small Cap Series accrue for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. These Series are also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned. 235 C. Investment Advisor: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the six months ended April 30, 2011, 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%
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 six months ended April 30, 2011, the total related amounts paid by the Trust to the CCO were $42 (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 April 30, 2011, 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......... $255 The DFA International Value Series...... 199 The Japanese Small Company Series....... 42 The Asia Pacific Small Company Series... 21 The United Kingdom Small Company Series. 24 The Continental Small Company Series.... 51 The Canadian Small Company Series....... 12 The Emerging Markets Series............. 68 The Emerging Markets Small Cap Series... 36
E. Purchases and Sales of Securities: For the six months ended April 30, 2011, 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......... $661,050 $848,904 The DFA International Value Series...... 651,422 376,563 The Japanese Small Company Series....... 172,277 40,281 The Asia Pacific Small Company Series... 129,912 88,013 The United Kingdom Small Company Series. 106,687 43,591 The Continental Small Company Series.... 284,846 74,374 The Canadian Small Company Series....... 187,221 70,990
236
Purchases Sales --------- -------- The Emerging Markets Series........... $157,324 $227,516 The Emerging Markets Small Cap Series. 342,525 159,184
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. Some of the Series' investments are in securities considered to be "passive foreign investment companies" for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for federal income tax purposes. At October 31, 2010, the following Series had cumulative unrealized appreciation (depreciation) (mark to market) to be included in distributable net investment income for federal tax purposes. For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes. Amounts listed below are in thousands.
Mark to Market Realized Gains -------------- -------------- The Japanese Small Company Series....... $ 715 $ 32 The Asia Pacific Small Company Series... 20,807 310 The United Kingdom Small Company Series. 2,607 -- The Continental Small Company Series.... 328 6,878 The Canadian Small Company Series....... 10,180 2,733 The Emerging Markets Series............. 462 -- The Emerging Markets Small Cap Series... 718 293
At April 30, 2011, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- The U.S. Large Cap Value Series......... $7,580,502 $3,384,626 $ (41,244) $3,343,382 The DFA International Value Series...... 7,369,966 2,452,488 (95,678) 2,356,810 The Japanese Small Company Series....... 1,788,780 180,217 (276,848) (96,631) The Asia Pacific Small Company Series... 1,023,520 382,078 (115,194) 266,884 The United Kingdom Small Company Series. 1,037,370 384,396 (136,436) 247,960 The Continental Small Company Series.... 2,543,762 946,294 (225,174) 721,120 The Canadian Small Company Series....... 1,043,681 263,584 (81,939) 181,645 The Emerging Markets Series............. 1,415,979 1,520,666 (18,583) 1,502,083 The Emerging Markets Small Cap Series... 1,671,048 824,124 (104,600) 719,524
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 provision for income tax is required in any Series' financial statements. No Series is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next six months. Each of the Series' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. 237 On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if the master's investment securities were sold to its shareholders and, pursuant to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it liquidated its investment in the master. As a result of the transaction, The DFA International Value Series recognized a ($2,309,440,866) and ($718,733) capital and currency loss respectively for tax year ended October 31, 2008. For tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the master's investment securities were sold to its shareholders and, pursuant to IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008. G. Financial Instruments: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Series may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on April 29, 2011. 2. Foreign Markets Risks: Investments in foreign markets may involve certain consideration 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 government supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities by the Master Funds may be inhibited. Derivative Financial Instruments: Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives 238 are accounted for and how derivative instruments affect a fund's results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Series. 3. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, 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. Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments' (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period. The following is a summary of the Series' location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2011 (amounts in thousands):
Location on the Statements Equity of Operations Contracts ------------------------------------ ---------- The U.S. Large Cap Value Series*...... Net Realized Gain (Loss) on Futures $(12,647) The Continental Small Company Series*. Net Realized Gain (Loss) on Futures (287)
*As of April 30, 2011, there were no futures contracts outstanding. During the six months ended April 30, 2011, the Series had limited activity in futures contracts. H. Line of Credit: The Trust, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011; however, PNC Bank is expected to extend the term of the line of credit to June 30, 2011. The Trust, together with other Dimensional-advised portfolios, is currently negotiating a new $250 million unsecured discretionary line of credit with The Bank of New York Mellon, an affiliate of its domestic custodian bank, to replace the existing line of credit. The Trust anticipates the new line of credit will have substantially the same terms and conditions as the existing line of credit. There were no borrowings by the Series under this line of credit during the six months ended April 30, 2011. 239 The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2011 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 13, 2012. For the six months ended April 30, 2011, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding Incurred the Period ------------- ------------ ----------- -------- --------------- The U.S. Large Cap Value Series......... 0.94% $8,294 11 $ 2 $15,367 The DFA International Value Series...... 0.91% 1,607 5 -- 4,688 The Japanese Small Company Series....... 0.92% 2,430 2 -- 4,628 The Asia Pacific Small Company Series... 0.93% 430 11 -- 1,047 The United Kingdom Small Company Series. 0.94% 135 12 -- 1,227 The Emerging Markets Series............. 0.91% 4,846 29 4 15,798 The Emerging Markets Small Cap Series... 0.90% 3,410 14 1 5,314
*Number of Days Outstanding represents the total of single or consecutive days during the six months ended that each Series' available line of credit was utilized. At April 30, 2011, The Emerging Markets Small Cap Series had a loan outstanding in the amount of $848 (in thousands). I. Securities Lending: As of April 30, 2011, some of the Series had securities on loan to brokers/dealers, for which each Series received cash collateral. In addition, The Emerging Market Series and The Emerging Markets Small Cap Series received non-cash collateral with a market value of $91,717 and $75, respectively (in thousands). Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each 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 240 on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. J. Indemnitees; Contractual Obligations: Under the Trust's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. K. Recently Issued Accounting Standards: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles ("GAAP") and International Financial Reporting Standards ("IFRSs")". ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined. L. Other: The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. On November 1, 2010 a class action complaint was filed in the bankruptcy case of the Tribune Company, (the "Tribune"), and subsequently additional similar class actions have been filed seeking the same recovery (the "Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of other mutual funds, institutional investors and others who owned shares in Tribune in 2007 when it became private in a leveraged buyout transaction and who, at that time, sold their shares back to Tribune for cash in the amount of $34 per share. The Lawsuits allege that the payment for the shares by the Tribune violated the rights of creditors and seeks to have the cash paid to shareholders returned to the Tribune's bankruptcy estate and/or various creditors of the Tribune. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made 241 relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 242 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated.
Six Months Ended April 30, 2011 EXPENSE TABLE Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/10 04/30/11 Ratio* Period* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $1,095.36 0.18% $0.94 Hypothetical 5% Annual Return. $1,000.00 $1,023.90 0.18% $0.90
-------- * 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 (181), then divided by the number of days in the year (365) to reflect the six-month period. 243 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on March 31, 2011. It is available upon request without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
Dimensional Emerging Markets Value Fund Consumer Discretionary.......... 8.1% Consumer Staples................ 5.9% Energy.......................... 16.7% Financials...................... 30.3% Health Care..................... 0.6% Industrials..................... 10.8% Information Technology.......... 6.8% Materials....................... 17.6% Other........................... -- Real Estate Investment Trusts... -- Telecommunication Services...... 1.9% Utilities....................... 1.3% ----- 100.0%
244 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2011 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (88.0%) BRAZIL -- (7.7%) Banco Santander Brasil SA ADR 11,387,872 $ 132,213,194 0.9% BM&F Bovespa SA 27,844,267 209,026,693 1.3% #BRF - Brasil Foods SA ADR 2,898,191 60,021,536 0.4% #Petroleo Brasileiro SA ADR 8,044,663 300,307,270 1.9% Other Securities 590,630,476 3.8% -------------- ----- TOTAL BRAZIL 1,292,199,169 8.3% -------------- ----- CHILE -- (2.0%) Empresas CMPC SA 1,514,513 84,048,975 0.5% #Enersis SA Sponsored ADR 3,029,239 64,704,545 0.4% Other Securities 188,074,737 1.2% -------------- ----- TOTAL CHILE 336,828,257 2.1% -------------- ----- CHINA -- (13.2%) #Bank of China, Ltd. 679,449,331 376,940,711 2.4% #Bank of Communications Co., Ltd. 71,838,704 76,084,287 0.5% China Citic Bank Corp., Ltd. 88,050,716 63,188,308 0.4% China Construction Bank Corp. 77,940,940 73,904,552 0.5% China Petroleum & Chemical Corp. 87,408,289 88,104,958 0.6% #China Petroleum & Chemical Corp. ADR 855,368 86,195,433 0.5% #China Unicom Hong Kong, Ltd. ADR 6,160,737 126,048,679 0.8% Other Securities 1,311,631,181 8.4% -------------- ----- TOTAL CHINA 2,202,098,109 14.1% -------------- ----- CZECH REPUBLIC -- (0.3%) Other Securities 42,947,874 0.3% -------------- ----- HUNGARY -- (0.9%) #*OTP Bank P.L.C. 2,633,742 93,504,071 0.6% Other Securities 55,376,670 0.3% -------------- ----- TOTAL HUNGARY 148,880,741 0.9% -------------- ----- INDIA -- (8.2%) *Hindalco Industries, Ltd. 13,050,819 63,739,905 0.4% #ICICI Bank, Ltd. Sponsored ADR 3,332,795 167,972,868 1.1% Reliance Industries, Ltd. 10,494,511 232,944,520 1.5% Other Securities 909,972,988 5.8% -------------- ----- TOTAL INDIA 1,374,630,281 8.8% -------------- ----- INDONESIA -- (3.1%) PT Bumi Resources Tbk 280,320,500 112,640,639 0.7% Other Securities 404,685,413 2.6% -------------- ----- TOTAL INDONESIA 517,326,052 3.3% -------------- ----- ISRAEL -- (0.0%) Other Securities 1,935,402 0.0% -------------- ----- MALAYSIA -- (3.0%) Other Securities 505,226,583 3.2% -------------- ----- MEXICO -- (5.1%) #*Alfa S.A.B. de C.V. Series A 4,088,867 60,773,400 0.4% #*Cemex S.A.B. de C.V. Sponsored ADR 12,041,259 104,518,131 0.7% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,819,711 114,459,822 0.7% Grupo Mexico S.A.B. de C.V. Series B 24,866,224 86,100,896 0.5%
245 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ----- --------------- MEXICO -- (Continued) Other Securities $ 482,096,392 3.1% -------------- ----- TOTAL MEXICO 847,948,641 5.4% -------------- ----- PHILIPPINES -- (0.7%) Other Securities 120,116,570 0.8% POLAND -- (2.0%) *Polski Koncern Naftowy Orlen SA 5,310,008 110,676,798 0.7% Other Securities 222,750,326 1.4% -------------- ----- TOTAL POLAND 333,427,124 2.1% -------------- ----- RUSSIA -- (5.3%) Gazprom OAO Sponsored ADR 40,355,438 683,772,202 4.4% Lukoil OAO Sponsored ADR 2,280,971 158,531,847 1.0% Other Securities 36,483,467 0.2% -------------- ----- TOTAL RUSSIA 878,787,516 5.6% -------------- ----- SOUTH AFRICA -- (7.4%) ABSA Group, Ltd. 4,102,878 84,982,853 0.5% Gold Fields, Ltd. Sponsored ADR 8,246,089 147,110,228 0.9% Nedbank Group, Ltd. 2,742,435 61,104,932 0.4% Sanlam, Ltd. 28,700,406 123,107,886 0.8% Standard Bank Group, Ltd. 5,556,368 87,265,717 0.6% #Steinhoff International Holdings, Ltd. 15,446,217 59,166,634 0.4% Other Securities 682,266,718 4.4% -------------- ----- TOTAL SOUTH AFRICA 1,245,004,968 8.0% -------------- ----- SOUTH KOREA -- (13.4%) Hana Financial Group, Inc. 2,249,314 95,435,538 0.6% #Hyundai Motor Co., Ltd. 808,044 186,374,700 1.2% #*KB Financial Group, Inc. ADR 2,704,559 144,125,949 0.9% #LG Display Co., Ltd. ADR 3,695,836 65,859,798 0.4% #LG Electronics, Inc. 1,013,377 97,558,535 0.6% #POSCO ADR 1,371,214 151,244,904 1.0% Samsung Corp 1,105,770 80,104,872 0.5% #Samsung SDI Co., Ltd. 350,064 62,728,387 0.4% Shinhan Financial Group Co., Ltd. 2,734,497 134,149,237 0.9% #Shinhan Financial Group Co., Ltd. ADR 802,794 77,887,074 0.5% Other Securities 1,153,663,316 7.4% -------------- ----- TOTAL SOUTH KOREA 2,249,132,310 14.4% -------------- ----- TAIWAN -- (11.7%) #*AU Optronics Corp. Sponsored ADR 7,615,683 61,687,032 0.4% #*Chimei Innolux Corp. 57,224,389 58,904,264 0.4% Chinatrust Financial Holdings Co., Ltd. 63,452,646 58,296,613 0.4% First Financial Holding Co., Ltd. 62,688,366 58,162,950 0.3% Fubon Financial Holding Co., Ltd. 45,381,501 66,664,005 0.4% Mega Financial Holding Co., Ltd. 84,568,731 73,886,615 0.5% #United Microelectronics Corp. 146,596,681 76,516,058 0.5% Other Securities 1,505,232,998 9.6% -------------- ----- TOTAL TAIWAN 1,959,350,535 12.5% -------------- ----- THAILAND -- (2.1%) Other Securities 359,399,297 2.3% -------------- ----- TURKEY -- (1.9%) Other Securities 310,992,722 2.0% -------------- -----
246 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- UNITED STATES -- (0.0%)..................................................................... Other Securities.......................................................................... $ 6,279,425 --------------- TOTAL COMMON STOCKS......................................................................... 14,732,511,576 --------------- PREFERRED STOCKS -- (4.6%).................................................................. BRAZIL -- (4.6%)............................................................................ #Petroleo Brasileiro SA ADR............................................................... 10,516,809 350,945,916 Usinas Siderurgicas de Minas Gerais SA Series A........................................... 7,223,910 73,928,904 Other Securities.......................................................................... 350,831,763 --------------- TOTAL BRAZIL................................................................................ 775,706,583 --------------- INDIA -- (0.0%)............................................................................. Other Securities.......................................................................... 270,524 --------------- MALAYSIA -- (0.0%).......................................................................... Other Securities.......................................................................... 90,163 --------------- TOTAL PREFERRED STOCKS...................................................................... 776,067,270 --------------- RIGHTS/WARRANTS -- (0.0%)................................................................... BRAZIL -- (0.0%)............................................................................ Other Securities.......................................................................... 5,999 --------------- CHINA -- (0.0%)............................................................................. Other Securities.......................................................................... -- --------------- POLAND -- (0.0%)............................................................................ Other Securities.......................................................................... 762,367 --------------- TAIWAN -- (0.0%)............................................................................ Other Securities.......................................................................... 168,290 --------------- TOTAL RIGHTS/WARRANTS....................................................................... 936,656 --------------- Face Amount Value+ ------ ----- (000) TEMPORARY CASH INVESTMENTS -- (0.8%)........................................................ Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $133,035,000 FNMA 2.24%, 07/06/15, valued at $136,360,875) to be repurchased at $134,343,127............................................................................. $134,341 134,341,000 --------------- Shares/ Face Amount ------ (000) SECURITIES LENDING COLLATERAL -- (6.6%)..................................................... (S)@DFA Short Term Investment Fund........................................................ 1,097,100,048 1,097,100,048 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $114,150)## to be repurchased at $111,912................................................................................. $112 111,912 --------------- TOTAL SECURITIES LENDING COLLATERAL......................................................... 1,097,211,960 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $12,487,198,917)..................................................................... $16,741,068,462 ===============
