N-CSR 1 d242683dncsr.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: October 31, 2011 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] DIMENSIONAL ANNUAL REPORT year ended: October 31, 2011 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND [LOGO] DIMENSIONAL Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 November 2011 Dear Fellow Shareholder, Our investment approach at Dimensional is based on a very solid story about risk and return. We keep a long-range focus built on that risk and return relationship. We don't think we can forecast where the markets are headed. The recent market volatility has reinforced our belief that Dimensional's approach is the right one. We've been fortunate this year to see strong positive inflows overall from our clients even as the industry has generally experienced outflows. We're pleased by this because it shows that clients understand and share our long-term, disciplined philosophy. Working together in this way benefits us both. Clients can stay focused on investment goals, and Dimensional can continue managing assets to help meet those goals. Our success over more than 30 years shows the ideas we built the firm on were indeed the right ones. We're optimistic about the future. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer [THIS PAGE INTENTIONALLY LEFT BLANK] ANNUAL REPORT TABLE OF CONTENTS PAGE ---- LETTER TO SHAREHOLDERS DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1 DFA INVESTMENT DIMENSIONS GROUP INC. Performance Charts................................................ 3 Management's Discussion and Analysis.............................. 13 Disclosure of Fund Expenses....................................... 26 Disclosure of Portfolio Holdings.................................. 31 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio......................... 34 U.S. Large Cap Value Portfolio................................ 38 U.S. Targeted Value Portfolio................................. 39 U.S. Small Cap Value Portfolio................................ 42 U.S. Core Equity 1 Portfolio.................................. 45 U.S. Core Equity 2 Portfolio.................................. 48 U.S. Vector Equity Portfolio.................................. 51 U.S. Small Cap Portfolio...................................... 54 U.S. Micro Cap Portfolio...................................... 57 DFA Real Estate Securities Portfolio.......................... 60 Large Cap International Portfolio............................. 62 International Core Equity Portfolio........................... 66 International Small Company Portfolio......................... 71 Japanese Small Company Portfolio.............................. 72 Asia Pacific Small Company Portfolio.......................... 72 United Kingdom Small Company Portfolio........................ 73 Continental Small Company Portfolio........................... 73 DFA International Real Estate Securities Portfolio............ 74 DFA Global Real Estate Securities Portfolio................... 77 DFA International Small Cap Value Portfolio................... 78 International Vector Equity Portfolio......................... 82 World ex U.S. Value Portfolio................................. 86 Emerging Markets Portfolio.................................... 87 Emerging Markets Small Cap Portfolio.......................... 87 Emerging Markets Value Portfolio.............................. 88 Emerging Markets Core Equity Portfolio........................ 89 Statements of Assets and Liabilities.............................. 93 Statements of Operations.......................................... 100 Statements of Changes in Net Assets............................... 107 Financial Highlights.............................................. 116 Notes to Financial Statements..................................... 132 Report of Independent Registered Public Accounting Firm........... 159 i TABLE OF CONTENTS CONTINUED PAGE ---- DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO Performance Chart.................................................... 160 Management's Discussion and Analysis................................. 161 Consolidated Disclosure of Fund Expenses............................. 162 Consolidated Disclosure of Portfolio Holdings........................ 163 Consolidated Schedule of Investments................................. 164 Consolidated Statement of Assets and Liabilities..................... 170 Consolidated Statement of Operations................................. 171 Consolidated Statement of Changes in Net Assets...................... 172 Consolidated Financial Highlights.................................... 173 Consolidated Notes to Financial Statements........................... 174 Report of Independent Registered Public Accounting Firm.............. 186 DIMENSIONAL INVESTMENT GROUP INC. Performance Charts................................................... 187 Management's Discussion and Analysis................................. 188 Disclosure of Fund Expenses.......................................... 192 Disclosure of Portfolio Holdings..................................... 194 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio................................ 195 U.S. Large Company Portfolio..................................... 196 Statements of Assets and Liabilities................................. 199 Statements of Operations............................................. 200 Statements of Changes in Net Assets.................................. 201 Financial Highlights................................................. 202 Notes to Financial Statements........................................ 204 Report of Independent Registered Public Accounting Firm.............. 216 THE DFA INVESTMENT TRUST COMPANY Performance Charts................................................... 217 Management's Discussion and Analysis................................. 220 Disclosure of Fund Expenses.......................................... 226 Disclosure of Portfolio Holdings..................................... 228 Schedules of Investments/Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series.................................. 230 The DFA International Value Series............................... 233 The Japanese Small Company Series................................ 237 The Asia Pacific Small Company Series............................ 240 The United Kingdom Small Company Series.......................... 243 The Continental Small Company Series............................. 246 The Canadian Small Company Series................................ 250 The Emerging Markets Series...................................... 253 The Emerging Markets Small Cap Series............................ 257 Statements of Assets and Liabilities................................. 261 Statements of Operations............................................. 263 Statements of Changes in Net Assets.................................. 265 Financial Highlights................................................. 268 Notes to Financial Statements........................................ 273 Report of Independent Registered Public Accounting Firm.............. 283 ii TABLE OF CONTENTS CONTINUED PAGE ---- DIMENSIONAL EMERGING MARKETS VALUE FUND Performance Chart....................................... 284 Management's Discussion and Analysis.................... 285 Disclosure of Fund Expenses............................. 287 Disclosure of Portfolio Holdings........................ 288 Summary Schedule of Portfolio Holdings.................. 289 Statement of Assets and Liabilities..................... 293 Statement of Operations................................. 294 Statements of Changes in Net Assets..................... 295 Financial Highlights.................................... 296 Notes to Financial Statements........................... 297 Report of Independent Registered Public Accounting Firm. 305 FUND MANAGEMENT............................................ 306 VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 315 NOTICE TO SHAREHOLDERS..................................... 316 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. iii [THIS PAGE INTENTIONALLY LEFT BLANK] DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS Investment Abbreviations ADR American Depositary Receipt FHLMC Federal Home Loan Mortgage Association FNMA Federal National Mortgage Association GDR Global Depositary Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust SPDR Standard & Poor's Depository Receipts Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in local currency or the Euro, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of October 31, 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. 1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED FINANCIAL HIGHLIGHTS (A) Computed using average shares outstanding. (B) Annualized (C) Non-Annualized (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (E) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS -- Amounts designated as -- are either zero or rounded to zero. RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations. 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 Enhanced U.S. Large ROUNDED Company Portfolio- S&P 500 E500 - 76 Institutional Class INDEX 10/31/2001 ---------- ------------------- --------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,747.89 10,767.06 12/31/2001 10,844.39 10,861.39 1/31/2002 10,687.58 10,702.88 2/28/2002 10,494.57 10,496.48 3/31/2002 10,824.08 10,891.24 4/30/2002 10,217.35 10,230.93 5/31/2002 10,156.68 10,155.55 6/30/2002 9,466.70 9,432.08 7/31/2002 8,783.54 8,696.90 8/31/2002 8,856.74 8,754.00 9/30/2002 7,902.35 7,802.62 10/31/2002 8,614.05 8,489.37 11/30/2002 9,092.61 8,989.05 2003 12/31/2002 8,589.12 8,460.85 1/31/2003 8,366.99 8,239.18 2/28/2003 8,255.92 8,115.59 3/31/2003 8,330.47 8,194.39 4/30/2003 9,024.67 8,869.36 5/31/2003 9,520.53 9,336.69 6/30/2003 9,633.01 9,456.20 7/31/2003 9,757.31 9,622.91 8/31/2003 9,943.75 9,810.56 9/30/2003 9,880.99 9,706.37 10/31/2003 10,404.32 10,255.46 11/30/2003 10,491.54 10,345.71 2004 12/31/2003 11,067.68 10,888.24 1/31/2004 11,267.55 11,088.09 2/29/2004 11,442.43 11,242.21 3/31/2004 11,281.00 11,072.57 4/30/2004 11,030.59 10,898.73 5/31/2004 11,168.32 11,048.26 6/30/2004 11,366.10 11,263.03 7/31/2004 11,001.88 10,890.23 8/31/2004 11,077.24 10,934.12 9/30/2004 11,187.68 11,052.53 10/31/2004 11,364.06 11,221.41 11/30/2004 11,779.82 11,675.43 2005 12/31/2004 12,178.76 12,072.75 1/31/2005 11,860.28 11,778.48 2/28/2005 12,089.59 12,026.29 3/31/2005 11,847.54 11,813.31 4/30/2005 11,643.71 11,589.21 5/31/2005 12,013.15 11,957.98 6/30/2005 12,025.81 11,974.96 7/31/2005 12,421.56 12,420.43 8/31/2005 12,332.20 12,307.15 9/30/2005 12,408.56 12,406.84 10/31/2005 12,151.65 12,200.02 11/30/2005 12,614.09 12,661.42 2006 12/31/2005 12,614.97 12,665.86 1/31/2006 12,953.81 13,001.25 2/28/2006 12,953.81 13,036.48 3/31/2006 13,115.98 13,198.78 4/30/2006 13,272.91 13,376.04 5/31/2006 12,880.60 12,991.08 6/30/2006 12,893.68 13,008.75 7/31/2006 12,972.14 13,089.01 8/31/2006 13,272.91 13,400.44 9/30/2006 13,612.90 13,745.77 10/31/2006 14,044.43 14,193.75 11/30/2006 14,319.05 14,463.71 2007 12/31/2006 14,510.63 14,666.60 1/31/2007 14,716.55 14,888.41 2/28/2007 14,428.26 14,597.21 3/31/2007 14,593.00 14,760.48 4/30/2007 15,224.49 15,414.30 5/31/2007 15,746.16 15,952.18 6/30/2007 15,471.60 15,687.17 7/31/2007 15,004.84 15,200.79 8/31/2007 15,210.76 15,428.65 9/30/2007 15,776.49 16,005.68 10/31/2007 16,029.59 16,260.33 11/30/2007 15,354.66 15,580.49 2008 12/31/2007 15,245.82 15,472.36 1/31/2008 14,290.07 14,544.02 2/29/2008 13,827.61 14,071.48 3/31/2008 13,765.94 14,010.69 4/30/2008 14,413.39 14,693.01 5/31/2008 14,613.79 14,884.02 6/30/2008 13,372.39 13,629.30 7/31/2008 13,263.29 13,514.68 8/31/2008 13,465.91 13,710.10 9/30/2008 12,226.06 12,488.39 10/31/2008 10,141.36 10,390.97 11/30/2008 9,451.69 9,645.41 2009 12/31/2008 9,562.64 9,748.04 1/31/2009 8,761.40 8,926.41 2/28/2009 7,803.39 7,975.93 3/31/2009 8,513.91 8,674.58 4/30/2009 9,353.06 9,504.83 5/31/2009 9,912.50 10,036.43 6/30/2009 9,947.46 10,056.30 7/31/2009 10,734.17 10,816.94 8/31/2009 11,153.74 11,207.43 9/30/2009 11,592.11 11,625.69 10/31/2009 11,381.34 11,409.72 11/30/2009 12,101.46 12,094.07 2010 12/31/2009 12,309.57 12,327.73 1/31/2010 11,886.32 11,884.30 2/28/2010 12,274.30 12,252.44 3/31/2010 12,997.35 12,991.80 4/30/2010 13,208.98 13,196.90 5/31/2010 12,168.49 12,143.13 6/30/2010 11,543.02 11,507.46 7/31/2010 12,357.41 12,313.71 8/31/2010 11,808.58 11,757.82 9/30/2010 12,864.84 12,807.13 10/31/2010 13,361.69 13,294.43 11/30/2010 13,343.94 13,296.13 2011 12/31/2010 14,237.00 14,184.73 1/31/2011 14,592.48 14,520.92 2/28/2011 15,072.38 15,018.39 3/31/2011 15,072.38 15,024.36 4/30/2011 15,552.28 15,469.30 5/31/2011 15,410.08 15,294.21 6/30/2011 15,143.47 15,039.27 7/31/2011 14,859.09 14,733.46 8/31/2011 14,041.48 13,933.12 9/30/2011 13,046.14 12,953.65 10/11 10/31/2011 14,485.83 14,369.39 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 8.41% 0.62% 3.78% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Large Cap ROUNDED Value Portfolio- RUSSELL 1000 LBKF - 35 Institutional Class VALUE INDEX ---------- ------------------- ------------ 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,941.33 10,581.00 12/31/2001 11,196.96 10,830.71 1/31/2002 11,313.21 10,747.32 2/28/2002 11,458.53 10,764.51 3/31/2002 11,935.16 11,273.67 4/30/2002 11,826.00 10,886.99 5/31/2002 11,898.78 10,941.42 6/30/2002 11,174.87 10,313.38 7/31/2002 9,934.03 9,354.24 8/31/2002 10,094.61 9,424.39 9/30/2002 8,970.72 8,376.40 10/31/2002 9,322.23 8,997.09 11/30/2002 9,981.30 9,563.91 2003 12/31/2002 9,526.91 9,148.84 1/31/2003 9,306.03 8,927.43 2/28/2003 9,033.63 8,689.07 3/31/2003 8,991.25 8,703.84 4/30/2003 9,818.03 9,469.78 5/31/2003 10,475.02 10,081.53 6/30/2003 10,587.70 10,207.55 7/31/2003 10,854.25 10,359.64 8/31/2003 11,239.26 10,521.25 9/30/2003 10,992.35 10,418.14 10/31/2003 11,727.65 11,055.73 11/30/2003 11,987.60 11,206.09 2004 12/31/2003 12,806.42 11,896.39 1/31/2004 13,022.84 12,105.76 2/29/2004 13,358.67 12,364.83 3/31/2004 13,304.88 12,256.02 4/30/2004 13,080.64 11,956.97 5/31/2004 13,155.39 12,078.93 6/30/2004 13,548.13 12,363.99 7/31/2004 13,105.77 12,189.66 8/31/2004 13,105.77 12,362.75 9/30/2004 13,509.81 12,554.38 10/31/2004 13,667.69 12,762.78 11/30/2004 14,562.33 13,408.58 2005 12/31/2004 15,142.95 13,857.76 1/31/2005 14,765.32 13,611.10 2/28/2005 15,210.92 14,061.62 3/31/2005 15,171.11 13,868.98 4/30/2005 14,649.27 13,620.72 5/31/2005 15,276.99 13,948.73 6/30/2005 15,587.68 14,101.26 7/31/2005 16,361.00 14,509.24 8/31/2005 16,224.54 14,446.19 9/30/2005 16,475.04 14,649.02 10/31/2005 16,034.09 14,276.97 11/30/2005 16,672.71 14,743.83 2006 12/31/2005 16,693.71 14,831.90 1/31/2006 17,484.26 15,407.84 2/28/2006 17,422.86 15,501.93 3/31/2006 17,729.13 15,711.91 4/30/2006 18,228.87 16,111.25 5/31/2006 17,890.58 15,704.27 6/30/2006 18,045.83 15,804.62 7/31/2006 17,783.40 16,188.89 8/31/2006 18,068.99 16,459.82 9/30/2006 18,568.54 16,787.77 10/31/2006 19,304.16 17,337.39 11/30/2006 19,668.10 17,733.15 2007 12/31/2006 20,063.25 18,131.24 1/31/2007 20,643.29 18,363.12 2/28/2007 20,333.41 18,076.84 3/31/2007 20,466.63 18,356.32 4/30/2007 21,334.33 19,034.63 5/31/2007 22,210.00 19,721.20 6/30/2007 21,849.16 19,260.39 7/31/2007 20,492.07 18,369.72 8/31/2007 20,100.91 18,575.56 9/30/2007 20,620.41 19,213.59 10/31/2007 20,732.52 19,215.71 11/30/2007 19,571.37 18,276.56 2008 12/31/2007 19,508.52 18,099.83 1/31/2008 18,760.14 17,374.87 2/29/2008 18,179.92 16,646.90 3/31/2008 18,010.07 16,522.05 4/30/2008 19,139.92 17,327.43 5/31/2008 19,595.23 17,299.93 6/30/2008 17,447.77 15,643.96 7/31/2008 17,253.06 15,587.48 8/31/2008 17,591.69 15,852.47 9/30/2008 16,009.28 14,687.77 10/31/2008 12,402.52 12,145.13 11/30/2008 11,186.08 11,274.22 2009 12/31/2008 11,549.08 11,430.71 1/31/2009 10,179.73 10,116.29 2/28/2009 8,750.09 8,764.65 3/31/2009 9,610.41 9,514.06 4/30/2009 11,165.55 10,533.88 5/31/2009 12,021.75 11,185.26 6/30/2009 11,876.22 11,102.66 7/31/2009 12,995.62 12,011.43 8/31/2009 13,878.91 12,639.69 9/30/2009 14,483.20 13,128.03 10/31/2009 13,860.74 12,726.25 11/30/2009 14,641.01 13,443.54 2010 12/31/2009 15,035.68 13,681.45 1/31/2010 14,683.14 13,296.67 2/28/2010 15,317.71 13,716.38 3/31/2010 16,512.42 14,609.32 4/30/2010 17,033.67 14,987.35 5/31/2010 15,575.92 13,755.45 6/30/2010 14,398.05 12,981.10 7/31/2010 15,524.00 13,859.89 8/31/2010 14,575.36 13,266.83 9/30/2010 16,003.61 14,296.12 10/31/2010 16,593.03 14,725.09 11/30/2010 16,468.00 14,647.16 2011 12/31/2010 18,068.89 15,802.89 1/31/2011 18,652.62 16,160.37 2/28/2011 19,658.44 16,756.44 3/31/2011 19,747.84 16,822.99 4/30/2011 20,243.11 17,270.96 5/31/2011 19,954.95 17,088.49 6/30/2011 19,592.07 16,738.11 7/31/2011 18,697.42 16,182.92 8/31/2011 17,115.95 15,173.01 9/30/2011 15,386.62 14,026.33 10/11 10/31/2011 17,510.79 15,632.24 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 5.53% -1.93% 5.76% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. U.S. TARGETED VALUE PORTFOLIO CLASS R1 VS. RUSSELL 2000(R) VALUE INDEX JANUARY 31, 2008-OCTOBER 31, 2011 GROWTH OF $10,000 ROUNDED U.S. Targeted Value RUSSELL 2000 410F - 402 Portfolio - Class R1 VALUE INDEX 1/31/2008 ---------- -------------------- ------------ 01/08 1/31/2008 10,000.00 10,000.00 2/29/2008 9,750.00 9,602.57 3/31/2008 9,820.73 9,747.57 4/30/2008 10,151.76 10,055.99 5/31/2008 10,613.21 10,399.80 6/30/2008 9,538.43 9,401.93 7/31/2008 9,789.97 9,883.91 8/31/2008 10,232.68 10,353.40 9/30/2008 9,575.01 9,868.08 10/31/2008 7,504.46 7,896.67 11/30/2008 6,524.74 6,982.16 2009 12/31/2008 6,945.84 7,411.68 1/31/2009 5,998.68 6,352.93 2/28/2009 5,204.29 5,470.50 3/31/2009 5,777.12 5,956.20 4/30/2009 6,901.87 6,901.30 5/31/2009 7,137.05 7,050.52 6/30/2009 7,107.37 7,028.30 7/31/2009 7,958.61 7,841.06 8/31/2009 8,379.10 8,212.18 9/30/2009 8,844.37 8,624.05 10/31/2009 8,206.76 8,051.36 11/30/2009 8,484.43 8,307.57 2010 12/31/2009 9,149.55 8,936.79 1/31/2010 8,943.01 8,674.85 2/28/2010 9,449.03 9,077.10 3/31/2010 10,228.79 9,832.10 4/30/2010 10,972.71 10,520.04 5/31/2010 9,980.82 9,631.12 6/30/2010 9,031.07 8,790.37 7/31/2010 9,734.52 9,417.84 8/31/2010 8,948.31 8,709.68 9/30/2010 10,043.55 9,644.83 10/31/2010 10,417.07 10,018.50 11/30/2010 10,839.57 10,273.12 2011 12/31/2010 11,804.96 11,126.66 1/31/2011 11,883.04 11,132.73 2/28/2011 12,550.31 11,698.01 3/31/2011 12,791.66 11,860.57 4/30/2011 12,997.52 12,053.28 5/31/2011 12,678.09 11,837.36 6/30/2011 12,397.48 11,546.29 7/31/2011 11,964.10 11,164.48 8/31/2011 10,763.43 10,178.35 9/30/2011 9,424.71 9,066.77 10/11 10/31/2011 10,905.33 10,373.32 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 1/31/2008 -------------- ---- --------- 4.69% 2.34% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. TARGETED VALUE PORTFOLIO CLASS R2 VS. RUSSELL 2000(R) VALUE INDEX JUNE 30, 2008-OCTOBER 31, 2011 GROWTH OF $10,000 ROUNDED U.S. Targeted Value RUSSELL 2000 410F - 403 Portfolio - Class R2 VALUE INDEX 6/30/2008 ---------- -------------------- ------------ 06/08 6/30/2008 10,000.00 10,000.00 7/31/2008 10,260.00 10,512.63 8/31/2008 10,720.00 11,011.98 9/30/2008 10,038.28 10,495.79 10/31/2008 7,859.97 8,398.98 11/30/2008 6,836.07 7,426.30 12/31/2008 7,273.61 7,883.14 1/31/2009 6,272.10 6,757.04 2/28/2009 5,442.56 5,818.48 3/31/2009 6,038.30 6,335.08 4/30/2009 7,215.51 7,340.30 5/31/2009 7,459.08 7,499.01 6/30/2009 7,435.89 7,475.37 7/31/2009 8,320.88 8,339.84 8/31/2009 8,768.45 8,734.56 9/30/2009 9,248.19 9,172.64 10/31/2009 8,585.42 8,563.51 11/30/2009 8,870.93 8,836.02 2010 12/31/2009 9,567.97 9,505.27 1/31/2010 9,342.85 9,226.67 2/28/2010 9,864.74 9,654.50 3/31/2010 10,685.47 10,457.53 4/30/2010 11,453.10 11,189.23 5/31/2010 10,419.36 10,243.76 6/30/2010 9,433.57 9,349.53 7/31/2010 10,160.80 10,016.92 8/31/2010 9,341.38 9,263.71 9/30/2010 10,483.99 10,258.34 10/31/2010 10,874.19 10,655.79 11/30/2010 11,306.03 10,926.61 2011 12/31/2010 12,307.64 11,834.44 1/31/2011 12,396.45 11,840.89 2/28/2011 13,084.73 12,442.13 3/31/2011 13,336.36 12,615.03 4/30/2011 13,543.58 12,820.00 5/31/2011 13,210.54 12,590.35 6/30/2011 12,925.77 12,280.76 7/31/2011 12,466.25 11,874.67 8/31/2011 11,213.70 10,825.80 9/30/2011 9,819.78 9,643.52 10/11 10/31/2011 11,363.63 11,033.18 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 6/30/2008 -------------- ---- --------- 4.50% 3.91% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. U.S. TARGETED VALUE PORTFOLIO INSTITUTIONAL CLASS VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Targeted Value Portfo ROUNDED lio -Institutional RUSSELL 2000 410F - 96 Class VALUE INDEX 10/31/2001 ---------- ------------------ ------------ 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,922.05 10,719.00 12/31/2001 11,644.34 11,375.00 1/31/2002 11,805.57 11,526.29 2/28/2002 12,065.32 11,596.60 3/31/2002 13,104.36 12,465.19 4/30/2002 13,471.60 12,903.96 5/31/2002 13,041.66 12,476.84 6/30/2002 12,557.97 12,201.10 7/31/2002 10,712.79 10,388.02 8/31/2002 10,712.79 10,342.31 9/30/2002 9,763.33 9,603.87 10/31/2002 10,014.13 9,747.93 11/30/2002 11,115.86 10,525.81 2003 12/31/2002 10,519.26 10,076.36 1/31/2003 10,031.41 9,792.21 2/28/2003 9,604.54 9,463.19 3/31/2003 9,574.05 9,564.44 4/30/2003 10,712.37 10,473.07 5/31/2003 11,931.99 11,542.37 6/30/2003 12,125.10 11,737.43 7/31/2003 12,826.39 12,323.13 8/31/2003 13,659.80 12,791.41 9/30/2003 13,476.85 12,644.31 10/31/2003 14,777.79 13,674.82 11/30/2003 15,387.60 14,199.93 2004 12/31/2003 16,206.74 14,713.97 1/31/2004 16,950.70 15,223.07 2/29/2004 17,213.94 15,518.40 3/31/2004 17,362.73 15,732.56 4/30/2004 16,779.01 14,919.18 5/31/2004 17,030.81 15,099.70 6/30/2004 17,998.54 15,866.77 7/31/2004 17,127.83 15,136.90 8/31/2004 17,013.26 15,285.24 9/30/2004 17,785.91 15,890.54 10/31/2004 17,946.46 16,136.84 11/30/2004 19,597.76 17,568.18 2005 12/31/2004 20,206.65 17,988.06 1/31/2005 19,563.37 17,291.92 2/28/2005 20,105.75 17,636.03 3/31/2005 19,916.54 17,272.72 4/30/2005 18,566.91 16,381.45 5/31/2005 19,803.02 17,380.58 6/30/2005 20,580.88 18,149.16 7/31/2005 21,842.74 19,181.86 8/31/2005 21,502.04 18,741.47 9/30/2005 21,577.35 18,710.48 10/31/2005 21,006.52 18,240.54 11/30/2005 21,983.27 18,980.48 2006 12/31/2005 22,075.88 18,834.75 1/31/2006 23,848.09 20,392.26 2/28/2006 23,596.92 20,390.87 3/31/2006 24,574.44 21,378.52 4/30/2006 24,895.58 21,435.69 5/31/2006 24,029.89 20,548.04 6/30/2006 24,165.65 20,800.47 7/31/2006 23,423.17 20,512.00 8/31/2006 23,955.51 21,125.09 9/30/2006 24,199.32 21,331.32 10/31/2006 25,393.83 22,417.00 11/30/2006 26,265.12 23,056.21 2007 12/31/2006 26,424.91 23,257.08 1/31/2007 26,976.39 23,605.46 2/28/2007 26,838.52 23,315.56 3/31/2007 27,044.16 23,596.94 4/30/2007 27,596.09 23,841.80 5/31/2007 28,791.92 24,715.98 6/30/2007 28,411.53 24,139.89 7/31/2007 26,352.50 22,085.27 8/31/2007 26,275.67 22,527.77 9/30/2007 26,354.85 22,629.49 10/31/2007 26,416.61 22,875.94 11/30/2007 24,533.02 21,162.09 2008 12/31/2007 24,260.34 20,983.18 1/31/2008 23,100.55 20,122.10 2/29/2008 22,512.71 19,322.39 3/31/2008 22,704.54 19,614.16 4/30/2008 23,452.87 20,234.77 5/31/2008 24,535.56 20,926.58 6/30/2008 22,053.93 18,918.67 7/31/2008 22,628.41 19,888.50 8/31/2008 23,649.72 20,833.21 9/30/2008 22,153.05 19,856.65 10/31/2008 17,351.09 15,889.75 11/30/2008 15,094.16 14,049.57 2009 12/31/2008 16,064.79 14,913.85 1/31/2009 13,857.29 12,783.42 2/28/2009 12,036.51 11,007.80 3/31/2009 13,349.43 11,985.13 4/30/2009 15,951.44 13,886.86 5/31/2009 16,500.93 14,187.14 6/30/2009 16,444.05 14,142.41 7/31/2009 18,404.38 15,777.86 8/31/2009 19,392.64 16,524.63 9/30/2009 20,471.20 17,353.41 10/31/2009 18,993.89 16,201.02 11/30/2009 19,627.02 16,716.58 2010 12/31/2009 21,185.39 17,982.70 1/31/2010 20,696.87 17,455.63 2/28/2010 21,853.03 18,265.03 3/31/2010 23,672.16 19,784.25 4/30/2010 25,382.81 21,168.53 5/31/2010 23,101.94 19,379.83 6/30/2010 20,907.00 17,688.07 7/31/2010 22,537.81 18,950.68 8/31/2010 20,711.30 17,525.71 9/30/2010 23,258.52 19,407.42 10/31/2010 24,124.79 20,159.33 11/30/2010 25,089.12 20,671.68 2011 12/31/2010 27,331.97 22,389.18 1/31/2011 27,512.76 22,401.39 2/28/2011 29,074.12 23,538.86 3/31/2011 29,632.92 23,865.96 4/30/2011 30,093.11 24,253.74 5/31/2011 29,353.52 23,819.27 6/30/2011 28,722.84 23,233.57 7/31/2011 27,718.77 22,465.29 8/31/2011 24,937.02 20,480.98 9/30/2011 21,841.47 18,244.25 10/11 10/31/2011 25,272.76 20,873.30 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 4.76% -0.10% 9.71% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Small Cap ROUNDED Value Portfolio- RUSSELL 2000 SBKF - 34 Institutional Class VALUE INDEX 10/31/2001 ---------- ------------------- ------------ 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,781.41 10,719.00 12/31/2001 11,538.60 11,375.00 1/31/2002 11,716.50 11,526.29 2/28/2002 11,698.09 11,596.60 3/31/2002 12,851.34 12,465.19 4/30/2002 13,434.10 12,903.96 5/31/2002 13,010.83 12,476.84 6/30/2002 12,740.92 12,201.10 7/31/2002 10,753.41 10,388.02 8/31/2002 10,618.46 10,342.31 9/30/2002 9,845.54 9,603.87 10/31/2002 10,005.03 9,747.93 11/30/2002 10,857.69 10,525.81 2003 12/31/2002 10,469.19 10,076.36 1/31/2003 10,108.19 9,792.21 2/28/2003 9,692.69 9,463.19 3/31/2003 9,672.26 9,564.44 4/30/2003 10,693.97 10,473.07 5/31/2003 11,947.28 11,542.37 6/30/2003 12,383.21 11,737.43 7/31/2003 13,255.08 12,323.13 8/31/2003 13,936.22 12,791.41 9/30/2003 13,827.24 12,644.31 10/31/2003 15,209.96 13,674.82 11/30/2003 15,843.43 14,199.93 2004 12/31/2003 16,688.26 14,713.97 1/31/2004 17,504.09 15,223.07 2/29/2004 17,751.76 15,518.40 3/31/2004 17,919.30 15,732.56 4/30/2004 17,351.12 14,919.18 5/31/2004 17,416.68 15,099.70 6/30/2004 18,582.47 15,866.77 7/31/2004 17,591.41 15,136.90 8/31/2004 17,329.07 15,285.24 9/30/2004 18,183.18 15,890.54 10/31/2004 18,358.09 16,136.84 11/30/2004 20,194.62 17,568.18 2005 12/31/2004 20,925.47 17,988.06 1/31/2005 20,178.13 17,291.92 2/28/2005 20,723.07 17,636.03 3/31/2005 20,318.71 17,272.72 4/30/2005 18,839.57 16,381.45 5/31/2005 20,092.95 17,380.58 6/30/2005 20,931.41 18,149.16 7/31/2005 22,420.39 19,181.86 8/31/2005 22,046.20 18,741.47 9/30/2005 22,221.68 18,710.48 10/31/2005 21,572.47 18,240.54 11/30/2005 22,479.80 18,980.48 2006 12/31/2005 22,555.25 18,834.75 1/31/2006 24,545.42 20,392.26 2/28/2006 24,460.37 20,390.87 3/31/2006 25,951.07 21,378.52 4/30/2006 26,206.58 21,435.69 5/31/2006 25,056.80 20,548.04 6/30/2006 25,068.95 20,800.47 7/31/2006 24,130.04 20,512.00 8/31/2006 24,599.49 21,125.09 9/30/2006 24,892.86 21,331.32 10/31/2006 26,245.36 22,417.00 11/30/2006 27,041.45 23,056.21 2007 12/31/2006 27,415.89 23,257.08 1/31/2007 28,019.15 23,605.46 2/28/2007 27,954.18 23,315.56 3/31/2007 28,258.01 23,596.94 4/30/2007 28,768.75 23,841.80 5/31/2007 29,818.10 24,715.98 6/30/2007 29,357.03 24,139.89 7/31/2007 27,113.12 22,085.27 8/31/2007 26,908.28 22,527.77 9/30/2007 26,834.13 22,629.49 10/31/2007 27,133.32 22,875.94 11/30/2007 24,767.81 21,162.09 2008 12/31/2007 24,469.88 20,983.18 1/31/2008 23,505.05 20,122.10 2/29/2008 22,837.87 19,322.39 3/31/2008 23,030.84 19,614.16 4/30/2008 23,412.11 20,234.77 5/31/2008 24,380.75 20,926.58 6/30/2008 21,917.37 18,918.67 7/31/2008 22,371.40 19,888.50 8/31/2008 23,300.11 20,833.21 9/30/2008 21,694.16 19,856.65 10/31/2008 16,891.64 15,889.75 11/30/2008 14,697.38 14,049.57 2009 12/31/2008 15,468.52 14,913.85 1/31/2009 13,260.22 12,783.42 2/28/2009 11,575.22 11,007.80 3/31/2009 12,778.80 11,985.13 4/30/2009 15,290.60 13,886.86 5/31/2009 15,782.49 14,187.14 6/30/2009 15,838.32 14,142.41 7/31/2009 17,967.58 15,777.86 8/31/2009 18,890.61 16,524.63 9/30/2009 20,087.10 17,353.41 10/31/2009 18,575.05 16,201.02 11/30/2009 19,152.57 16,716.58 2010 12/31/2009 20,669.28 17,982.70 1/31/2010 20,016.45 17,455.63 2/28/2010 21,248.40 18,265.03 3/31/2010 23,131.21 19,784.25 4/30/2010 25,006.14 21,168.53 5/31/2010 22,530.81 19,379.83 6/30/2010 20,245.07 17,688.07 7/31/2010 22,004.14 18,950.68 8/31/2010 20,160.81 17,525.71 9/30/2010 22,768.52 19,407.42 10/31/2010 23,717.65 20,159.33 11/30/2010 24,782.78 20,671.68 2011 12/31/2010 27,056.63 22,389.18 1/31/2011 27,141.28 22,401.39 2/28/2011 28,844.89 23,538.86 3/31/2011 29,437.45 23,865.96 4/30/2011 29,807.80 24,253.74 5/31/2011 28,876.63 23,819.27 6/30/2011 28,354.36 23,233.57 7/31/2011 27,538.79 22,465.29 8/31/2011 24,626.03 20,480.98 9/30/2011 21,528.84 18,244.25 10/11 10/31/2011 24,934.83 20,873.30 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 5.13% -1.02% 9.57% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. CORE EQUITY 1 PORTFOLIO VS. RUSSELL 3000(R) INDEX SEPTEMBER 15, 2005-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Core Equity ROUNDED 1 Portfolio- RUSSELL COR1 - 303 Institutional Class 3000 INDEX 9/15/2005 ---------- ------------------- ---------- 09/05 9/15/2005 10,000.00 10,000.00 9/30/2005 10,040.00 10,026.07 10/31/2005 9,820.00 9,838.29 11/30/2005 10,220.00 10,221.00 12/31/2005 10,223.79 10,229.42 1/31/2006 10,635.96 10,571.16 2/28/2006 10,656.06 10,589.96 3/31/2006 10,892.74 10,773.03 4/30/2006 11,023.61 10,889.90 5/31/2006 10,641.06 10,541.27 6/30/2006 10,643.53 10,559.89 7/31/2006 10,532.45 10,550.00 8/31/2006 10,784.91 10,808.11 9/30/2006 11,008.94 11,050.04 10/31/2006 11,414.05 11,447.81 11/30/2006 11,686.05 11,696.88 2007 12/31/2006 11,828.32 11,836.98 1/31/2007 12,052.84 12,062.28 2/28/2007 11,920.17 11,864.41 3/31/2007 12,038.99 11,987.90 4/30/2007 12,489.05 12,466.78 5/31/2007 12,969.79 12,921.10 6/30/2007 12,760.03 12,679.16 7/31/2007 12,226.22 12,246.76 8/31/2007 12,349.41 12,422.56 9/30/2007 12,703.61 12,875.45 10/31/2007 12,899.37 13,111.64 11/30/2007 12,232.77 12,521.37 2008 12/31/2007 12,158.56 12,445.60 1/31/2008 11,464.67 11,691.25 2/29/2008 11,122.90 11,328.12 3/31/2008 11,043.49 11,261.29 4/30/2008 11,594.10 11,824.45 5/31/2008 11,895.38 12,066.69 6/30/2008 10,876.71 11,070.94 7/31/2008 10,876.71 10,982.64 8/31/2008 11,116.56 11,152.87 9/30/2008 10,086.11 10,104.24 10/31/2008 8,213.69 8,312.15 11/30/2008 7,519.57 7,656.00 2009 12/31/2008 7,717.62 7,802.46 1/31/2009 7,019.86 7,147.67 2/28/2009 6,269.24 6,398.92 3/31/2009 6,845.38 6,959.42 4/30/2009 7,674.48 7,691.79 5/31/2009 8,035.88 8,102.26 6/30/2009 8,072.08 8,129.80 7/31/2009 8,755.43 8,762.60 8/31/2009 9,075.75 9,075.70 9/30/2009 9,505.93 9,455.93 10/31/2009 9,169.77 9,212.73 11/30/2009 9,631.48 9,736.23 2010 12/31/2009 10,020.22 10,013.69 1/31/2010 9,696.98 9,652.72 2/28/2010 10,074.09 9,979.96 3/31/2010 10,743.74 10,608.97 4/30/2010 11,078.47 10,837.92 5/31/2010 10,203.85 9,981.75 6/30/2010 9,546.47 9,407.92 7/31/2010 10,229.14 10,061.04 8/31/2010 9,676.50 9,587.44 9/30/2010 10,663.53 10,492.66 10/31/2010 11,077.01 10,902.68 11/30/2010 11,218.46 10,965.62 2011 12/31/2010 12,035.14 11,708.97 1/31/2011 12,275.84 11,964.71 2/28/2011 12,768.19 12,400.32 3/31/2011 12,903.07 12,456.26 4/30/2011 13,253.87 12,827.01 5/31/2011 13,067.51 12,680.66 6/30/2011 12,825.77 12,452.92 7/31/2011 12,462.77 12,167.75 8/31/2011 11,593.79 11,437.75 9/30/2011 10,579.30 10,550.23 10/11 10/31/2011 11,904.47 11,764.48 AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 9/15/2005 -------------- ---- ----- --------- 7.47% 0.84% 2.89% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX SEPTEMBER 15, 2005-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Core Equity ROUNDED 2 Portfolio- RUSSELL COR2 - 304 Institutional Class 3000 INDEX 9/15/2005 ---------- ------------------- ---------- 09/05 9/15/2005 10,000.00 10,000.00 9/30/2005 10,050.00 10,026.07 10/31/2005 9,830.00 9,838.29 11/30/2005 10,240.00 10,221.00 12/31/2005 10,246.91 10,229.42 1/31/2006 10,739.16 10,571.16 2/28/2006 10,759.25 10,589.96 3/31/2006 11,015.88 10,773.03 4/30/2006 11,176.84 10,889.90 5/31/2006 10,774.44 10,541.27 6/30/2006 10,765.83 10,559.89 7/31/2006 10,644.75 10,550.00 8/31/2006 10,886.90 10,808.11 9/30/2006 11,109.73 11,050.04 10/31/2006 11,534.69 11,447.81 11/30/2006 11,826.73 11,696.88 2007 12/31/2006 11,988.23 11,836.98 1/31/2007 12,212.50 12,062.28 2/28/2007 12,090.17 11,864.41 3/31/2007 12,218.05 11,987.90 4/30/2007 12,636.90 12,466.78 5/31/2007 13,147.69 12,921.10 6/30/2007 12,936.12 12,679.16 7/31/2007 12,331.34 12,246.76 8/31/2007 12,444.09 12,422.56 9/30/2007 12,756.69 12,875.45 10/31/2007 12,890.43 13,111.64 11/30/2007 12,155.01 12,521.37 2008 12/31/2007 12,048.86 12,445.60 1/31/2008 11,428.32 11,691.25 2/29/2008 11,066.33 11,328.12 3/31/2008 10,954.96 11,261.29 4/30/2008 11,504.78 11,824.45 5/31/2008 11,826.38 12,066.69 6/30/2008 10,757.17 11,070.94 7/31/2008 10,788.41 10,982.64 8/31/2008 11,027.92 11,152.87 9/30/2008 10,032.14 10,104.24 10/31/2008 8,123.97 8,312.15 11/30/2008 7,388.29 7,656.00 2009 12/31/2008 7,607.36 7,802.46 1/31/2009 6,814.92 7,147.67 2/28/2009 6,022.49 6,398.92 3/31/2009 6,614.97 6,959.42 4/30/2009 7,538.73 7,691.79 5/31/2009 7,899.74 8,102.26 6/30/2009 7,889.10 8,129.80 7/31/2009 8,603.39 8,762.60 8/31/2009 8,955.20 9,075.70 9/30/2009 9,401.70 9,455.93 10/31/2009 8,990.28 9,212.73 11/30/2009 9,397.46 9,736.23 2010 12/31/2009 9,825.03 10,013.69 1/31/2010 9,524.04 9,652.72 2/28/2010 9,921.77 9,979.96 3/31/2010 10,630.67 10,608.97 4/30/2010 11,018.42 10,837.92 5/31/2010 10,145.99 9,981.75 6/30/2010 9,432.16 9,407.92 7/31/2010 10,123.64 10,061.04 8/31/2010 9,518.60 9,587.44 9/30/2010 10,524.42 10,492.66 10/31/2010 10,915.01 10,902.68 11/30/2010 11,088.61 10,965.62 2011 12/31/2010 11,968.23 11,708.97 1/31/2011 12,197.34 11,964.71 2/28/2011 12,742.84 12,400.32 3/31/2011 12,896.99 12,456.26 4/30/2011 13,192.09 12,827.01 5/31/2011 12,984.42 12,680.66 6/30/2011 12,729.15 12,452.92 7/31/2011 12,301.56 12,167.75 8/31/2011 11,369.62 11,437.75 9/30/2011 10,290.37 10,550.23 10/11 10/31/2011 11,677.10 11,764.48 AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 9/15/2005 -------------- ---- ----- --------- 6.98% 0.25% 2.56% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. U.S. VECTOR EQUITY PORTFOLIO VS. RUSSELL 2500(R) INDEX DECEMBER 30, 2005-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Vector Equity ROUNDED Portfolio- RUSSELL