Percentage of Net Assets** --------------- UNITED STATES -- (0.0%)..................................................................... Other Securities.......................................................................... 0.0% ------ TOTAL COMMON STOCKS......................................................................... 94.1% ------ PREFERRED STOCKS -- (4.6%).................................................................. BRAZIL -- (4.6%)............................................................................ #Petroleo Brasileiro SA ADR............................................................... 2.2% Usinas Siderurgicas de Minas Gerais SA Series A........................................... 0.5% Other Securities.......................................................................... 2.2% ------ TOTAL BRAZIL................................................................................ 4.9% ------ INDIA -- (0.0%)............................................................................. Other Securities.......................................................................... 0.0% ------ MALAYSIA -- (0.0%).......................................................................... Other Securities.......................................................................... 0.0% ------ TOTAL PREFERRED STOCKS...................................................................... 4.9% ------ RIGHTS/WARRANTS -- (0.0%)................................................................... BRAZIL -- (0.0%)............................................................................ Other Securities.......................................................................... 0.0% ------ CHINA -- (0.0%)............................................................................. Other Securities.......................................................................... 0.0% ------ POLAND -- (0.0%)............................................................................ Other Securities.......................................................................... 0.0% ------ TAIWAN -- (0.0%)............................................................................ Other Securities.......................................................................... 0.0% ------ TOTAL RIGHTS/WARRANTS....................................................................... 0.0% ------ TEMPORARY CASH INVESTMENTS -- (0.8%)........................................................ Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $133,035,000 FNMA 2.24%, 07/06/15, valued at $136,360,875) to be repurchased at $134,343,127............................................................................. 0.9% ------ SECURITIES LENDING COLLATERAL -- (6.6%)..................................................... (S)@DFA Short Term Investment Fund........................................................ 7.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $114,150)## to be repurchased at $111,912................................................................................. 0.0% ------ TOTAL SECURITIES LENDING COLLATERAL......................................................... 7.0% ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,487,198,917)..................................................................... 106.9% ======
247 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of inputs used to value the Fund's investments as of April 30, 2011 is as follows (See Security Valuation Note):
Valuation Inputs -------------------------------------------------------- Investment in Securities (Market Value) -------------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ---------------- ------- ---------------- Common Stocks................. Brazil...................... $1,292,199,169 -- -- $ 1,292,199,169 Chile....................... 336,828,257 -- -- 336,828,257 China....................... 241,703,359 $ 1,960,394,750 -- 2,202,098,109 Czech Republic.............. -- 42,947,874 -- 42,947,874 Hungary..................... -- 148,880,741 -- 148,880,741 India....................... 198,824,101 1,175,806,180 -- 1,374,630,281 Indonesia................... 4,335,587 512,990,465 -- 517,326,052 Israel...................... 30,499 1,904,903 -- 1,935,402 Malaysia.................... 8,882,748 496,343,835 -- 505,226,583 Mexico...................... 847,129,147 819,494 -- 847,948,641 Philippines................. -- 120,116,570 -- 120,116,570 Poland...................... -- 333,427,124 -- 333,427,124 Russia...................... -- 878,787,516 -- 878,787,516 South Africa................ 231,930,817 1,013,074,151 -- 1,245,004,968 South Korea................. 460,707,680 1,788,424,630 -- 2,249,132,310 Taiwan...................... 61,687,032 1,897,663,503 -- 1,959,350,535 Thailand.................... 359,399,297 -- -- 359,399,297 Turkey...................... 6,881,917 304,110,805 -- 310,992,722 United States............... 6,279,425 -- -- 6,279,425 Preferred Stocks.............. Brazil...................... 775,706,583 -- -- 775,706,583 India....................... -- 270,524 -- 270,524 Malaysia.................... 90,163 -- -- 90,163 Rights/Warrants............... Brazil...................... 5,999 -- -- 5,999 China....................... -- -- -- -- Poland...................... -- 762,367 -- 762,367 Taiwan...................... -- 168,290 -- 168,290 Temporary Cash Investments.... -- 134,341,000 -- 134,341,000 Securities Lending Collateral. -- 1,097,211,960 -- 1,097,211,960 -------------- ---------------- ---- ---------------- TOTAL......................... $4,832,621,780 $11,908,446,682 -- $16,741,068,462 ============== ================ ==== ================
See accompanying Notes to Financial Statements. 248 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2011 (Unaudited) (Amounts in thousands) ASSETS: Investments at Value (including $1,020,998 of securities on loan) $15,509,516 Temporary Cash Investments at Value & Cost 134,341 Collateral Received from Securities on Loan at Value & Cost 112 Affiliated Collateral Received from Securities on Loan at Value & Cost 1,097,100 Foreign Currencies at Value 18,572 Cash 17,834 Receivables: Investment Securities Sold 9,929 Dividends, Interest and Tax Reclaims 27,992 Fund Shares Sold 18,600 Securities Lending Income 800 Unrealized Gain on Foreign Currency Contracts 65 Prepaid Expenses and Other Assets 18 ----------- Total Assets 16,834,879 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned 1,097,212 Investment Securities Purchased 57,409 Fund Shares Redeemed 84 Due to Advisor 1,270 Deferred Thailand Capital Gains Tax 22,797 Accrued Expenses and Other Liabilities 569 ----------- Total Liabilities 1,179,341 ----------- NET ASSETS $15,655,538 =========== Investments at Cost $11,255,646 =========== Foreign Currencies at Cost $ 18,146 ===========
See accompanying Notes to Financial Statements. 249 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2011 (Unaudited) (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $8,179)............ $ 95,140 Interest....................................................... 54 Income from Securities Lending................................. 4,382 ---------- Total Investment Income...................................... 99,576 ---------- Expenses Investment Advisory Services Fees.............................. 6,755 Accounting & Transfer Agent Fees............................... 637 Custodian Fees................................................. 4,405 Shareholders' Reports.......................................... 26 Directors'/Trustees' Fees & Expenses........................... 72 Professional Fees.............................................. 167 Other.......................................................... 151 ---------- Total Expenses............................................... 12,213 ---------- Net Investment Income (Loss)................................... 87,363 ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:................................... Investment Securities Sold................................... 192,268 Foreign Currency Transactions................................ (1,508)** Change in Unrealized Appreciation (Depreciation) of:........... Investment Securities and Foreign Currency................... 1,023,743 Translation of Foreign Currency Denominated Amounts.......... 227 Change in Deferred Thailand Capital Gains Tax.................. (6,494) ---------- Net Realized and Unrealized Gain (Loss)........................ 1,208,236 ---------- Net Increase (Decrease) in Net Assets Resulting from Operations. $1,295,599 ==========
-------- ** Net of foreign capital gain taxes withheld of $683. See accompanying Notes to Financial Statements. 250 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2011 2010 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................................... $ 87,363 $ 171,366 Net Realized Gain (Loss) on:.......................................... Investment Securities Sold.......................................... 192,268 591,224 Foreign Currency Transactions....................................... (1,508)** (3,254)** Change in Unrealized Appreciation (Depreciation) of:.................. Investment Securities and Foreign Currency.......................... 1,023,743 1,841,702 Translation of Foreign Currency Denominated Amounts................. 227 (154) Change in Deferred Thailand Capital Gains Tax......................... (6,494) (10,266) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations... 1,295,599 2,590,618 ----------- ----------- Transactions in Interest: Contributions......................................................... 2,673,962 2,372,583 Withdrawals........................................................... (231,978) (1,010,371) ----------- ----------- Net Increase (Decrease) from Transactions in Interest............. 2,441,984 1,362,212 ----------- ----------- Total Increase (Decrease) in Net Assets........................... 3,737,583 3,952,830 Net Assets Beginning of Period................................................... 11,917,955 7,965,125 ----------- ----------- End of Period......................................................... $15,655,538 $11,917,955 =========== ===========
-------- ** Net of foreign capital gain taxes withheld of $683 and $1,806, respectively. See accompanying Notes to Financial Statements. 251 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Six Months Year Year Period Year Year Year Ended Ended Ended Dec. 1, 2007 Ended Ended Ended April 30, Oct. 31, Oct. 31, to Nov. 30, Nov. 30, Nov. 30, 2011 2010 2009 Oct. 31, 2008 2007 2006 2005 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return...................... 9.54%(C) 30.55% 79.39% (55.47)%(C) 51.59% 42.14% 31.60% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................... $15,655,538 $11,917,955 $7,965,125 $4,048,404 $8,188,710 $4,837,912 $2,417,064 Ratio of Expenses to Average Net Assets.......................... 0.18%(B) 0.19% 0.21% 0.19%(B) 0.19% 0.22% 0.29% Ratio of Net Investment Income to Average Net Assets.............. 1.30%(B) 1.81% 2.17% 3.19%(B) 2.50% 2.57% 3.23% Portfolio Turnover Rate........... 3%(C) 15% 20% 14%(C) 14% 9% 7% --------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. + See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 252 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) 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 IRC (S)368(a)(1)(F). Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and Emerging Markets Value Portfolio ("Portfolio") will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Fund from November 30 to October 31. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the 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 - 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) Securities held by the Fund (including over-the-counter securities) are valued at the last quoted sale price of the day. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Fund values the securities at the mean of the most recent quoted bid and asked prices. 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. 253 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. These securities are generally categorized as Level 2 in the hierarchy. 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 the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges. The Fund will also fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Fund's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the Fund's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Fund's investments by each major security type, industry and/or country is disclosed at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Fund did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2011. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: 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 254 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 April 30, 2011, 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 $247 (in thousands). Each Director 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 shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2011, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Expenses directly attributable to the Fund are directly charged. The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investment in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Fund's investments in Chile are subject to governmental taxes on investment income. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as the income is earned. The Fund's investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Fund accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. The Fund is also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned. C. Investment Advisor: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Fund. For the six months ended April 30, 2011, the Fund's advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets. 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 six months ended April 30, 2011, the total related amounts paid by the Fund to the CCO were $12 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. 255 D. Purchases and Sales of Securities: For the six months ended April 30, 2011, 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. $2,778,849 Sales..... 348,912
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 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. Some of the Fund's investments are in securities considered to be "passive foreign investment companies" for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At October 31, 2010, the Fund had cumulative unrealized appreciation (depreciation) (mark to market) of $1,547 (in thousands) to be included in distributable net investment income for federal tax purposes. For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies totaling $4 (in thousands) have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes. At April 30, 2011, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- $12,497,138 $4,816,156 $(572,225) $4,243,931
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Fund's tax position and has concluded that no provision for income tax is required in the Fund's financial statements. The Fund is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next six months. The Fund federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure with one RIC feeder and other direct client investors has made a "Check-the-Box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principals for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund has a shareholder owning 80% or more of the fund's shares, and also has shareholders owning less than 80%, the transaction creates a non-taxable transaction, pursuant to Internal Revenue Code (S)332, for those owning more than 80%, and a taxable transaction, pursuant to Internal Revenue Code (S)331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of the Master Fund was October 31, 2009. For federal income tax purposes, pursuant to Code (S)336(a), the master fund recognizes gain or loss relative to the investment of the less than 80% shareholders as if the master's investment securities were sold to those shareholders and, pursuant to Code (S)331, each of those shareholders recognizes gain or loss as if it liquidated its investment in 256 the master. Pursuant to Code (S)334(a), each of these shareholders will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date. In regards to the shareholder owning 80% or more of the master fund, pursuant to Code (S)332(a), the shareholder will not recognize any gain or loss on the deemed liquidation. However, pursuant to Code (S)332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it is utilized by the master fund to satisfy its dividends paid deduction for the tax year, must be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to Code (S)334(b)(1) and (S)1223, the 80% or greater shareholder's basis and holding period in the securities received in liquidation is the same as it was in the possession of the master. As a result of the transaction, Dimensional Emerging Markets Value Fund recognized a $104,402,506 and ($16,523) capital gain and currency loss respectively, for tax year ended October 31, 2009. F. Financial Instruments: In accordance with the Fund's investment objectives and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Fund may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system or with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on April 29, 2011. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited. Derivative Financial Instruments: Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a fund's results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Fund. 3. Futures Contracts: The Fund may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. The Fund 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. 257 Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments' (i) location in the balance sheet and fair value at period end and (ii) the location in the Statement of Operations and the realized and change in unrealized gain or loss over the reporting period. At April 30, 2011, the Fund had no outstanding futures contracts. G. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011; however, PNC Bank is expected to extend the term of the line of credit to June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is currently negotiating a new $250 million unsecured discretionary line of credit with The Bank of New York Mellon, an affiliate of its domestic custodian bank, to replace the existing line of credit. The Fund anticipates the new line of credit will have substantially the same terms and conditions as the existing line of credit. There were no borrowings by the Fund under this line of credit during the six months ended April 30, 2011. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2011 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 13, 2012. For the six months ended April 30, 2011, borrowings by the Fund under this line of credit were as follows (amounts in thousands, except percentage and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- 0.92%.... $41,689 26 $28 $124,315
*Number of Days Outstanding represents the total of single or consecutive days during the six months ended that each Series' available line of credit was utilized. There were no outstanding borrowings by the Fund under this line of credit as of April 30, 2011. H. Securities Lending: As of April 30, 2011, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. In addition, the Fund received non-cash collateral with a market value of $95,503 (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 required at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Fund's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained 258 by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. Subject to its stated investment policy, the Fund will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Fund also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. I. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. J. Recently Issued Accounting Standards: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles ("GAAP") and International Financial Reporting Standards ("IFRSs")". ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined. K. Other The Fund is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results 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. 259 L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 260 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 261 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 17, 2010 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. and the Boards of Trustees of The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFAAustralia Limited serve as a sub-advisor. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.") Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreements. The Independent Board Members met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper, Inc. (the "Lipper Reports"), and issues related to the continuation of the Advisory Agreements. Also in advance of the Meeting, management provided additional materials to address and respond to questions that the Independent Board Members posed after their review and analysis of materials provided by the Advisor and the Lipper Reports. At the Meeting, the Board considered a number of factors when considering the continuation of each Advisory Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; and (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged. When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process and discussed the unique features of the Advisor's investment approach. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of each Fund, the Board analyzed the Lipper Reports, which compared the performance of each Fund with other funds in its respective peer group and peer universe. The Board also reviewed the performance analysis prepared by the Advisor, which presented the performance of each Fund and its benchmark index, over multiple performance periods, along with the Advisor's explanation of the performance. The Board concluded that the Advisor's explanations provided a sound basis for understanding the comparative performance of the Funds. The Board noted that the Advisor's investment style and methodologies in managing the Funds are not designed to track traditional indexes. As a result, it is expected that certain Funds will underperform their Lipper-designated peer funds and that reporting results will diverge from market indexes, while other Funds may outperform their Lipper-designated peer funds and market indexes for the same periods. The Board determined, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards and appropriate market indexes. When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper Reports. The Board concluded that the advisory fees and total expenses of each Fund over various periods 262 were favorable in relation to those of its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Funds and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 263 LOGO DFA 043011-001S ITEM 2. CODE OF ETHICS. Not applicable when filing a semi-annual report to shareholders. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable when filing a semi-annual report to shareholders. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable when filing a semi-annual report to shareholders. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant. ITEM 6. INVESTMENTS. (a) The Registrant's schedule of investments is provided below. DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedule of Investments Investment Abbreviations ADR American Depository Receipt FNM A Federal National Mortgage Association GDR Global Depository Receipt NVDR Non-Voting Depository Receipt P.L.C. Public Limited Company
Investment Footnotes + See Security Valuation Note within the Notes to Schedule of Investments. ++ Securities have generally been fair valued. See Security Valuation Note within the Notes to Schedule of Investments. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. (r) The adjustable or variable rate shown is effective as of April 30, 2011. -- Amounts designated as -- are either zero or rounded to zero. (S) Affiliated Fund. ## Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value allocated to this Fund as a part of this facility.
1 DIMENSIONAL EMERGING MARKETS VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2011 (Unaudited)
Shares Value++ COMMON STOCKS -- (88.0%) BRAZIL -- (7.7%) Banco ABC Brasil SA 684,046 $ 5,848,219 Banco Alfa de Investimento SA 97,200 456,590 Banco Daycoval SA 558,550 4,331,496 Banco do Brasil SA 165,559 3,041,352 Banco Industrial e Comercial SA 1,218,000 8,787,376 Banco Panamericano SA 1,150,400 4,094,991 Banco Pine SA 296,900 2,511,911 Banco Santander Brasil SA 316,325 3,659,493 Banco Santander Brasil SA ADR 11,387,872 132,213,194 Banco Sofisa SA 694,800 1,965,332 Bematech SA 463,600 2,310,338 *BHG SA - Brazil Hospitality Group 810 11,708 BM&F Bovespa SA 27,844,267 209,026,693 *BR Malls Participacoes SA 4,810,163 50,816,749 *Brasil Ecodiesel Industria e Comercio de Biocombustiveis e Oleos Vegetais SA 8,190,212 4,164,868 BRF - Brasil Foods SA 739,298 14,990,851 #BRF - Brasil Foods SA ADR 2,898,191 60,021,536 Brookfield Incorporacoes SA 3,310,800 18,645,873 Camargo Correa Desenvolvimento Imobiliario SA 720,700 2,986,883 Cia Providencia Industria e Comercio SA 299,950 1,220,239 Cosan SA Industria e Comercio 1,937,900 29,637,601 CR2 Empreendimentos Imobiliarios SA 97,500 415,236 Cremer SA 273,270 2,589,916 Duratex SA 1,321,744 13,904,693 Embraer SA ADR 1,235,461 40,127,773 Eternit SA 650,523 4,428,618 Even Construtora e Incorporadora SA 1,716,851 9,548,974 EZ Tec Empreendimentos e Participacoes SA 878,300 8,977,284 *Fertilizantes Heringer SA 252,000 1,701,144 *Fibria Celulose SA 238,671 3,739,664 #*Fibria Celulose SA Sponsored ADR 2,508,931 40,519,236 Financeira Alfa SA Credito Financiamento e Investimentos 36,400 86,882 Gafisa SA 3,673,876 22,325,359 Gafisa SA ADR 1,039,254 12,845,179 *General Shopping Brasil SA 377,630 2,986,090 Gerdau SA 1,792,300 17,476,406 *Globex Utilidades SA 44,331 732,651 Grendene SA 1,199,745 7,077,062 Guararapes Confeccoes SA 16,750 915,650 Helbor Empreendimentos SA 46,900 619,490 *IdeiasNet SA 747,430 1,648,603 Iguatemi Empresa de Shopping Centers SA 348,160 9,022,682 Industrias Romi SA 626,500 4,018,170 *Inepar SA Industria e Construcoes 38,128 124,573 *Inpar SA 2,493,625 4,691,794 *JBS SA 8,069,415 27,287,877 JHSF Participacoes SA 1,590,600 4,297,006 *Kepler Weber SA 4,157,400 739,939 *Kroton Educacional SA 410,836 5,327,393 *Log-in Logistica Intermodal SA 778,700 4,019,224 M. Dias Branco SA 156,400 4,036,257 *Magnesita Refratarios SA 1,779,106 9,442,878 *Mahle-Metal Leve SA Industria e Comercio 4,000 105,492 Marfrig Alimentos SA 2,140,425 21,932,145 Metalfrio Solutions SA 100,200 745,194 Minerva SA 712,125 3,032,823 *MPX Energia SA 386,000 9,127,384 *Multiplan Empreendimentos Imobiliarios SA 248,269 5,188,841
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ BRAZIL -- (Continued) Obrascon Huarte Lain Brasil SA 195,800 $ 8,321,376 Parana Banco SA 116,200 886,346 *Paranapanema SA 2,203,178 7,310,316 Petroleo Brasileiro SA 382,000 6,985,850 #Petroleo Brasileiro SA ADR 8,044,663 300,307,270 *Plascar Participacoes Industriais SA 1,198,400 1,866,311 Porto Seguro SA 378,330 6,286,261 Positivo Informatica SA 336,326 1,537,112 Profarma Distribuidora de Produtos Farmaceuticos SA 131,625 1,309,389 Rodobens Negocios Imobiliarios SA 285,301 2,424,660 Rossi Residencial SA 1,583,200 14,722,995 Santos Brasil Participacoes SA 672 12,815 Sao Carlos Empreendimentos e Participacoes SA 78,600 1,084,172 Sao Martinho SA 607,186 9,340,136 SLC Agricola SA 159,825 2,009,496 Springs Global Participacoes SA 431,259 1,260,991 Sul America SA 1,396,085 18,156,559 Trisul SA 125,261 332,819 Triunfo Participacoes e Investimentos SA 125,300 720,802 Universo Online SA 455,300 5,093,618 Usinas Siderurgicas de Minas Gerais SA 2,197,000 35,681,000 -------------- TOTAL BRAZIL 1,292,199,169 -------------- CHILE -- (2.0%) Almendral SA 1,120,749 162,593 Banco de Credito e Inversiones SA Series A 128,324 8,695,487 Besalco SA 60,670 126,674 Cementos Bio-Bio SA 665,307 1,524,376 Cencosud SA 3,680,515 29,066,836 Cia Cervecerias Unidas SA 17,362 209,566 Cia General de Electricidad SA 936,911 5,695,328 *Cia Sud Americana de Vapores SA 12,141,710 9,675,924 Cintac SA 153,487 114,169 Corpbanca SA 1,062,719,525 16,878,419 Corpbanca SA ADR 646 14,955 Cristalerias de Chile SA 264,624 3,620,656 CTI Cia Tecno Industrial SA 488,163 32,866 Embotelladora Andina SA Series A ADR 26,324 621,246 Empresas CMPC SA 1,514,513 84,048,975 Empresas Copec SA 2,032,916 39,430,049 *Empresas Iansa SA 43,801,768 5,334,788 *Empresas La Polar SA 2,605,427 14,616,873 Enersis SA 31,903,095 13,644,644 #Enersis SA Sponsored ADR 3,029,239 64,704,545 Gasco SA 155,648 1,047,907 Grupo Security SA 610,661 269,887 *Industrias Forestales SA 3,436,382 1,261,263 Inversiones Aguas Metropolitanas SA 4,242,103 6,946,565 Madeco SA 49,034,820 2,868,928 *Masisa SA 36,930,742 6,054,733 Minera Valparaiso SA 7,500 283,418 Parque Arauco SA 1,761,407 4,054,545 *PAZ Corp. SA 1,504,162 1,713,657 *Ripley Corp. SA 4,247,424 5,700,745 Salfacorp SA 472,731 1,826,757 Sociedad Quimica y Minera de Chile SA Series A 32,020 2,015,914 Socovesa SA 4,268,720 3,236,329 Sonda SA 107,000 307,812 Soquimic Comercial SA 198,000 96,110 Vina Concha Y Toro SA 103,571 259,664 Vina Concha Y Toro SA Sponsored ADR 2,846 142,300
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ CHILE -- (Continued) Vina San Pedro Tarapaca SA 57,038,434 $ 522,754 ------------ TOTAL CHILE 336,828,257 ------------ CHINA -- (13.2%) *A8 Digital Music Holdings, Ltd. 498,000 156,205 #Agile Property Holdings, Ltd. 8,038,000 13,048,220 #*Aluminum Corp. of China, Ltd. 28,000 26,388 #*Aluminum Corp. of China, Ltd. ADR 287,695 6,775,217 AMVIG Holdings, Ltd. 4,477,100 3,250,176 #Angang Steel Co., Ltd. 12,295,640 15,838,667 Anhui Tianda Oil Pipe Co., Ltd. 2,816,412 1,086,110 Anton Oilfield Services Group 12,054,527 2,471,090 #Asia Cement China Holdings Corp. 4,795,500 3,920,247 Asian Citrus Holdings, Ltd. 343,000 391,600 *AVIC International Holding HK, Ltd. 12,930,285 683,601 #Bank of China, Ltd. 679,449,331 376,940,711 #Bank of Communications Co., Ltd. 71,838,704 76,084,287 Baoye Group Co., Ltd. 1,703,120 1,151,994 #Beijing Capital International Airport Co., Ltd. 23,011,599 11,362,604 *Beijing Capital Land, Ltd. 10,633,060 3,651,377 *Beijing Development HK, Ltd. 1,501,000 265,308 Beijing Enterprises Holdings, Ltd. 5,811,500 31,063,309 Beijing Jingkelong Co., Ltd. 235,000 302,985 #Beijing North Star Co., Ltd. Series H 6,426,000 1,575,304 #Bosideng International Holdings, Ltd. 6,958,000 2,217,958 *Brilliance China Automotive Holdings, Ltd. 16,718,000 16,393,203 BYD Electronic International Co., Ltd. 10,678,136 5,744,268 C C Land Holdings, Ltd. 1,907,162 736,010 *Catic Shenzhen Holdings, Ltd. 2,394,000 1,107,510 Central China Real Estate, Ltd. 5,513,000 1,528,135 Centron Telecom International Holdings, Ltd. 3,317,600 791,226 #Chaoda Modern Agriculture Holdings, Ltd. 37,445,412 23,475,084 #China Aerospace International Holdings, Ltd. 28,732,000 3,486,366 #China Agri-Industries Holdings, Ltd. 9,746,000 11,216,237 #China Aoyuan Property Group, Ltd. 12,643,000 2,154,944 #China BlueChemical, Ltd. 9,710,878 7,913,254 #*China Chengtong Development Group, Ltd. 4,150,000 267,489 China Citic Bank Corp., Ltd. 88,050,716 63,188,308 China Coal Energy Co., Ltd. 36,128,000 50,691,575 #China Communications Construction Co., Ltd. 47,629,327 44,114,363 China Communications Services Corp., Ltd. 21,118,227 12,937,208 China Construction Bank Corp. 77,940,940 73,904,552 #*China COSCO Holdings Co., Ltd. 2,551,000 2,457,285 #*China Dongxiang Group Co., Ltd. 9,317,127 3,273,124 #*China Energine International Holdings, Ltd. 6,384,390 502,367 #China Everbright, Ltd. 11,517,869 25,489,985 #*China Grand Forestry Green Resources Group, Ltd. 76,602,000 2,353,995 #China Green Holdings, Ltd. 8,283,800 7,044,747 #China Haidian Holdings, Ltd. 17,367,108 2,261,153 China Haisheng Juice Holdings Co., Ltd. 48,000 6,500 #China Huiyuan Juice Group, Ltd. 7,497,483 4,935,129 #China Merchants Holdings International Co., Ltd. 4,226,334 19,623,760 *China Mining Resources Group, Ltd. 36,540,000 701,669 #*China Minsheng Banking Corp., Ltd. Series H 40,182,500 38,593,965 #China Molybdenum Co., Ltd. 1,780,000 1,595,913 China National Materials Co., Ltd. 957,000 949,796 China Nickel Resources Holding Co., Ltd. 5,942,000 951,039 *China Oil & Gas Group, Ltd. 8,225,715 890,234 *China Oriental Group Co., Ltd. 26,000 10,119 China Petroleum & Chemical Corp. 87,408,289 88,104,958 #China Petroleum & Chemical Corp. ADR 855,368 86,195,433
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ CHINA -- (Continued) #China Pharmaceutical Group, Ltd. 13,390,000 $ 7,965,951 *China Properties Group, Ltd. 6,130,000 1,939,001 *China Qinfa Group, Ltd. 678,000 402,310 China Railway Construction Corp., Ltd. 21,168,014 18,767,063 #*China Rare Earth Holdings, Ltd. 16,069,000 6,936,820 China Resources Enterprise, Ltd. 6,298,000 25,270,092 China Resources Land, Ltd. 12,597,727 21,677,989 *China Resources Microelectronics, Ltd. 52,715,000 2,621,244 *China SCE Property Holdings, Ltd. 297,000 79,266 *China Shanshui Cement Group, Ltd. 1,842,000 2,060,986 #*China Shipping Container Lines Co., Ltd. 35,313,700 14,089,788 #China Shipping Development Co., Ltd. 12,347,488 13,054,984 *China South City Holdings, Ltd. 1,274,462 207,130 China Starch Holdings, Ltd. 4,640,000 335,353 China State Construction International Holdings, Ltd. 480,000 469,845 *China Sunshine Paper Holdings Co., Ltd. 297,000 90,081 *China Travel International Investment Hong Kong, Ltd. 38,315,631 7,863,654 #China Unicom Hong Kong, Ltd. 2,354,000 4,838,987 #China Unicom Hong Kong, Ltd. ADR 6,160,737 126,048,679 *China Zenith Chemical Group, Ltd. 20,910,077 420,398 #*China Zhongwang Holdings, Ltd. 15,570,554 8,096,498 #*Chongqing Iron & Steel Co., Ltd. 5,644,000 1,485,524 Chongqing Machinery & Electric Co., Ltd. 8,178,000 2,925,314 *Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 854,000 445,662 *CIMC Enric Holdings, Ltd. 1,144,000 443,732 CITIC Pacific, Ltd. 12,139,000 36,289,975 *CITIC Resources Holdings, Ltd. 28,380,000 7,035,882 *Clear Media, Ltd. 641,000 391,810 *Coastal Greenland, Ltd. 8,924,000 523,821 COSCO International Holdings, Ltd. 9,684,000 6,247,735 #COSCO Pacific, Ltd. 19,032,187 39,408,885 #Coslight Technology International Group, Ltd. 1,722,000 852,612 Country Garden Holdings Co. 33,314,146 13,487,128 *CPMC Holdings, Ltd. 577,000 353,545 Dachan Food Asia, Ltd. 2,426,000 572,203 #Dalian Port (PDA) Co., Ltd. 13,326,000 5,232,618 Dongyue Group Co., Ltd. 1,485,000 1,569,817 #Dynasty Fine Wines Group, Ltd. 8,788,600 3,045,276 Embry Holdings, Ltd. 604,000 402,929 *Fantasia Holdings Group Co., Ltd. 400,015 67,064 First Tractor Co., Ltd. 2,812,000 3,905,394 Fosun International, Ltd. 10,274,744 8,150,043 #Franshion Properties China, Ltd. 29,130,580 9,090,497 Fushan International Energy Group, Ltd. 31,982,594 22,408,416 #*Global Bio-Chem Technology Group Co., Ltd. 32,688,360 8,023,215 #*Global Sweeteners Holdings, Ltd. 4,562,350 1,128,559 *Glorious Property Holdings, Ltd. 7,870,000 2,255,525 Goldbond Group Holdings, Ltd. 2,960,000 167,878 #*Golden Meditech Holdings, Ltd. 7,843,679 1,386,249 Goldlion Holdings, Ltd. 1,008,000 435,733 Great Wall Motor Co., Ltd. 8,850,000 15,995,013 #Great Wall Technology Co., Ltd. 6,064,035 3,020,602 Greentown China Holdings, Ltd. 6,242,591 6,241,327 #*Guangshen Railway Co., Ltd. 412,000 163,096 #Guangshen Railway Co., Ltd. Sponsored ADR 424,432 8,433,464 #Guangzhou Automobile Group Co., Ltd. 27,145,572 30,537,140 #*Guangzhou Investment Co., Ltd. 63,384,170 13,340,845 Guangzhou Pharmaceutical Co., Ltd. 1,888,000 2,139,730 #Guangzhou R&F Properties Co., Ltd. 10,621,114 14,464,555 GZI Transportation, Ltd. 1,003 556 Hainan Meilan International Airport Co., Ltd. 1,959,000 2,266,412
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ CHINA -- (Continued) Harbin Power Equipment Co., Ltd. 10,763,474 $10,423,427 Heng Tai Consumables Group, Ltd. 42,255,998 5,290,385 #Hidili Industry International Development, Ltd. 11,275,000 11,390,846 #*HKC Holdings, Ltd. 25,687,878 1,310,375 #*Hong Kong Energy Holdings, Ltd. 235,959 20,144 #*Honghua Group, Ltd. 13,520,970 1,760,530 #*Hopson Development Holdings, Ltd. 8,600,000 8,576,544 #Hua Han Bio-Pharmaceutical Holdings, Ltd. 8,959,420 2,789,807 #*Hunan Non-Ferrous Metal Corp., Ltd. 8,438,000 3,647,641 *Huscoke Resources Holdings, Ltd. 3,770,000 189,501 Industrial & Commercial Bank of China, Ltd. Series H 22,286,243 18,903,485 *Inspur International, Ltd. 25,746,713 1,862,674 *Jingwei Textile Machinery Co., Ltd. 612,000 611,300 #Ju Teng International Holdings, Ltd. 10,194,249 3,378,749 *Kai Yuan Holdings, Ltd. 49,120,000 1,995,244 #*Kaisa Group Holdings, Ltd. 1,470,632 603,490 *Kasen International Holdings, Ltd. 1,906,000 361,127 Kingboard Chemical Holdings, Ltd. 6,452,871 35,452,642 Kingboard Laminates Holdings, Ltd. 2,026,500 1,796,475 *Kingway Brewery Holdings, Ltd. 2,910,000 815,268 KWG Property Holding, Ltd. 18,477,000 13,447,843 Lai Fung Holdings, Ltd. 20,127,280 881,469 *Lijun International Pharmaceutical Holding, Ltd. 690,000 171,658 #Lingbao Gold Co., Ltd. 1,846,000 1,520,212 *Loudong General Nice Resources China Holdings, Ltd. 10,662,000 1,539,689 #Maanshan Iron & Steel Co., Ltd. 25,288,000 13,304,747 *Media China Corp, Ltd. 49,712,500 153,805 *Metallurgical Corp of China, Ltd. Series H 4,432,000 1,899,701 MIN XIN Holdings, Ltd. 1,388,000 808,969 #Mingyuan Medicare Development Co., Ltd. 17,180,264 1,529,941 #*Minmetals Land, Ltd. 16,601,205 3,001,677 *Minmetals Resources, Ltd. 6,136,000 4,048,118 Minth Group, Ltd. 714,000 1,104,481 *Nan Hai Corp, Ltd. 31,450,000 190,566 NetDragon Websoft, Inc. 1,419,500 914,263 New World China Land, Ltd. 15,114,400 5,420,036 *New World Department Store China, Ltd. 186,000 162,517 #Nine Dragons Paper Holdings, Ltd. 8,156,000 9,351,523 #*Oriental Ginza Holdings, Ltd. 1,037,000 117,270 *Overseas Chinese Town Asia Holdings, Ltd. 2,000 1,137 *PetroAsian Energy Holdings, Ltd. 36,674,084 1,913,850 #PetroChina Co., Ltd. ADR 32,000 4,658,560 #*Poly Hong Kong Investment, Ltd. 21,154,488 16,915,949 *Pou Sheng International Holdings, Ltd. 5,272,529 815,470 *Powerlong Real Estate Holdings, Ltd. 228,000 71,170 #Prosperity International Holdings HK, Ltd. 16,700,000 1,001,446 Qin Jia Yuan Media Services Co., Ltd. 3,391,450 616,997 Qingling Motors Co., Ltd. Series H 12,370,000 4,394,041 *Qunxing Paper Holdings Co., Ltd. 5,020,071 1,402,679 #*Real Gold Mining, Ltd. 989,000 1,405,781 Regent Manner International, Ltd. 1,024,000 369,310 REXLot Holdings, Ltd. 56,006,150 5,700,656 Samson Holding, Ltd. 7,069,452 1,587,069 *Semiconductor Manufacturing International Corp. 114,773,000 10,292,284 *Semiconductor Manufacturing International Corp. ADR 1,316,704 5,740,829 Shandong Chenming Paper Holdings, Ltd. Series H 3,768,818 3,203,674 *Shandong Molong Petroleum Machinery Co., Ltd. 44,613 52,065 *Shandong Xinhua Pharmaceutical Co., Ltd. 1,010,000 384,853 Shanghai Forte Land Co., Ltd. 7,427,898 3,336,178 Shanghai Industrial Holdings, Ltd. 8,204,918 32,397,234 #*Shanghai Industrial Urban Development Group, Ltd. 10,772,000 3,851,177