VECT - 305 Institutional Class 2500 INDEX 12/30/2005 ---------- ------------------- ---------- 12/05 12/30/2005 10,000.00 10,000.00 12/31/2005 10,000.00 10,000.00 1/31/2006 10,810.00 10,707.37 2/28/2006 10,800.00 10,698.43 3/31/2006 11,195.70 11,114.27 4/30/2006 11,315.87 11,153.28 5/31/2006 10,865.24 10,626.48 6/30/2006 10,844.62 10,631.80 7/31/2006 10,623.71 10,297.36 8/31/2006 10,864.70 10,558.30 9/30/2006 11,050.09 10,686.89 10/31/2006 11,533.16 11,200.39 11/30/2006 11,865.26 11,565.75 2007 12/31/2006 12,000.89 11,616.48 1/31/2007 12,236.81 11,929.91 2/28/2007 12,154.75 11,913.15 3/31/2007 12,267.96 12,029.08 4/30/2007 12,627.58 12,339.03 5/31/2007 13,151.58 12,854.61 6/30/2007 12,951.14 12,623.94 7/31/2007 12,219.61 11,898.66 8/31/2007 12,281.43 12,024.84 9/30/2007 12,496.25 12,307.99 10/31/2007 12,578.94 12,624.16 11/30/2007 11,762.39 11,850.46 2008 12/31/2007 11,631.77 11,776.65 1/31/2008 11,081.34 11,057.29 2/29/2008 10,707.46 10,753.54 3/31/2008 10,663.12 10,673.96 4/30/2008 11,142.13 11,248.63 5/31/2008 11,517.00 11,782.79 6/30/2008 10,416.83 10,821.91 7/31/2008 10,500.41 10,896.99 8/31/2008 10,803.41 11,208.64 9/30/2008 9,892.44 10,094.84 10/31/2008 7,846.81 7,920.14 11/30/2008 6,986.60 7,061.28 2009 12/31/2008 7,306.84 7,444.66 1/31/2009 6,417.31 6,774.57 2/28/2009 5,612.50 6,042.10 3/31/2009 6,178.31 6,593.63 4/30/2009 7,177.90 7,609.72 5/31/2009 7,486.28 7,841.52 6/30/2009 7,489.59 7,930.38 7/31/2009 8,257.75 8,645.90 8/31/2009 8,641.83 8,999.12 9/30/2009 9,092.77 9,521.24 10/31/2009 8,590.00 8,970.17 11/30/2009 8,910.92 9,331.90 2010 12/31/2009 9,441.99 10,004.76 1/31/2010 9,173.45 9,669.84 2/28/2010 9,624.60 10,150.60 3/31/2010 10,346.73 10,926.40 4/30/2010 10,873.75 11,443.96 5/31/2010 10,002.56 10,591.65 6/30/2010 9,226.60 9,835.73 7/31/2010 9,905.66 10,527.79 8/31/2010 9,226.60 9,904.49 9/30/2010 10,242.67 11,037.14 10/31/2010 10,621.22 11,460.40 11/30/2010 10,880.81 11,782.83 2011 12/31/2010 11,813.41 12,676.91 1/31/2011 11,976.43 12,846.87 2/28/2011 12,585.03 13,473.74 3/31/2011 12,793.92 13,779.87 4/30/2011 13,055.02 14,177.73 5/31/2011 12,804.80 14,007.78 6/30/2011 12,529.70 13,699.17 7/31/2011 12,071.69 13,177.71 8/31/2011 11,013.92 12,098.98 9/30/2011 9,821.94 10,792.05 10/11 10/31/2011 11,243.83 12,373.94 AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/30/2005 -------------- ---- ----- ---------- 5.86% -0.51% 2.03% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Small Cap ROUNDED Portfolio-Institutional RUSSELL 610F - 31 Class 2000 INDEX 10/31/2001 ---------- ----------------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,776.70 10,774.00 12/31/2001 11,495.97 11,438.76 1/31/2002 11,413.80 11,319.79 2/28/2002 11,109.76 11,009.63 3/31/2002 12,054.75 11,894.80 4/30/2002 12,087.62 12,003.05 5/31/2002 11,578.14 11,470.11 6/30/2002 10,986.50 10,901.19 7/31/2002 9,408.78 9,255.11 8/31/2002 9,417.00 9,231.05 9/30/2002 8,702.10 8,568.26 10/31/2002 9,030.79 8,843.30 11/30/2002 9,836.08 9,632.13 2003 12/31/2002 9,295.32 9,095.62 1/31/2003 9,045.44 8,843.67 2/28/2003 8,753.92 8,576.59 3/31/2003 8,837.21 8,687.23 4/30/2003 9,728.43 9,510.78 5/31/2003 10,819.55 10,531.28 6/30/2003 11,111.07 10,721.90 7/31/2003 11,810.71 11,393.09 8/31/2003 12,402.08 11,914.89 9/30/2003 12,210.51 11,694.47 10/31/2003 13,276.64 12,676.80 11/30/2003 13,759.73 13,126.83 2004 12/31/2003 14,081.46 13,393.30 1/31/2004 14,708.98 13,974.57 2/29/2004 14,834.48 14,100.34 3/31/2004 14,909.78 14,231.48 4/30/2004 14,299.00 13,505.67 5/31/2004 14,449.60 13,720.41 6/30/2004 15,081.01 14,298.04 7/31/2004 14,000.20 13,335.78 8/31/2004 13,799.12 13,267.77 9/30/2004 14,473.97 13,890.03 10/31/2004 14,750.70 14,163.66 11/30/2004 16,042.12 15,391.65 2005 12/31/2004 16,598.11 15,847.24 1/31/2005 15,945.38 15,186.41 2/28/2005 16,225.12 15,443.07 3/31/2005 15,756.97 15,001.39 4/30/2005 14,773.22 14,141.81 5/31/2005 15,790.89 15,067.41 6/30/2005 16,386.82 15,648.59 7/31/2005 17,507.57 16,639.99 8/31/2005 17,261.35 16,331.46 9/30/2005 17,371.59 16,382.71 10/31/2005 16,835.64 15,874.05 11/30/2005 17,652.33 16,644.64 2006 12/31/2005 17,607.88 16,568.59 1/31/2006 19,207.77 18,054.33 2/28/2006 19,171.62 18,004.61 3/31/2006 20,050.84 18,878.12 4/30/2006 20,096.06 18,875.06 5/31/2006 19,001.72 17,815.02 6/30/2006 18,889.99 17,929.61 7/31/2006 18,165.19 17,346.19 8/31/2006 18,672.55 17,859.74 9/30/2006 18,826.48 18,008.44 10/31/2006 19,888.54 19,045.32 11/30/2006 20,387.79 19,546.32 2007 12/31/2006 20,532.96 19,611.76 1/31/2007 20,840.14 19,939.96 2/28/2007 20,734.55 19,781.73 3/31/2007 20,951.89 19,993.50 4/30/2007 21,336.15 20,352.63 5/31/2007 22,143.10 21,187.22 6/30/2007 21,901.09 20,877.28 7/31/2007 20,581.63 19,449.38 8/31/2007 20,870.56 19,890.22 9/30/2007 21,134.26 20,231.63 10/31/2007 21,549.80 20,812.09 11/30/2007 19,945.64 19,317.66 2008 12/31/2007 19,904.91 19,305.61 1/31/2008 18,527.90 17,989.07 2/29/2008 17,931.89 17,322.27 3/31/2008 17,996.23 17,395.03 4/30/2008 18,562.79 18,123.36 5/31/2008 19,448.70 18,955.89 6/30/2008 17,707.87 17,496.52 7/31/2008 18,265.44 18,144.00 8/31/2008 18,926.26 18,799.00 9/30/2008 17,413.19 17,301.09 10/31/2008 13,829.03 13,701.95 11/30/2008 12,140.54 12,081.19 2009 12/31/2008 12,737.23 12,782.40 1/31/2009 11,327.78 11,360.72 2/28/2009 9,960.09 9,980.13 3/31/2009 10,985.59 10,871.03 4/30/2009 13,025.77 12,551.49 5/31/2009 13,486.12 12,929.91 6/30/2009 13,835.56 13,119.82 7/31/2009 15,272.61 14,383.40 8/31/2009 15,818.06 14,795.84 9/30/2009 16,803.70 15,649.22 10/31/2009 15,637.94 14,586.71 11/30/2009 16,037.03 15,044.60 2010 12/31/2009 17,366.13 16,255.60 1/31/2010 16,839.24 15,657.20 2/28/2010 17,661.18 16,362.50 3/31/2010 19,108.21 17,694.22 4/30/2010 20,405.29 18,695.61 5/31/2010 18,812.94 17,277.48 6/30/2010 17,308.90 15,938.58 7/31/2010 18,555.06 17,033.87 8/31/2010 17,139.93 15,772.72 9/30/2010 19,377.30 17,737.94 10/31/2010 20,171.02 18,463.80 11/30/2010 21,017.65 19,104.01 2011 12/31/2010 22,697.88 20,621.02 1/31/2011 22,719.13 20,567.88 2/28/2011 23,994.29 21,695.86 3/31/2011 24,681.18 22,258.13 4/30/2011 25,266.05 22,845.87 5/31/2011 24,755.62 22,417.54 6/30/2011 24,360.13 21,900.69 7/31/2011 23,508.00 21,109.08 8/31/2011 21,398.99 19,272.54 9/30/2011 19,022.65 17,112.05 10/11 10/31/2011 21,936.90 19,702.10 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 8.76% 1.98% 8.17% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 U.S. Micro Cap ROUNDED Portfolio- RUSSELL FUND - 1 Institutional Class 2000 INDEX 10/31/2001 ---------- ------------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,673.72 10,774.00 12/31/2001 11,390.75 11,438.76 1/31/2002 11,515.92 11,319.79 2/28/2002 11,197.30 11,009.63 3/31/2002 12,187.30 11,894.80 4/30/2002 12,483.17 12,003.05 5/31/2002 12,141.79 11,470.11 6/30/2002 11,709.37 10,901.19 7/31/2002 10,013.84 9,255.11 8/31/2002 9,956.95 9,231.05 9/30/2002 9,285.57 8,568.26 10/31/2002 9,524.53 8,843.30 11/30/2002 10,321.09 9,632.13 2003 12/31/2002 9,878.82 9,095.62 1/31/2003 9,658.77 8,843.67 2/28/2003 9,380.82 8,576.59 3/31/2003 9,485.05 8,687.23 4/30/2003 10,365.23 9,510.78 5/31/2003 11,569.68 10,531.28 6/30/2003 12,079.26 10,721.90 7/31/2003 12,971.01 11,393.09 8/31/2003 13,584.82 11,914.89 9/30/2003 13,596.40 11,694.47 10/31/2003 14,812.43 12,676.80 11/30/2003 15,449.40 13,126.83 2004 12/31/2003 15,876.96 13,393.30 1/31/2004 16,794.77 13,974.57 2/29/2004 16,878.21 14,100.34 3/31/2004 16,902.05 14,231.48 4/30/2004 16,210.71 13,505.67 5/31/2004 16,210.71 13,720.41 6/30/2004 16,926.21 14,298.04 7/31/2004 15,661.81 13,335.78 8/31/2004 15,423.25 13,267.77 9/30/2004 16,195.29 13,890.03 10/31/2004 16,493.65 14,163.66 11/30/2004 17,973.54 15,391.65 2005 12/31/2004 18,796.42 15,847.24 1/31/2005 18,025.67 15,186.41 2/28/2005 18,174.84 15,443.07 3/31/2005 17,588.11 15,001.39 4/30/2005 16,493.52 14,141.81 5/31/2005 17,488.60 15,067.41 6/30/2005 18,279.15 15,648.59 7/31/2005 19,673.75 16,639.99 8/31/2005 19,399.81 16,331.46 9/30/2005 19,518.00 16,382.71 10/31/2005 18,969.61 15,874.05 11/30/2005 19,829.59 16,644.64 2006 12/31/2005 19,865.16 16,568.59 1/31/2006 21,680.87 18,054.33 2/28/2006 21,734.67 18,004.61 3/31/2006 22,723.62 18,878.12 4/30/2006 22,629.44 18,875.06 5/31/2006 21,297.51 17,815.02 6/30/2006 21,108.04 17,929.61 7/31/2006 20,380.64 17,346.19 8/31/2006 20,946.39 17,859.74 9/30/2006 21,062.99 18,008.44 10/31/2006 22,209.92 19,045.32 11/30/2006 22,709.17 19,546.32 2007 12/31/2006 23,075.56 19,611.76 1/31/2007 23,340.12 19,939.96 2/28/2007 23,222.54 19,781.73 3/31/2007 23,459.62 19,993.50 4/30/2007 23,812.62 20,352.63 5/31/2007 24,562.74 21,187.22 6/30/2007 24,480.80 20,877.28 7/31/2007 22,888.07 19,449.38 8/31/2007 23,153.53 19,890.22 9/30/2007 23,495.08 20,231.63 10/31/2007 23,894.30 20,812.09 11/30/2007 21,883.39 19,317.66 2008 12/31/2007 21,871.06 19,305.61 1/31/2008 20,198.67 17,989.07 2/29/2008 19,565.43 17,322.27 3/31/2008 19,625.65 17,395.03 4/30/2008 20,032.15 18,123.36 5/31/2008 20,828.88 18,955.89 6/30/2008 18,943.80 17,496.52 7/31/2008 19,791.54 18,144.00 8/31/2008 20,459.95 18,799.00 9/30/2008 18,952.86 17,301.09 10/31/2008 15,028.19 13,701.95 11/30/2008 13,098.57 12,081.19 2009 12/31/2008 13,839.66 12,782.40 1/31/2009 12,190.89 11,360.72 2/28/2009 10,592.08 9,980.13 3/31/2009 11,606.95 10,871.03 4/30/2009 13,624.82 12,551.49 5/31/2009 14,091.77 12,929.91 6/30/2009 14,480.92 13,119.82 7/31/2009 15,902.26 14,383.40 8/31/2009 16,337.02 14,795.84 9/30/2009 17,277.42 15,649.22 10/31/2009 16,021.80 14,586.71 11/30/2009 16,306.40 15,044.60 2010 12/31/2009 17,723.07 16,255.60 1/31/2010 17,202.79 15,657.20 2/28/2010 17,958.03 16,362.50 3/31/2010 19,409.86 17,694.22 4/30/2010 20,820.27 18,695.61 5/31/2010 19,275.54 17,277.48 6/30/2010 17,880.20 15,938.58 7/31/2010 19,157.36 17,033.87 8/31/2010 17,628.13 15,772.72 9/30/2010 19,771.88 17,737.94 10/31/2010 20,630.80 18,463.80 11/30/2010 21,506.55 19,104.01 2011 12/31/2010 23,268.23 20,621.02 1/31/2011 23,014.76 20,567.88 2/28/2011 24,366.59 21,695.86 3/31/2011 25,157.79 22,258.13 4/30/2011 25,580.46 22,845.87 5/31/2011 25,090.16 22,417.54 6/30/2011 24,549.14 21,900.69 7/31/2011 23,888.85 21,109.08 8/31/2011 21,755.62 19,272.54 9/30/2011 19,454.09 17,112.05 10/11 10/31/2011 22,456.16 19,702.10 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEATRS -------------- ---- ----- ------ 8.85% 0.22% 8.43% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. DFA REAL ESTATE SECURITIES PORTFOLIO VS. DOW JONES U.S. SELECT REIT INDEXSM, S&P 500(R) INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 DFA Real Estate Securities Portfolio- DOW JONES ROUNDED Institutional US SELECT S&P 500 REIT - 36 Class REIT INDEX INDEX 10/31/2001 ---------- ----------------- ---------- -------- 10/01 10/31/2001 10,000.00 10000 10000 11/30/2001 10,525.58 10603.6021 10767.06 12/31/2001 10,784.58 10874.6882 10861.39 1/31/2002 10,747.39 10832.058 10702.88 2/28/2002 10,948.20 11069.4105 10496.48 3/31/2002 11,632.47 11784.6457 10891.24 4/30/2002 11,706.84 11850.3651 10230.93 5/31/2002 11,863.03 12008.7591 10155.55 6/30/2002 12,182.85 12327.7181 9432.083 7/31/2002 11,565.53 11660.2501 8696.898 8/31/2002 11,595.28 11670.3119 8753.998 9/30/2002 11,178.77 11207.9456 7802.618 10/31/2002 10,613.51 10606.3559 8489.372 11/30/2002 11,089.52 11113.4177 8989.048 2003 12/31/2002 11,235.24 11264.2388 8460.852 1/31/2003 10,951.80 10936.33 8239.177 2/28/2003 11,148.64 11135.4477 8115.59 3/31/2003 11,416.33 11406.5338 8194.392 4/30/2003 11,849.36 11846.1815 8869.364 5/31/2003 12,502.85 12516.9859 9336.691 6/30/2003 12,762.67 12787.1717 9456.201 7/31/2003 13,416.16 13467.1376 9622.913 8/31/2003 13,510.64 13579.3002 9810.56 9/30/2003 13,975.16 14056.8121 9706.372 10/31/2003 14,164.12 14264.5618 10255.46 11/30/2003 14,801.86 14893.1066 10345.71 2004 12/31/2003 15,234.37 15339.6387 10888.24 1/31/2004 15,861.23 15953.5145 11088.09 2/29/2004 16,141.67 16219.146 11242.21 3/31/2004 17,065.46 17193.8697 11072.57 4/30/2004 14,615.76 14676.619 10898.73 5/31/2004 15,671.52 15790.8311 11048.26 6/30/2004 16,124.02 16263.5239 11263.03 7/31/2004 16,190.51 16344.8126 10890.23 8/31/2004 17,478.77 17694.5237 10934.12 9/30/2004 17,420.11 17610.1105 11052.53 10/31/2004 18,360.61 18591.3479 11221.41 11/30/2004 19,159.62 19419.3812 11675.43 2005 12/31/2004 20,120.02 20426.7792 12072.75 1/31/2005 18,435.31 18625.1344 11778.48 2/28/2005 19,014.43 19226.1946 12026.29 3/31/2005 18,724.87 18934.9319 11813.31 4/30/2005 19,786.59 20071.7565 11589.21 5/31/2005 20,435.90 20735.8883 11957.98 6/30/2005 21,480.07 21816.9494 11974.96 7/31/2005 23,041.94 23481.3301 12420.43 8/31/2005 22,182.04 22579.9516 12307.15 9/30/2005 22,285.24 22677.4452 12406.84 10/31/2005 21,781.37 22195.6967 12200.02 11/30/2005 22,762.59 23226.6606 12661.42 2006 12/31/2005 22,766.14 23249.6968 12665.86 1/31/2006 24,514.58 25072.1008 13001.25 2/28/2006 24,979.01 25608.7654 13036.48 3/31/2006 26,272.13 26919.818 13198.78 4/30/2006 25,279.53 25901.2461 13376.04 5/31/2006 24,523.69 25184.2633 12991.08 6/30/2006 25,879.45 26617.1167 13008.75 7/31/2006 26,767.42 27562.1846 13089.01 8/31/2006 27,710.33 28488.3998 13400.44 9/30/2006 28,263.93 29042.6991 13745.77 10/31/2006 30,036.20 30873.2054 14193.75 11/30/2006 31,464.37 32345.6705 14463.71 2007 12/31/2006 30,794.54 31613.648 14666.6 1/31/2007 33,461.03 34429.3635 14888.41 2/28/2007 32,681.30 33658.1 14597.21 3/31/2007 31,869.65 32795.8037 14760.48 4/30/2007 31,840.64 32782.2997 15414.3 5/31/2007 31,840.65 32804.3298 15952.18 6/30/2007 28,853.96 29724.7303 15687.17 7/31/2007 26,581.92 27391.9283 15200.79 8/31/2007 28,190.87 29011.9659 15428.65 9/30/2007 29,292.76 30146.5898 16005.68 10/31/2007 29,624.31 30491.7673 16260.33 11/30/2007 26,602.07 27527.9957 15580.49 2008 12/31/2007 25,044.28 26063.8845 15472.36 1/31/2008 25,054.97 25939.0752 14544.02 2/29/2008 24,103.25 24961.4354 14071.48 3/31/2008 25,619.00 26620.7212 14010.69 4/30/2008 27,129.78 28261.6892 14693.01 5/31/2008 27,183.35 28325.2389 14884.02 6/30/2008 24,199.34 25187.1226 13629.3 7/31/2008 24,900.61 25914.2323 13514.68 8/31/2008 25,515.57 26501.6096 13710.1 9/30/2008 25,461.63 26390.6874 12488.39 10/31/2008 17,434.74 17844.3964 10390.97 11/30/2008 13,399.72 13463.408 9645.414 2009 12/31/2008 15,686.60 15846.7869 9748.042 1/31/2009 12,902.59 12981.4829 8926.414 2/28/2009 10,196.85 10144.8983 7975.93 3/31/2009 10,557.99 10471.6066 8674.583 4/30/2009 13,863.00 13907.1643 9504.827 5/31/2009 14,223.95 14263.9676 10036.43 6/30/2009 13,783.28 13765.5079 10056.3 7/31/2009 15,228.76 15199.294 10816.94 8/31/2009 17,288.85 17424.6249 11207.43 9/30/2009 18,446.00 18644.3189 11625.69 10/31/2009 17,605.45 17798.7563 11409.72 11/30/2009 18,814.46 19023.808 12094.07 2010 12/31/2009 20,106.09 20356.0857 12327.73 1/31/2010 19,055.86 19191.7031 11884.3 2/28/2010 20,106.09 20281.6998 12252.44 3/31/2010 22,150.46 22353.7975 12991.8 4/30/2010 23,708.37 23933.8726 13196.9 5/31/2010 22,443.30 22644.9016 12143.13 6/30/2010 21,280.65 21430.4409 11507.46 7/31/2010 23,380.40 23549.3525 12313.71 8/31/2010 23,085.49 23234.3649 11757.82 9/30/2010 24,085.53 24263.4234 12807.13 10/31/2010 25,213.24 25385.898 13294.43 11/30/2010 24,714.67 24891.5982 13296.13 2011 12/31/2010 25,870.51 26070.8955 14184.73 1/31/2011 26,782.46 26996.847 14520.92 2/28/2011 27,994.39 28229.8955 15018.39 3/31/2011 27,574.41 27816.5139 15024.36 4/30/2011 29,170.32 29465.8037 15469.3 5/31/2011 29,566.30 29923.4043 15294.21 6/30/2011 28,593.53 28920.2417 15039.27 7/31/2011 29,062.47 29446.5804 14733.46 8/31/2011 27,499.32 27833.0365 13933.12 9/30/2011 24,478.76 24716.152 12953.65 10/11 10/31/2011 28,008.43 28347.8305 14369.39 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- 11.09% -1.39% 10.85% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Dow Jones data provided by Dow Jones Indexes. The S&P data are provided by Standard & Poor's Index Services Group. 