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ CHINA -- (Continued) #Shanghai Jin Jiang International Hotels Group Co., Ltd. 13,300,000 $ 2,795,927 Shanghai Prime Machinery Co., Ltd. 7,772,000 1,703,991 Shanghai Zendai Property, Ltd. 18,545,000 669,170 *Shengli Oil & Gas Pipe Holdings, Ltd. 472,500 94,293 #Shenzhen International Holdings, Ltd. 70,270,000 6,438,601 Shenzhen Investment, Ltd. 26,089,494 8,177,539 #Shimao Property Holdings, Ltd. 16,589,035 22,601,932 Shougang Concord Century Holdings, Ltd. 7,658,299 771,692 *Shougang Concord International Enterprises Co., Ltd. 59,142,208 7,869,684 #Shui On Land, Ltd. 37,909,204 16,754,573 #Silver Grant International Industries, Ltd. 19,684,804 7,502,594 #SIM Technology Group, Ltd. 11,440,000 2,188,886 *Sino Prosper State Gold Resources Holdings, Ltd. 17,570,000 976,374 #*Sino Union Energy Investment Group, Ltd. 33,140,000 2,822,795 SinoCom Software Group, Ltd. 1,602,000 179,940 #*Sinofert Holdings, Ltd. 23,408,000 9,711,354 Sinolink Worldwide Holdings, Ltd. 16,572,508 1,751,323 SinoMedia Holding, Ltd. 2,467,139 955,959 #Sino-Ocean Land Holdings, Ltd. 36,554,877 20,790,426 Sinopec Kantons Holdings, Ltd. 8,856,300 4,689,159 #Sinotrans Shipping, Ltd. 13,570,916 4,237,955 Sinotrans, Ltd. 24,608,000 6,016,384 #Sinotruk Hong Kong, Ltd. 7,955,835 6,610,647 #Skyworth Digital Holdings, Ltd. 19,262,555 12,404,054 #Soho China, Ltd. 23,819,888 20,598,845 #*Solargiga Energy Holdings, Ltd. 2,673,486 886,127 #SPG Land Holdings, Ltd. 3,148,575 1,414,515 #SRE Group, Ltd. 30,094,000 2,719,570 Sunny Optical Technology Group Co., Ltd. 3,491,000 1,091,355 Tak Sing Alliance Holdings, Ltd. 4,114,391 508,959 TCC International Holdings, Ltd. 5,347,056 3,235,393 #TCL Multimedia Technology Holdings, Ltd. 7,196,200 2,920,043 #Tian An China Investments Co., Ltd. 7,019,000 4,691,897 Tiangong International Co., Ltd. 2,199,486 1,994,660 #Tianjin Port Development Holdings, Ltd. 1,301,657 302,238 *Tianneng Power International, Ltd. 7,656,280 4,044,461 #Tomson Group, Ltd. 2,947,206 1,120,014 #TPV Technology, Ltd. 3,040,496 1,749,432 Travelsky Technology, Ltd. 11,241,000 11,443,615 *Truly International Holdings, Ltd. 19,615,500 3,876,584 #*Uni-President China Holdings, Ltd. 1,091,000 627,234 #*Wasion Group Holdings, Ltd. 2,469,291 1,295,097 Weiqiao Textile Co., Ltd. 5,499,000 5,004,073 Wuyi International Pharmaceutical Co., Ltd. 5,257,500 487,542 Xiamen International Port Co., Ltd. 9,670,000 2,057,393 Xingda International Holdings, Ltd. 3,386,000 3,894,028 Xinhua Winshare Publishing & Media Co., Ltd. 4,178,000 2,296,208 #Xinjiang Xinxin Mining Industry Co., Ltd. 7,547,000 4,579,275 #Xiwang Sugar Holdings Co., Ltd. 9,230,736 2,729,370 Yip's Chemical Holdings, Ltd. 388,000 464,849 #*Zhejiang Glass Co., Ltd. 437,000 139,547 *Zhong An Real Estate, Ltd. 4,370,800 923,824 -------------- TOTAL CHINA 2,202,098,109 -------------- CZECH REPUBLIC -- (0.3%) CEZ A.S. 738 42,336 Pegas Nonwovens SA 131,160 3,623,365 Telefonica 02 Czech Republic A.S. 876,264 22,493,377 *Unipetrol A.S. 1,411,781 16,788,796 -------------- TOTAL CZECH REPUBLIC 42,947,874 --------------
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ HUNGARY -- (0.9%) *Danubius Hotel & Spa NYRT 136,180 $ 2,964,038 Egis Gyogyszergyar NYRT 55,527 6,092,530 *Fotex Holding SE Co., Ltd. 913,849 2,031,499 #*MOL Hungarian Oil & Gas P.L.C. 278,733 38,956,027 #*OTP Bank P.L.C. 2,633,742 93,504,071 *PannErgy P.L.C. 191,208 941,862 *Tisza Chemical Group P.L.C. 237,913 4,390,714 ------------ TOTAL HUNGARY 148,880,741 ------------ INDIA -- (8.2%) 3i Infotech, Ltd. 713,804 799,705 Aban Offshore, Ltd. 169,859 2,436,834 ABG Shipyard, Ltd. 244,227 2,074,592 ACC, Ltd. 8,174 205,085 *Adhunik Metaliks, Ltd. 96,701 197,418 Aditya Birla Nuvo, Ltd. 354,483 6,967,174 Ajmera Realty & Infra India, Ltd. 70,083 272,738 Akzo Nobel India, Ltd. 50,729 956,561 *Alembic Pharmaceuticals, Ltd. 619,600 428,108 Alembic, Ltd. 619,600 318,411 *Allahabad Bank, Ltd. 1,091,889 5,068,355 Alok Industries, Ltd. 3,717,329 2,243,625 Amara Raja Batteries, Ltd. 19,579 85,100 Ambuja Cements, Ltd. 5,354,209 18,846,225 Amtek Auto, Ltd. 789,486 2,871,228 Anant Raj Industries, Ltd. 770,220 1,538,315 Andhra Bank, Ltd. 1,230,716 3,873,657 Ansal Properties & Infrastructure, Ltd. 745,994 758,401 Apollo Hospitals Enterprise, Ltd. 367,830 3,930,904 Apollo Tyres, Ltd. 1,676,970 2,635,521 *Arvind Mills, Ltd. 1,526,154 2,542,920 *Ashapura Minechem, Ltd. 1,026 732 Ashok Leyland, Ltd. 6,240,668 7,503,946 Asian Hotels East, Ltd. 1,050 7,237 Asian Hotels, Ltd. 1,050 5,320 Aurobindo Pharma, Ltd. 59,010 260,012 Axis Bank, Ltd. 870,741 25,346,536 Bajaj Finance, Ltd. 93,720 1,486,450 Bajaj Hindusthan, Ltd. 838,582 1,425,766 Bajaj Holdings & Investment, Ltd. 309,799 5,501,179 Balkrishna Industries, Ltd. 22,245 73,191 Ballarpur Industries, Ltd. 3,342,396 2,608,655 Balmer Lawrie & Co., Ltd. 52,331 703,041 *Balrampur Chini Mills, Ltd. 1,820,136 3,064,673 Bank of Baroda 797,959 16,493,027 *Bank of India 1,492,091 15,451,061 Bank of Maharashtra, Ltd. 1,229,116 1,677,881 *BASF India, Ltd. 1,928 27,067 BEML, Ltd. 133,202 2,093,413 Bengal & Assam Co., Ltd. 9,237 49,070 Bharati Shipyard, Ltd. 121,293 447,411 *Bhushan Steel, Ltd. 945,780 10,672,657 *Binani Industries, Ltd. 10,144 45,108 Birla Corp., Ltd. 117,478 933,262 Bl Kashyap & Sons, Ltd. 248,676 133,036 Bombay Rayon Fashions, Ltd. 393,115 2,581,703 Brigade Enterprises, Ltd. 22,619 47,542 *Cairn India, Ltd. 3,309,459 26,162,869 *Canara Bank 1,266,616 18,099,362 *Central Bank of India 1,637,763 4,994,849 Century Enka, Ltd. 1,913 9,299
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDIA -- (Continued) Century Textiles & Industries, Ltd. 235,288 $ 1,917,585 Chambal Fertilizers & Chemicals, Ltd. 1,344,619 2,602,769 City Union Bank, Ltd. 1,222,291 1,210,677 Coromandel International, Ltd. 72,717 543,115 *Corp. Bank 120,084 1,588,787 *Cranes Software International, Ltd. 127,339 14,144 *Dalmia Bharat Enterprises, Ltd. 159,852 639,914 Dalmia Cement (Bharat), Ltd. 130,837 75,392 DCM Shriram Consolidated, Ltd. 271,706 272,300 Deepak Fertilizers & Petrochemicals Corp., Ltd. 424,886 1,634,360 Dena Bank 99,442 234,761 *Development Credit Bank, Ltd. 1,868,686 2,509,561 Dhanalakshmi Bank, Ltd. 89,845 255,193 Dishman Pharmaceuticals & Chemicals, Ltd. 111,912 244,811 DLF, Ltd. 3,333,149 16,823,095 Dredging Corp. of India, Ltd. 73,436 592,616 E.I.D.--Parry (India), Ltd. 714,424 3,804,804 Edelweiss Capital, Ltd. 816,890 684,114 *Educomp Solutions, Ltd. 61,472 664,378 Eicher Motors, Ltd. 46,001 1,295,186 EIH, Ltd. 872,785 1,697,819 Elder Pharmaceuticals, Ltd. 97,715 827,509 Electrosteel Casings, Ltd. 714,533 510,406 Elgi Equipments, Ltd. 35,934 70,658 *Era Infra Engineering, Ltd. 35,176 150,134 Escorts, Ltd. 1,272,669 3,951,120 *Ess Dee Aluminium, Ltd. 2,372 24,905 *Essar Shipping Ports & Logistics, Ltd. 866,929 1,944,920 Essel Propack, Ltd. 633,193 690,167 Everest Kanto Cylinder, Ltd. 453,796 862,568 FAG Bearings (India), Ltd. 500 13,008 FDC, Ltd. 147,256 349,750 Federal Bank, Ltd. 1,487,799 14,189,230 *Federal-Mogul Goetze (India), Ltd. 9,195 50,424 Financial Technologies (India), Ltd. 101,177 1,977,045 Finolex Cables, Ltd. 583,005 695,461 Finolex Industries, Ltd. 695,629 1,621,419 *Firstsource Solutions, Ltd. 462,206 202,385 *Fortis Healthcare India, Ltd. 305,567 1,073,041 *Future Capital Holdings, Ltd. 6,044 20,475 GAIL India, Ltd. 700,109 7,539,619 Gammon India, Ltd. 411,248 1,069,236 *Ganesh Housing Corp., Ltd. 1,552 4,958 Gateway Distriparks, Ltd. 239,619 661,002 Geodesic, Ltd. 441,579 826,330 *Geojit BNP Paribas Financial Services, Ltd. 77,686 43,678 *GIC Housing Finance, Ltd. 62,647 165,555 Gitanjali Gems, Ltd. 513,757 3,102,859 Godawari Power & Ispat, Ltd. 51,305 224,369 Godfrey Phillips India, Ltd. 784 36,378 Graphite India, Ltd. 424,678 908,702 Grasim Industries, Ltd. 15,142 839,778 Great Eastern Shipping Co., Ltd. 942,893 6,079,737 Great Offshore, Ltd. 154,922 965,206 *GTL Infrastructure, Ltd. 691,128 564,331 GTL, Ltd. 350,140 3,303,125 Gujarat Alkalies & Chemicals, Ltd. 421,803 1,326,332 Gujarat Fluorochemicals, Ltd. 222,534 1,863,486 Gujarat Narmada Valley Fertilizers Co., Ltd. 647,256 1,580,939 *Gujarat NRE Coke, Ltd. 334,357 381,602 Gujarat State Fertilizers & Chemicals, Ltd. 445,889 3,753,613
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDIA -- (Continued) Gulf Oil Corp., Ltd. 194,724 $ 375,662 H.E.G., Ltd. 136,218 688,582 HBL Power Systems, Ltd. 474,970 210,919 HCL Infosystems, Ltd. 598,810 1,500,594 HCL Technologies, Ltd. 32,705 385,555 *HeidelbergCement India, Ltd. 596,458 676,478 Hexaware Technologies, Ltd. 2,847,378 4,455,190 Hikal, Ltd. 4,933 34,609 *Hindalco Industries, Ltd. 13,050,819 63,739,905 Hinduja Global Solutions, Ltd. 65,909 565,641 Hinduja Ventures, Ltd. 68,545 425,726 Hindustan Construction Co., Ltd. 1,715,107 1,373,313 Hotel Leelaventure, Ltd. 1,357,335 1,275,424 *Housing Development & Infrastructure, Ltd. 1,824,827 6,661,582 *HSIL, Ltd. 28,971 102,135 *ICICI Bank, Ltd. 111,742 2,823,375 #ICICI Bank, Ltd. Sponsored ADR 3,332,795 167,972,868 ICSA (India), Ltd. 347,186 910,452 IDBI Bank, Ltd. 2,354,413 7,653,714 *Idea Cellular, Ltd. 7,185,282 11,171,946 IFCI, Ltd. 5,616,930 6,608,828 India Cements, Ltd. 2,016,703 4,537,515 India Infoline, Ltd. 1,801,081 2,944,980 Indiabulls Financial Services, Ltd. 1,877,333 7,559,693 *Indiabulls Real Estate, Ltd. 4,078,238 11,542,862 Indiabulls Securities, Ltd. 6,234 2,299 *Indiabulls Wholesale Services, Ltd. 509,780 119,907 *Indian Bank 856,433 4,677,654 Indian Hotels Co., Ltd. 3,531,468 6,606,903 *Indian Overseas Bank 1,372,975 4,742,564 Indo Rama Synthetics (India), Ltd. 202,314 304,793 *IndusInd Bank, Ltd. 1,092,668 6,437,756 INEOS ABS India, Ltd. 28,114 329,965 Infotech Enterprises, Ltd. 21,152 77,195 Infrastructure Development Finance Co., Ltd. 5,751,429 18,937,479 ING Vysya Bank, Ltd. 289,910 2,270,951 Ingersoll-Rand India, Ltd. 24,852 282,080 Ipca Laboratories, Ltd. 212,353 1,460,961 ISMT, Ltd. 365,322 432,790 *Ispat Industries, Ltd. 4,828,018 2,475,295 *IVRCL Assets & Holdings, Ltd. 89,922 126,752 IVRCL Infrastructures & Projects, Ltd. 2,864,100 5,140,450 J.B. Chemicals & Pharmaceuticals, Ltd. 377,474 1,363,074 *Jai Balaji Industries, Ltd. 22,991 102,124 Jaiprakash Associates, Ltd. 4,755,708 9,995,400 Jammu & Kashmir Bank, Ltd. 249,037 4,560,517 JBF Industries, Ltd. 96,294 392,965 *Jet Airways (India), Ltd. 244,572 2,648,999 Jindal Poly Films, Ltd. 127,847 1,229,504 Jindal Saw, Ltd. 1,180,076 5,356,558 *Jindal South West Holdings, Ltd. 7,229 186,443 JK Cement, Ltd. 87,998 253,386 JK Lakshmi Cement, Ltd. 290,053 336,133 JK Tyre & Industries, Ltd. 158,673 342,060 JM Financial, Ltd. 1,129,785 732,013 *JSL Stainless, Ltd. 729,470 1,486,087 *JSW Energy, Ltd. 636,402 1,075,331 JSW Steel, Ltd. 1,091,845 23,457,336 *Jubilant Industries, Ltd. 12,130 65,376 Jubilant Organosys, Ltd. 277,655 1,128,873 *Jyoti Structures, Ltd. 63,049 121,923
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDIA -- (Continued) K.S.B. Pumps, Ltd. 7,582 $ 46,326 Kalpataru Power Transmission, Ltd. 28,622 82,858 *Kalyani Investment Co., Ltd. 8,518 165,958 Kalyani Steels, Ltd. 85,188 163,069 Karnataka Bank, Ltd. 1,430,391 3,670,394 Karur Vysya Bank, Ltd. 294,278 2,721,730 Karuturi Global, Ltd. 851,209 255,509 *KEC International, Ltd. 1,203 2,328 Kesoram Industries, Ltd. 220,086 974,428 *Kiri Industries, Ltd. 37,201 201,086 *Kirloskar Industries, Ltd. 8,838 67,962 *Kirloskar Oil Engines, Ltd. 328,770 1,111,639 Koutons Retail India, Ltd. 2,849 2,284 *KRBL, Ltd. 77,904 54,924 KS Oils, Ltd. 1,831,255 1,376,896 *KSK Energy Ventures, Ltd. 14,496 37,288 Lakshmi Machine Works, Ltd. 4,697 259,891 Lakshmi Vilas Bank, Ltd. 331,345 817,752 *Landmark Property Development Co., Ltd. 201,134 15,203 *LIC Housing Finance, Ltd. 1,589,690 7,898,665 Madhucon Projects, Ltd. 183,396 448,021 Madras Cements, Ltd. 454,723 1,022,849 *Mahanagar Telephone Nigam, Ltd. 629,226 686,351 #*Mahanagar Telephone Nigam, Ltd. ADR 100,249 228,568 Maharashtra Scooters, Ltd. 4,450 37,241 Maharashtra Seamless, Ltd. 160,799 1,296,710 Mahindra & Mahindra Financial Services, Ltd. 34,564 570,002 Mahindra & Mahindra, Ltd. 491,885 8,396,469 Mahindra Lifespace Developers, Ltd. 135,781 1,161,331 Manaksia, Ltd. 147,412 274,934 Maruti Suzuki India, Ltd. 262,121 7,837,728 Mastek, Ltd. 83,250 220,866 *MAX India, Ltd. 62,495 236,895 McLeod Russel India, Ltd. 637,181 3,806,208 Mercator Lines, Ltd. 2,223,130 2,060,176 Merck, Ltd. 29,241 417,370 Monnet Ispat, Ltd. 137,672 1,631,019 Moser Baer (India), Ltd. 1,473,835 1,479,049 MRF, Ltd. 17,453 2,810,657 Mukand, Ltd. 258,286 279,208 Nagarjuna Construction Co., Ltd. 1,637,165 3,800,706 Nagarjuna Fertilizers & Chemicals, Ltd. 1,893,177 1,360,944 Nahar Capital & Financial Services, Ltd. 18,955 30,716 Nahar Spinning Mills, Ltd. 6,026 14,567 National Aluminium Co., Ltd. 619,284 1,300,445 Nava Bharat Ventures, Ltd. 19,805 110,003 NIIT Technologies, Ltd. 345,417 1,470,235 NIIT, Ltd. 1,099,174 1,397,278 NOCIL, Ltd. 602,199 254,403 Noida Toll Bridge Co., Ltd. 880,231 546,852 OCL India, Ltd. 84,049 201,986 *OMAXE, Ltd. 391,067 1,160,811 *OnMobile Global, Ltd. 85,687 540,872 *Orbit Corp., Ltd. 745,164 811,394 Orchid Chemicals & Pharmaceuticals, Ltd. 445,419 3,054,414 Orient Paper & Industries, Ltd. 333,560 445,172 *Oriental Bank of Commerce 503,129 3,940,527 Panacea Biotec, Ltd. 73,892 316,694 *Parsvnath Developers, Ltd. 1,159,300 1,144,706 *Patel Engineering, Ltd. 157,434 576,266 Patni Computer Systems, Ltd. 750,275 7,282,486
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDIA -- (Continued) Patni Computer Systems, Ltd. ADR 55,441 $ 1,061,695 Peninsula Land, Ltd. 224,699 293,444 Petronet LNG, Ltd. 2,943,666 8,801,344 Piramal Healthcare, Ltd. 287,689 2,985,957 Plethico Pharmaceuticals, Ltd. 35,765 279,557 Polaris Software Lab, Ltd. 396,842 1,767,433 Polyplex Corp., Ltd. 97,888 487,416 Power Finance Corp., Ltd. 129,000 674,501 *Prakash Industries, Ltd. 152,071 293,704 Prism Cement, Ltd. 487,572 619,051 Provogue India, Ltd. 119,777 116,113 PSL, Ltd. 113,833 211,716 PTC India, Ltd. 2,003,406 4,048,713 Punj Lloyd, Ltd. 1,337,730 2,021,034 Rain Commodities, Ltd. 216,887 873,707 Rajesh Exports, Ltd. 489,295 952,178 *Ranbaxy Laboratories, Ltd. 364,451 3,765,011 *Raymond, Ltd. 340,181 2,714,398 REI Agro, Ltd. 3,175,410 1,903,708 Rei Six Ten Retail, Ltd. 439,400 453,722 *Reliance Broadcast Network, Ltd. 20,606 36,653 Reliance Capital, Ltd. 988,201 12,605,609 Reliance Communications, Ltd. 5,398,403 12,204,225 Reliance Industries, Ltd. 10,494,511 232,944,520 *Reliance MediaWorks, Ltd. 109,133 387,050 *Reliance Power, Ltd. 5,484,714 16,165,785 *Resurgere Mines & Minerals India, Ltd. 4,231,830 63,009 Rolta India, Ltd. 1,402,924 4,401,639 Ruchi Soya Industries, Ltd. 1,329,466 3,101,075 *Rural Electrification Corp., Ltd. 897,917 4,854,945 *S.Kumars Nationwide, Ltd. 1,242,979 1,915,107 Sanghvi Movers, Ltd. 6,290 17,339 SEAMEC, Ltd. 44,396 112,170 Sesa Goa, Ltd. 159,932 1,137,088 Shipping Corp. of India, Ltd. 415,641 1,043,190 Shiv-Vani Oil & Gas Exploration Services, Ltd. 115,578 785,796 *Shree Renuka Sugars, Ltd. 171,097 272,619 Simplex Infrastructures, Ltd. 1,570 11,774 *Sintex Industries, Ltd. 294,753 1,156,846 SKF India, Ltd. 12,150 175,070 Sobha Developers, Ltd. 281,001 1,821,191 Sona Koyo Steering Systems, Ltd. 64,698 27,208 South Indian Bank, Ltd. 7,972,547 4,102,428 SPML Infra, Ltd. 372 1,390 SREI Infrastructure Finance, Ltd. 1,473,919 1,719,524 SRF, Ltd. 266,306 2,018,900 *State Bank of Bikaner & Jaipur 956 11,906 *State Bank of India 612,959 38,965,359 *State Bank of India Sponsored GDR 5,732 786,560 Steel Authority of India, Ltd. 3,684,219 13,365,856 Sterling Biotech, Ltd. 643,372 1,345,534 #Sterlite Industries (India), Ltd. ADR 1,641,061 26,831,347 Sterlite Industries (India), Ltd. Series A 5,746,256 23,594,796 Sterlite Technologies, Ltd. 447,261 621,923 Strides Arcolab, Ltd. 64,603 564,745 Sundaram Finance, Ltd. 4,276 50,821 Sundram Fastners, Ltd. 55,097 74,786 *Suzlon Energy, Ltd. 4,259,821 5,122,800 Syndicate Bank 1,449,584 3,836,544 Tamilnadu Newsprint & Papers, Ltd. 55,083 174,657 Tanla Solutions, Ltd. 363,600 136,733
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDIA -- (Continued) Tata Chemicals, Ltd. 926,731 $ 7,887,175 #*Tata Communications, Ltd. ADR 22,320 242,172 Tata Investment Corp., Ltd. 59,975 718,765 Tata Steel, Ltd. 3,038,656 42,342,568 Tata Tea, Ltd. 3,716,542 8,482,278 *TCI Developers, Ltd. 3,427 18,736 *Teledata Marine Solutions, Ltd. 267,258 207,024 Time Technoplast, Ltd. 498,379 612,901 Titagarh Wagons, Ltd. 80,674 687,993 Transport Corp of India, Ltd. 68,548 148,556 Trent, Ltd. 14,497 327,744 *Trent, Ltd. Series A 3,220 67,728 *Trent, Ltd. Series B 3,220 64,163 Triveni Engineering & Industries, Ltd. 240,000 565,954 Tube Investments of India 642,055 2,051,676 UCO Bank 1,406,710 3,327,678 Uflex, Ltd. 394,208 1,811,602 Unichem Laboratories, Ltd. 199,000 869,230 Union Bank of India 797,003 5,773,918 Unitech, Ltd. 8,299,857 6,959,472 United Phosphorus, Ltd. 713,355 2,452,946 Unity Infraprojects, Ltd. 214,696 325,727 Usha Martin, Ltd. 1,181,750 1,741,591 *UTV Software Communications, Ltd. 11,056 162,002 *Vardhman Special Steets, Ltd. 19,609 9,313 Vardhman Textiles, Ltd. 98,045 626,233 Varun Shipping Co., Ltd. 333,864 220,628 *Videocon Industries, Ltd. 782,287 3,500,481 *Videsh Sanchar Nigam, Ltd. 791,222 4,253,757 Vijaya Bank 1,100,097 2,070,533 *Voltamp Transformers, Ltd. 10,555 133,623 Walchandnagar Industries, Ltd. 109,118 338,512 Welspun Corp., Ltd. 326,537 1,419,577 *Wockhardt, Ltd. 119,402 923,513 Zee Entertainment Enterprises, Ltd. 2,376,542 7,232,144 *Zee Learn, Ltd. 297,068 152,851 Zuari Industries, Ltd. 127,958 1,989,322 Zylog Systems, Ltd. 26,158 245,440 -------------- TOTAL INDIA................................... 1,374,630,281 -------------- INDONESIA -- (3.1%)........................... *PT Adhi Karya Tbk 2,130,617 204,463 *PT Agis Tbk 2,012,000 27,282 PT AKR Corporindo Tbk 20,492,400 4,096,627 PT Aneka Tambang Tbk 61,732,500 16,462,355 PT Asahimas Flat Glass Tbk 5,277,000 4,041,670 PT Astra Graphia Tbk 148,500 14,417 PT Astra International Tbk 586,696 3,855,970 *PT Bakrie & Brothers Tbk 919,158,250 7,209,813 PT Bakrie Sumatera Plantations Tbk 110,590,500 5,060,281 *PT Bakrie Telecom Tbk 279,478,500 12,591,822 PT Bakrieland Development Tbk 378,287,020 6,382,434 PT Bank Bukopin Tbk 33,061,333 2,780,808 PT Bank Danamon Indonesia Tbk 17,787,329 12,913,398 PT Bank Mandiri Tbk 17,897,431 14,968,959 *PT Bank Negara Indonesia Persero Tbk 73,167,255 34,662,858 *PT Bank Pan Indonesia Tbk 150,362,201 20,053,483 *PT Bank Permata Tbk 297,000 60,796 *PT Bank Tabungan Negara Tbk 5,487,362 1,097,921 *PT Barito Pacific Tbk 11,154,000 1,382,391 *PT Berlian Laju Tanker Tbk 128,161,466 5,847,779