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 Large Cap MSCI International WORLD EX ROUNDED Portfolio-Institutional USA INDEX LCAP - 28 Class (NET DIV.) 10/31/2001 ---------- ----------------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,334.57 10,393.05 12/31/2001 10,377.69 10,459.69 1/31/2002 9,833.48 9,927.67 2/28/2002 9,893.95 9,988.19 3/31/2002 10,453.27 10,519.13 4/30/2002 10,483.50 10,581.25 5/31/2002 10,642.23 10,719.90 6/30/2002 10,249.19 10,283.85 7/31/2002 9,311.95 9,261.52 8/31/2002 9,289.28 9,247.14 9/30/2002 8,321.80 8,266.41 10/31/2002 8,760.19 8,700.64 11/30/2002 9,145.67 9,101.20 2003 12/31/2002 8,860.86 8,807.06 1/31/2003 8,506.73 8,471.49 2/28/2003 8,298.87 8,304.50 3/31/2003 8,137.21 8,144.45 4/30/2003 8,907.05 8,926.06 5/31/2003 9,438.24 9,479.67 6/30/2003 9,661.49 9,709.96 7/31/2003 9,884.74 9,932.72 8/31/2003 10,108.00 10,188.84 9/30/2003 10,415.93 10,494.52 10/31/2003 11,039.50 11,151.70 11/30/2003 11,278.15 11,404.48 2004 12/31/2003 12,113.20 12,278.97 1/31/2004 12,269.80 12,449.94 2/29/2004 12,543.85 12,736.28 3/31/2004 12,637.82 12,800.04 4/30/2004 12,246.31 12,464.99 5/31/2004 12,340.27 12,523.26 6/30/2004 12,683.06 12,812.46 7/31/2004 12,208.03 12,421.74 8/31/2004 12,287.20 12,473.38 9/30/2004 12,528.37 12,836.97 10/31/2004 12,949.96 13,298.30 11/30/2004 13,769.27 14,182.70 2005 12/31/2004 14,392.05 14,781.87 1/31/2005 14,135.34 14,490.86 2/28/2005 14,680.85 15,135.50 3/31/2005 14,335.02 14,791.94 4/30/2005 14,045.75 14,414.77 5/31/2005 13,957.36 14,441.06 6/30/2005 14,158.44 14,677.11 7/31/2005 14,589.46 15,151.11 8/31/2005 15,126.19 15,569.39 9/30/2005 15,627.40 16,279.93 10/31/2005 15,284.30 15,753.88 11/30/2005 15,521.20 16,171.07 2006 12/31/2005 16,331.29 16,920.86 1/31/2006 17,285.18 17,991.10 2/28/2006 17,170.06 17,930.68 3/31/2006 17,803.23 18,499.33 4/30/2006 18,667.46 19,383.92 5/31/2006 17,992.54 18,647.48 6/30/2006 17,921.72 18,623.47 7/31/2006 18,113.62 18,797.96 8/31/2006 18,589.19 19,332.22 9/30/2006 18,581.75 19,316.65 10/31/2006 19,295.14 20,080.04 11/30/2006 19,867.15 20,678.14 2007 12/31/2006 20,391.13 21,271.04 1/31/2007 20,652.66 21,400.80 2/28/2007 20,711.72 21,572.00 3/31/2007 21,284.46 22,124.75 4/30/2007 22,036.17 23,131.37 5/31/2007 22,720.32 23,645.05 6/30/2007 22,677.99 23,668.78 7/31/2007 22,250.10 23,341.60 8/31/2007 22,096.06 23,003.73 9/30/2007 23,308.29 24,310.66 10/31/2007 24,348.99 25,367.46 11/30/2007 23,479.90 24,375.45 2008 12/31/2007 22,932.03 23,917.24 1/31/2008 21,195.02 21,760.83 2/29/2008 21,177.48 22,155.18 3/31/2008 21,103.41 21,838.92 4/30/2008 22,219.67 23,052.85 5/31/2008 22,685.51 23,402.67 6/30/2008 20,878.77 21,582.81 7/31/2008 20,118.73 20,814.76 8/31/2008 19,260.33 20,009.79 9/30/2008 16,918.09 17,120.81 10/31/2008 13,350.99 13,559.35 11/30/2008 12,548.67 12,824.03 2009 12/31/2008 13,428.09 13,500.05 1/31/2009 11,919.93 12,240.40 2/28/2009 10,720.67 11,001.28 3/31/2009 11,545.35 11,726.22 4/30/2009 12,858.56 13,238.41 5/31/2009 14,655.12 14,912.63 6/30/2009 14,451.82 14,758.20 7/31/2009 15,839.64 16,143.96 8/31/2009 16,459.53 16,917.67 9/30/2009 17,160.66 17,615.66 10/31/2009 16,715.41 17,332.88 11/30/2009 17,336.90 17,761.74 2010 12/31/2009 17,542.65 18,044.88 1/31/2010 16,635.11 17,199.03 2/28/2010 16,747.39 17,181.80 3/31/2010 17,802.54 18,287.85 4/30/2010 17,455.68 18,015.17 5/31/2010 15,552.62 16,027.20 6/30/2010 15,299.87 15,795.35 7/31/2010 16,879.33 17,255.24 8/31/2010 16,298.93 16,739.48 9/30/2010 17,902.86 18,345.25 10/31/2010 18,552.48 18,998.78 11/30/2010 17,740.45 18,194.20 2011 12/31/2010 19,165.33 19,659.22 1/31/2011 19,598.50 20,082.72 2/28/2011 20,368.57 20,827.38 3/31/2011 19,902.08 20,410.15 4/30/2011 21,041.00 21,521.72 5/31/2011 20,442.59 20,883.72 6/30/2011 20,153.06 20,586.29 7/31/2011 19,741.57 20,246.71 8/31/2011 18,085.83 18,534.99 9/30/2011 16,094.57 16,673.65 10/11 10/31/2011 17,651.79 18,295.22 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -4.86% -1.76% 5.85% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. INTERNATIONAL CORE EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) SEPTEMBER 15, 2005-OCTOBER 31, 2011 GROWTH OF $10,000 International Core MSCI WORLD Equity EX USA ROUNDED Portfolio-Institutional INDEX DICE - 306 Class (NET DIV.) 9/15/2005 ---------- ----------------------- ---------- 09/05 9/15/2005 10,000.00 10,000.00 9/30/2005 10,100.00 10,170.84 10/31/2005 9,860.00 9,842.19 11/30/2005 10,070.00 10,102.83 12/31/2005 10,636.31 10,571.26 1/31/2006 11,328.67 11,239.89 2/28/2006 11,338.71 11,202.14 3/31/2006 11,781.28 11,557.40 4/30/2006 12,343.25 12,110.04 5/31/2006 11,841.49 11,649.96 6/30/2006 11,702.59 11,634.96 7/31/2006 11,763.43 11,743.97 8/31/2006 12,108.22 12,077.74 9/30/2006 12,173.07 12,068.02 10/31/2006 12,651.84 12,544.95 11/30/2006 13,096.89 12,918.61 2007 12/31/2006 13,502.22 13,289.02 1/31/2007 13,748.65 13,370.09 2/28/2007 13,820.53 13,477.04 3/31/2007 14,258.15 13,822.37 4/30/2007 14,792.32 14,451.26 5/31/2007 15,203.22 14,772.18 6/30/2007 15,111.55 14,787.00 7/31/2007 14,851.72 14,582.59 8/31/2007 14,571.11 14,371.51 9/30/2007 15,193.08 15,188.01 10/31/2007 15,913.09 15,848.24 11/30/2007 15,040.00 15,228.49 2008 12/31/2007 14,649.07 14,942.22 1/31/2008 13,545.08 13,595.01 2/29/2008 13,566.31 13,841.38 3/31/2008 13,628.77 13,643.80 4/30/2008 14,192.20 14,402.20 5/31/2008 14,426.08 14,620.75 6/30/2008 13,086.00 13,483.80 7/31/2008 12,566.88 13,003.96 8/31/2008 12,091.03 12,501.06 9/30/2008 10,548.31 10,696.18 10/31/2008 8,157.76 8,471.16 11/30/2008 7,665.67 8,011.77 2009 12/31/2008 8,201.80 8,434.12 1/31/2009 7,312.45 7,647.15 2/28/2009 6,543.87 6,873.02 3/31/2009 7,095.45 7,325.92 4/30/2009 8,164.17 8,270.66 5/31/2009 9,398.16 9,316.62 6/30/2009 9,319.18 9,220.14 7/31/2009 10,245.52 10,085.89 8/31/2009 10,814.71 10,569.26 9/30/2009 11,340.07 11,005.33 10/31/2009 10,997.28 10,828.66 11/30/2009 11,289.34 11,096.59 2010 12/31/2009 11,424.48 11,273.48 1/31/2010 10,940.01 10,745.04 2/28/2010 10,951.27 10,734.28 3/31/2010 11,768.61 11,425.28 4/30/2010 11,712.20 11,254.92 5/31/2010 10,335.62 10,012.95 6/30/2010 10,163.34 9,868.10 7/31/2010 11,237.98 10,780.16 8/31/2010 10,780.69 10,457.94 9/30/2010 11,933.21 11,461.14 10/31/2010 12,369.23 11,869.43 11/30/2010 11,875.84 11,366.77 2011 12/31/2010 13,013.38 12,282.04 1/31/2011 13,348.54 12,546.62 2/28/2011 13,799.27 13,011.84 3/31/2011 13,557.45 12,751.18 4/30/2011 14,287.47 13,445.63 5/31/2011 13,847.14 13,047.04 6/30/2011 13,602.18 12,861.23 7/31/2011 13,296.78 12,649.07 8/31/2011 12,122.15 11,579.68 9/30/2011 10,709.05 10,416.81 10/11 10/31/2011 11,690.12 11,429.88 AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEAR 9/15/2005 -------------- ----- ----- --------- -5.49% -1.57% 2.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 International MSCI WORLD Small Company EX USA Portfolio- SMALL CAP ROUNDED Institutional INDEX (NET INTS - 89 Class DIV.) 10/31/2001 ---------- ------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,092.11 10,395.60 12/31/2001 9,830.81 10,209.62 1/31/2002 9,709.94 10,017.36 2/28/2002 10,045.69 10,177.18 3/31/2002 10,542.60 10,844.42 4/30/2002 10,918.64 11,202.09 5/31/2002 11,549.86 11,725.29 6/30/2002 11,254.39 11,244.36 7/31/2002 10,663.47 10,330.82 8/31/2002 10,569.46 10,210.76 9/30/2002 9,817.38 9,424.37 10/31/2002 9,696.51 9,347.03 11/30/2002 9,951.68 9,609.09 2003 12/31/2002 10,018.32 9,452.36 1/31/2003 9,990.95 9,350.69 2/28/2003 10,045.70 9,282.15 3/31/2003 10,004.64 9,192.36 4/30/2003 10,825.81 10,034.96 5/31/2003 11,824.91 10,922.10 6/30/2003 12,358.67 11,491.68 7/31/2003 12,782.94 11,838.49 8/31/2003 13,439.88 12,617.69 9/30/2003 14,206.31 13,338.97 10/31/2003 14,972.74 14,402.49 11/30/2003 15,054.86 14,415.18 2004 12/31/2003 15,907.17 15,295.01 1/31/2004 16,797.08 15,952.89 2/29/2004 17,297.66 16,435.87 3/31/2004 17,992.90 17,069.31 4/30/2004 17,450.61 16,459.75 5/31/2004 17,255.94 16,282.23 6/30/2004 18,059.81 17,104.49 7/31/2004 17,400.28 16,350.20 8/31/2004 17,554.64 16,434.96 9/30/2004 17,972.30 16,884.59 10/31/2004 18,549.78 17,509.34 11/30/2004 19,887.84 18,909.51 2005 12/31/2004 20,825.43 19,791.06 1/31/2005 21,319.20 20,095.96 2/28/2005 22,263.17 20,949.86 3/31/2005 21,871.06 20,608.76 4/30/2005 21,348.25 20,028.33 5/31/2005 20,985.18 20,075.51 6/30/2005 21,513.92 20,607.96 7/31/2005 22,291.18 21,503.33 8/31/2005 23,273.75 22,163.26 9/30/2005 23,828.85 23,061.72 10/31/2005 23,358.15 22,221.52 11/30/2005 23,814.14 22,962.34 2006 12/31/2005 25,397.98 24,747.26 1/31/2006 27,153.32 26,511.50 2/28/2006 26,982.44 26,178.73 3/31/2006 28,225.16 27,409.50 4/30/2006 29,561.08 28,685.27 5/31/2006 28,069.82 27,100.04 6/30/2006 27,530.93 26,440.10 7/31/2006 27,232.87 25,794.33 8/31/2006 27,954.48 26,548.51 9/30/2006 28,161.30 26,477.11 10/31/2006 29,279.57 27,528.30 11/30/2006 30,602.58 28,712.35 2007 12/31/2006 31,716.35 29,562.37 1/31/2007 32,603.75 30,165.41 2/28/2007 33,063.88 30,694.69 3/31/2007 34,300.44 31,712.11 4/30/2007 35,435.02 32,934.91 5/31/2007 36,158.52 33,421.63 6/30/2007 36,100.06 33,348.81 7/31/2007 36,116.65 33,143.54 8/31/2007 34,722.45 31,395.61 9/30/2007 35,485.80 32,104.61 10/31/2007 37,402.60 34,272.26 11/30/2007 34,669.07 31,454.54 2008 12/31/2007 33,511.63 30,532.88 1/31/2008 30,962.61 27,573.14 2/29/2008 31,746.93 28,882.57 3/31/2008 31,788.51 28,563.67 4/30/2008 32,467.14 29,258.70 5/31/2008 33,324.36 29,849.74 6/30/2008 30,856.82 27,544.85 7/31/2008 29,372.79 26,155.91 8/31/2008 28,214.53 25,188.75 9/30/2008 23,936.89 20,758.01 10/31/2008 18,330.38 15,633.84 11/30/2008 17,383.82 14,876.27 2009 12/31/2008 18,810.26 15,868.29 1/31/2009 17,323.79 14,946.71 2/28/2009 15,745.57 13,581.48 3/31/2009 16,787.19 14,453.64 4/30/2009 19,012.00 16,681.70 5/31/2009 21,843.58 19,150.28 6/30/2009 22,073.21 19,380.32 7/31/2009 23,728.23 20,937.71 8/31/2009 25,234.49 22,551.53 9/30/2009 26,576.61 23,819.00 10/31/2009 26,091.70 23,451.56 11/30/2009 26,446.06 23,634.35 2010 12/31/2009 26,702.83 23,933.21 1/31/2010 26,290.00 23,617.85 2/28/2010 26,252.46 23,482.65 3/31/2010 28,127.68 25,228.40 4/30/2010 28,559.54 25,726.95 5/31/2010 25,179.72 22,635.77 6/30/2010 25,120.59 22,423.39 7/31/2010 27,416.35 24,346.48 8/31/2010 26,600.50 23,713.92 9/30/2010 29,526.13 26,404.59 10/31/2010 30,685.89 27,492.88 11/30/2010 29,830.33 26,772.19 2011 12/31/2010 33,087.83 29,798.98 1/31/2011 33,492.28 29,955.31 2/28/2011 34,513.03 30,807.03 3/31/2011 34,459.12 30,778.57 4/30/2011 36,097.27 32,304.59 5/31/2011 35,095.11 31,410.01 6/30/2011 34,382.80 30,730.42 7/31/2011 34,051.64 30,562.75 8/31/2011 31,382.83 28,148.42 9/30/2011 27,673.54 24,916.75 10/11 10/31/2011 29,788.71 26,939.66 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -2.92% 0.35% 11.53% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.675% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS JAPANESE SMALL COMPANY PORTFOLIO VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 Japanese Small MSCI Company JAPAN Portfolio- SMALL CAP ROUNDED Institutional INDEX JAPF - 6 Class (NET DIV.) 10/31/2001 ---------- -------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 9,334.81 9,612.18 12/31/2001 8,281.19 8,450.66 1/31/2002 7,832.35 7,877.64 2/28/2002 8,460.73 8,289.40 3/31/2002 8,887.13 8,875.95 4/30/2002 9,257.43 9,462.07 5/31/2002 10,166.34 10,453.56 6/30/2002 9,706.28 9,993.50 7/31/2002 9,594.06 9,677.48 8/31/2002 9,459.41 9,452.00 9/30/2002 9,190.10 9,074.03 10/31/2002 8,460.73 8,135.29 11/30/2002 8,404.62 8,196.37 2003 12/31/2002 8,340.30 8,013.23 1/31/2003 8,340.30 7,966.77 2/28/2003 8,953.89 8,370.73 3/31/2003 9,022.06 8,235.14 4/30/2003 9,419.76 8,492.03 5/31/2003 9,999.26 8,880.07 6/30/2003 10,771.94 9,876.75 7/31/2003 10,908.29 9,992.74 8/31/2003 11,851.40 11,252.49 9/30/2003 12,601.35 12,071.13 10/31/2003 13,089.95 12,965.80 11/30/2003 12,271.82 12,074.92 2004 12/31/2003 12,993.55 12,938.18 1/31/2004 13,606.23 13,409.29 2/29/2004 13,687.15 13,374.63 3/31/2004 16,438.45 15,826.55 4/30/2004 15,906.69 15,323.06 5/31/2004 15,143.72 14,562.03 6/30/2004 16,577.17 16,093.72 7/31/2004 15,536.77 14,774.84 8/31/2004 15,767.97 14,929.06 9/30/2004 15,386.48 14,478.43 10/31/2004 15,687.05 14,746.14 11/30/2004 16,172.57 15,387.82 2005 12/31/2004 16,945.25 16,132.71 1/31/2005 17,623.53 16,681.47 2/28/2005 18,266.72 17,000.41 3/31/2005 18,371.97 16,960.77 4/30/2005 17,869.11 16,822.91 5/31/2005 17,553.36 16,513.06 6/30/2005 17,883.03 16,736.48 7/31/2005 18,257.79 17,210.51 8/31/2005 19,253.24 17,801.18 9/30/2005 20,037.89 18,913.75 10/31/2005 20,646.88 19,291.61 11/30/2005 21,045.06 20,116.10 2006 12/31/2005 23,433.25 22,836.49 1/31/2006 24,422.89 23,564.37 2/28/2006 22,950.21 22,029.98 3/31/2006 23,963.42 23,018.22 4/30/2006 24,422.89 23,132.47 5/31/2006 22,691.02 21,276.86 6/30/2006 21,821.10 20,610.49 7/31/2006 20,779.18 19,247.96 8/31/2006 21,110.70 19,759.90 9/30/2006 20,735.78 19,327.46 10/31/2006 20,569.80 19,203.45 11/30/2006 20,427.53 19,041.76 2007 12/31/2006 20,604.92 19,152.66 1/31/2007 21,022.51 19,525.00 2/28/2007 21,869.61 20,295.43 3/31/2007 21,690.64 20,108.45 4/30/2007 21,392.37 19,764.20 5/31/2007 20,950.92 19,293.11 6/30/2007 21,288.71 19,419.79 7/31/2007 21,396.71 19,414.82 8/31/2007 20,496.68 18,232.06 9/30/2007 20,467.04 18,121.39 10/31/2007 20,599.16 18,776.67 11/30/2007 20,118.71 17,987.27 2008 12/31/2007 18,847.24 16,911.13 1/31/2008 18,327.07 16,080.52 2/29/2008 18,169.81 16,256.79 3/31/2008 18,526.52 16,262.06 4/30/2008 18,659.72 16,463.98 5/31/2008 19,337.81 16,971.30 6/30/2008 18,420.05 15,929.21 7/31/2008 17,906.34 15,407.85 8/31/2008 16,915.62 14,727.10 9/30/2008 15,804.74 13,289.05 10/31/2008 14,653.97 11,886.37 11/30/2008 15,033.48 12,371.81 2009 12/31/2008 16,563.40 13,335.23 1/31/2009 15,426.22 12,636.29 2/28/2009 13,411.41 10,974.99 3/31/2009 14,032.87 11,362.30 4/30/2009 14,589.73 11,943.61 5/31/2009 16,384.05 13,405.20 6/30/2009 17,468.24 14,257.97 7/31/2009 17,830.34 14,614.88 8/31/2009 18,766.81 15,434.15 9/30/2009 18,564.47 15,373.22 10/31/2009 17,889.86 14,810.53 11/30/2009 17,165.27 14,281.12 2010 12/31/2009 17,094.20 14,014.45 1/31/2010 17,320.78 14,316.74 2/28/2010 17,648.06 14,588.56 3/31/2010 18,544.40 15,252.36 4/30/2010 19,085.75 15,665.44 5/31/2010 17,486.88 14,578.75 6/30/2010 17,756.80 14,643.15 7/31/2010 18,061.64 14,820.66 8/31/2010 17,566.28 14,506.95 9/30/2010 18,342.37 15,100.17 10/31/2010 17,948.59 14,976.12 11/30/2010 18,393.18 15,267.84 2011 12/31/2010 20,085.70 16,808.33 1/31/2011 20,533.19 17,008.22 2/28/2011 21,479.30 17,692.38 3/31/2011 20,136.84 16,600.65 4/30/2011 20,034.56 16,615.70 5/31/2011 19,702.14 16,368.73 6/30/2011 20,682.37 16,978.44 7/31/2011 21,430.71 17,683.68 8/31/2011 20,850.10 16,960.86 9/30/2011 20,736.64 16,976.25 10/11 10/31/2011 19,665.61 16,350.07 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 9.57% -0.90% 7.00% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. ASIA PACIFIC SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 10/31/2001 ROUNDED $ 47,226 $ 44,164 Asia Pacific Small MSCI Company PACIFIC EX Portfolio- JAPAN SMALL Institutional CAP INDEX PRFD - 27 Class (NET DIV.) - ---------- ------------- ----------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,547.95 10,540.34 12/31/2001 10,708.44 10,696.29 1/31/2002 11,206.84 11,048.01 2/28/2002 11,320.76 11,116.83 3/31/2002 11,804.92 11,635.32 4/30/2002 11,876.12 11,658.69 5/31/2002 12,545.39 12,522.73 6/30/2002 12,146.67 12,105.21 7/31/2002 11,420.44 11,327.86 8/31/2002 11,619.80 11,600.69 9/30/2002 10,836.60 10,932.32 10/31/2002 11,164.12 11,188.80 11/30/2002 11,278.04 11,438.25 2003 12/31/2002 11,419.16 11,624.82 1/31/2003 11,793.31 12,055.00 2/28/2003 11,853.17 11,866.69 3/31/2003 11,613.72 11,838.56 4/30/2003 11,942.97 12,491.67 5/31/2003 13,155.23 13,379.83 6/30/2003 13,768.84 14,093.87 7/31/2003 14,696.74 14,415.18 8/31/2003 15,729.40 15,115.04 9/30/2003 16,986.55 16,317.91 10/31/2003 17,974.32 17,665.90 11/30/2003 18,109.01 17,587.77 2004 12/31/2003 18,908.72 18,740.21 1/31/2004 20,091.49 19,507.16 2/29/2004 20,682.87 20,096.75 3/31/2004 20,029.24 20,136.47 4/30/2004 18,566.34 18,997.55 5/31/2004 18,426.28 18,911.52 6/30/2004 18,489.59 18,933.81 7/31/2004 18,819.20 19,648.28 8/31/2004 19,258.68 20,295.55 9/30/2004 20,440.48 21,507.08 10/31/2004 21,403.32 22,883.75 11/30/2004 22,950.16 24,644.82 2005 12/31/2004 23,466.63 25,686.55 1/31/2005 23,998.87 25,910.67 2/28/2005 24,676.26 26,735.96 3/31/2005 23,837.59 25,975.82 4/30/2005 23,031.17 25,553.33 5/31/2005 22,498.94 25,881.67 6/30/2005 23,511.21 27,296.65 7/31/2005 24,291.12 28,433.08 8/31/2005 24,924.80 28,410.57 9/30/2005 25,836.87 29,843.62 10/31/2005 24,366.08 28,090.23 11/30/2005 24,970.73 29,155.56 2006 12/31/2005 25,343.42 29,727.83 1/31/2006 27,048.58 31,429.05 2/28/2006 27,433.08 31,744.73 3/31/2006 28,820.61 33,088.83 4/30/2006 30,458.91 35,223.04 5/31/2006 28,737.03 33,424.53 6/30/2006 28,536.65 33,017.40 7/31/2006 29,076.03 33,356.24 8/31/2006 29,783.97 34,444.29 9/30/2006 30,085.32 35,013.74 10/31/2006 32,542.99 37,454.98 11/30/2006 34,339.63 39,731.51 2007 12/31/2006 35,307.16 41,214.77 1/31/2007 36,223.11 42,261.59 2/28/2007 37,173.62 43,067.41 3/31/2007 39,109.20 45,289.34 4/30/2007 41,839.76 48,429.84 5/31/2007 45,399.86 50,331.04 6/30/2007 47,251.52 51,639.92 7/31/2007 47,983.03 51,626.14 8/31/2007 44,377.77 48,303.77 9/30/2007 49,572.02 52,590.28 10/31/2007 53,898.63 56,185.13 11/30/2007 50,325.24 51,671.82 2008 12/31/2007 49,448.46 50,960.73 1/31/2008 44,466.38 44,132.03 2/29/2008 45,813.84 46,753.63 3/31/2008 43,587.72 43,804.20 4/30/2008 46,618.36 46,734.65 5/31/2008 48,650.67 47,238.82 6/30/2008 43,843.03 41,953.90 7/31/2008 41,250.26 40,024.66 8/31/2008 38,351.40 36,773.53 9/30/2008 31,760.49 29,594.72 10/31/2008 21,185.75 19,141.79 11/30/2008 19,154.24 17,052.75 2009 12/31/2008 21,241.81 19,034.03 1/31/2009 18,614.54 16,938.03 2/28/2009 17,589.71 15,886.23 3/31/2009 20,316.82 18,163.07 4/30/2009 23,341.93 21,414.23 5/31/2009 29,373.49 26,548.71 6/30/2009 29,585.49 27,296.09 7/31/2009 33,847.01 31,237.80 8/31/2009 35,393.22 32,843.12 9/30/2009 38,139.14 35,594.15 10/31/2009 38,971.95 36,447.47 11/30/2009 40,789.00 37,495.39 2010 12/31/2009 41,855.25 38,993.74 1/31/2010 39,576.76 36,500.35 2/28/2010 40,266.05 36,957.83 3/31/2010 43,576.62 40,003.60 4/30/2010 44,152.02 41,122.24 5/31/2010 38,033.65 34,913.27 6/30/2010 37,555.64 34,714.24 7/31/2010 41,713.38 38,246.22 8/31/2010 41,655.09 38,161.09 9/30/2010 47,973.93 43,890.56 10/31/2010 50,022.43 45,838.85 11/30/2010 49,339.60 45,226.66 2011 12/31/2010 54,166.33 49,791.31 1/31/2011 52,994.51 48,343.35 2/28/2011 53,317.77 48,608.02 3/31/2011 54,436.38 50,100.04 4/30/2011 56,722.26 52,126.61 5/31/2011 55,043.25 50,933.42 6/30/2011 53,172.18 49,122.18 7/31/2011 54,030.79 49,846.74 8/31/2011 50,248.84 46,379.74 9/30/2011 40,868.72 37,947.11 10/11 10/31/2011 47,225.62 44,164.23 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -5.59% 7.73% 16.79% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 United Kingdom Small Company MSCI UK Portfolio- SMALL CAP ROUNDED Institutional INDEX UKF - 7 Class (NET DIV.) 10/31/2001 ---------- -------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,663.60 10,936.71 12/31/2001 11,097.57 11,303.48 1/31/2002 10,792.07 10,713.26 2/28/2002 10,898.64 10,717.24 3/31/2002 11,445.71 11,515.80 4/30/2002 11,943.04 11,944.79 5/31/2002 12,070.92 11,810.27 6/30/2002 11,587.80 11,087.75 7/31/2002 10,749.44 9,862.08 8/31/2002 10,756.55 9,944.34 9/30/2002 9,840.04 9,255.93 10/31/2002 9,797.41 9,267.18 11/30/2002 10,117.12 9,438.37 2003 12/31/2002 10,091.59 9,165.00 1/31/2003 9,841.95 8,476.23 2/28/2003 9,516.66 8,230.16 3/31/2003 9,425.88 8,220.08 4/30/2003 10,310.98 9,320.73 5/31/2003 11,544.06 10,677.75 6/30/2003 12,194.64 11,029.52 7/31/2003 12,686.36 11,727.54 8/31/2003 13,215.90 12,285.65 9/30/2003 13,722.75 12,608.01 10/31/2003 14,501.94 13,630.49 11/30/2003 14,570.02 13,744.04 2004 12/31/2003 15,375.33 14,514.71 1/31/2004 16,518.62 15,744.72 2/29/2004 17,464.79 16,811.38 3/31/2004 17,228.25 16,747.28 4/30/2004 16,597.47 16,164.56 5/31/2004 16,621.12 16,155.31 6/30/2004 17,182.68 16,715.76 7/31/2004 16,538.33 15,959.27 8/31/2004 16,419.00 15,740.85 9/30/2004 16,879.98 16,258.19 10/31/2004 17,408.73 16,876.88 11/30/2004 18,802.71 18,241.41 2005 12/31/2004 19,575.71 19,293.66 1/31/2005 20,123.93 19,726.86 2/28/2005 20,807.09 20,193.81 3/31/2005 20,330.85 19,941.65 4/30/2005 19,638.23 19,040.32 5/31/2005 19,249.69 18,871.47 6/30/2005 19,596.35 19,161.83 7/31/2005 19,979.10 19,730.96 8/31/2005 21,101.80 20,685.84 9/30/2005 20,849.94 20,721.81 10/31/2005 20,258.64 20,090.81 11/30/2005 21,124.17 21,093.61 2006 12/31/2005 22,047.47 22,005.02 1/31/2006 23,765.22 23,797.00 2/28/2006 24,085.01 24,170.09 3/31/2006 24,477.90 24,659.07 4/30/2006 25,702.25 25,964.07 5/31/2006 25,172.31 25,387.80 6/30/2006 25,142.09 25,172.31 7/31/2006 25,316.62 24,976.62 8/31/2006 26,373.01 25,875.37 9/30/2006 27,133.76 26,633.97 10/31/2006 28,657.61 28,159.38 11/30/2006 30,449.29 29,984.30 2007 12/31/2006 32,101.73 31,391.24 1/31/2007 32,307.45 31,318.01 2/28/2007 32,297.65 31,415.74 3/31/2007 33,796.45 32,715.16 4/30/2007 34,952.39 34,339.00 5/31/2007 35,412.81 34,559.59 6/30/2007 34,105.75 33,553.76 7/31/2007 33,908.38 33,365.13 8/31/2007 33,701.14 32,142.02 9/30/2007 32,527.80 30,320.58 10/31/2007 35,116.93 33,652.34 11/30/2007 31,039.79 29,758.35 2008 12/31/2007 29,394.81 28,264.30 1/31/2008 27,410.09 25,990.00 2/29/2008 27,796.59 26,870.55 3/31/2008 27,681.28 26,532.84 4/30/2008 28,141.59 27,026.34 5/31/2008 28,214.82 27,154.23 6/30/2008 25,960.48 25,297.80 7/31/2008 25,039.74 24,288.46 8/31/2008 24,616.42 23,652.70 9/30/2008 20,809.36 19,303.37 10/31/2008 15,220.38 13,947.23 11/30/2008 14,132.44 12,653.82 2009 12/31/2008 13,809.16 12,332.82 1/31/2009 13,475.24 12,265.18 2/28/2009 12,915.12 11,858.58 3/31/2009 13,468.89 12,546.32 4/30/2009 16,285.70 15,428.40 5/31/2009 17,947.73 17,057.98 6/30/2009 18,025.70 17,178.38 7/31/2009 19,586.03 18,759.16 8/31/2009 21,102.72 20,567.85 9/30/2009 21,714.63 21,042.33 10/31/2009 21,736.56 21,072.79 11/30/2009 21,659.83 20,853.53 2010 12/31/2009 22,105.52 21,368.65 1/31/2010 21,884.25 21,269.47 2/28/2010 21,131.91 20,316.81 3/31/2010 22,894.02 22,107.47 4/30/2010 23,725.12 22,989.86 5/31/2010 21,032.35 20,226.43 6/30/2010 21,429.30 20,313.81 7/31/2010 24,314.87 22,757.26 8/31/2010 23,408.93 22,139.12 9/30/2010 25,901.11 24,578.39 10/31/2010 27,250.13 25,626.08 11/30/2010 25,901.11 24,558.85 2011 12/31/2010 28,533.50 27,128.52 1/31/2011 28,941.93 27,390.91 2/28/2011 29,804.17 28,113.28 3/31/2011 29,236.44 27,628.21 4/30/2011 31,817.79 30,160.70 5/31/2011 31,613.11 29,778.97 6/30/2011 30,603.31 28,775.86 7/31/2011 30,385.29 28,696.23 8/31/2011 27,344.47 25,768.96 9/30/2011 24,576.81 23,051.45 10/11 10/31/2011 27,173.60 25,570.45 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -0.28% -1.06% 10.51% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 Continental MSCI Small Company EUROPE EX Portfolio- UK SMALL ROUNDED Institutional CAP INDEX CONF - 12 Class (NET DIV.) 10/31/2001 ---------- ------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,418.41 10,756.14 12/31/2001 10,496.77 10,854.44 1/31/2002 10,508.75 10,862.21 2/28/2002 10,664.53 10,914.49 3/31/2002 11,203.74 11,613.59 4/30/2002 11,647.10 11,931.29 5/31/2002 12,114.42 12,138.16 6/30/2002 12,114.42 11,861.08 7/31/2002 11,155.81 10,602.31 8/31/2002 11,000.04 10,326.98 9/30/2002 9,849.71 9,021.19 10/31/2002 10,149.27 9,563.57 11/30/2002 10,700.47 10,087.76 2003 12/31/2002 10,901.68 9,850.93 1/31/2003 10,811.26 9,720.16 2/28/2003 10,501.26 9,292.75 3/31/2003 10,423.76 9,271.06 4/30/2003 11,728.34 10,633.78 5/31/2003 12,903.76 11,679.16 6/30/2003 13,123.35 11,852.81 7/31/2003 13,575.43 12,274.82 8/31/2003 13,872.51 12,628.64 9/30/2003 14,582.93 13,344.66 10/31/2003 15,474.18 14,459.38 11/30/2003 16,275.02 15,228.81 2004 12/31/2003 17,273.62 16,025.45 1/31/2004 18,113.20 16,831.49 2/29/2004 18,704.02 17,399.32 3/31/2004 18,315.32 16,798.90 4/30/2004 18,097.65 16,534.35 5/31/2004 18,284.22 16,587.01 6/30/2004 18,836.67 17,178.66 7/31/2004 18,212.94 16,488.34 8/31/2004 18,322.09 16,540.62 9/30/2004 19,267.64 17,462.76 10/31/2004 19,988.22 18,202.98 11/30/2004 22,118.63 20,223.29 2005 12/31/2004 23,254.65 21,234.33 1/31/2005 23,583.80 21,472.42 2/28/2005 25,081.45 22,976.81 3/31/2005 24,390.23 22,390.05 4/30/2005 23,731.92 21,731.32 5/31/2005 23,781.30 22,040.87 6/30/2005 24,425.41 22,746.24 7/31/2005 25,931.32 24,306.80 8/31/2005 26,791.83 24,996.99 9/30/2005 27,470.37 25,850.55 10/31/2005 26,109.30 24,066.45 11/30/2005 26,192.29 24,373.37 2006 12/31/2005 27,532.82 25,785.86 1/31/2006 30,173.46 28,663.11 2/28/2006 31,022.90 29,472.42 3/31/2006 33,017.23 31,376.50 4/30/2006 35,288.54 33,599.80 5/31/2006 33,571.21 31,872.74 6/30/2006 32,949.00 31,146.44 7/31/2006 32,855.76 30,805.67 8/31/2006 33,713.52 31,530.47 9/30/2006 34,151.20 31,861.33 10/31/2006 35,855.01 33,564.19 11/30/2006 38,326.48 35,912.99 2007 12/31/2006 40,149.91 37,607.07 1/31/2007 42,001.20 38,811.43 2/28/2007 42,039.77 38,977.52 3/31/2007 44,488.88 41,050.13 4/30/2007 46,822.28 43,534.46 5/31/2007 47,709.36 44,293.47 6/30/2007 47,175.05 43,870.15 7/31/2007 46,902.81 43,549.02 8/31/2007 45,211.04 41,578.04 9/30/2007 46,204.69 42,405.35 10/31/2007 48,431.89 44,942.91 11/30/2007 44,837.11 41,727.51 2008 12/31/2007 43,943.07 40,882.27 1/31/2008 39,751.20 35,959.03 2/29/2008 41,448.39 38,135.17 3/31/2008 42,754.01 38,910.66 4/30/2008 43,244.96 39,575.33 5/31/2008 44,063.22 40,190.70 6/30/2008 40,333.39 36,476.45 7/31/2008 38,191.98 34,405.48 8/31/2008 37,131.67 33,465.93 9/30/2008 30,658.55 26,537.01 10/31/2008 22,470.37 19,070.42 11/30/2008 20,711.27 17,489.52 2009 12/31/2008 22,870.01 19,105.69 1/31/2009 20,270.67 17,389.96 2/28/2009 18,509.82 15,858.85 3/31/2009 19,839.69 17,085.09 4/30/2009 23,069.41 20,641.43 5/31/2009 26,424.96 23,722.81 6/30/2009 26,084.03 23,418.72 7/31/2009 28,152.84 25,521.22 8/31/2009 30,498.91 28,140.39 9/30/2009 33,101.82 30,837.40 10/31/2009 32,159.72 29,995.79 11/30/2009 33,123.23 30,612.47 2010 12/31/2009 33,008.15 30,750.49 1/31/2010 32,449.42 30,340.42 2/28/2010 31,761.75 29,476.79 3/31/2010 34,104.13 31,867.58 4/30/2010 33,781.78 31,666.40 5/31/2010 28,968.09 26,767.57 6/30/2010 28,764.08 26,367.41 7/31/2010 32,209.66 29,526.59 8/31/2010 30,726.75 28,123.38 9/30/2010 34,971.79 32,463.01 10/31/2010 36,957.09 34,545.61 11/30/2010 34,055.50 31,928.47 2011 12/31/2010 38,478.41 36,398.58 1/31/2011 39,553.35 37,221.62 2/28/2011 40,211.48 37,852.76 3/31/2011 41,571.60 39,130.12 4/30/2011 44,357.67 41,863.46 5/31/2011 42,843.98 40,266.66 6/30/2011 41,451.69 38,966.49 7/31/2011 39,091.93 36,601.48 8/31/2011 35,084.78 32,777.62 9/30/2011 29,769.07 27,853.45 10/11 10/31/2011 32,837.82 30,905.90 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ------ ----- ----- -11.09% -1.74% 12.63% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL EX US REIT INDEX (NET DIVIDENDS) MARCH 1, 2007-OCTOBER 31, 2011 GROWTH OF $10,000 International Real Estate S&P Securities GLOBAL EX Portfolio- US REIT ROUNDED Institutional INDEX RENT - 340 Class (NET DIV.) 3/1/2007 ---------- ------------- ---------- 03/07 3/1/2007 10,000.00 10,000.00 3/31/2007 10,480.00 10,343.27 4/30/2007 10,570.00 10,491.72 5/31/2007 10,780.00 10,646.63 6/30/2007 10,061.02 9,995.03 7/31/2007 9,458.56 9,512.55 8/31/2007 9,679.46 9,662.11 9/30/2007 10,130.21 10,149.19 10/31/2007 10,211.17 10,249.08 11/30/2007 9,462.29 9,432.93 2008 12/31/2007 8,994.76 9,060.72 1/31/2008 8,627.41 8,529.16 2/29/2008 8,585.43 8,635.04 3/31/2008 8,606.07 8,552.22 4/30/2008 8,658.74 8,703.49 5/31/2008 8,332.20 8,347.70 6/30/2008 7,449.80 7,504.99 7/31/2008 7,214.99 7,301.26 8/31/2008 6,969.51 7,087.95 9/30/2008 6,457.20 6,367.96 10/31/2008 4,461.34 4,537.39 11/30/2008 4,151.82 4,233.75 2009 12/31/2008 4,324.57 4,362.99 1/31/2009 3,873.40 3,947.40 2/28/2009 3,356.22 3,433.41 3/31/2009 3,587.30 3,636.04 4/30/2009 3,950.43 4,052.54 5/31/2009 4,478.62 4,503.14 6/30/2009 4,577.66 4,609.94 7/31/2009 4,984.81 5,022.02 8/31/2009 5,535.01 5,633.82 9/30/2009 5,887.13 6,016.63 10/31/2009 5,766.09 5,921.55 11/30/2009 5,832.11 5,925.69 2010 12/31/2009 5,925.17 6,027.38 1/31/2010 5,703.90 5,831.47 2/28/2010 5,728.49 5,809.07 3/31/2010 5,925.17 6,011.15 4/30/2010 5,974.34 6,081.70 5/31/2010 5,347.41 5,413.77 6/30/2010 5,359.70 5,434.68 7/31/2010 5,986.64 6,026.40 8/31/2010 5,998.93 6,043.94 9/30/2010 6,576.70 6,623.55 10/31/2010 6,859.43 6,894.46 11/30/2010 6,429.18 6,471.12 2011 12/31/2010 6,997.24 7,046.48 1/31/2011 7,025.11 7,045.19 2/28/2011 7,317.83 7,329.36 3/31/2011 7,331.76 7,347.93 4/30/2011 7,791.74 7,804.14 5/31/2011 7,749.93 7,760.85 6/30/2011 7,694.17 7,685.02 7/31/2011 7,568.72 7,574.71 8/31/2011 7,262.07 7,261.43 9/30/2011 6,328.18 6,367.00 10/11 10/31/2011 6,829.97 6,889.28 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 3/1/2007 -------------- ----- -------- -0.43% -7.84% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL REIT INDEX (NET DIVIDENDS) JUNE 4, 2008-OCTOBER 31, 2011 GROWTH OF $10,000 S&P DFA Global GLOBAL Real Estate REIT ROUNDED Securities INDEX GRND - 416 Portfolio (NET DIV.) 6/4/2008 ---------- ----------- ---------- 06/08 6/4/2008 10,000.00 10,000.00 6/30/2008 9,000.00 8,970.16 7/31/2008 9,020.00 8,994.62 8/31/2008 9,000.00 8,979.20 9/30/2008 8,710.00 8,552.07 10/31/2008 6,040.00 5,938.93 11/30/2008 5,040.00 4,954.84 12/31/2008 5,631.59 5,465.27 1/31/2009 4,816.90 4,697.67 2/28/2009 3,981.83 3,886.94 3/31/2009 4,185.51 4,070.44 4/30/2009 5,051.12 4,921.28 5/31/2009 5,438.10 5,234.90 6/30/2009 5,407.55 5,208.16 7/31/2009 5,937.10 5,715.60 8/31/2009 6,670.33 6,460.23 9/30/2009 7,108.23 6,888.89 10/31/2009 6,874.01 6,673.05 11/30/2009 7,159.15 6,896.88 2010 12/31/2009 7,471.24 7,198.88 1/31/2010 7,133.13 6,884.34 2/28/2010 7,362.17 7,065.68 3/31/2010 7,874.80 7,556.93 4/30/2010 8,202.01 7,886.77 5/31/2010 7,591.22 7,269.80 6/30/2010 7,373.08 7,054.41 7/31/2010 8,158.38 7,771.86 8/31/2010 8,114.75 7,722.45 9/30/2010 8,649.19 8,230.82 10/31/2010 9,030.93 8,595.33 11/30/2010 8,681.91 8,264.42 2011 12/31/2010 9,248.98 8,788.84 1/31/2011 9,447.51 8,947.22 2/28/2011 9,856.24 9,333.79 3/31/2011 9,786.17 9,257.53 4/30/2011 10,370.07 9,804.23 5/31/2011 10,428.46 9,852.53 6/30/2011 10,194.90 9,617.22 7/31/2011 10,218.26 9,646.76 8/31/2011 9,727.78 9,152.80 9/30/2011 8,583.33 8,093.32 10/11 10/31/2011 9,587.64 9,051.92 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 6/4/2008 -------------- ---- -------- 6.17% -1.23% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 10/31/2001 MSCI WORLD DFA International EX USA Small Cap Value SMALL CAP ROUNDED Portfolio- INDEX SVAL - 66 Institutional Class (NET DIV.) ---------- ------------------- ---------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 10,054.42 10,395.60 12/31/2001 9,904.10 10,209.62 1/31/2002 9,806.46 10,017.36 2/28/2002 10,197.04 10,177.18 3/31/2002 10,685.27 10,844.42 4/30/2002 11,103.76 11,202.09 5/31/2002 11,801.23 11,725.29 6/30/2002 11,591.99 11,244.36 7/31/2002 10,978.21 10,330.82 8/31/2002 10,950.31 10,210.76 9/30/2002 10,224.94 9,424.37 10/31/2002 10,127.30 9,347.03 11/30/2002 10,350.49 9,609.09 2003 12/31/2002 10,477.58 9,452.36 1/31/2003 10,506.05 9,350.69 2/28/2003 10,562.99 9,282.15 3/31/2003 10,463.34 9,192.36 4/30/2003 11,459.85 10,034.96 5/31/2003 12,612.95 10,922.10 6/30/2003 13,324.74 11,491.68 7/31/2003 13,865.70 11,838.49 8/31/2003 14,634.44 12,617.69 9/30/2003 15,460.12 13,338.97 10/31/2003 16,342.74 14,402.49 11/30/2003 16,413.92 14,415.18 2004 12/31/2003 17,443.15 15,295.01 1/31/2004 18,506.93 15,952.89 2/29/2004 19,075.25 16,435.87 3/31/2004 19,876.73 17,069.31 4/30/2004 19,177.26 16,459.75 5/31/2004 18,987.82 16,282.23 6/30/2004 19,851.60 17,104.49 7/31/2004 19,160.98 16,350.20 8/31/2004 19,396.09 16,434.96 9/30/2004 19,911.48 16,884.59 10/31/2004 20,560.45 17,509.34 11/30/2004 22,359.86 18,909.51 2005 12/31/2004 23,514.07 19,791.06 1/31/2005 24,170.63 20,095.96 2/28/2005 25,315.79 20,949.86 3/31/2005 25,077.29 20,608.76 4/30/2005 24,588.57 20,028.33 5/31/2005 24,222.04 20,075.51 6/30/2005 24,790.73 20,607.96 7/31/2005 25,732.93 21,503.33 8/31/2005 26,736.91 22,163.26 9/30/2005 27,361.74 23,061.72 10/31/2005 26,726.50 22,221.52 11/30/2005 27,222.30 22,962.34 2006 12/31/2005 28,976.07 24,747.26 1/31/2006 31,099.45 26,511.50 2/28/2006 31,164.79 26,178.73 3/31/2006 32,651.16 27,409.50 4/30/2006 34,006.86 28,685.27 5/31/2006 32,373.49 27,100.04 6/30/2006 31,770.84 26,440.10 7/31/2006 31,655.61 25,794.33 8/31/2006 32,462.23 26,548.51 9/30/2006 32,770.31 26,477.11 10/31/2006 34,207.31 27,528.30 11/30/2006 35,859.04 28,712.35 2007 12/31/2006 37,203.65 29,562.37 1/31/2007 38,195.27 30,165.41 2/28/2007 38,885.87 30,694.69 3/31/2007 40,575.46 31,712.11 4/30/2007 41,779.80 32,934.91 5/31/2007 42,576.78 33,421.63 6/30/2007 42,397.20 33,348.81 7/31/2007 42,289.91 33,143.54 8/31/2007 40,555.40 31,395.61 9/30/2007 41,399.29 32,104.61 10/31/2007 43,030.87 34,272.26 11/30/2007 39,534.62 31,454.54 2008 12/31/2007 38,299.58 30,532.88 1/31/2008 35,773.69 27,573.14 2/29/2008 36,556.91 28,882.57 3/31/2008 36,896.70 28,563.67 4/30/2008 37,524.39 29,258.70 5/31/2008 38,348.24 29,849.74 6/30/2008 34,998.28 27,544.85 7/31/2008 33,442.80 26,155.91 8/31/2008 32,365.93 25,188.75 9/30/2008 27,707.86 20,758.01 10/31/2008 21,677.45 15,633.84 11/30/2008 20,475.37 14,876.27 2009 12/31/2008 22,337.07 15,868.29 1/31/2009 20,453.71 14,946.71 2/28/2009 18,205.83 13,581.48 3/31/2009 19,393.60 14,453.64 4/30/2009 22,537.96 16,681.70 5/31/2009 25,641.75 19,150.28 6/30/2009 25,556.78 19,380.32 7/31/2009 27,936.07 20,937.71 8/31/2009 30,356.37 22,551.53 9/30/2009 31,786.64 23,819.00 10/31/2009 30,636.00 23,451.56 11/30/2009 30,800.37 23,634.35 2010 12/31/2009 31,162.02 23,933.21 1/31/2010 30,563.15 23,617.85 2/28/2010 30,274.04 23,482.65 3/31/2010 32,731.48 25,228.40 4/30/2010 33,144.50 25,726.95 5/31/2010 28,683.93 22,635.77 6/30/2010 28,107.31 22,423.39 7/31/2010 30,840.84 24,346.48 8/31/2010 29,401.04 23,713.92 9/30/2010 32,702.41 26,404.59 10/31/2010 33,725.01 27,492.88 11/30/2010 32,765.02 26,772.19 2011 12/31/2010 36,802.66 29,798.98 1/31/2011 37,572.94 29,955.31 2/28/2011 38,664.18 30,807.03 3/31/2011 38,856.76 30,778.57 4/30/2011 40,525.71 32,304.59 5/31/2011 39,134.92 31,410.01 6/30/2011 38,281.28 30,730.42 7/31/2011 37,545.52 30,562.75 8/31/2011 33,974.90 28,148.42 9/30/2011 29,966.27 24,916.75 10/11 10/31/2011 32,246.31 26,939.66 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -4.39% -1.17% 12.42% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.675% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. INTERNATIONAL VECTOR EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 14, 2008-OCTOBER 31, 2011 GROWTH OF $10,000 8/14/2008 International MSCI Vector WORLD EX ROUNDED Equity USA INDEX DVEC - 423 Portfolio (NET DIV.) ---------- ------------- ---------- 08/08 8/14/2008 10,000.00 10,000.00 8/31/2008 10,050.00 10,052.07 9/30/2008 8,750.00 8,600.77 10/31/2008 6,740.00 6,811.64 11/30/2008 6,340.00 6,442.25 12/31/2008 6,797.59 6,781.85 1/31/2009 6,064.61 6,149.06 2/28/2009 5,391.88 5,526.58 3/31/2009 5,902.99 5,890.75 4/30/2009 6,918.67 6,650.42 5/31/2009 7,984.62 7,491.47 6/30/2009 7,931.87 7,413.89 7/31/2009 8,714.89 8,110.04 8/31/2009 9,274.18 8,498.72 9/30/2009 9,740.44 8,849.36 10/31/2009 9,403.86 8,707.30 