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDONESIA -- (Continued) *PT Bhakti Investama Tbk 242,272,700 $ 4,761,901 PT Budi Acid Jaya Tbk 14,289,000 392,001 PT Bumi Resources Tbk 280,320,500 112,640,639 *PT Central Proteinaprima Tbk 178,071,500 1,102,031 PT Charoen Pokphand Indonesia Tbk 77,638,830 17,523,399 *PT Ciputra Development Tbk 83,963,500 3,835,043 *PT Ciputra Surya Tbk 16,227,000 1,160,672 PT Clipan Finance Indonesia Tbk 4,065,000 361,392 *PT Darma Henwa Tbk 139,757,942 1,410,721 *PT Davomas Adabi Tbk 139,739,500 1,340,204 PT Dynaplast Tbk 3,040,000 1,242,410 PT Elnusa Tbk 32,023,000 1,108,204 *PT Energi Mega Persada Tbk 341,259,782 6,283,133 PT Ever Shine Textile Tbk 19,342,215 248,440 PT Gajah Tunggal Tbk 12,901,500 3,516,632 PT Global Mediacom Tbk 95,929,500 8,419,344 PT Gozco Plantations Tbk 21,877,500 1,024,045 *PT Great River International Tbk 1,788,000 -- PT Gudang Garam Tbk 6,628,500 31,487,178 *PT Hero Supermarket Tbk 220,000 136,151 *PT Indah Kiat Pulp & Paper Corp. Tbk 28,810,000 5,426,341 PT Indika Energy Tbk 16,849,000 7,992,766 PT Indofood Sukses Makmur Tbk 31,852,000 20,672,280 *PT Indo-Rama Synthetics Tbk 4,500 2,029 PT International Nickel Indonesia Tbk 39,701,500 23,156,533 *PT Intiland Development Tbk 2,521,000 107,529 PT Japfa Comfeed Indonesia Tbk 4,353,250 1,859,360 PT Jaya Real Property Tbk 25,528,000 3,666,446 *PT Kawasan Industri Jababeka Tbk 183,569,000 2,793,383 PT Lautan Luas Tbk 2,102,000 196,680 PT Lippo Karawaci Tbk 237,688,437 21,659,888 PT Matahari Putra Prima Tbk 35,387,900 5,745,754 PT Mayorah Indah Tbk 8,757,572 11,269,062 PT Medco Energi Internasional Tbk 26,056,500 8,397,386 PT Media Nusantara Citra Tbk 25,176,594 2,595,748 *PT Mitra Adiperkasa Tbk 3,144,000 1,204,382 *PT Mitra International Resources Tbk 38,631,660 836,489 *PT Pabrik Kertas Tjiwi Kimia Tbk 157,500 50,180 *PT Panasia Indosyntec Tbk 403,200 10,311 *PT Panin Financial Tbk 183,439,000 4,142,999 *PT Panin Insurance Tbk 30,688,500 2,010,688 PT Perusahaan Perkebunan London Sumatra Indonesia Tbk 24,575,884 7,049,253 PT Ramayana Lestari Sentosa Tbk 14,084,000 1,203,547 PT Sampoerna Agro Tbk 6,880,441 2,718,170 *PT Samudera Indonesia Tbk 415,500 190,123 PT Selamat Sempurna Tbk 15,274,000 2,089,704 *PT Sentul City Tbk 123,241,000 1,528,165 PT Sinar Mas Agro Resources & Technology Tbk 8,067,900 5,099,196 PT Sorini Agro Asia Corporindo Tbk 7,837,000 3,172,334 PT Summarecon Agung Tbk 41,668,857 6,141,221 *PT Sunson Textile Manufacturer Tbk 6,012,000 172,058 *PT Surya Dumai Industri Tbk 5,145,000 -- PT Surya Toto Indonesia Tbk 46,400 195,049 *PT Suryainti Permata Tbk 17,378,000 180,598 *PT Tiga Pilar Sejahtera Food Tbk 2,590,722 226,877 PT Tigaraksa Satria Tbk 165,200 14,468 PT Timah Tbk 11,409,400 3,850,096 PT Trimegah Sec Tbk 34,298,000 424,566 *PT Truba Alam Manunggal Engineering Tbk 129,244,500 939,889 PT Tunas Baru Lampung Tbk 927,500 52,182 PT Tunas Ridean Tbk 42,848,500 2,854,516
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ INDONESIA -- (Continued) *PT Ultrajaya Milk Industry & Trading Co. Tbk 13,717,500 $ 2,208,207 PT Unggul Indah Cahaya Tbk 371,435 75,033 PT Wijaya Karya Tbk 18,291,002 1,435,499 ------------ TOTAL INDONESIA 517,326,052 ------------ ISRAEL -- (0.0%) *Bank of Jerusalem, Ltd. 18,282 31,497 Delta-Galil Industries, Ltd. -- 4 *Elron Electronic Industries, Ltd. 1 4 *Feuchtwanger Investments, Ltd. 10,500 37 *Israel Steel Mills, Ltd. 97,000 1,119 *Kardan Israel, Ltd. -- 1 *Knafaim Arkia Holdings, Ltd. 69,163 471,625 *Koor Industries, Ltd. 1 21 Liberty Properties, Ltd. 2,533 30,499 *Makhteshim-Agan Industries, Ltd. 1 3 Mivtach Shamir Holdings, Ltd. 41,934 1,400,591 *Naphtha Israel Petroleum Corp., Ltd. -- 1 ------------ TOTAL ISRAEL 1,935,402 ------------ MALAYSIA -- (3.0%) *A&M Realty Berhad 603,400 100,714 *Adventa Berhad 96,000 73,046 *Aeon Co. Berhad 37,500 75,302 Affin Holdings Berhad 9,611,900 11,368,620 *Airasia Berhad 11,014,200 10,695,384 *Alam Maritim Resources Berhad 2,075,700 791,688 Alliance Financial Group Berhad 12,024,200 12,634,709 *Amcorp Properties Berhad 927,567 186,036 AMMB Holdings Berhad 21,831,262 47,078,211 Ann Joo Resources Berhad 2,857,200 2,798,362 APM Automotive Holdings Berhad 1,193,500 1,990,863 Apollo Food Holdings Berhad 109,000 112,295 *Asas Dunia Berhad 252,800 83,276 *Asia Pacific Land Berhad 5,644,300 782,176 *Axiata Group Berhad 1,074,850 1,780,421 Bandar Raya Developments Berhad 4,102,200 2,980,138 Batu Kawan Berhad 2,242,250 11,598,891 Berjaya Assets Berhad 66,200 25,984 Berjaya Corp. Berhad 24,397,980 9,407,873 Berjaya Land Berhad 13,220,000 5,175,863 *Berjaya Media Berhad 299,800 56,510 *Berjaya Retail Berhad 1,775,788 386,693 Bimb Holdings Berhad 2,320,600 1,240,809 Bina Darulaman Berhad 57,800 24,109 Bolton Berhad 1,288,000 491,411 Boustead Holdings Berhad 4,738,580 9,266,066 Cahya Mata Sarawak Berhad 1,786,600 1,359,011 Chemical Co. of Malaysia Berhad 311,000 184,681 Chin Teck Plantations Berhad 304,700 896,134 *Coastal Contracts Berhad 651,900 786,255 CSC Steel Holdings Berhad 2,041,800 1,200,477 Cycle & Carriage Bintang Berhad 241,300 368,457 *Datuk Keramik Holdings Berhad 127,000 -- Dijaya Corp. Berhad 714,500 275,121 DRB-Hicom Berhad 10,607,100 7,924,419 Eastern & Oriental Berhad 9,016,015 4,333,118 Eastern Pacific Industrial Corp. Berhad 497,700 403,158 ECM Libra Avenue Berhad 7,178,982 2,209,694 *EON Capital Berhad 3,626,007 8,850,787 Esso Malaysia Berhad 1,081,500 1,542,396
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ MALAYSIA -- (Continued) Evergreen Fibreboard Berhad 2,872,026 $ 1,261,312 *Faber Group Berhad 765,900 574,435 Far East Holdings Berhad 388,800 966,976 *Fountain View Development Berhad 2,573,200 -- Genting Malaysia Berhad 4,136,100 5,147,301 Genting Plantations Berhad 356,800 964,340 Glomac Berhad 1,706,800 1,072,894 *Gold IS Berhad 3,016,125 1,841,723 *Green Packet Berhad 1,037,400 222,600 GuocoLand (Malaysia) Berhad 1,200,900 490,988 Hap Seng Consolidated Berhad 2,467,200 4,832,106 Hap Seng Plantations Holdings Berhad 2,139,200 2,058,535 Hong Leong Financial Group Berhad 1,841,351 6,384,237 Hong Leong Industries Berhad 1,838,700 2,370,155 Hubline Berhad 5,998,300 283,587 Hunza Properties Berhad 1,033,300 554,934 Hwang-DBS (Malaysia) Berhad 908,700 754,253 IGB Corp. Berhad 11,721,990 8,435,594 IJM Corp. Berhad 15,041,880 31,501,808 IJM Land Berhad 3,923,300 3,730,781 *IJM Plantations Berhad 95,000 95,351 *Insas Berhad 4,573,808 826,870 *Integrax Berhad 894,000 528,650 *Jaks Resources Berhad 3,438,000 768,528 Jaya Tiasa Holdings Berhad 1,202,235 2,547,755 Jerneh Asia Berhad 788,120 825,222 K & N Kenanga Holdings Berhad 2,228,500 609,539 *Karambunai Corp. Berhad 15,984,300 1,211,772 Keck Seng (Malaysia) Berhad 2,517,800 3,537,662 Kian Joo Can Factory Berhad 3,646,780 2,867,332 *KIG Glass Industrial Berhad 260,000 2,633 Kim Loong Resources Berhad 324,800 242,679 Kinsteel Berhad 7,509,500 2,182,117 KLCC Property Holdings Berhad 6,585,600 7,318,041 KNM Group Berhad 9,092,425 8,083,419 *Knusford Berhad 73,800 43,433 KPJ Healthcare Berhad 87,550 121,313 KrisAssets Holdings Berhad 250,377 371,593 KSL Holdings Berhad 443,466 263,783 Kub Malaysia Berhad 5,214,000 1,385,763 Kulim Malaysia Berhad 9,703,300 10,489,338 *Kumpulan Fima Berhad 1,338,300 700,726 *Kumpulan Hartanah Selangor Berhad 277,000 33,152 Kumpulan Perangsang Selangor Berhad 1,463,700 593,363 *Kurnia Asia Berhad 23,600 3,189 Kwantas Corp. Berhad 246,000 187,650 Landmarks Berhad 4,118,808 2,131,385 Leader Universal Holdings Berhad 5,376,733 1,564,761 *Lingui Development Berhad 1,007,014 628,069 *Lion Corp. Berhad 7,984,307 768,638 Lion Diversified Holdings Berhad 5,448,100 819,492 Lion Forest Industries Berhad 204,800 112,232 Lion Industries Corp. Berhad 7,446,081 4,256,578 *Mah Sing Group Berhad 50,200 43,903 *Malayan United Industries Berhad (6556756) 1,526,067 111,030 *Malayan United Industries Berhad (B4TWFT8) 200,244 11,831 *Malaysia Airports Holdings Berhad 161,600 337,032 Malaysia Building Society Berhad 372,808 321,406 *Malaysian Airlines System Berhad 89,700 55,227 Malaysian Bulk Carriers Berhad 1,545,525 1,358,160 Malaysian Resources Corp. Berhad 75,000 54,052
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ MALAYSIA -- (Continued) MBM Resources Berhad 805,033 $ 805,247 Media Prima Berhad 33,500 29,734 Mega First Corp. Berhad 1,101,700 636,937 *Merge Housing Berhad 24,062 4,309 Metro Kajang Holdings Berhad 780,008 434,512 *Metroplex Berhad 817,000 -- MISC Berhad 1,210,021 3,190,093 *MK Land Holdings Berhad 10,344,500 1,364,089 MMC Corp. Berhad 10,923,480 9,904,027 *MNRB Holdings Berhad 1,150,800 1,029,994 Muhibbah Engineering Berhad 4,845,400 2,625,757 *MUI Properties Berhad 139,700 7,122 *Mulpha International Berhad 31,821,100 5,701,716 MWE Holdings Berhad 270,000 122,151 Naim Holdings Berhad 1,531,500 1,449,202 NCB Holdings Berhad 2,447,800 3,090,402 Negri Sembilan Oil Palms Berhad 167,600 303,490 NV Multi Corp. Berhad 165,700 17,062 Oriental Holdings Berhad 3,653,779 6,377,552 Oriental Interest Berhad 139,100 59,657 OSK Holdings Berhad 6,628,447 3,896,485 *OSK Ventures International Berhad 639,897 82,088 P.I.E. Industrial Berhad 323,600 465,618 Pacific & Orient Berhad 283,730 79,537 Panasonic Manufacturing Malaysia Berhad 383,380 2,940,940 *Paracorp Berhad 252,000 851 Paramount Corp. Berhad 250,000 477,943 PBA Holdings Berhad 1,502,500 502,731 Pelikan International Corp. Berhad 4,130,320 1,578,372 *Perisai Petroleum Teknologi Berhad 831,300 227,742 *Permaju Industries Berhad 1,000,000 132,489 *Perwaja Holdings Berhad 31,200 9,551 Petronas Dagangan Berhad 164,200 858,703 PJ Development Holdings Berhad 2,768,800 724,778 POS Malaysia Berhad 2,274,517 2,482,796 PPB Group Berhad 6,822,366 39,137,776 *Press Metal Berhad 1,469,700 1,271,405 *Prime Utilities Berhad 39,000 1,185 Protasco Berhad 282,200 108,725 Proton Holdings Berhad 3,786,000 4,415,011 *Pulai Springs Berhad 132,500 20,130 QSR Brands Berhad 56,800 107,204 *Ramunia Holdings Berhad 2,434,736 539,067 Ranhill Berhad 3,924,800 981,133 RCE Capital Berhad 3,770,000 656,379 RHB Capital Berhad 5,561,200 16,657,135 Salcon Berhad 574,000 116,334 Sarawak Oil Palms Berhad 445,020 523,916 Scientex, Inc. Berhad 938,848 807,770 *Scomi Group Berhad 13,805,400 1,447,569 *Scomi Marine Berhad 709,000 134,370 Selangor Dredging Berhad 1,312,700 349,796 *Selangor Properties Berhad 13,800 19,203 Shangri-La Hotels (Malaysia) Berhad 738,000 668,284 Shell Refining Co. Federation of Malaysia Berhad 217,100 799,332 SHL Consolidated Berhad 1,008,700 477,958 *Sino Hua-An International Berhad 4,008,700 474,261 Subur Tiasa Holdings Berhad 490,530 498,391 Sunway City Berhad 3,598,800 5,883,455 Sunway Holdings Berhad 4,099,100 3,407,332 Suria Capital Holdings Berhad 645,500 449,199
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ MALAYSIA -- (Continued) Ta Ann Holdings Berhad 262,960 $ 577,252 TA Enterprise Berhad 16,478,800 4,206,084 TA Global Berhad (B3X17H6) 8,465,880 1,115,262 *TA Global Berhad (B4LM6X7) 8,465,880 958,756 TAHPS Group Berhad 27,000 43,137 *Talam Corp. Berhad 17,833,050 542,419 Tan Chong Motor Holdings Berhad 4,689,700 7,419,212 *Tanjung Offshore Berhad 270,200 108,656 TDM Berhad 1,498,100 1,514,374 *Tebrau Teguh Berhad 5,320,066 1,394,577 *TH Plantations Berhad 39,200 27,528 *Time Dotcom Berhad 16,781,400 5,141,972 Tiong Nam Transport Holdings Berhad 113,500 36,363 Tradewinds (Malaysia) Berhad 1,282,900 3,518,798 *Tradewinds Corp. Berhad 5,394,700 1,750,471 *TSH Resources Berhad 171,600 157,789 UAC Berhad 77,398 86,411 *UEM Land Holdings Berhad 5,443,745 4,951,870 UMW Holdings Berhad 2,059,686 4,886,939 Unico-Desa Plantations Berhad 4,240,828 1,475,618 Unisem (Malaysia) Berhad 3,974,400 2,500,966 United Malacca Rubber Estates Berhad 872,900 2,069,367 United Plantations Berhad 617,400 3,751,413 VS Industry Berhad 1,337,193 858,646 Wah Seong Corp. Berhad 1,677,511 1,264,406 WCT Berhad 1,238,700 1,273,389 Wing Tai Malaysia Berhad 1,861,100 1,093,023 WTK Holdings Berhad 4,386,550 2,911,036 Yeo Hiap Seng Malaysia Berhad 335,520 193,215 YTL Cement Berhad 28,000 46,424 YTL Corp. Berhad 35,370,530 19,843,547 Yu Neh Huat Berhad 5,024,459 3,394,950 *Zelan Berhad 6,765,900 1,144,330 ------------ TOTAL MALAYSIA 505,226,583 ------------ MEXICO -- (5.1%) #*Alfa S.A.B. de C.V. Series A 4,088,867 60,773,400 Alsea de Mexico S.A.B. de C.V. 2,295,900 2,610,677 #*Axtel S.A.B. de C.V. 5,663,540 3,315,953 *Bio Pappel S.A.B. de C.V. 52,920 50,568 #Bolsa Mexicana de Valores S.A. de C.V. 2,328,588 4,992,273 #*Carso Infraestructura y Construccion S.A.B. de C.V. 141,050 94,714 #*Cemex S.A.B. de C.V. Sponsored ADR 12,041,259 104,518,131 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 271,924 21,691,377 #Consorcio ARA S.A.B. de C.V. 10,672,300 6,313,434 #*Controladora Comercial Mexicana S.A.B. de C.V. Series B 912,964 1,590,115 #*Corporacion GEO S.A.B. de C.V. Series B 5,771,482 17,031,129 *Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B 1,561,686 881,795 #*Desarrolladora Homex S.A.B. de C.V. 1,653,700 7,770,237 #*Desarrolladora Homex S.A.B. de C.V. ADR 115,455 3,259,295 *Dine S.A.B. de C.V. 1,028,367 459,615 El Puerto de Liverpool S.A.B. de C.V. 328,600 2,483,404 El Puerto de Liverpool S.A.B. de C.V. Series 1 20,000 154,625 #Embotelladora Arca S.A.B. de C.V. 3,256,100 19,771,310 *Empaques Ponderosa S.A. de C.V. Series B 90,000 7,036 #*Empresas ICA S.A.B. de C.V. 2,999,272 7,399,370 #*Empresas ICA S.A.B. de C.V. Sponsored ADR 1,118,155 11,036,190 Fomento Economico Mexicano S.A.B. de C.V. Series B & D 1,465,100 9,213,113 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,819,711 114,459,822 *Gruma S.A.B. de C.V. ADR 15,222 121,472 *Gruma S.A.B. de C.V. Series B 2,674,666 5,357,836
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ MEXICO -- (Continued) #Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. 707,880 $ 1,478,888 #Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. ADR 41,146 691,253 #*Grupo Aeroportuario del Pacifico S.A.B. de C.V. 650,300 2,703,628 #Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 629,889 26,272,670 Grupo Aeroportuario del Sureste S.A.B. de C.V. 749,307 4,437,247 #Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 221,543 13,106,484 #Grupo Carso S.A.B. de C.V. Series A-1 10,188,893 39,581,234 #*Grupo Cementos de Chihuahua S.A.B. de C.V. 2,799,892 10,215,300 #*Grupo Famsa S.A.B. de C.V. 1,918,478 3,868,054 #Grupo Financiero Banorte S.A.B. de C.V. 10,931,710 54,602,997 #Grupo Financiero Inbursa S.A.B. de C.V. Series O 8,299,483 43,437,881 Grupo Gigante S.A.B. de C.V. Series B 471,076 920,734 Grupo Industrial Maseca S.A.B. de C.V. Series B 2,726,900 3,280,798 *Grupo Industrial Saltillo S.A.B. de C.V. 1,332,569 1,759,518 Grupo Kuo S.A.B. de C.V. Series B 2,038,967 3,719,547 Grupo Mexico S.A.B. de C.V. Series B 24,866,224 86,100,896 Grupo Posadas S.A. de C.V. Series L 356,000 417,488 *Grupo Qumma S.A. de C.V. Series B 5,301 83 #*Grupo Simec S.A. de C.V. 1,389,600 3,965,388 #*Grupo Simec S.A. de C.V. Sponsored ADR 19,072 162,684 #Industrias Bachoco S.A.B. de C.V. Series B 894,410 2,121,094 #*Industrias CH S.A.B. de C.V. Series B 2,810,192 11,136,579 Industrias Penoles S.A.B. de C.V. 63,271 2,462,313 #*Inmuebles Carso S.A.B. de C.V. 10,188,893 11,488,471 *Maxcom Telecomunicaciones S.A.B. de C.V. 400,181 183,201 *Megacable Holdings S.A.B. de C.V. 39,994 92,970 #*Minera Frisco S.A.B. de C.V. 10,188,893 43,882,773 #Organizacion Soriana S.A.B. de C.V. Series B 14,451,500 49,599,865 Qualitas Cia de Seguros S.A. de C.V. 2,048,200 1,868,195 #*Sare Holding S.A.B. de C.V. 3,301,100 891,825 *Savia S.A. de C.V. 3,457,285 240,262 #*Urbi Desarrollos Urbanos S.A.B. de C.V. 6,700,450 16,006,530 *Vitro S.A.B. de C.V. 1,547,058 1,894,900 ------------ TOTAL MEXICO................................................... 847,948,641 ------------ PHILIPPINES -- (0.7%) A. Soriano Corp. 20,195,000 1,617,957 Alaska Milk Corp. 7,874,000 2,362,014 Alsons Consolidated Resources, Inc. 16,904,000 549,954 Ayala Corp. Series A 84,700 774,761 Banco de Oro Unibank, Inc. 7,506,120 9,534,144 Cebu Holdings, Inc. 7,590,250 420,740 China Banking Corp. 9,675 95,970 *Digital Telecommunications Phils., Inc. 52,050,000 1,912,545 DMCI Holdings, Inc. 7,029,360 7,256,736 *Empire East Land Holdings, Inc. 37,000,000 605,860 *Export & Industry Bank, Inc. 14,950 91 Filinvest Land, Inc. 168,982,031 5,022,461 *Filipina Water Bottling Corp. 5,471,786 -- First Philippines Holdings Corp. 3,810,100 5,892,288 *JG Summit Holdings, Inc. 33,600 19,880 *Lopez Holdings Corp. 25,974,100 3,894,780 Macroasia Corp. 1,418,000 101,064 Megaworld Corp. 169,933,600 9,278,182 *Metro Bank & Trust Co. 9,336,217 14,982,015 *Mondragon International Philippines, Inc. 2,464,000 -- *Philippine National Bank 3,866,918 5,796,768 *Philippine National Construction Corp. 398,900 45,658 *Philippine Realty & Holdings Corp. 4,822,000 72,235 Philippine Savings Bank 1,232,313 1,821,307 *Philippine Townships, Inc. 226,200 25,098
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ PHILIPPINES -- (Continued) Phinma Corp. 2,550,498 $ 745,306 *Prime Media Holdings, Inc. 330,000 15,025 *Prime Orion Philippines, Inc. 10,310,000 132,718 Rizal Commercial Banking Corp. 4,481,648 2,935,118 Robinson's Land Corp. Series B 26,992,750 8,409,968 Security Bank Corp. 2,172,820 5,059,281 Shang Properties, Inc. 614,285 26,093 SM Development Corp. 42,477,329 9,003,129 *Solid Group, Inc. 9,532,000 290,016 Union Bank of Philippines 2,575,894 3,673,208 Universal Robina Corp. 16,503,345 14,396,880 Vista Land & Lifescapes, Inc. 45,259,868 3,347,320 ------------ TOTAL PHILIPPINES............................. 120,116,570 ------------ POLAND -- (2.0%).............................. Agora SA 559,848 5,382,273 *Amica Wronki SA 36,320 637,864 Asseco Poland SA 703,166 14,068,103 *ATM SA 9,205 43,317 Bank Handlowy w Warszawie SA 43,592 1,641,726 *Bank Millennium SA 7,266,205 14,892,963 *Bank Przemyslowo Handlowy BPH SA 1,013 29,012 *Bioton SA 33,795,139 2,155,361 *BOMI SA 121,150 339,297 *Boryszew SA 2,065,160 840,679 *Ciech SA 335,262 3,337,074 *ComArch SA 570 19,788 Debica SA 111,346 2,576,784 Dom Development SA 46,421 801,766 *Dom Maklerski IDM SA 2,061,404 2,120,607 *Echo Investment SA 2,417,470 4,609,658 Emperia Holding SA 19,149 815,069 *Enea SA 336,522 2,472,529 *Energomontaz Poludnie SA 30,110 44,940 *Farmacol SA 5,526 66,671 *Gant Development SA 57,294 301,321 *Getin Holding SA 1,681,394 9,448,639 *Getin Holding SA Allotment Certificates 42,371 237,975 Grupa Kety SA 126,858 6,269,559 *Grupa Lotos SA 970,047 17,352,945 *Impexmetal SA 5,864,978 11,119,367 *ING Bank Slaski SA 1,926 635,688 *Jutrzenka Holding SA 1,796 2,441 KGHM Polska Miedz SA 671,360 49,385,053 *Koelner SA 133,110 565,702 *Kredyt Bank SA 619,815 4,050,407 *LC Corp. SA 1,850,881 1,100,823 *MCI Management SA 141,936 457,975 *MNI SA 275,976 341,075 *Mostostal Siedlce SA 1,654,705 2,176,439 Mostostal Warszawa SA 1,467 22,797 *Netia Holdings SA 3,441,202 6,848,404 *Orbis SA 541,449 8,241,724 *Petrolinvest SA 497,799 1,920,311 *Pfleiderer Grajewo SA 55,572 364,312 *PGE SA 2,332,380 21,049,788 *Pol-Aqua SA 5,936 42,321 Polnord SA 134,295 1,638,998 *Polska Grupa Farmaceutyczna SA 1,548 31,222 *Polski Koncern Miesny Duda SA 124,924 71,526 *Polski Koncern Naftowy Orlen SA 5,310,008 110,676,798
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ POLAND -- (Continued) *Przedsiebiorstwo Eksportu Inzyn Importu Kopex SA 454,741 $ 3,474,075 *Stalexport SA 411,988 195,632 *Sygnity SA 159,771 1,309,848 *Synthos SA 9,098,514 15,444,847 Zaklady Azotowe Pulawy SA 20,292 934,056 *Zaklady Azotowe w Tarnowie-Moscicach SA 54,105 774,039 *Zaklady Chemiczne Police SA 8,000 45,536 ------------ TOTAL POLAND 333,427,124 ------------ RUSSIA -- (5.3%) *Federal Hydrogenerating Co. ADR 643,944 3,357,101 Gazprom OAO Sponsored ADR 40,355,438 683,772,202 Lukoil OAO Sponsored ADR 2,280,971 158,531,847 Magnitogorsk Iron & Steel Works Sponsored GDR 51,321 647,314 Surgutneftegas Sponsonsored ADR 3,037,307 32,479,052 ------------ TOTAL RUSSIA 878,787,516 ------------ SOUTH AFRICA -- (7.4%) ABSA Group, Ltd. 4,102,878 84,982,853 Adcorp Holdings, Ltd. 469,669 1,916,633 AECI, Ltd. 1,431,091 18,710,128 Afgri, Ltd. 4,244,486 4,511,404 African Bank Investments, Ltd. 3,883,766 22,672,526 African Oxygen, Ltd. 222,800 627,679 African Rainbow Minerals, Ltd. 994,154 32,379,419 Allied Electronics Corp., Ltd. 542,971 2,384,686 ArcelorMittal South Africa, Ltd. 1,908,311 26,134,292 Argent Industrial, Ltd. 1,278,773 1,654,311 Aveng, Ltd. 4,125,211 21,920,308 AVI, Ltd. 3,227,121 15,132,577 Avusa, Ltd. 473,355 1,760,416 Barloworld, Ltd. 3,262,644 36,881,214 Basil Read Holdings, Ltd. 285,077 558,407 *Bell Equipment, Ltd. 411,045 839,389 Bidvest Group, Ltd. 37,068 854,610 Blue Label Telecoms, Ltd. 668,379 625,013 Brait SA 435,221 1,239,670 Business Connexion Group, Ltd. 687,613 513,053 *Cadiz Holdings, Ltd. 6,673 2,792 Capitec Bank Holdings, Ltd. 72,959 1,921,588 Caxton & CTP Publishers & Printers, Ltd. 3,015,054 6,534,204 Cipla Medpro South Africa, Ltd. 4,269,082 4,464,315 *Corpgro, Ltd. 579,166 -- Data Tec, Ltd. 2,446,932 13,737,965 Datacentrix Holdings, Ltd. 429,328 271,197 Delta EMD, Ltd. 234,340 274,616 Discovery Holdings, Ltd. 66 381 Distell Group, Ltd. 378,471 4,089,330 *Distribution & Warehousing Network, Ltd. 221,543 237,222 Durban Roodeport Deep, Ltd. 2,156,365 1,302,324 ElementOne, Ltd. 391,810 701,259 *Eqstra Holdings, Ltd. 1,856,795 1,897,662 *Evraz Highveld Steel & Vanadium, Ltd. 162,634 1,384,569 FirstRand, Ltd. 4,353,231 13,709,415 Freeworld Coatings, Ltd. 2,187,407 4,076,925 Gijima Group, Ltd. 486,474 50,354 Gold Fields, Ltd. 515,937 9,225,834 Gold Fields, Ltd. Sponsored ADR 8,246,089 147,110,228 Gold Reef Resorts, Ltd. 433,534 1,076,792 Grindrod, Ltd. 4,323,128 9,631,064 Group Five, Ltd. 755,491 3,338,348
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- SOUTH AFRICA -- (Continued) Harmony Gold Mining Co., Ltd. 2,923,251 $ 44,337,162 #Harmony Gold Mining Co., Ltd. Sponsored ADR 2,433,008 37,881,935 Hudaco Industries, Ltd. 121,558 1,598,914 *Hulamin, Ltd. 1,355,535 1,450,070 Iliad Africa, Ltd. 158,453 176,809 Illovo Sugar, Ltd. 902,350 3,911,690 Impala Platinum Holdings, Ltd. 58,383 1,825,803 Imperial Holdings, Ltd. 1,354,335 24,035,801 Investec, Ltd. 2,539,114 20,549,069 *JCI, Ltd. 10,677,339 -- JD Group, Ltd. 2,079,841 15,203,182 Lewis Group, Ltd. 1,224,593 14,653,852 Liberty Holdings, Ltd. 1,449,071 15,890,414 Life Healthcare Group Holdings, Ltd. 1,194,838 3,047,882 *m Cubed Holdings, Ltd. 1,850,526 -- *Medi-Clinic Corp., Ltd. 2,567,629 11,332,275 Merafe Resources, Ltd. 20,726,386 4,703,530 Metair Investments, Ltd. 1,654,832 3,521,557 *Metorex, Ltd. 5,271,552 5,917,826 MMI Holdings, Ltd. 8,636,206 22,402,836 Mondi, Ltd. 1,722,710 16,578,120 Murray & Roberts Holdings, Ltd. 244,003 933,169 *Mvelaphanda Group, Ltd. 4,322,566 2,106,329 *Mvelaserve, Ltd. 1,059,863 1,881,600 Nampak, Ltd. 5,874,237 19,809,941 Nedbank Group, Ltd. 2,742,435 61,104,932 #Northam Platinum, Ltd. 1,514,389 10,007,117 *Omnia Holdings, Ltd. 631,902 7,188,970 Palabora Mining Co., Ltd. 158,551 3,518,848 Peregrine Holdings, Ltd. 1,421,395 2,417,976 #Petmin, Ltd. 518,119 230,983 PSG Group, Ltd. 678,639 4,511,837 Randgold & Exploration Co., Ltd. 256,811 113,776 Raubex Group, Ltd. 675,940 2,053,950 Redefine Properties, Ltd. 32,990 39,356 Reunert, Ltd. 206,137 1,956,446 Sanlam, Ltd. 28,700,406 123,107,886 *Sappi, Ltd. 5,255,048 27,919,476 #*Sappi, Ltd. Sponsored ADR 803,111 4,336,799 Sasol, Ltd. Sponsored ADR 704,259 40,720,255 *Sentula Mining, Ltd. 1,756,863 775,488 *Simmer & Jack Mines, Ltd. 6,254,759 762,259 Spur Corp., Ltd. 66,446 136,817 Standard Bank Group, Ltd. 5,556,368 87,265,717 Stefanutti Stocks Holdings, Ltd. 105,733 191,468 #Steinhoff International Holdings, Ltd. 15,446,217 59,166,634 *Super Group, Ltd. 9,619,121 1,159,597 Telkom South Africa, Ltd. 3,256,621 18,977,652 Tongaat-Hulett, Ltd. 197,230 2,882,106 *Trans Hex Group, Ltd. 34,840 13,314 Trencor, Ltd. 1,498,263 7,943,448 UCS Group, Ltd. 1,547,424 482,688 Value Group, Ltd. 976,777 587,176 *Wesizwe Platinum, Ltd. 14,355 4,950 Zeder Investments, Ltd. 914,616 340,309 -------------- TOTAL SOUTH AFRICA 1,245,004,968 -------------- SOUTH KOREA -- (13.4%) #Aekyung Petrochemical Co., Ltd. 35,780 1,589,477 Amorepacific Group 32,180 6,340,379 #Asia Cement Manufacturing Co., Ltd. 31,678 1,381,692
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ SOUTH KOREA -- (Continued) #Asia Paper Manufacturing Co., Ltd. 34,410 $ 310,189 #Bing Grae Co., Ltd. 24,704 1,477,067 #*BNG Steel Co., Ltd. 125,040 2,500,176 *Boo Kook Securities Co., Ltd. 27,705 440,039 #Boryung Pharmaceutical Co., Ltd. 57,250 1,120,011 *BS Financial Group, Inc. 1,268,451 18,464,830 BYC Co., Ltd. 810 117,941 *Byuck San Corp. 10,472 205,455 *Byuck San Engineering & Construction Co., Ltd. 15,270 19,143 #*Charm Engineering Co., Ltd. 66,320 233,107 #*Chin Hung International, Inc. 5,642,073 1,118,286 *Cho Kwang Leather Co., Ltd. 1,300 13,768 #Chong Kun Dang Pharmaceutical Corp. 48,070 1,280,625 #Chosun Refractories Co., Ltd. 10,446 613,801 *Chungho Comnet Co., Ltd. 7,880 52,679 CJ Cheiljedang Corp. 45,018 10,449,814 CJ Corp. 180,555 13,636,128 *CJ E&M Corp. 58,712 2,453,466 #*Cosmochemical Co., Ltd. 47,640 644,326 Crown Confectionery Co., Ltd. 3,475 456,172 #Dae Dong Industrial Co., Ltd. 147,780 620,770 #Dae Han Flour Mills Co., Ltd. 10,887 1,647,530 #Dae Won Kang Up Co., Ltd. 318,816 1,759,334 #Daechang Co., Ltd. 961,980 1,925,278 #Daeduck Electronics Co., Ltd. 246,280 2,636,235 #Daeduck Industries Co., Ltd. 214,740 1,821,632 Daegu Bank, Ltd. 1,035,752 17,322,225 *Daegu Department Store Co., Ltd. 60,201 643,586 #Daehan Steel Co., Ltd. 133,090 1,170,435 Daehan Synthetic Fiber Co., Ltd. 5,337 392,496 Daekyo Co., Ltd. 403,830 2,151,953 #*Daelim Industrial Co., Ltd. 311,459 35,227,189 Daelim Trading Co., Ltd. 31,734 121,394 #Daesang Corp. 252,652 2,102,658 #Daesang Holdings Co., Ltd. 113,486 344,326 #Daesung Group Partners Co., Ltd. 4,040 237,691 Daesung Holdings Co., Ltd. 72,660 685,894 Daesung Industrial Co., Ltd. 10,173 297,768 Daewon Pharmaceutical Co., Ltd. 16,190 109,450 #*Daewoo Engineering & Construction Co., Ltd. 951,350 10,137,100 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 294,082 12,603,793 Daewoong Co., Ltd. 17,680 273,043 Dahaam E-Tec Co., Ltd. 9,515 185,435 *Daishin Securities Co., Ltd. 480,045 6,489,827 #Daou Technology, Inc. 346,438 2,968,292 DCM Corp. 5,330 69,233 Digital Power Communications Co., Ltd. 62,160 116,350 #Dong Ah Tire Industrial Co., Ltd. 72,304 630,198 #Dong IL Rubber Belt Co., Ltd. 181,924 986,942 Dongbang Agro Co., Ltd. 53,610 317,446 #Dongbu Corp. 92,370 578,017 #*Dongbu HiTek Co., Ltd. 261,404 3,726,247 *Dongbu Securities Co., Ltd. 253,566 1,522,462 #Dongbu Steel Co., Ltd. 278,944 2,455,725 Dong-Il Corp. 11,472 567,389 #Dongil Industries Co., Ltd. 14,905 1,095,259 #Dongkuk Steel Mill Co., Ltd. 455,989 18,181,885 #Dongwha Pharm Co., Ltd. 187,020 906,298 #Dongwon F&B Co., Ltd. 14,366 600,786 Dongwon Industries Co., Ltd. 769 145,189 #*Dongwon Systems Corp. 189,880 238,801
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- SOUTH KOREA -- (Continued) #Dongyang Engineering & Construction Corp. 1,785 $ 11,410 Dongyang Express Bus Corp. 639 9,453 #Doosan Construction & Engineering Co., Ltd. 306,790 1,470,122 #*Eagon Industrial Co., Ltd. 29,120 173,574 *Eugene Investment & Securities Co., Ltd. 6,385,299 3,784,605 *F&F Co., Ltd. 2,650 20,790 #Fursys, Inc. 30,774 777,156 #Gaon Cable Co., Ltd. 14,437 274,224 #Global & Yuasa Battery Co., Ltd. 72,720 3,096,924 *Golden Bridge Investment & Securities Co., Ltd. 43,210 86,161 #Green Cross Holdings Corp. 10,203 1,323,396 GS Engineering & Construction Corp. 146,898 17,705,050 GS Holdings Corp. 341,946 28,669,132 Gwangju Shinsegae Co., Ltd. 5,162 878,892 #*Hae In Co., Ltd. 127,010 833,584 #Halla Engineering & Construction Corp. 175,631 3,719,586 #Han Kuk Carbon Co., Ltd. 260,620 1,746,217 *Han Yang Securities Co., Ltd. 88,440 686,047 Hana Financial Group, Inc. 2,249,314 95,435,538 #Handok Pharmaceuticals Co., Ltd. 18,150 217,717 #Handsome Corp. 229,060 4,813,581 Hanil Cement Manufacturing Co., Ltd. 39,832 1,921,468 *Hanil Construction Co., Ltd. 11,702 39,790 Hanil E-Wha Co., Ltd. 169,091 2,081,171 #*Hanjin Heavy Industries & Construction Co., Ltd. 385,422 14,041,925 #Hanjin Heavy Industries & Construction Holdings Co., Ltd. 140,550 1,709,060 #Hanjin Shipping Co., Ltd. 358,384 9,326,381 #Hanjin Transportation Co., Ltd. 100,800 2,476,438 #*Hankook Cosmetics Co., Ltd. 86,470 201,646 Hankook Cosmetics Manufacturing Co., Ltd. 21,659 96,035 Hankuk Glass Industries, Inc. 29,050 853,426 Hankuk Paper Manufacturing Co., Ltd. 32,100 659,774 #*Hanmi Holdings Co., Ltd. 10,396 327,165 Hanmi Semiconductor Co., Ltd. 2,820 23,867 *Hansae Yes24 Holdings Co., Ltd. 10,100 28,702 #Hanshin Construction Co., Ltd. 24,880 202,388 #Hansol Chemical Co., Ltd. 51,607 973,803 Hansol CSN Co., Ltd. 334,840 447,976 #Hansol Paper Co., Ltd. 489,994 3,773,925 Hanssem Co., Ltd. 19,860 255,319 Hanwha Chemical Corp. 631,367 28,177,081 *Hanwha Corp. 50,332 2,317,168 *Hanwha General Insurance Co., Ltd. 19,663 163,938 *Hanwha Securities Co., Ltd. 626,651 4,245,601 Hanwha Timeworld Co., Ltd. 9,230 167,809 #Heung-A Shipping Co., Ltd. 106,352 108,375 *Hite Brewery Co., Ltd. 16,316 1,790,138 #Hite Holdings Co., Ltd. 92,330 1,372,757 *HMC Investment Securities Co., Ltd. 184,925 4,094,589 Honam Petrochemical Corp. 33,753 11,951,181 #HS R&A Co., Ltd. 47,606 1,047,798 #Husteel Co., Ltd. 42,350 812,018 *Hwa Sung Industrial Co., Ltd. 39,340 123,966 Hwacheon Machine Tool Co., Ltd. 2,050 116,958 *Hyosung T & C Co., Ltd. 255,365 20,960,455 *Hyundai Cement Co., Ltd. 24,615 147,663 #Hyundai Development Co. 664,084 18,188,987 Hyundai DSF Co., Ltd. 46,140 508,717 #Hyundai Elevator Co., Ltd. 31,153 3,012,909 Hyundai Greenfood Co., Ltd. 304,440 3,582,793 Hyundai Hysco 228,480 9,322,342
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- SOUTH KOREA -- (Continued) Hyundai Merchant Marine Co., Ltd. 120,484 $ 3,679,341 *Hyundai Mipo Dockyard Co., Ltd. 84,554 15,017,805 #Hyundai Motor Co., Ltd. 808,044 186,374,700 *Hyundai Securities Co. 1,500,148 19,028,860 #Hyundai Steel Co. 358,229 45,635,515 #Il Dong Pharmaceutical Co., Ltd. 25,614 978,765 #Iljin Electric Co., Ltd. 286,540 2,269,182 #Iljin Holdings Co., Ltd. 137,634 452,341 Ilshin Spinning Co., Ltd. 6,155 570,395 #Ilsung Pharmaceutical Co., Ltd. 11,689 876,264 Industrial Bank of Korea, Ltd. 1,699,010 32,650,978 InziControls Co., Ltd. 27,640 135,646 IS Dongseo Co., Ltd. 52,090 1,274,808 #ISU Chemical Co., Ltd. 116,530 2,581,205 #IsuPetasys Co., Ltd. 301,791 1,497,690 #Jahwa Electronics Co., Ltd. 104,570 518,669 #Jeil Pharmaceutical Co. 46,690 544,625 Jeonbuk Bank, Ltd. 401,006 2,199,967 *Jinheung Savings Bank 144,760 336,216 #JW Pharmaceutical Corp. 76,764 1,116,108 #K.C. Tech Co., Ltd. 159,191 1,235,199 KB Financial Group, Inc. 450,475 24,147,912 #*KB Financial Group, Inc. ADR 2,704,559 144,125,949 #KCC Corp. 52,962 17,959,304 #*Keangnam Enterprises, Ltd. 97,330 1,045,910 #Keyang Electric Machinery Co., Ltd. 187,450 468,207 #KG Chemical Corp. 72,393 597,711 #*KIC, Ltd. 69,340 222,466 #KISCO Corp. 47,301 1,461,242 #Kishin Corp. 85,715 460,077 #KISWIRE, Ltd. 57,603 2,165,489 Kolon Corp. 50,445 1,353,637 #*Kolon Engineering & Construction Co., Ltd. 178,320 677,339 #Kolon Industries, Inc. 64,394 5,223,754 #*Korea Cast Iron Pipe Co., Ltd. 81,218 309,083 #*Korea Circuit Co., Ltd. 27,880 221,865 Korea Cottrell Co., Ltd. 45,360 129,983 #*Korea Development Co., Ltd. 100,620 369,083 *Korea Development Leasing Corp. 23,598 405,523 #Korea Electric Terminal Co., Ltd. 51,000 1,086,285 Korea Exchange Bank 2,876,446 24,514,458 #*Korea Express Co., Ltd. 84,339 8,305,224 #Korea Flange Co., Ltd. 39,040 751,568 *Korea Investment Holdings Co., Ltd. 457,046 17,945,809 #Korea Iron & Steel Co., Ltd. 12,843 486,666 #*Korea Line Corp. 111,043 627,651 #Korea Petrochemical Industrial Co., Ltd. 18,908 2,262,013 *Korea Savings Bank 22,973 148,994 *Korea United Pharm, Inc. 52,990 346,911 *Korean Air Co., Ltd. 124,180 7,591,374 #Korean Air Terminal Service Co., Ltd. 18,270 716,550 KP Chemical Corp. 2,046 50,500 #KPX Chemical Co., Ltd. 10,906 592,189 #*KPX Fine Chemical Co., Ltd. 6,360 238,303 KPX Holdings Corp. 7,249 351,666 *KTB Investement & Securities Co., Ltd. 591,420 2,266,796 #Kukdo Chemical Co., Ltd. 31,532 2,099,997 #Kumho Electric Co., Ltd. 43,044 1,253,685 *Kumho Industrial Co., Ltd. 1,913 21,147 *Kumho Investment Bank 756,580 439,054 *Kumho Tire Co., Inc. 28,819 511,735
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ SOUTH KOREA -- (Continued)........................ #Kunsul Chemical Industrial Co., Ltd........... 24,240 $ 356,291 #Kwang Dong Pharmaceutical Co., Ltd............ 484,320 1,418,337 #Kyeryong Construction Industrial Co., Ltd..... 58,820 775,532 *Kyobo Securities Co., Ltd..................... 187,072 1,310,670 Kyung Dong Navien Co., Ltd.................... 19,300 100,674 #Kyung Nong Corp............................... 60,670 198,519 Kyungbang Co., Ltd............................ 5,802 620,586 #Kyung-In Synthetic Corp....................... 194,730 667,724 LG Corp....................................... 128,735 11,852,024 LG Display Co., Ltd........................... 597,170 21,421,108 #LG Display Co., Ltd. ADR...................... 3,695,836 65,859,798 #LG Electronics, Inc........................... 1,013,377 97,558,535 LG Fashion Corp............................... 30 930 *LG Hausys, Ltd................................ 33,130 2,463,338 LG Uplus Corp................................. 2,531,841 15,381,685 Livart Furniture Co., Ltd..................... 19,740 137,097 #Lotte Chilsung Beverage Co., Ltd.............. 6,863 7,343,418 #Lotte Confectionary Co., Ltd.................. 6,390 9,458,336 #Lotte Midopa Co., Ltd......................... 172,560 2,522,638 #Lotte Sam Kang Co., Ltd....................... 9,253 2,806,805 #Lotte Shopping Co., Ltd....................... 108,578 49,518,244 Meritz Securities Co., Ltd.................... 1,889,734 1,660,078 Mi Chang Oil Industrial Co., Ltd.............. 3,725 167,895 *Mirae Asset Securities Co., Ltd............... 147,499 5,977,056 Moorim P&P Co., Ltd........................... 98,304 1,435,597 #Moorim Paper Co., Ltd......................... 128,810 994,036 #Motonic Corp.................................. 84,460 788,908 #*Namkwang Engineering & Construction Co., Ltd.. 204,026 303,243 #Namyang Dairy Products Co., Ltd............... 4,095 3,081,901 #Nexen Corp.................................... 10,957 830,969 *NH Investment & Securities Co., Ltd........... 293,858 2,362,577 *NICE Holdings Co., Ltd........................ 451 25,387 #NK Co., Ltd................................... 36,310 188,522 #Nong Shim Holdings Co., Ltd................... 20,415 1,194,695 #NongShim Co., Ltd............................. 35,507 8,260,870 #Noroo Holdings Co., Ltd....................... 22,738 129,270 #Noroo Paint Co., Ltd.......................... 37,899 109,312 #Ottogi Corp................................... 15,919 1,969,149 Pacific Pharmaceutical Co., Ltd............... 3,840 89,093 Pang Rim Co., Ltd............................. 12,240 136,120 #*PaperCorea, Inc............................... 39,998 249,920 #Poongsan Corp................................. 150,690 5,741,152 Poongsan Holdings Corp........................ 41,728 1,393,724 POSCO......................................... 53,491 23,473,755 #POSCO ADR..................................... 1,371,214 151,244,904 #POSCO Coated & Color Steel Co., Ltd........... 33,440 914,296 Pulmuone Co., Ltd............................. 6,125 225,093 *Pum Yang Construction Co., Ltd................ 31,885 88,233 Pusan City Gas Co., Ltd....................... 67,070 1,207,888 #S&T Daewoo Co., Ltd........................... 90,460 2,634,278 #S&T Dynamics Co., Ltd......................... 264,654 4,102,480 #S&T Holdings Co., Ltd......................... 62,023 820,162 #Saeron Automotive Corp........................ 59,180 299,519 *Sajodaerim Corp............................... 13,920 303,240 #Sam Jin Pharmaceutical Co., Ltd............... 44,893 406,376 #Sam Kwang Glass Industrial Co., Ltd........... 18,397 1,228,846 *Sam Lip General Foods Co., Ltd................ 21,500 252,976 Sam Yung Trading Co., Ltd..................... 14,352 81,998 #Sambu Construction Co., Ltd................... 53,719 639,120 Samhwa Crown & Closure Co., Ltd............... 469 8,984 Samhwa Paints Industrial Co., Ltd............. 48,610 170,329