11/30/2009 9,607.85 8,922.74 2010 12/31/2009 9,715.33 9,064.98 1/31/2010 9,377.49 8,640.06 2/28/2010 9,357.02 8,631.40 3/31/2010 10,099.40 9,187.04 4/30/2010 10,119.88 9,050.06 5/31/2010 8,870.26 8,051.38 6/30/2010 8,736.26 7,934.91 7/31/2010 9,658.59 8,668.30 8/31/2010 9,254.43 8,409.20 9/30/2010 10,289.42 9,215.87 10/31/2010 10,684.37 9,544.18 11/30/2010 10,299.81 9,139.99 2011 12/31/2010 11,396.56 9,875.96 1/31/2011 11,659.88 10,088.70 2/28/2011 12,049.59 10,462.79 3/31/2011 11,880.96 10,253.19 4/30/2011 12,482.39 10,811.60 5/31/2011 12,070.88 10,491.09 6/30/2011 11,822.75 10,341.68 7/31/2011 11,544.82 10,171.08 8/31/2011 10,518.61 9,311.19 9/30/2011 9,259.56 8,376.13 10/11 10/31/2011 10,044.64 9,190.74 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 8/14/2008 -------------- ----- --------- -5.99% 0.14% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. WORLD EX U.S. VALUE PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 23, 2010-OCTOBER 31, 2011 GROWTH OF $10,000 8/23/2010 MSCI ALL COUNTRY World Ex WORLD EX ROUNDED U.S. Value USA INDEX GOBL - 510 Portfolio (NET DIV.) ---------- ---------- ---------- 08/10 8/23/2010 10,000.00 10,000.00 8/31/2010 9,890.00 9,919.64 9/30/2010 10,980.00 10,906.45 10/31/2010 11,350.00 11,277.97 11/30/2010 10,850.00 10,842.76 12/31/2010 11,859.03 11,691.82 1/31/2011 12,122.12 11,806.90 2/28/2011 12,385.20 12,117.90 3/31/2011 12,311.32 12,090.04 4/30/2011 12,899.02 12,680.69 5/31/2011 12,432.92 12,315.00 6/30/2011 12,237.66 12,136.31 7/31/2011 11,919.93 11,970.72 8/31/2011 10,669.51 10,944.85 9/30/2011 9,313.53 9,727.23 10/11 10/31/2011 10,261.37 10,751.94 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 8/23/2010 -------------- ----- --------- -9.59% 2.19% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 10/31/2001 $ 48,216 $ 47,319 Emerging Markets MSCI EMERGING ROUNDED Portfolio- MARKETS INDEX EMGO - 56 Institutional Class (NET DIV.) ---------- ------------------- ------------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 11,093.95 11,043.27 12/31/2001 11,961.39 11,919.10 1/31/2002 12,626.64 12,321.28 2/28/2002 12,457.07 12,521.02 3/31/2002 12,978.83 13,270.30 4/30/2002 13,109.27 13,355.36 5/31/2002 12,783.17 13,139.34 6/30/2002 11,804.87 12,150.05 7/31/2002 11,230.93 11,221.22 8/31/2002 11,270.06 11,392.69 9/30/2002 10,083.05 10,163.15 10/31/2002 10,500.46 10,823.45 11/30/2002 11,283.10 11,568.33 2003 12/31/2002 10,831.35 11,183.53 1/31/2003 10,818.12 11,134.20 2/28/2003 10,646.20 10,821.37 3/31/2003 10,474.27 10,512.33 4/30/2003 11,876.13 11,447.16 5/31/2003 12,748.99 12,265.59 6/30/2003 13,238.31 12,960.90 7/31/2003 13,502.82 13,766.84 8/31/2003 14,111.17 14,688.09 9/30/2003 14,732.75 14,795.06 10/31/2003 15,856.88 16,053.85 11/30/2003 15,698.18 16,249.19 2004 12/31/2003 17,348.34 17,425.74 1/31/2004 17,669.60 18,034.27 2/29/2004 18,445.99 18,861.27 3/31/2004 18,566.47 19,097.00 4/30/2004 17,388.50 17,533.32 5/31/2004 17,174.32 17,183.53 6/30/2004 17,484.27 17,256.72 7/31/2004 17,470.77 16,940.82 8/31/2004 17,956.82 17,643.35 9/30/2004 18,959.43 18,661.28 10/31/2004 19,488.72 19,107.15 11/30/2004 21,185.16 20,875.96 2005 12/31/2004 22,541.38 21,878.59 1/31/2005 22,718.98 21,934.15 2/28/2005 24,413.00 23,847.87 3/31/2005 22,733.92 22,271.83 4/30/2005 22,186.78 21,673.95 5/31/2005 22,843.35 22,428.37 6/30/2005 23,521.90 23,190.38 7/31/2005 25,029.18 24,811.33 8/31/2005 25,181.29 25,023.81 9/30/2005 27,176.77 27,353.90 10/31/2005 25,813.06 25,566.00 11/30/2005 27,677.72 27,680.93 2006 12/31/2005 29,271.48 29,317.06 1/31/2006 32,057.90 32,591.52 2/28/2006 31,959.39 32,552.84 3/31/2006 32,393.99 32,839.73 4/30/2006 34,323.55 35,178.14 5/31/2006 30,351.76 31,492.44 6/30/2006 30,304.72 31,415.46 7/31/2006 30,858.29 31,865.25 8/31/2006 31,823.50 32,677.19 9/30/2006 32,251.57 32,949.27 10/31/2006 34,168.92 34,513.80 11/30/2006 36,343.83 37,079.37 2007 12/31/2006 37,808.71 38,748.91 1/31/2007 38,358.34 38,331.68 2/28/2007 37,750.85 38,104.17 3/31/2007 39,471.27 39,621.55 4/30/2007 41,974.40 41,455.91 5/31/2007 44,781.37 43,509.21 6/30/2007 45,509.80 45,548.75 7/31/2007 46,588.16 47,952.05 8/31/2007 45,772.10 46,932.97 9/30/2007 49,805.56 52,115.94 10/31/2007 55,243.43 57,927.95 11/30/2007 51,637.73 53,821.63 2008 12/31/2007 51,426.30 54,010.37 1/31/2008 46,932.44 47,270.20 2/29/2008 48,420.17 50,759.33 3/31/2008 46,908.75 48,073.18 4/30/2008 50,242.91 51,974.50 5/31/2008 50,534.84 52,938.69 6/30/2008 45,334.03 47,658.72 7/31/2008 44,729.99 45,861.03 8/31/2008 42,066.01 42,197.96 9/30/2008 36,197.13 34,813.18 10/31/2008 26,659.23 25,285.56 11/30/2008 24,235.66 23,382.14 2009 12/31/2008 26,124.79 25,205.85 1/31/2009 24,127.49 23,578.05 2/28/2009 22,545.62 22,247.96 3/31/2009 25,804.27 25,445.15 4/30/2009 29,616.45 29,679.48 5/31/2009 34,661.97 34,750.69 6/30/2009 34,356.93 34,282.58 7/31/2009 38,274.69 38,137.59 8/31/2009 38,403.67 38,001.05 9/30/2009 41,768.69 41,450.42 10/31/2009 40,893.44 41,501.69 11/30/2009 43,324.68 43,284.42 2010 12/31/2009 44,874.49 44,993.77 1/31/2010 42,416.30 42,484.38 2/28/2010 42,927.73 42,633.91 3/31/2010 46,508.30 46,075.86 4/30/2010 46,772.74 46,634.07 5/31/2010 42,409.49 42,532.30 6/30/2010 42,474.25 42,219.64 7/31/2010 46,203.86 45,735.49 8/31/2010 45,121.61 44,847.26 9/30/2010 50,237.34 49,831.12 10/31/2010 51,744.46 51,278.04 11/30/2010 50,572.25 49,924.41 2011 12/31/2010 54,664.62 53,486.99 1/31/2011 53,238.28 52,035.83 2/28/2011 52,846.03 51,550.58 3/31/2011 55,770.04 54,581.43 4/30/2011 57,713.43 56,274.56 5/31/2011 56,108.79 54,798.52 6/30/2011 55,425.22 53,955.51 7/31/2011 54,976.94 53,715.88 8/31/2011 50,512.08 48,915.60 9/30/2011 42,866.36 41,783.97 10/11 10/31/2011 48,215.62 47,318.56 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -6.82% 7.13% 17.04% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 10/31/2001 Emerging Markets Small Cap MSCI EMERGING ROUNDED Portfolio- MARKETS INDEX EMGS - 90 Institutional Class (NET DIV.) ---------- ------------------- ------------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 11,058.09 11,043.27 12/31/2001 11,902.99 11,919.10 1/31/2002 12,821.82 12,321.28 2/28/2002 12,696.52 12,521.02 3/31/2002 13,490.06 13,270.30 4/30/2002 13,865.94 13,355.36 5/31/2002 13,740.65 13,139.34 6/30/2002 12,842.70 12,150.05 7/31/2002 12,237.11 11,221.22 8/31/2002 12,383.29 11,392.69 9/30/2002 10,963.28 10,163.15 10/31/2002 11,422.69 10,823.45 11/30/2002 12,299.76 11,568.33 2003 12/31/2002 11,881.08 11,183.53 1/31/2003 12,094.77 11,134.20 2/28/2003 11,966.55 10,821.37 3/31/2003 11,859.71 10,512.33 4/30/2003 13,398.27 11,447.16 5/31/2003 14,402.60 12,265.59 6/30/2003 15,022.30 12,960.90 7/31/2003 15,321.46 13,766.84 8/31/2003 16,240.32 14,688.09 9/30/2003 16,860.02 14,795.06 10/31/2003 18,313.10 16,053.85 11/30/2003 18,676.37 16,249.19 2004 12/31/2003 20,530.76 17,425.74 1/31/2004 21,139.72 18,034.27 2/29/2004 22,031.42 18,861.27 3/31/2004 22,401.15 19,097.00 4/30/2004 21,139.72 17,533.32 5/31/2004 20,248.03 17,183.53 6/30/2004 20,416.04 17,256.72 7/31/2004 20,547.19 16,940.82 8/31/2004 21,224.81 17,643.35 9/30/2004 22,405.91 18,661.28 10/31/2004 22,955.08 19,107.15 11/30/2004 25,129.77 20,875.96 2005 12/31/2004 26,460.70 21,878.59 1/31/2005 27,195.72 21,934.15 2/28/2005 28,918.42 23,847.87 3/31/2005 26,901.39 22,271.83 4/30/2005 25,911.86 21,673.95 5/31/2005 26,418.14 22,428.37 6/30/2005 27,087.64 23,190.38 7/31/2005 28,571.90 24,811.33 8/31/2005 28,757.43 25,023.81 9/30/2005 30,643.86 27,353.90 10/31/2005 29,149.04 25,566.00 11/30/2005 31,227.78 27,680.93 2006 12/31/2005 33,274.00 29,317.06 1/31/2006 36,486.33 32,591.52 2/28/2006 36,869.89 32,552.84 3/31/2006 37,543.40 32,839.73 4/30/2006 40,592.01 35,178.14 5/31/2006 36,319.16 31,492.44 6/30/2006 34,716.14 31,415.46 7/31/2006 35,514.49 31,865.25 8/31/2006 36,748.31 32,677.19 9/30/2006 37,765.64 32,949.27 10/31/2006 40,612.66 34,513.80 11/30/2006 43,703.02 37,079.37 2007 12/31/2006 45,687.89 38,748.91 1/31/2007 46,546.48 38,331.68 2/28/2007 46,962.78 38,104.17 3/31/2007 49,044.23 39,621.55 4/30/2007 52,790.84 41,455.91 5/31/2007 56,979.77 43,509.21 6/30/2007 58,681.90 45,548.75 7/31/2007 61,533.58 47,952.05 8/31/2007 58,969.68 46,932.97 9/30/2007 63,021.90 52,115.94 10/31/2007 67,746.57 57,927.95 11/30/2007 62,313.20 53,821.63 2008 12/31/2007 63,056.81 54,010.37 1/31/2008 55,452.82 47,270.20 2/29/2008 57,058.11 50,759.33 3/31/2008 54,354.82 48,073.18 4/30/2008 57,679.79 51,974.50 5/31/2008 57,313.48 52,938.69 6/30/2008 50,709.75 47,658.72 7/31/2008 49,913.41 45,861.03 8/31/2008 46,898.70 42,197.96 9/30/2008 38,426.82 34,813.18 10/31/2008 26,766.66 25,285.56 11/30/2008 25,129.65 23,382.14 2009 12/31/2008 28,668.92 25,205.85 1/31/2009 26,463.62 23,578.05 2/28/2009 24,838.66 22,247.96 3/31/2009 28,256.49 25,445.15 4/30/2009 33,977.48 29,679.48 5/31/2009 41,760.36 34,750.69 6/30/2009 41,553.43 34,282.58 7/31/2009 46,824.47 38,137.59 8/31/2009 47,380.86 38,001.05 9/30/2009 51,332.64 41,450.42 10/31/2009 51,273.88 41,501.69 11/30/2009 54,270.97 43,284.42 2010 12/31/2009 57,262.50 44,993.77 1/31/2010 54,726.67 42,484.38 2/28/2010 55,670.24 42,633.91 3/31/2010 60,424.43 46,075.86 4/30/2010 61,398.07 46,634.07 5/31/2010 55,202.20 42,532.30 6/30/2010 56,662.30 42,219.64 7/31/2010 61,862.04 45,735.49 8/31/2010 62,159.17 44,847.26 9/30/2010 69,687.49 49,831.12 10/31/2010 72,465.43 51,278.04 11/30/2010 70,493.99 49,924.41 2011 12/31/2010 74,546.80 53,486.99 1/31/2011 71,386.46 52,035.83 2/28/2011 69,279.57 51,550.58 3/31/2011 73,121.55 54,581.43 4/30/2011 76,963.53 56,274.56 5/31/2011 75,197.46 54,798.52 6/30/2011 74,588.07 53,955.51 7/31/2011 75,429.99 53,715.88 8/31/2011 68,258.06 48,915.60 9/30/2011 56,117.74 41,783.97 10/11 10/31/2011 62,300.74 47,318.56 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ------ ----- ----- -14.03% 8.93% 20.07% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. EMERGING MARKETS VALUE PORTFOLIO CLASS R2 VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) JANUARY 29, 2008-OCTOBER 31, 2011 GROWTH OF $10,000 1/29/2008 $ 9,701 $ 9,881 Emerging Markets MSCI EMERGING ROUNDED Value Portfolio - MARKETS INDEX EMKT - 526 Class R2 (NET DIV.) ---------- ----------------- ------------- 2008 1/29/2008 10000 10000 1/31/2008 10,050.00 9870.58027 2/29/2008 10,450.00 10599.15142 3/31/2008 10,097.25 10038.25207 4/30/2008 10,871.65 10852.89349 5/31/2008 10,962.16 11054.22933 6/30/2008 9,676.85 9951.708695 7/31/2008 9,488.75 9576.329254 8/31/2008 8,673.64 8811.436588 9/30/2008 7,173.75 7269.405686 10/31/2008 4,948.91 5279.926857 11/30/2008 4,569.06 4882.469938 2009 12/31/2008 5,120.19 5263.282373 1/31/2009 4,674.95 4923.376446 2/28/2009 4,261.52 4645.638757 3/31/2009 5,001.60 5313.24974 4/30/2009 5,995.51 6197.428705 5/31/2009 7,342.09 7256.357709 6/30/2009 7,240.74 7158.611225 7/31/2009 8,197.07 7963.581949 8/31/2009 8,265.38 7935.072512 9/30/2009 9,034.99 8655.340231 10/31/2009 8,823.23 8666.046642 11/30/2009 9,387.92 9038.301585 2010 12/31/2009 9,846.64 9395.234966 1/31/2010 9,296.82 8871.243377 2/28/2010 9,346.81 8902.467765 3/31/2010 10,146.53 9621.187789 4/30/2010 10,246.50 9737.748454 5/31/2010 9,146.88 8881.249686 6/30/2010 9,198.59 8815.963772 7/31/2010 10,085.20 9550.114665 8/31/2010 9,863.54 9364.642471 9/30/2010 11,031.37 10405.33035 10/31/2010 11,444.31 10707.46493 11/30/2010 11,031.37 10424.81085 2011 12/31/2010 11,960.04 11168.72023 1/31/2011 11,583.09 10865.70006 2/28/2011 11,391.30 10764.3747 3/31/2011 12,042.71 11397.25281 4/30/2011 12,465.95 11750.79802 5/31/2011 11,989.80 11442.58284 6/30/2011 11,738.47 11266.55355 7/31/2011 11,638.91 11216.51417 8/31/2011 10,454.11 10214.1596 9/30/2011 8,577.42 8724.991068 10/11 10/31/2011 9,700.58 9880.678991 AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 1/29/2008 -------------- ------ --------- -15.24% -0.81% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS EMERGING MARKETS VALUE PORTFOLIO INSTITUTIONAL CLASS VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 10/31/2001 Emerging Markets MSCI EMERGING ROUNDED Value Portfolio- MARKETS INDEX EMKT - 95 Institutional Class (NET DIV.) ---------- ------------------- ------------- 10/01 10/31/2001 10,000.00 10,000.00 11/30/2001 11,210.11 11,043.27 12/31/2001 11,981.03 11,919.10 1/31/2002 12,932.59 12,321.28 2/28/2002 12,759.58 12,521.02 3/31/2002 13,523.71 13,270.30 4/30/2002 13,898.57 13,355.36 5/31/2002 13,725.56 13,139.34 6/30/2002 12,745.16 12,150.05 7/31/2002 12,240.55 11,221.22 8/31/2002 12,269.38 11,392.69 9/30/2002 10,798.79 10,163.15 10/31/2002 11,260.15 10,823.45 11/30/2002 12,139.62 11,568.33 2003 12/31/2002 11,777.35 11,183.53 1/31/2003 11,954.90 11,134.20 2/28/2003 11,851.33 10,821.37 3/31/2003 11,585.01 10,512.33 4/30/2003 13,108.97 11,447.16 5/31/2003 14,085.48 12,265.59 6/30/2003 14,706.90 12,960.90 7/31/2003 15,047.20 13,766.84 8/31/2003 16,038.51 14,688.09 9/30/2003 16,822.68 14,795.06 10/31/2003 18,317.04 16,053.85 11/30/2003 18,524.18 16,249.19 2004 12/31/2003 20,753.10 17,425.74 1/31/2004 21,322.91 18,034.27 2/29/2004 22,702.45 18,861.27 3/31/2004 22,987.36 19,097.00 4/30/2004 21,367.90 17,533.32 5/31/2004 20,738.11 17,183.53 6/30/2004 21,115.97 17,256.72 7/31/2004 21,387.46 16,940.82 8/31/2004 22,337.68 17,643.35 9/30/2004 23,809.16 18,661.28 10/31/2004 24,552.72 19,107.15 11/30/2004 27,208.30 20,875.96 2005 12/31/2004 28,957.22 21,878.59 1/31/2005 29,432.43 21,934.15 2/28/2005 32,115.07 23,847.87 3/31/2005 29,767.18 22,271.83 4/30/2005 28,707.90 21,673.95 5/31/2005 29,122.40 22,428.37 6/30/2005 30,079.29 23,190.38 7/31/2005 32,267.72 24,811.33 8/31/2005 32,779.90 25,023.81 9/30/2005 35,410.13 27,353.90 10/31/2005 33,195.04 25,566.00 11/30/2005 35,644.11 27,680.93 2006 12/31/2005 37,880.21 29,317.06 1/31/2006 41,499.95 32,591.52 2/28/2006 41,658.71 32,552.84 3/31/2006 43,066.02 32,839.73 4/30/2006 46,821.96 35,178.14 5/31/2006 41,745.07 31,492.44 6/30/2006 41,365.72 31,415.46 7/31/2006 42,342.98 31,865.25 8/31/2006 43,111.98 32,677.19 9/30/2006 43,986.14 32,949.27 10/31/2006 47,038.05 34,513.80 11/30/2006 50,477.49 37,079.37 2007 12/31/2006 52,247.13 38,748.91 1/31/2007 53,050.68 38,331.68 2/28/2007 53,345.87 38,104.17 3/31/2007 56,123.08 39,621.55 4/30/2007 60,594.51 41,455.91 5/31/2007 65,197.46 43,509.21 6/30/2007 67,048.88 45,548.75 7/31/2007 70,225.14 47,952.05 8/31/2007 67,958.74 46,932.97 9/30/2007 74,083.28 52,115.94 10/31/2007 82,211.33 57,927.95 11/30/2007 76,210.87 53,821.63 2008 12/31/2007 76,091.38 54,010.37 1/31/2008 68,514.74 47,270.20 2/29/2008 71,251.22 50,759.33 3/31/2008 68,853.80 48,073.18 4/30/2008 74,163.42 51,974.50 5/31/2008 74,797.15 52,938.69 6/30/2008 66,095.79 47,658.72 7/31/2008 64,798.78 45,861.03 8/31/2008 59,247.56 42,197.96 9/30/2008 49,026.34 34,813.18 10/31/2008 33,801.64 25,285.56 11/30/2008 31,235.09 23,382.14 2009 12/31/2008 35,047.60 25,205.85 1/31/2009 31,884.01 23,578.05 2/28/2009 29,175.32 22,247.96 3/31/2009 34,222.18 25,445.15 4/30/2009 40,950.68 29,679.48 5/31/2009 50,163.55 34,750.69 6/30/2009 49,545.57 34,282.58 7/31/2009 56,189.13 38,137.59 8/31/2009 56,605.66 38,001.05 9/30/2009 61,827.93 41,450.42 10/31/2009 60,365.78 41,501.69 11/30/2009 64,209.14 43,284.42 2010 12/31/2009 67,389.61 44,993.77 1/31/2010 63,552.86 42,484.38 2/28/2010 64,045.85 42,633.91 3/31/2010 69,683.09 46,075.86 4/30/2010 70,133.21 46,634.07 5/31/2010 62,781.22 42,532.30 6/30/2010 63,173.06 42,219.64 7/31/2010 69,018.02 45,735.49 8/31/2010 67,767.07 44,847.26 9/30/2010 75,902.81 49,831.12 10/31/2010 78,500.00 51,278.04 11/30/2010 75,946.10 49,924.41 2011 12/31/2010 82,254.19 53,486.99 1/31/2011 79,683.74 52,035.83 2/28/2011 78,341.65 51,550.58 3/31/2011 82,845.61 54,581.43 4/30/2011 85,802.76 56,274.56 5/31/2011 82,527.15 54,798.52 6/30/2011 80,836.92 53,955.51 7/31/2011 80,151.28 53,715.88 8/31/2011 72,015.02 48,915.60 9/30/2011 59,086.07 41,783.97 10/11 10/31/2011 66,849.04 47,318.56 AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ------ ----- ----- -14.84% 7.28% 20.92% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. EMERGING MARKETS CORE EQUITY PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) APRIL 5, 2005-OCTOBER 31, 2011 GROWTH OF $10,000 4/5/2005 Emerging Markets Core Equity MSCI EMERGING ROUNDED Portfolio- MARKETS INDEX EMGC - 272 Institutional Class (NET DIV.) ---------- ------------------- ------------- 04/05 4/5/2005 10,000.00 10,000.00 4/30/2005 9,580.00 9,681.98 5/31/2005 9,720.00 10,018.98 6/30/2005 9,980.46 10,359.38 7/31/2005 10,652.51 11,083.48 8/31/2005 10,762.85 11,178.39 9/30/2005 11,511.37 12,219.27 10/31/2005 10,897.56 11,420.59 11/30/2005 11,611.99 12,365.35 2006 12/31/2005 12,295.12 13,096.23 1/31/2006 13,395.42 14,558.97 2/28/2006 13,415.61 14,541.69 3/31/2006 13,684.43 14,669.84 4/30/2006 14,623.65 15,714.44 5/31/2006 12,987.58 14,068.00 6/30/2006 12,774.97 14,033.61 7/31/2006 13,018.69 14,234.53 8/31/2006 13,333.50 14,597.24 9/30/2006 13,597.96 14,718.78 10/31/2006 14,487.45 15,417.67 11/30/2006 15,489.82 16,563.74 2007 12/31/2006 16,100.27 17,309.54 1/31/2007 16,327.47 17,123.16 2/28/2007 16,203.54 17,021.52 3/31/2007 16,905.80 17,699.35 4/30/2007 18,041.81 