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ SOUTH KOREA -- (Continued)............................ #Samick Musical Instruments Co., Ltd............... 621,710 $ 697,185 Samsung Corp...................................... 1,105,770 80,104,872 #Samsung SDI Co., Ltd.............................. 350,064 62,728,387 #Samwhan Corp...................................... 73,020 532,765 #Samyang Corp...................................... 67,527 5,236,238 Samyang Genex Co., Ltd............................ 17,090 1,004,417 Samyang Tongsang Co., Ltd......................... 8,060 168,289 #Samyoung Electronics Co., Ltd..................... 111,980 1,251,859 *SAVEZONE I&C Corp................................. 2,710 5,955 *SBS Media Holdings Co., Ltd....................... 354,030 939,785 #Seah Besteel Corp................................. 100,300 5,155,107 SeAH Holdings Corp................................ 13,089 1,723,546 #SeAH Steel Corp................................... 25,067 2,140,961 #Sebang Co., Ltd................................... 110,680 1,706,736 #Sejong Industrial Co., Ltd........................ 112,200 2,138,657 #Seowon Co., Ltd................................... 156,260 546,671 #*SGWICUS Corp...................................... 268,720 96,415 Shell-Line Co., Ltd............................... 17,510 76,235 #Shin Won Corp..................................... 348,090 426,644 *Shin Young Securities Co., Ltd.................... 30,000 1,009,351 Shin Young Wacoal, Inc............................ 273 24,448 #*Shinhan Engineering & Construction Co., Ltd....... 9,450 42,259 Shinhan Financial Group Co., Ltd.................. 2,734,497 134,149,237 #Shinhan Financial Group Co., Ltd. ADR............. 802,794 77,887,074 Shinpoong Pharmaceutical Co., Ltd................. 15,224 582,443 Shinsegae Engineering & Construction Co., Ltd..... 2,630 32,453 Shinsegae Information & Communication Co., Ltd.... 3,488 177,713 *Shinsung Tongsang Co., Ltd........................ 342,500 146,782 #Silla Trading Co., Ltd............................ 58,213 874,875 #Sindo Ricoh Co., Ltd.............................. 43,674 2,151,748 SJM Co., Ltd...................................... 29,248 235,903 #SJM Holdings Co., Ltd............................. 31,331 113,429 #SK Chemicals Co., Ltd............................. 51,866 3,663,977 SK Co., Ltd....................................... 288,956 51,929,824 SK Gas Co., Ltd................................... 31,816 1,510,214 SK Innovation Co., Ltd............................ 136,413 29,675,268 SK Networks Co., Ltd.............................. 991,173 10,984,052 SKC Co., Ltd...................................... 77,301 4,446,319 #*Ssangyong Cement Industrial Co., Ltd.............. 230,026 1,465,798 #STX Corp.......................................... 185,047 4,617,568 #STX Engine Co., Ltd............................... 160,070 4,336,321 #STX Offshore & Shipbuilding Co., Ltd.............. 366,540 10,822,363 #STX Pan Ocean Co., Ltd............................ 1,268,470 10,295,154 Suheung Capsule Co., Ltd.......................... 52,370 504,030 Sung Bo Chemicals Co., Ltd........................ 3,800 82,596 #*Sung Shin Cement Co., Ltd......................... 85,800 241,243 #*Sunjin Co., Ltd................................... 34,369 341,557 *Sunjin Holdings Co., Ltd.......................... 5,852 133,635 #Tae Kwang Industrial Co., Ltd..................... 3,934 5,578,408 #Tae Kyung Industrial Co., Ltd..................... 98,860 414,237 #Taeyoung Engineering & Construction............... 424,630 2,221,597 #*Tai Han Electric Wire Co., Ltd.................... 763,827 3,698,994 #Tai Lim Packaging Industries Co., Ltd............. 356,010 429,935 *Tec & Co.......................................... 256,160 36,026 #*Teems, Inc........................................ 2,675 65,898 Telcoware Co., Ltd................................ 36,000 250,819 *Tong Kook Corp.................................... 607 885 *Tong Yang Major Corp.............................. 195,879 344,351 #*Tong Yang Moolsan Co., Ltd........................ 56,130 959,145 *Tong Yang Securities, Inc......................... 936,879 6,898,440 #TS Corp........................................... 24,438 1,003,380
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- SOUTH KOREA -- (Continued) #Unid Co., Ltd. 34,190 $ 2,320,087 #Union Steel Manufacturing Co., Ltd. 41,357 972,637 *Visang Education, Inc. 2,410 21,364 *Whanin Pharmaceutical Co., Ltd. 1,520 9,863 Wiscom Co., Ltd. 32,980 130,565 #*Woongjin Holdings Co., Ltd. 383,044 3,224,883 Woori Finance Holdings Co., Ltd. 3,045,147 41,612,778 #Woori Finance Holdings Co., Ltd. ADR 8,505 344,708 Woori Financial Co., Ltd. 95,550 1,579,825 *Woori Investment & Securities Co., Ltd. 1,085,820 21,797,722 YESCO Co., Ltd. 18,780 426,069 Yoosung Enterprise Co., Ltd. 109,715 282,897 #Youlchon Chemical Co., Ltd. 118,030 975,677 #Young Poong Corp. 4,728 4,098,773 *Young Poong Mining & Construction Corp. 18,030 925 #Youngone Holdings Co., Ltd. 48,452 1,658,555 *Yuhwa Securities Co., Ltd. 28,680 397,558 *Zinus, Inc. 1,866 6,530 -------------- TOTAL SOUTH KOREA 2,249,132,310 -------------- TAIWAN -- (11.7%) *A.G.V. Products Corp. 4,916,429 2,372,470 *Abocom Systems, Inc. 340,752 123,403 Acbel Polytech, Inc. 1,947,219 1,489,826 Accton Technology Corp. 6,666,000 4,408,191 Acer, Inc. 650,000 1,219,414 #*Action Electronics Co., Ltd. 2,751,000 954,387 Advanced Semiconductor Engineering, Inc. 1,045,375 1,224,372 Advancetek Enterprise Co., Ltd. 2,000 1,733 Allis Electric Co., Ltd. 1,771,000 693,967 Alpha Networks, Inc. 2,682,237 2,144,355 Altek Corp. 1,256,168 1,743,860 Ambassador Hotel (The) 274,000 454,460 #*Ampoc Far East Co., Ltd. 645,000 471,485 #Amtran Technology Co., Ltd. 6,126,648 5,449,525 *APCB, Inc. 655,000 656,774 #Apex Science & Engineering Corp. 777,840 315,506 *Arima Communications Corp. 2,682,000 1,303,976 *Arima Optoelectronics Corp. 1,270,500 542,643 #Asia Cement Corp. 19,347,837 25,940,552 Asia Chemical Corp. 2,100,000 1,399,422 #*Asia Optical Co, Inc. 2,713,290 5,230,415 Asia Polymer Corp. 2,088,586 3,757,070 Asia Vital Components Co., Ltd. 729,811 814,504 Asustek Computer, Inc. 4,213,913 38,041,681 *AU Optronics Corp. 7,613,812 6,137,331 #*AU Optronics Corp. Sponsored ADR 7,615,683 61,687,032 Audix Corp. 1,293,164 1,652,109 Aurora Systems Corp. 572,281 603,005 #Avision, Inc. 2,332,555 1,695,648 *Bank of Kaohsiung 4,351,926 2,128,773 *Basso Industry Corp., Ltd. 132,000 116,162 #BES Engineering Corp. 16,644,443 5,699,623 #Biostar Microtech International Corp. 824,055 491,326 C Sun Manufacturing, Ltd. 724,837 675,651 Cameo Communications, Inc. 2,040,130 921,957 Capital Securities Corp. 10,731,761 5,234,175 *Carnival Industrial Corp. 3,940,000 1,399,208 Catcher Technology Co., Ltd. 1,676,326 10,550,173 #Cathay Chemical Works, Inc. 959,000 468,859 Cathay Real Estate Development Co., Ltd. 9,449,421 4,899,616
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TAIWAN -- (Continued) Central Reinsurance Co., Ltd. 2,477,781 $ 1,536,320 #Chain Qui Development Co., Ltd. 1,206,173 1,024,599 Champion Building Materials Co., Ltd. 3,571,828 3,074,429 Chang Hwa Commercial Bank 44,281,459 38,701,525 *Chang-Ho Fibre Corp. 192,000 93,321 #Charoen Pokphand Enterprises Co., Ltd. 2,214,000 1,502,013 Cheng Loong Corp. 10,354,480 5,124,599 #Cheng Uei Precision Industry Co., Ltd. 3,171,142 6,378,252 #Chia Hsin Cement Corp. 5,730,825 3,608,885 *Chia Hsin Food & Synthetic Fiber Co., Ltd. 514,966 -- Chien Kuo Construction Co., Ltd. 1,464,300 844,236 *Chien Shing Stainless Steel Co., Ltd. 2,668,000 646,939 Chilisin Electronics Corp. 503,300 488,927 #*Chimei Innolux Corp 57,224,389 58,904,264 *China Airlines, Ltd. 23,173,252 14,834,350 China Chemical & Pharmaceutical Co. 480,264 450,169 China Development Financial Holding Corp. 95,051,443 39,882,463 China Electric Manufacturing Co., Ltd. 704,200 622,046 China General Plastics Corp. 4,278,000 2,265,211 China Glaze Co., Ltd. 1,131,363 982,880 *China Man-Made Fiber Co., Ltd. 13,302,813 6,217,741 China Metal Products Co., Ltd. 2,116,248 2,228,376 China Motor Co., Ltd. 7,075,749 6,708,626 *China Petrochemical Development Corp. 16,397,580 20,463,077 *China Rebar Co., Ltd. 439,188 -- #China Steel Structure Co., Ltd. 1,551,219 1,636,101 China Synthetic Rubber Corp. 4,910,711 5,263,178 *China United Trust & Investment Corp. 493,999 -- #*China Wire & Cable Co., Ltd. 2,900,000 1,177,070 Chinatrust Financial Holdings Co., Ltd. 63,452,646 58,296,613 Chin-Poon Industrial Co., Ltd. 4,351,815 3,613,688 #*Chun Yu Works & Co., Ltd. 2,106,000 712,539 Chun Yuan Steel Industrial Co., Ltd. 4,442,191 2,431,721 Chung Hsin Electric & Machinery Co., Ltd. 4,214,000 2,652,769 #*Chung Hung Steel Corp. 6,962,545 4,154,897 #*Chung Hwa Pulp Corp. 7,686,419 4,463,130 *Chung Shing Textile Co., Ltd. 600 10 #*Chungwa Picture Tubes Co., Ltd. 22,802,692 3,066,968 #*Chuwa Wool Industry Co., Ltd. 315,189 443,511 #*Chyang Sheng Dyeing & Finishing Co., Ltd. 328,000 128,295 #*CMC Magnetics Corp. 30,509,830 7,432,198 Collins Co., Ltd. 2,011,823 982,430 *Compal Communications, Inc. 609,000 520,607 #Compal Electronics, Inc. 23,462,332 26,649,101 #*Compeq Manufacturing Co., Ltd. 13,895,000 8,062,333 *Compex International Co., Ltd. 46,400 324 *Continental Holdings Corp. 5,742,848 2,637,183 *Cosmos Bank Taiwan 852,756 240,502 #Coxon Precise Industrial Co., Ltd. 502,000 1,026,144 CSBC Corp. Taiwan. 1,294,256 1,269,860 DA CIN Construction Co., Ltd. 1,565,579 1,050,183 Darfon Electronics Corp. 2,543,950 3,249,112 *De Licacy Industries Co., Ltd. 145,000 52,529 #Delpha Construction Co., Ltd. 2,730,078 1,479,519 #Depo Auto Parts Industrial Co., Ltd. 191,000 481,053 *Der Pao Construction Co., Ltd. 1,139,000 32,613 Diamond Flower Electric Instrument Co., Ltd. 200,280 203,072 #D-Link Corp. 7,407,939 7,071,345 Dynamic Electronics Co., Ltd. 2,145,000 1,429,389 E.Sun Financial Holding Co., Ltd. 28,778,938 20,420,916 *Eastern Media International Corp. 10,073,399 2,443,865
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TAIWAN -- (Continued) Eclat Textile Co., Ltd. 1,090,980 $ 1,689,008 #Edom Technology Co., Ltd. 1,009,800 492,387 Elite Material Co., Ltd. 36,991 38,197 Elitegroup Computer Systems Co., Ltd. 8,285,066 2,884,237 *EnTie Commercial Bank 940,232 531,627 *Eva Airways Corp. 13,417,944 12,371,475 *Ever Fortune Industrial Co., Ltd. 409,000 4,713 *Everest Textile Co., Ltd. 3,721,002 1,080,774 Evergreen International Storage & Transport Corp. 5,811,000 5,144,636 *Evergreen Marine Corp., Ltd. 14,503,527 13,442,091 #*Everspring Industry Co., Ltd. 1,659,180 527,962 *Excel Cell Electronics Co., Ltd. 239,000 148,812 Far Eastern Department Stores Co., Ltd. 6,897,740 12,211,276 #Far Eastern International Bank 16,608,612 7,989,972 Federal Corp. 4,246,546 2,888,173 #First Copper Technology Co., Ltd. 3,167,750 1,581,382 First Financial Holding Co., Ltd. 62,688,366 58,162,950 First Hotel 724,129 737,760 First Insurance Co., Ltd. 2,284,064 1,589,072 #*Forhouse Corp. 4,003,635 3,759,045 Formosa Chemicals & Fiber Co., Ltd. 3,318,660 13,420,240 #*Formosa Oilseed Processing Co., Ltd. 1,038,071 558,032 Formosa Taffeta Co., Ltd. 8,335,511 9,039,605 Formosan Rubber Group, Inc. 3,963,000 4,033,080 #*Formosan Union Chemical Corp. 1,617,176 1,048,225 *Founding Construction & Development Co., Ltd. 790,098 633,666 *Froch Enterprise Co., Ltd. 870,000 537,934 *FU I Industrial Co., Ltd. 290,400 93,363 Fubon Financial Holding Co., Ltd. 45,381,501 66,664,005 #Fullerton Technology Co., Ltd. 1,033,000 1,454,989 #Fwusow Industry Co., Ltd. 2,050,002 1,187,719 #G Shank Enterprise Co., Ltd. 1,149,880 885,158 #Gamma Optical Co., Ltd. 828,000 502,320 #*Gemtek Technology Corp. 554,000 712,807 Getac Technology Corp. 4,016,065 2,043,407 #*Giantplus Technology Co., Ltd. 3,225,100 2,197,170 #Giga-Byte Technology Co., Ltd. 6,540,287 6,804,963 *Global Brands Manufacture, Ltd. 1,381,000 866,306 #*Gold Circuit Electronics, Ltd. 6,426,965 2,843,520 Goldsun Development & Construction Co., Ltd. 16,193,328 8,214,184 Good Will Instrument Co., Ltd. 402,853 337,816 *Gordon Auto Body Parts Co., Ltd. 131,000 42,488 Grand Pacific Petrochemical Corp. 9,569,000 6,556,355 Great China Metal Industry Co., Ltd. 1,724,000 2,170,732 Great Wall Enterprise Co. Ltd. 2,735,162 3,401,664 *Greatek Co., Ltd. 2,156,842 1,983,146 #*GTM Corp. 2,154,000 1,551,871 Hannstar Board Corp. 2,788,666 1,687,600 #*HannStar Display Corp. 52,179,000 9,200,646 *Helix Technology, Inc. 29,585 -- #Hey Song Corp. 4,889,000 4,479,807 Hitron Technologies, Inc. 1,103,525 851,556 #*Ho Tung Holding Corp. 7,261,503 5,108,997 #*Hocheng Corp. 3,720,300 1,523,014 #*Hold-Key Electric Wire & Cable Co., Ltd. 2,226,548 1,503,436 #Holy Stone Enterprise Co., Ltd. 2,125,643 2,647,198 *Hong Ho Precision Textile Co., Ltd. 86,000 55,389 #Hong Tai Electric Industrial Co., Ltd. 2,583,000 1,238,714 *Hong Yi Fiber Industry Co., Ltd. 376,000 204,110 Hsin Kuang Steel Co., Ltd. 2,898,124 3,280,408 Hsing Ta Cement Co., Ltd. 2,071,980 770,897
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TAIWAN -- (Continued) Hua Eng Wire & Cable Co., Ltd. 5,413,035 $ 2,140,129 Hua Nan Financial Holding Co., Ltd. 16,025,422 12,832,479 *Hualon Corp. 257,040 9,693 #Hung Ching Development & Construction Co., Ltd. 1,838,468 1,133,501 Hung Sheng Construction Co., Ltd. 6,782,892 4,012,462 #*Hwa Fong Rubber Co., Ltd. 2,903,960 979,528 #Ichia Technologies, Inc. 3,942,260 2,462,377 *I-Chiun Precision Industry Co., Ltd. 571,000 556,966 #*Inotera Memories, Inc. 20,492,728 10,305,363 Inventec Appliances Corp. 848,000 684,891 #Inventec Co., Ltd. 21,036,777 11,327,170 *ITE Technology, Inc. 189,000 279,339 #*Jui Li Enterprise Co., Ltd. 693,760 231,854 #K Laser Technology, Inc. 1,387,601 797,248 Kang Na Hsiung Enterprise Co., Ltd. 1,579,078 1,050,717 *Kao Hsing Chang Iron & Steel Corp. 1,589,000 364,908 #Kaulin Manufacturing Co., Ltd. 1,899,656 2,543,526 Kee Tai Properties Co., Ltd. 1,086,750 655,774 *King Yuan Electronics Co., Ltd. 14,588,805 8,209,936 Kingdom Construction Co., Ltd. 2,318,000 1,832,119 *King's Town Bank 10,189,012 6,588,328 *Kinko Optical Co., Ltd. 992,131 1,400,490 *Kinpo Electronics, Inc. 13,860,375 4,533,156 *Knowledge-Yield-Excellence Systems Corp. 302,000 249,516 *KS Terminals, Inc. 138,000 138,525 *Kuoyang Construction Co., Ltd. 641,029 508,009 #*Kwong Fong Industries Corp. 3,944,900 1,705,581 #L&K Engineering Co., Ltd. 1,006,000 1,234,933 *Lan Fa Textile Co., Ltd. 2,808,994 1,682,150 LCY Chemical Corp. 966,658 2,863,305 #*Lead Data Co., Ltd. 2,542,457 350,720 *Leader Electronics, Inc. 681,056 391,915 Lealea Enterprise Co., Ltd. 6,902,473 4,024,013 #Lee Chi Enterprises Co., Ltd. 2,173,900 1,068,002 #*Lelon Electronics Corp. 1,140,000 886,044 *Leofoo Development Co., Ltd. 2,133,803 1,452,126 #*Li Peng Enterprise Co., Ltd. 5,144,712 2,679,507 Lian Hwa Foods Corp. 260,000 257,196 #Lien Chang Electronic Enterprise Co., Ltd. 666,610 328,025 Lien Hwa Industrial Corp. 5,746,640 4,413,440 Lingsen Precision Industries, Ltd. 4,591,480 3,849,690 #*LITE-ON IT Corp. 3,244,000 3,521,878 *Lite-On Semiconductor Corp. 2,547,190 1,568,066 Lite-On Technology Corp. 22,412,448 28,419,390 Long Bon International Co., Ltd. 2,513,301 988,009 Long Chen Paper Co., Ltd. 6,508,369 2,664,152 #Lucky Cement Corp. 3,099,000 819,375 Macronix International Co., Ltd. 37,064,028 24,367,945 Marketech International Corp. 1,697,000 1,182,663 Masterlink Securities Corp. 12,719,000 5,696,452 #*Maxtek Technology Co., Ltd. 279,000 331,633 Mayer Steel Pipe Corp. 1,309,200 993,693 #Maywufa Co., Ltd. 252,070 146,559 Mega Financial Holding Co., Ltd. 84,568,731 73,886,615 *Megamedia Corp. 782 6 #Meiloon Co., Ltd. 1,595,352 890,196 Mercuries & Associates, Ltd. 3,759,520 3,066,920 *Mercuries Data Systems, Ltd. 973,800 555,337 Merry Electronics Co., Ltd. 175,000 280,650 *Microelectronics Technology, Inc. 4,583,911 2,342,336 #Micro-Star International Co., Ltd. 11,596,985 6,040,969
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TAIWAN -- (Continued) #Mitac International Corp. 13,700,450 $ 5,798,882 Mobiletron Electronics Co., Ltd. 138,000 115,870 *Mosel Vitelic, Inc. 6,564,170 3,063,069 Nantex Industry Co., Ltd. 1,973,329 1,954,743 *Nanya Technology Corp. 484,000 245,884 #*New Asia Construction & Development Co., Ltd. 2,366,542 1,009,322 *Nichidenbo Corp. 70,000 84,841 Nien Hsing Textile Co., Ltd. 4,097,226 3,438,813 *Ocean Plastics Co., Ltd. 7,776 5,821 *Optimax Technology Corp. 1,702,957 209,749 *Opto Tech Corp. 150,000 103,204 *Orient Semiconductor Electronics, Ltd. 3,892,276 1,006,588 Oriental Union Chemical Corp. 3,567,225 5,243,547 *Pacific Construction Co., Ltd. 3,341,256 582,166 *Pan Jit International, Inc. 2,316,837 2,983,639 *Pan-International Industrial Corp. 707,000 899,478 #*Paragon Technologies Co., Ltd. 424,000 751,671 *Pegatron Corp. 8,364,998 8,850,568 Phihong Technology Co., Ltd. 562,320 1,088,398 *Picvue Electronics, Ltd. 241,600 -- #Plotech Co., Ltd. 892,282 651,419 Polaris Securities Co., Ltd. 22,281,716 16,051,403 *Potrans Electrical Corp. 1,139,000 173,404 Pou Chen Corp. 21,855,550 20,649,547 *Power Quotient International Co., Ltd. 495,000 266,460 President Securities Corp. 7,704,710 5,123,892 Prince Housing & Development Corp. 4,734,846 3,494,633 *Procomp Informatics, Ltd. 391,440 -- *Prodisc Technology, Inc. 6,185,157 56,303 #Promate Electronic Co., Ltd. 633,000 510,061 *Qisda Corp. 13,437,952 7,661,311 *Quintain Steel Co., Ltd. 3,712,250 1,483,563 Radiant Opto-Electronics Corp. 4,193,786 12,705,498 Radium Life Tech Corp. 1,292,510 1,641,571 Ralec Electronic Corp. 533,087 1,172,941 *Realtek Semiconductor Corp. 1,384,000 2,757,265 #*Rechi Precision Co., Ltd. 3,673,000 2,883,986 *Rexon Industrial Corp., Ltd. 112,000 31,392 #*Ritek Corp. 33,365,622 9,519,930 *Sainfoin Technology Corp. 835,498 -- *Sampo Corp. 6,274,925 2,632,218 *Sanyang Industrial Co., Ltd. 8,548,268 4,934,331 Sanyo Electric Taiwan Co., Ltd. 368,000 421,964 *Shan-Loong Transportation Co., Ltd. 33,000 22,045 Sheng Yu Steel Co., Ltd. 1,745,000 1,289,072 *Shih Wei Navigation Co., Ltd. 141,000 191,675 Shihlin Electric & Engineering Corp. 3,452,000 4,344,954 *Shin Kong Financial Holding Co., Ltd. 57,537,151 25,261,545 *Shin Zu Shing Co., Ltd. 328,067 799,181 Shinkong Insurance Co., Ltd. 1,630,412 1,368,174 #Shinkong Synthetic Fibers Co., Ltd. 17,116,727 7,937,862 #*Shuttle, Inc. 556,015 323,184 #Sigurd Microelectronics Corp. 4,949,047 4,676,495 Silicon Integrated Systems Corp. 7,347,165 4,150,820 Sinbon Electronics Co., Ltd. 1,797,000 1,483,704 Sincere Navigation Corp. 2,114,740 2,435,707 Sinkang Industries, Ltd. 979,669 611,330 #Sinon Corp. 4,490,877 2,179,789 SinoPac Holdings Co., Ltd. 65,853,809 31,292,902 #*Siward Crystal Technology Co., Ltd. 1,623,875 934,199 *Solomon Technology Corp. 1,375,950 632,834
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TAIWAN -- (Continued) #*Solytech Enterprise Corp. 731,000 $ 438,027 South East Soda Manufacturing Co., Ltd. 927,500 1,170,821 Southeast Cement Co., Ltd. 3,279,700 1,465,228 SPI Electronic Co., Ltd. 403,938 445,967 #Spirox Corp. 1,137,661 876,502 Springsoft, Inc. 2,057,000 2,430,313 Standard Chemical & Pharmaceutical Co., Ltd. 155,310 175,607 *Star Comgistic Capital Co., Ltd. 275,460 338,512 Stark Technology, Inc. 1,234,200 1,138,864 Sunonwealth Electric Machine Industry Co., Ltd. 486,421 427,060 #*Sunplus Technology Co., Ltd. 6,192,620 4,060,528 *Sunrex Technology Corp. 105,000 103,503 *Sunspring Metal Corp. 17,000 26,451 #Supreme Electronics Co., Ltd. 2,292,681 2,199,539 Sweeten Construction Co., Ltd. 992,250 628,834 Sysware Systex Corp. 828,801 1,222,162 T.JOIN Transportation Co., Ltd. 1,783,000 2,140,068 Ta Chen Stainless Pipe Co., Ltd. 4,446,522 3,177,852 #*Ta Chong Bank, Ltd. 18,321,524 7,374,876 Ta Ya Electric Wire & Cable Co., Ltd. 6,159,732 1,924,098 #Tah Hsin Industrial Corp. 1,465,000 1,410,630 TA-I Technology Co., Ltd. 615,583 681,468 *Taichung Commercial Bank 15,441,254 6,479,134 #Tainan Enterprises Co., Ltd. 937,183 1,382,820 Tainan Spinning Co., Ltd. 12,225,080 8,215,262 *Taishin Financial Holdings Co., Ltd. 55,265,396 32,574,314 #Taisun Enterprise Co., Ltd. 2,498,549 1,595,364 #*Taita Chemical Co., Ltd. 3,244,400 1,899,208 *Taiwan Business Bank 35,169,219 14,316,313 Taiwan Cement Corp. 34,884,440 51,251,639 #Taiwan Cogeneration Corp. 3,436,760 2,389,551 #Taiwan Cooperative Bank 46,747,213 39,254,120 *Taiwan Flourescent Lamp Co., Ltd. 756,000 78,666 #Taiwan Fu Hsing Industrial Co., Ltd. 780,000 618,939 Taiwan Glass Industrial Corp. 8,296,447 13,563,726 *Taiwan Kolin Co., Ltd. 5,797,000 -- #*Taiwan Land Development Corp. 3,752,366 1,973,820 Taiwan Mask Corp. 2,482,250 1,058,525 *Taiwan Navigation Co., Ltd. 125,000 142,932 Taiwan Paiho Co., Ltd. 1,634,850 2,037,774 #*Taiwan Pulp & Paper Corp. 5,307,000 3,199,758 Taiwan Sakura Corp. 890,326 713,426 Taiwan Sogo Shinkong Security Co., Ltd. 1,503,205 1,318,071 #Taiwan Styrene Monomer Corp. 6,279,856 3,122,616 Taiwan Tea Corp. 6,333,092 3,980,868 #Taiyen Biotech Co., Ltd. 2,185,000 1,952,610 *Tatung Co., Ltd. 21,497,982 10,791,369 *Teapo Electronic Corp. 1,508,840 430,614 #Teco Electric & Machinery Co., Ltd. 21,219,725 15,033,909 *Tecom, Ltd. 823,753 215,708 Test-Rite International Co., Ltd. 1,786,331 1,430,212 Ton Yi Industrial Corp. 8,715,810 5,276,620 #Tong Yang Industry Co., Ltd. 2,070,489 2,984,801 Tong-Tai Machine & Tool Co., Ltd. 293,000 497,551 Topco Scientific Co., Ltd. 1,286,980 1,919,826 #*Topoint Technology Co., Ltd. 675,000 683,083 Tsann Kuen Enterprise Co., Ltd. 75,508 166,981 *Tung Ho Spinning, Weaving & Dyeing Co., Ltd. 2,432,000 1,236,049 Tung Ho Steel Enterprise Corp. 4,684,274 5,546,686 TYC Brother Industrial Co., Ltd. 2,082,651 1,249,643 #*Tycoons Group Enterprise Co., Ltd. 5,383,938 1,666,723