18,518.78 5/31/2007 19,353.37 19,436.01 6/30/2007 19,810.95 20,347.09 7/31/2007 20,485.49 21,420.67 8/31/2007 19,956.23 20,965.44 9/30/2007 21,671.05 23,280.73 10/31/2007 23,923.67 25,877.01 11/30/2007 22,181.20 24,042.67 2008 12/31/2007 22,135.55 24,126.99 1/31/2008 19,968.29 21,116.08 2/29/2008 20,620.57 22,674.71 3/31/2008 19,871.14 21,474.78 4/30/2008 21,377.81 23,217.54 5/31/2008 21,472.63 23,648.26 6/30/2008 19,078.76 21,289.64 7/31/2008 18,876.93 20,486.59 8/31/2008 17,623.42 18,850.26 9/30/2008 14,860.95 15,551.40 10/31/2008 10,661.50 11,295.32 11/30/2008 9,949.29 10,445.04 2009 12/31/2008 10,921.92 11,259.71 1/31/2009 9,947.71 10,532.55 2/28/2009 9,276.59 9,938.39 3/31/2009 10,740.54 11,366.61 4/30/2009 12,702.24 13,258.13 5/31/2009 15,205.84 15,523.49 6/30/2009 15,058.12 15,314.38 7/31/2009 16,880.38 17,036.45 8/31/2009 16,945.85 16,975.46 9/30/2009 18,407.63 18,516.33 10/31/2009 18,067.97 18,539.23 11/30/2009 19,174.62 19,335.59 2010 12/31/2009 20,050.08 20,099.18 1/31/2010 18,950.24 18,978.21 2/28/2010 19,159.21 19,045.00 3/31/2010 20,811.52 20,582.56 4/30/2010 21,009.62 20,831.92 5/31/2010 18,973.59 18,999.61 6/30/2010 19,134.07 18,859.95 7/31/2010 20,862.46 20,430.51 8/31/2010 20,585.47 20,033.73 9/30/2010 23,044.98 22,260.07 10/31/2010 23,724.09 22,906.43 11/30/2010 23,089.51 22,301.75 2011 12/31/2010 24,785.44 23,893.19 1/31/2011 24,002.51 23,244.94 2/28/2011 23,588.67 23,028.17 3/31/2011 24,930.85 24,382.09 4/30/2011 25,915.11 25,138.42 5/31/2011 25,199.28 24,479.06 6/30/2011 24,848.79 24,102.48 7/31/2011 24,792.57 23,995.43 8/31/2011 22,555.05 21,851.10 9/30/2011 18,823.01 18,665.33 10/11 10/31/2011 21,212.69 21,137.69 AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 4/5/2005 -------------- ------ ----- -------- -10.59% 7.92% 12.12% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 12 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The year ending October 31, 2011, was a relatively volatile period for U.S. equities. Broad market returns were positive with the Russell 3000(R) Index returning 7.90%. Small cap stocks, represented by the Russell 2000(R) Index, underperformed large cap stocks, represented by the Russell 1000(R) Index. Small cap value stocks, represented by the Russell 2000(R) Value Index, underperformed small cap growth stocks, represented by the Russell 2000(R) Growth Index. Large cap value stocks, represented by the Russell 1000(R) Value Index, underperformed large cap growth stocks, represented by the Russell 1000(R) Growth Index The broad market, as represented by the Russell 3000(R) Index, had a positive return in each of the six months through April 2011. Monthly performance turned negative in May and continued through the third quarter, although total returns remained positive through August largely due to gains over the first half of the period. Sharp declines through September brought calendar year to date total returns across all market segments into negative territory. Double-digit gains in October helped all the market segments post positive total returns for the twelve-month period. Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolios' holdings. Size is measured by market capitalization and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value. Dividing the market into micro cap, small cap, and large cap segments shows how these segments affected the broad market return. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011 Russell 3000(R) Index........................ 7.90% Russell Microcap(R) Index (micro cap stocks). 2.11% Russell 2000(R) Index (small cap stocks)..... 6.71% Russell 1000(R) Index (large cap stocks)..... 8.01% Further dividing small cap and large cap into value and growth segments shows additional detail in the performance differences over the period. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011 Russell 2000(R) Value Index (small cap value stocks)... 3.54% Russell 2000(R) Growth Index (small cap growth stocks). 9.84% Russell 1000(R) Value Index (large cap value stocks)... 6.16% Russell 1000(R) Growth Index (large cap growth stocks). 9.92% -------- Source: Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2011 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors LP (the "Advisor" or "Dimensional") generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks. 13 MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. ENHANCED U.S. LARGE COMPANY PORTFOLIO The Enhanced U.S. Large Company Portfolio seeks to outperform the total return of the S&P 500(R) Index. This strategy combines investment in high-grade, short-term fixed income instruments with an overlay of S&P 500(R) Index futures contracts, swaps, and/or ETFs. For the 12 months ended October 31, 2011, approximately 97% of the equity exposure consisted of S&P 500(R) Index futures contracts. ETFs accounted for the remaining exposure. The behavior of S&P 500(R) Index futures contracts and ETFs linked to the S&P 500(R) Index is determined principally by the performance of the S&P 500(R) Index. For the 12 months ended October 31, 2011, the total return was 8.41% for the Portfolio and 8.09% for the S&P 500(R) Index. Relative to the Index, the Portfolio's outperformance was primarily due to the fixed income component of the Portfolio exceeding the interest rate embedded in the Portfolio's S&P 500(R) futures contracts. The Portfolio's concentration in government agency and corporate fixed income securities with maturities between one and two years had the most significant contribution to the outperformance. As interest rates declined during the period, these securities generated a positive return, adding to the positive return of the S&P 500(R) Index. U.S. LARGE CAP VALUE PORTFOLIO The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of The U.S. Large Cap Value Series, a Master Fund that invests in such stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Master Fund held approximately 220 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2011, total returns were 5.53% for the Portfolio and 6.16% for the Russell 1000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, growth stocks outperformed value stocks in the U.S. during the year. The Master Fund's higher allocation to the deepest value stocks, which significantly underperformed, was a contributor to its relative underperformance compared to the Index. Dimensional's U.S. value strategies exclude REITS and highly regulated utilities, two sectors that performed well during this period. In addition to the higher allocation to the deepest value stocks, these exclusions were drivers of underperformance relative to the Russell 1000(R) Value Index. U.S. TARGETED VALUE PORTFOLIO The U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small- and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small and mid cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Portfolio held approximately 1,500 securities, and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 4.69% for the Portfolio's Class R1 shares, 4.50% for the Portfolio's Class R2 shares, 4.76% for the Portfolio's Institutional Class shares, and 3.54% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, over the period large cap stocks outperformed small cap stocks in the U.S. and growth stocks outperformed value stocks in the U.S. The Portfolio had a greater allocation than 14 the Index to mid cap stocks and a lower allocation to micro cap stocks. The Portfolio also had a greater allocation than the Index to deep value stocks which performed well compared to the overall Index. These differences were the primary drivers of relative outperformance. Dimensional's U.S. value strategies exclude REITS and highly regulated utilities. REITs were among the lower performing sectors in small cap stocks, and their exclusion from the Portfolio contributed to the outperformance. U.S. SMALL CAP VALUE PORTFOLIO The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks, as measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company and value stocks, and does not attempt to closely track a specific index. As of October 31, 2011, the Portfolio held approximately 1,400 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 5.13% for the Portfolio and 3.54% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, growth stocks outperformed value stocks in the U.S. over the period. The Portfolio had a slightly lower allocation than the Index to larger small cap stocks and a slightly higher allocation to micro cap stocks which created differences in the specific mix and weighting of those stocks compared to the Index. The Portfolio had a greater allocation than the Index to deep value stocks which performed relatively well compared to the overall Index. These differences were the primary drivers of relative outperformance. Dimensional's U.S. value strategies exclude REITS and highly regulated utilities. REITs were among the lower performing sectors in small cap stocks, and their exclusion from the Portfolio contributed to the outperformance. U.S. CORE EQUITY 1 PORTFOLIO The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total U.S. market universe, with increased exposure to smaller company stocks and stocks with deeper value characteristics, than the U.S. market as a whole. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Portfolio held approximately 3,200 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 7.47% for the Portfolio and 7.90% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, over the period growth stocks outperformed value stocks in the U.S. and large cap stocks outperformed small cap stocks in the U.S. The Portfolio had a lower allocation than the Index to growth stocks and a greater allocation to the deepest value stocks. The Portfolio also had a lower allocation than the Index to large cap stocks, which created differences in the specific mix and weighting of those stocks compared to the Index. These differences were the primary drivers of relative underperformance as compared to the Index. Dimensional's U.S. core equity strategies exclude REITs, a sector that performed well over the period. This exclusion also contributed to underperformance relative to the Index. U.S. CORE EQUITY 2 PORTFOLIO The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe, with increased exposure to smaller company stocks and stocks with deeper value characteristics, than the U.S. Core Equity 1 Portfolio and the U.S. market as a whole. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Portfolio held approximately 3,300 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. 15 For the 12 months ended October 31, 2011, total returns were 6.98% for the Portfolio and 7.90% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, over the period growth stocks outperformed value stocks in the U.S. and large cap stocks outperformed small cap stocks in the U.S. The Portfolio had a lower allocation than the Index to growth stocks and a greater allocation to the deepest value stocks. The Portfolio also had a lower allocation than the Index to large cap stocks, which created differences in the specific mix and weighting of those stocks compared to the Index. These differences were the primary drivers of relative underperformance as compared to the Index. Dimensional's U.S. core equity strategies exclude REITs, a sector that performed well over the period. This exclusion also contributed to underperformance relative to the Index. U.S. VECTOR EQUITY PORTFOLIO The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of U.S. stocks with increased exposure to smaller company stocks and stocks with deeper value characteristics. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Portfolio held approximately 3,100 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 5.86% for the Portfolio and 7.97% for the Russell 2500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, over the period growth stocks outperformed value stocks in the U.S. and large cap stocks outperformed small cap stocks in the U.S. The Portfolio's lower allocation than the Index to growth stocks and greater allocation to the deepest value stocks were the primary drivers of relative underperformance. The Portfolio excludes REITs, a sector that performed well over the period. This exclusion also contributed to underperformance relative to the Index. U.S. SMALL CAP PORTFOLIO The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Portfolio held approximately 2,500 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 8.76% for the Portfolio and 6.71% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to micro cap stocks which created differences in the specific mix and weighting of stocks compared to the Index. These differences were the primary drivers of relative outperformance. Dimensional's small cap strategies exclude REITs which were among the lower performing sectors in small cap stocks. This exclusion also contributed to the outperformance as compared to the Index. U.S. MICRO CAP PORTFOLIO The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S. company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to very small company stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Portfolio held approximately 2,150 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 8.85% for the Portfolio and 6.71% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, large cap stocks outperformed small cap stocks in the U.S over the 16 period. The Portfolio had a much greater allocation than the Index to micro cap stocks which created differences in the specific mix and weighting of those stocks compared to the Index. These differences were the primary drivers of relative outperformance as compared to the Index. Dimensional's micro cap strategies exclude REITs which were among the lower performing sectors in micro cap stocks. This exclusion also contributed to the outperformance as compared to the Index. DFA REAL ESTATE SECURITIES PORTFOLIO The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities (e.g., REITs), but does not attempt to closely track a specific index. As of October 31, 2011, the Portfolio held approximately 115 REITs and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 11.09% for the Portfolio, 11.67% for the Dow Jones U.S. Select REIT Index/SM/, and 8.09% for the S&P 500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. real estate securities market rather than the behavior of a limited number of stocks. The Portfolio's greater allocation to smaller REITs than the Dow Jones U.S. Select REIT IndexSM contributed to the underperformance. Small REITs generally underperformed the broader Index. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The one-year period ending October 31, 2011, was characterized by levels of volatility in non-US developed markets not seen since 2008-09. While broad market returns were positive through April 2011, stocks dropped for five out of the next six months to end the period in negative territory, with stocks represented by the MSCI World ex USA Index (net dividends) returning -3.70% overall. The slide in August and September, accompanied by poor US economic data and European debt worries among other factors, produced some of the lowest monthly returns since 2008. October's rally produced some of the best monthly returns since early 2009. As measured by the MSCI indices below, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ------ MSCI World ex USA Index................. -3.70% MSCI World ex USA Small Cap Index....... -2.01% MSCI World ex USA Value Index........... -4.74% MSCI World ex USA Growth Index.......... -2.73% -------- The US dollar (USD) generally depreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the euro and British pound, it fell significantly against the Swiss franc and Australian dollar, and to a lesser extent, against the Japanese yen. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN --------------------------------------------------- -------- ----------- United Kingdom......................................... 1.14% 2.10% Japan.................................................. -5.45% -2.33% Canada................................................. -2.57% -0.18% France................................................. -11.83% -11.52% Australia.............................................. -4.39% 3.49% Switzerland............................................ -9.66% 2.03% 17 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR Ten Largest Foreign Developed Markets by Market Cap RETURN RETURN --------------------------------------------------- -------- ----------- Germany................................................ -7.39% -7.07% Spain.................................................. -15.21% -14.91% Sweden................................................. -7.75% -4.35% Hong Kong.............................................. -8.67% -8.