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TAIWAN -- (Continued) #Tze Shin International Co., Ltd. 1,106,113 $ 495,191 Unimicron Technology Corp. 8,525,363 14,063,776 *Union Bank of Taiwan 7,888,282 2,967,202 #Unitech Electronics Co., Ltd. 1,308,739 754,026 *Unitech Printed Circuit Board Corp. 6,375,265 4,296,380 United Integration Service Co., Ltd. 1,309,000 2,000,434 #United Microelectronics Corp. 146,596,681 76,516,058 #Universal Cement Corp. 5,205,551 3,444,705 #*Universal Microelectronics Co., Ltd. 992,491 573,498 Universal, Inc. 81,059 66,656 UPC Technology Corp. 7,006,415 5,945,862 USI Corp. 5,806,080 7,784,753 #*U-Tech Media Corp. 1,952,799 610,652 #Ve Wong Corp. 1,462,806 1,190,363 *Waffer Technology Co., Ltd. 1,507,000 320,370 Wah Lee Industrial Corp. 16,000 32,170 #*Walsin Lihwa Corp. 40,647,412 23,594,805 #*Walsin Technology Corp., Ltd. 6,750,876 4,143,251 #Walton Advanced Engineering, Inc. 2,928,853 1,465,014 *Wan Hai Lines Co., Ltd. 3,377,000 2,587,320 Wan Hwa Enterprise Co., Ltd. 663,514 374,495 Waterland Financial Holdings Co., Ltd. 25,991,080 12,392,519 *Wei Chih Steel Industrial Co., Ltd. 1,914,898 678,720 Weikeng Industrial Co., Ltd. 1,431,000 1,395,319 *Well Shin Technology Co., Ltd. 159,000 279,795 Wellypower Optronics Corp. 1,786,000 2,066,523 #*Winbond Electronics Corp. 36,386,885 11,510,807 *Wintek Corp. 3,838,000 5,615,956 WPG Holdings, Ltd. 1,388,158 2,571,399 WT Microelectronics Co., Ltd. 2,215,000 3,899,294 #*WUS Printed Circuit Co., Ltd. 5,309,928 3,341,253 Yageo Corp. 30,712,840 16,676,093 *Yang Ming Marine Transport Corp. 14,964,615 12,693,262 *Yem Chio Co., Ltd. 227,000 231,949 Yeung Cyang Industrial Co., Ltd. 2,509,667 2,079,169 #*Yi Jinn Industrial Co., Ltd. 2,929,341 1,215,858 Yieh Phui Enterprise Co., Ltd. 10,889,986 4,269,725 Yuanta Financial Holding Co., Ltd. 34,960,422 24,330,713 Yuen Foong Yu Paper Manufacturing Co., Ltd. 12,295,416 5,718,155 Yulon Motor Co., Ltd. 11,058,572 23,049,880 *Yulon Nissan Motor Co., Ltd. 146,000 601,722 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 84,687 138,090 Yung Tay Engineering Co., Ltd. 3,582,000 6,696,648 Zenitron Corp. 1,976,000 1,508,738 Zig Sheng Industrial Co., Ltd. 4,847,548 3,234,220 Zippy Technology Corp. 343,000 305,642 #*Zyxel Communication Corp. 4,976,000 4,458,911 -------------- TOTAL TAIWAN 1,959,350,535 -------------- THAILAND -- (2.1%) Aapico Hitech PCL (Foreign) 539,800 236,897 Asia Plus Securities PCL (Foreign) 12,023,900 1,143,982 Asian Property Development PCL (Foreign) 3,317,000 700,070 Ayudhya Insurance PCL (Foreign) 228,500 148,889 Bangchak Petroleum PCL (Foreign) 7,266,900 5,234,116 Bangkok Bank PCL (Foreign) 5,983,200 34,075,176 Bangkok Bank PCL (Foreign) NVDR 4,793,500 27,299,665 Bangkok Expressway PCL (Foreign) 4,439,200 2,662,033 Bangkok First Investment & Trust PCL (Foreign) 132,300 27,701 Bangkok Insurance PCL (Foreign) 135,820 1,142,071 *Bangkokland PCL (Foreign) 89,137,003 2,269,485
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- THAILAND -- (Continued) Bank of Ayudhya PCL (Foreign) 16,269,800 $15,670,243 *Bank of Ayudhya PCL (Foreign) NVDR 3,010,900 2,899,946 Cal-Comp Electronics (Thailand) PCL (Foreign) 18,405,400 2,071,764 Capital Nomura Securities PCL (Foreign) 413,400 405,090 Central Plaza Hotel PCL (Foreign) 8,083,900 1,638,445 *Charoong Thai Wire & Cable PCL (Foreign) 127,000 45,524 Delta Electronics (Thailand) PCL (Foreign) 4,830,100 4,247,575 Eastern Water Resources Development & Management PCL (Foreign) 9,535,200 1,996,482 *Erawan Group PCL (Foreign) 4,288,950 367,830 *Esso Thailand PCL (Foreign) 12,060,800 4,363,707 *G J Steel PCL (Foreign) 214,856,100 1,727,486 *G Steel PCL (Foreign) 67,319,100 1,601,225 Hana Microelectronics PCL (Foreign) 2,883,900 2,386,343 Hermraj Land & Development PCL (Foreign) 64,383,100 5,003,980 ICC International PCL (Foreign) 2,710,500 3,722,965 IRPC PCL (Foreign) 99,669,500 20,701,873 *Italian-Thai Development PCL (Foreign) NVDR 20,701,800 3,065,392 Jasmine International PCL (Foreign) 27,831,800 3,580,372 *Kang Yong Electric PCL (Foreign) 1,900 14,194 Kasikornbank PCL (Foreign) 1,193,700 5,198,693 Kasikornbank PCL (Foreign) NVDR 164,500 697,127 KGI Securities Thailand PLC (Foreign) 11,847,800 1,024,031 Kiatnakin Finance PCL (Foreign) 3,374,300 3,730,382 Krung Thai Bank PCL (Foreign) 54,147,700 35,554,269 *Krungthai Card PCL (Foreign) 892,400 559,058 Laguna Resorts & Hotels PCL (Foreign) 1,342,400 3,496,536 Loxley PCL (Foreign) 3,513,700 329,593 MBK PCL (Foreign) 905,500 2,965,247 Padaeng Industry PCL (Foreign) NVDR 1,600,800 1,238,810 Precious Shipping PCL (Foreign) 5,065,000 3,156,080 PTT Aromatics & Refining PCL (Foreign) 14,616,616 20,198,841 PTT Chemical PCL (Foreign) 5,203,910 27,893,655 Quality Houses PCL (Foreign) 28,139,200 2,205,887 *Regional Container Lines PCL (Foreign) 4,874,500 1,779,968 Rojana Industrial Park PCL (Foreign) 322,500 129,648 Saha Pathana Inter-Holding PCL (Foreign) 3,262,400 2,185,863 Saha Pathanapibul PCL (Foreign) 1,594,833 1,469,277 *Saha-Union PCL (Foreign) 2,976,400 3,514,844 *Sahaviriya Steel Industries PCL (Foreign) 82,680,840 3,739,334 Samart Corporation PCL (Foreign) 800,000 255,946 *Sansiri PCL (Foreign) 9,982,900 2,023,335 *SC Asset Corp. PCL (Foreign) 822,200 322,269 Serm Suk PCL (Foreign) NVDR 39,000 59,121 *Shinawatra Satellite PCL (Foreign) 5,868,900 1,464,767 Siam Commercial Bank PCL (Foreign) 944,800 3,671,585 *Somboon Advance Technology PCL (Foreign) 633,500 441,434 Supalai PCL (Foreign) 495,566 199,223 *Tata Steel (Thailand) PCL (Foreign) 35,972,800 1,783,576 Thai Airways International PCL (Foreign) 7,908,811 10,134,406 Thai Carbon Black PCL (Foreign) 139,600 130,948 Thai Oil PCL (Foreign) 9,483,600 26,846,372 Thai Plastic & Chemicals PCL (Foreign) 3,787,100 3,520,671 Thai Rayon PCL (Foreign) 165,000 424,246 Thai Stanley Electric (Thailand) PCL (Foreign) 136,700 728,151 Thai Wacoal PCL (Foreign) 93,300 145,342 Thanachart Capital PCL (Foreign) 6,758,500 6,905,670 Thoresen Thai Agencies PCL (Foreign) 3,578,400 2,673,311 Ticon Industrial Connection PCL (Foreign) 607,000 280,623 Tisco Financial Group PCL (Foreign) 1,041,700 1,317,393 Total Access Communication PCL (Foreign) (B1XFLM7) 1,264,380 2,117,836 *Total Access Communication PCL (Foreign) (B231MK7) 36,700 62,089
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- THAILAND -- (Continued) *Total Access Communication PCL (Foreign) NVDR 7,842,900 $ 13,268,558 TPI Polene PCL (Foreign) 10,203,724 4,307,100 *Tycoons Worldwide Group PCL (Foreign) 1,243,300 322,800 Univentures PCL (Foreign) 3,481,400 335,894 Vanachai Group PCL (Foreign) 5,869,000 1,032,236 Vinythai PCL (Foreign) 5,239,317 3,106,731 ------------ TOTAL THAILAND 359,399,297 ------------ TURKEY -- (1.9%) Adana Cimento Sanayii Ticaret A.S. Class A 577,875 2,162,200 Adana Cimento Sanayii Ticaret A.S. Class C 299,447 192,842 *Advansa Sasa Polyester Sanayi A.S. 1,061,884 1,608,242 Akcansa Cimento Sanayi ve Ticaret A.S. 317,432 1,641,441 *Akenerji Elektrik Uretim A.S. 13,804 34,814 Aksa Akrilik Kimya Sanayii A.S. 1,424,767 3,902,973 Aksigorta A.S. 1,156,643 1,518,547 Alarko Holding A.S. 1,013,092 2,499,326 *Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 62,010 769,508 Anadolu Anonim Turk Sigorta Sirketi A.S. 3,100,852 2,737,802 *Anadolu Cam Sanayii A.S. 1,486,817 3,606,816 Arcelik A.S. 1,576,149 8,934,378 Asya Katilim Bankasi A.S. 192,797 381,873 Aydiner Enerji A.S. 415,323 882,521 Aygaz A.S. 1,118,602 8,312,285 Bati Anabolu Cimento A.S. 276,594 1,511,254 Bolu Cimento Sanayii A.S. 965,149 1,206,471 Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 98,391 1,531,346 Cimsa Cimento Sanayi ve Ticaret A.S. 518,069 3,493,922 *Deva Holding A.S. 892,982 1,832,642 *Dogan Gazetecilik A.S. 572,836 1,209,901 *Dogan Sirketler Grubu Holdings A.S. 11,632,189 9,234,430 *Dogan Yayin Holding A.S. 2,497,015 2,966,888 *Dogus Otomotiv Servis ve Ticaret A.S. 781,434 3,084,061 *Eczacibasi Yatirim Holding Ortakligi A.S. 353,854 1,631,450 *EGE Seramik Sanayi ve Ticaret A.S. 315,955 630,961 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 2,273,196 3,886,023 Enka Insaat ve Sanayi A.S. -- 1 *Eregli Demir ve Celik Fabrikalari T.A.S. (B03MS97) 7,016,269 21,363,379 *Eregli Demir ve Celik Fabrikalari T.A.S. (B63M9M9) 2,411,842 6,881,917 Gentas Genel Metal Sanayi ve Ticaret A.S. 365,220 629,393 *Global Yatirim Holding A.S. 3,131,327 2,803,555 *Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 552,019 366,532 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 6,390 370,529 *Goodyear Lastikleri T.A.S. 123,686 4,420,476 *GSD Holding A.S. 2,782,270 2,068,689 *Gunes Sigorta A.S. 480,743 821,307 Haci Omer Sabanci Holding A.S. -- 1 Hurriyet Gazetecilik ve Matbaacilik A.S. 2,245,783 2,924,391 *Ihlas EV Aletleri A.S. 1,149,932 1,262,823 *Ihlas Holding A.S. 3,525,036 4,276,953 *Ipek Matbacilik Sanayi Ve Ticaret A.S. 665,706 2,011,098 *Is Finansal Kiralama A.S. 1,103,680 1,224,283 Is Yatirim Menkul Degerler A.S. 300,827 493,060 *Isiklar Yatirim Holding A.S. 1,146,765 805,355 *Ittifak Holding A.S. 92,228 598,032 *Izmir Demir Celik Sanayi A.S. 789,682 2,981,465 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. 2,360,622 1,940,626 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 1,171,069 1,077,509 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 7,041,884 4,254,515 Koc Holding A.S. Series B 6,569,315 35,317,033 *Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 1,257,505 3,971,882
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares Value++ ------ ----- TURKEY -- (Continued) *Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,244,474 $ 4,433,057 Marshall Boya ve Vernik A.S. 1 49 *Marti Otel Isletmeleri A.S. 1,429,951 1,240,477 *Net Turizm Ticaret ve Sanayi A.S. 2,067,073 1,656,996 Nortel Networks Netas Telekomuenikasyon A.S. 50,899 4,970,376 *Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 145,574 420,500 *Petkim Petrokimya Holding A.S. 4,417,470 7,674,245 Pinar Entegre Et ve Un Sanayi A.S. 240,673 1,302,937 Pinar SUT Mamulleri Sanayii A.S. 195,977 2,111,467 *Raks Elektronik Sanayi ve Ticaret A.S. 5,859 3,043 *Sabah Yayincilik A.S. 31,938 79,792 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 668,335 2,232,918 Sekerbank T.A.S. 3,356,906 3,887,097 Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 546,336 939,811 *Soda Sanayii A.S. 639,860 1,112,481 Tekfen Holding A.S. 1,490,242 6,393,414 *Tekstil Bankasi A.S. 1,307,195 928,316 Tofas Turk Otomobil Fabrikasi A.S. 6,770 38,921 *Trakya Cam Sanayii A.S. 2,296,633 5,615,761 Turcas Petrol A.S. 760,663 2,151,318 Turk Ekonomi Bankasi A.S. 2,350,874 3,366,968 *Turk Hava Yollari A.S. 4,218,315 12,435,778 Turkiye Garanti Bankasi A.S. -- 1 Turkiye Is Bankasi A.S. 7,036,793 24,882,338 Turkiye Sinai Kalkinma Bankasi A.S. 3,344,452 6,412,433 *Turkiye Sise ve Cam Fabrikalari A.S. 4,617,423 11,329,656 Turkiye Vakiflar Bankasi T.A.O. 7,707,611 20,463,194 Ulker Biskuvi Sanayi A.S. 1,361,694 5,443,755 *Uzel Makina Sanayii A.S. 275,043 141,048 Vestel Beyaz Esya Sanayi ve Ticaret A.S. 716,001 1,524,995 *Vestel Elektronik Sanayi ve Ticaret A.S. 1,086,476 1,940,666 *Yapi ve Kredi Bankasi A.S. 505,388 1,589,193 --------------- TOTAL TURKEY....................................................................... 310,992,722 --------------- UNITED STATES -- (0.0%)............................................................ *Central European Media Enterprises, Ltd. Class A 274,091 6,279,425 --------------- TOTAL COMMON STOCKS................................................................ 14,732,511,576 --------------- PREFERRED STOCKS -- (4.6%)......................................................... BRAZIL -- (4.6%)................................................................... Alpargatas SA 783,700 5,678,985 Banco Alfa de Investimento SA 61,726 257,976 Banco Cruzeiro do Sul SA 5,100 46,649 Banco do Estado do Rio Grande do Sul SA 1,412,133 16,785,461 *Braskem SA Preferred A 1,479,200 21,390,669 #Braskem SA Preferred A Sponsored ADR 346,836 10,346,118 Cia Brasileira de Distribuicao Grupo Pao de Acucar SA 192,521 8,541,804 #Cia Brasileira de Distribuicao Grupo Pao de Acucar SA Sponsored ADR Series A 211,889 9,632,474 Cia de Tecidos Norte de Minas - Coteminas SA 901,775 2,688,358 Confab Industrial SA 3,297,408 9,138,506 Eucatex SA Industria e Comercio SA 14,900 83,346 Ferbasa-Ferro Ligas Da Bahia SA 588,065 4,594,024 Forjas Taurus SA 831,169 2,160,870 Gerdau SA 2,445,084 29,141,447 Gerdau SA Sponsored ADR 4,348,258 52,526,957 *Gol Linhas Aereas Inteligentes SA 63,600 883,738 *Inepar SA Industria e Construcoes 552,335 1,780,027 Itausa - Investimentos Itau SA 541,945 4,154,498 Klabin SA 6,967,752 26,972,800 Mangels Industrial SA 3,600 21,236 Marcopolo SA 2,644,660 11,733,872
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares ------ BRAZIL -- (Continued) Metalurgica Gerdau SA 4,022,600 Petroleo Brasileiro SA 563,700 #Petroleo Brasileiro SA ADR 10,516,809 Randon e Participacoes SA 354,750 *Suzano Papel e Celullose SA 2,865,174 Telemar Norte Leste SA 529,500 Ultrapar Participacoes SA 52,364 Ultrapar Participacoes SA Sponsored ADR 709,343 *Unipar Participacoes SA Class B 7,370,473 Usinas Siderurgicas de Minas Gerais SA Series A 7,223,910 *Vale SA Series B 239,144 Whirlpool SA 72,100 TOTAL BRAZIL INDIA -- (0.0%) *Ispat Industries, Ltd. 1,463,759 MALAYSIA -- (0.0%) *Malayan United Industries Berhad Series A2 1,526,067 TOTAL PREFERRED STOCKS RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) *BHG SA - Brazil Hospitality Group Rights 03/11/11 104 *Cia Brasileira de Distribuicao Grupo Pao de Acucar Rights 05/03/11 1,442 TOTAL BRAZIL CHINA -- (0.0%) #*Xiwang Sugar Holdings Co., Ltd. Warrants 02/22/12 1,031,456 POLAND -- (0.0%) *Boryszew SA Rights 2,065,160 TAIWAN -- (0.0%) *Unitech Printed Circuit Board Corp. Rights 06/13/11 1,134,016 TOTAL RIGHTS/WARRANTS Face Amount (000) TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $133,035,000 FNMA 2.24%, 07/06/15, valued at $136,360,875) to be repurchased at $134,343,127 $ 134,341
Value++ ----- BRAZIL -- (Continued) Metalurgica Gerdau SA $ 57,915,008 Petroleo Brasileiro SA 9,158,513 #Petroleo Brasileiro SA ADR 350,945,916 Randon e Participacoes SA 2,656,341 *Suzano Papel e Celullose SA 28,192,788 Telemar Norte Leste SA 18,390,465 Ultrapar Participacoes SA 915,338 Ultrapar Participacoes SA Sponsored ADR 12,761,081 *Unipar Participacoes SA Class B 2,108,259 Usinas Siderurgicas de Minas Gerais SA Series A 73,928,904 *Vale SA Series B -- Whirlpool SA 174,155 ------------ TOTAL BRAZIL 775,706,583 ------------ INDIA -- (0.0%) *Ispat Industries, Ltd. 270,524 ------------ MALAYSIA -- (0.0%) *Malayan United Industries Berhad Series A2 90,163 ------------ TOTAL PREFERRED STOCKS 776,067,270 ------------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) *BHG SA - Brazil Hospitality Group Rights 03/11/11 1,471 *Cia Brasileira de Distribuicao Grupo Pao de Acucar Rights 05/03/11 4,528 ------------ TOTAL BRAZIL 5,999 ------------ CHINA -- (0.0%) #*Xiwang Sugar Holdings Co., Ltd. Warrants 02/22/12 -- ------------ POLAND -- (0.0%) *Boryszew SA Rights 762,367 ------------ TAIWAN -- (0.0%) *Unitech Printed Circuit Board Corp. Rights 06/13/11 168,290 ------------ TOTAL RIGHTS/WARRANTS 936,656 ------------ Value+ TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $133,035,000 FNMA 2.24%, 07/06/15, valued at $136,360,875) to be repurchased at $134,343,127 134,341,000 ------------
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares/ Face Amount (000) SECURITIES LENDING COLLATERAL -- (6.6%) (S)@DFA Short Term Investment Fund 1,097,100,048 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralizedby $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $114,150)## to be repurchased at $111,912 $ 112 TOTAL SECURITIES LENDING COLLATERAL TOTAL INVESTMENTS -- (100.0%) (Cost $12,487,198,917)
Value+ SECURITIES LENDING COLLATERAL -- (6.6%) (S)@DFA Short Term Investment Fund $ 1,097,100,048 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralizedby $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $114,150)## to be repurchased at $111,912 111,912 --------------- TOTAL SECURITIES LENDING COLLATERAL 1,097,211,960 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $12,487,198,917) $16,741,068,462 ===============
39 (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)This item is not applicable. (a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3)This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Emerging Markets Value Fund By: /s/ David G. Booth -------------------------- David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: July 8, 2011 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 Dimensional Emerging Markets Value Fund Date: July 8, 2011 By: /s/ David R. Martin ------------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: July 8, 2011 EX-99.CERT 2 dex99cert.txt 302 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (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: July 8, 2011 By: /s/ David G. Booth ------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund 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 Dimensional Emerging Markets Value Fund (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: July 8, 2011 By: /s/ David R. Martin ------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906CERT 3 dex99906cert.txt 906 CERTIFICATIONS CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and David R. Martin, Principal Financial Officer, of Dimensional Emerging Markets Value Fund, a Delaware statutory trust (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended April 30, 2011 (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 Dimensional Emerging Markets Value Fund Date: July 8, 2011 By: /s/ David R. Martin ------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: July 8, 2011