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. Losses in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2011, returns in USD were -7.72% for the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks underperformed their value counterparts, while emerging markets small cap stocks underperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ----------- MSCI Emerging Markets Index........... -7.72% MSCI Emerging Markets Small Cap Index. -16.70% MSCI Emerging Markets Value Index..... -6.99% MSCI Emerging Markets Growth Index.... -8.45% The US dollar (USD) generally appreciated against most major emerging markets currencies during the period. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN ------------------------------------------ -------- ----------- China............................................. -15.62% -15.76% Brazil............................................ -12.71% -12.57% South Korea....................................... 4.63% 6.24% Taiwan............................................ -5.30% -3.07% South Africa...................................... 10.15% -2.95% India............................................. -12.30% -19.99% Russia............................................ -1.24% 0.22% Mexico............................................ 5.26% -1.38% Malaysia.......................................... 2.08% 3.53% Indonesia......................................... 3.92% 4.92% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. GLOBAL REIT MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The publicly-traded global REIT market experienced significant levels of volatility during the one-year period ended October 31, 2011. While the REIT market generally rose through July 2011, it fell substantially in August and September, culminating in its lows of the period at the end of September. The market then turned sharply higher in October and generally rose throughout the month. 18 Over the course of the period, there was a wide degree of dispersion in country-level returns within the S&P Global REIT Index. REITs in continental Europe significantly underperformed amid concerns over European debt, particularly in Greece and Italy. On the other hand, REITs in Canada, the US and Australia outperformed. On a sector basis, residential REITs significantly outperformed the index, while diversified, office and industrial REITs were relative underperformers. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ------ S&P Global ex U.S. REIT Index (net dividends). -0.08% S&P Global REIT Index (net dividends)......... 5.31% -------- Source: Standard and Poor's. Copyright S&P, 2011. All rights reserved. MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called a "Master Fund." The Master Funds, in turn, purchase stocks and/or other securities. LARGE CAP INTERNATIONAL PORTFOLIO The Large Cap International Portfolio seeks to capture the returns of a broadly diversified basket of international large company stocks. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2011, the Portfolio held approximately 1,350 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. For the 12 months ended October 31, 2011, total returns were -4.86% for the Portfolio and -3.70% for the MSCI World ex USA Index (net dividends). The majority of the Portfolio's relative underperformance was attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets, while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets, while the Index uses local market closing prices. INTERNATIONAL CORE EQUITY PORTFOLIO The International Core Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with deeper value characteristics. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2011, the Portfolio held approximately 5,300 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were -5.49% for the Portfolio and -3.70% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. In particular, there was an extremely wide performance difference between deep value stocks and extreme growth stocks. The Portfolio's higher allocation than the Index to deep value stocks was the primary source of the Portfolio's relative underperformance. The time of valuation of currency and fair valuation adjustments can create differences between the performance of the Portfolio and the Index. 19 INTERNATIONAL SMALL COMPANY PORTFOLIO The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of five Master Funds that invest individually in Canada, the United Kingdom, Continental Europe (including Israel and excluding the U.K.), Japan, and the Asia Pacific. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Funds collectively held approximately 4,800 securities in 23 developed market countries. In general, the Portfolio was mostly invested in the Master Funds throughout the year. The combined average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were -2.92% for the Portfolio and -2.01% for the MSCI World ex USA Small Cap Index (net dividends). As a result of each Master Fund's diversified investment approach, the Portfolio's performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. In general, international small cap stocks outperformed international mid cap and large cap stocks over the period. The Portfolio's relative underperformance as compared to the Index, was primarily attributable to differences in the valuation timing and methodology between the Master Funds (other than the Master Fund for Canadian small cap securities) and the Index. The Master Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Funds (other than the Master Fund for Canadian small cap securities) also utilize fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. JAPANESE SMALL COMPANY PORTFOLIO The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of The Japanese Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 1,400 securities. In general, the Master Fund was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2011, total returns were 9.57% for the Portfolio and 9.17% for the MSCI Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks. In general, Japanese small cap stocks significantly outperformed Japanese mid cap and large cap stocks over the period. In particular, the smallest Japanese stocks outperformed all other market capitalizations. The series has a higher allocation to the smallest market capitalization segment than the Index, which contributed significantly to the Portfolio's relative outperformance. The positive contribution from size allocation differences was partially offset by differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. ASIA PACIFIC SMALL COMPANY PORTFOLIO The Asia Pacific Small Company Portfolio seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by purchasing shares of The Asia Pacific Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 1,100 securities across the eligible countries. In general, the Master Fund was mostly invested in equities during the period. The average cash level for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2011, total returns were -5.59% for the Portfolio and -3.65% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather 20 than the behavior of a limited number of stocks. In general, Asia Pacific small cap stocks underperformed Asia Pacific mid cap and large cap stocks over the period. In particular, micro cap stocks in Hong Kong and Singapore did especially poorly. Relative to the Index, the Master Fund's greater allocation to the smallest stocks had a significant negative impact on the Portfolio's relative performance. The Portfolio's relative underperformance was also affected by differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. UNITED KINGDOM SMALL COMPANY PORTFOLIO The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of The United Kingdom Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 375 securities. In general, the Master Fund was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2011, total returns were -0.28% for the Portfolio and -0.22% for the MSCI UK Small Cap Index (net dividends). One of the primary contributors to the Portfolio's performance relative to the Index was the Master Fund's exclusion of securities traded on the AIM segment of the London Stock Exchange. The Index includes these securities, which significantly underperformed, contributing to the Portfolio's relative performance. The impact of the foregoing contributors to relative performance was offset by differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. CONTINENTAL SMALL COMPANY PORTFOLIO The Continental Small Company Portfolio seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares of The Continental Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 1,500 securities in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Master Fund was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2011, total returns were -11.09% for the Portfolio and -10.54% for the MSCI Europe ex UK Small Cap Index (net dividends). The Portfolio's underperformance was primarily attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO The DFA International Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities in international markets, but does not attempt to track a specific index. As of 21 October 31, 2011, the Portfolio held approximately 200 securities in 19 developed and emerging market countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were -0.43% for the Portfolio and -0.08% for the S&P Global ex US REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was determined principally by structural trends in international real estate securities markets rather than the behavior of a limited number of stocks. Relative to the Index, the vast majority of the Portfolio's relative underperformance was attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO The DFA Global Real Estate Securities Portfolio, a fund of funds, is designed to capture the returns of a broadly diversified portfolio of real estate securities in U.S. and international markets, but does not attempt to track a specific index. As of October 31, 2011, the Portfolio invested in the DFA International Real Estate Securities Portfolio and the DFA Real Estate Securities Portfolio. As of October 31, 2011, the Portfolio held approximately 310 securities, through its underlying funds, in 20 developed and emerging markets countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were 6.17% for the Portfolio and 5.31% for the S&P Global REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was principally determined by structural trends in global real estate securities markets rather than the behavior of a limited number of stocks. Relative to the Index, most of the Portfolio's relative outperformance was attributable to differences between the Index's assumed withholding tax rates and the Portfolio's actual withholding tax rates as the Index assumes a higher witholding tax rate than is actually applied to the Portfolio. The time of valuation of currency and fair valuation adjustments can create differences between the performance of the Portfolio and the Index. DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company value stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Portfolio held approximately 2,200 securities in 23 developed market countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were -4.39% for the Portfolio and -2.01% for the MSCI World ex USA Small Cap Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. In general, international small cap growth stocks outperformed international small cap value stocks over the period. The Portfolio's larger allocation to international small cap value stocks, which underperformed, and significantly lower allocation to international small cap growth stocks, which outperformed, were the primary contributors to the Portfolio's relative underperformance as compared to the Index. The Portfolio's relative underperformance was also affected by differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. INTERNATIONAL VECTOR EQUITY PORTFOLIO The International Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with deeper value characteristics 22 than the International Core Equity Portfolio. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2011, the Portfolio held approximately 4,000 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were -5.99% for the Portfolio and -3.70% for the MSCI World ex US Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. In particular, there was an extremely wide performance difference between deep value stocks and extreme growth stocks. The Portfolio's higher allocation than the Index to deep value stocks was the primary source of the Portfolio's relative underperformance. The time of valuation of currency and fair valuation adjustments can create differences between the performance of the Portfolio and the Index. WORLD EX U.S. VALUE PORTFOLIO The World ex US Value Portfolio seeks to capture the returns of value stocks across all market capitalizations in international developed and emerging markets by purchasing shares of three funds managed by Dimensional Fund Advisors LP: The DFA International Value Series, DFA International Small Cap Value Portfolio, and Dimensional Emerging Markets Value Fund (the "Underlying Funds"). The investment strategy is process driven, emphasizing broad diversification and consistent exposure to value stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Underlying Funds collectively held approximately 4,800 securities. In general, the Portfolio was mostly invested in equities. The average cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, total returns were -9.59% for the Portfolio and -4.66% for the MSCI All Country World ex USA Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in the international and emerging equity markets rather than the behavior of a limited number of stocks. The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks outside the US during the period. In particular, there was an extremely wide performance difference between deep value stocks and extreme growth stocks. The Underlying Funds' higher allocation than the Index to deep value stocks was the primary source of the Portfolio's relative underperformance. The time of valuation of currency and fair valuation adjustments can create differences between the performance of the Portfolio and the Index. EMERGING MARKETS PORTFOLIO The Emerging Markets Portfolio seeks to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap emerging markets stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 850 securities across 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2011, total returns were -6.82% for the Portfolio and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio's relative outperformance was primarily due to differences in country weight allocations and in the composition of the Master Fund's holdings relative to the Index. In particular, the Master Fund's lower weight in China, which underperformed, contributed significantly to the Portfolio's relative outperformance. The time of valuation of currency and fair valuation adjustments can create differences between the performance of the Portfolio and the Index. 23 EMERGING MARKETS SMALL CAP PORTFOLIO The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of the Emerging Markets Small Cap Series, a Master Fund that invests in such securities. The Master Fund's investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 2,550 securities across 15 emerging markets. In general, the Master Fund was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country upon purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2011, total returns were -14.03% for the Portfolio and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio's underperformance was primarily due to emerging markets small cap stocks underperforming their large cap counterparts during the period. The Master Fund holds primarily small cap stocks, whereas the Index generally holds large cap and midcap stocks. To a lesser extent, an additional component of the Portfolio's performance was due to differences in valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. EMERGING MARKETS VALUE PORTFOLIO The Emerging Markets Value Portfolio seeks to capture the returns of large and small cap value stocks in selected emerging markets countries by purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to emerging markets value stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 2,150 securities across 17 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2011, total returns were -15.24% for the Portfolio's Class R2 shares, -14.84% for the Portfolio's Institutional Class shares, and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was generally determined by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund's relative underperformance as compared to the Index, was primarily due to its higher allocation than the Index to small cap and value stocks, both of which underperformed, and a lower allocation than the Index to large cap and growth stocks, respectively, each of which outperformed. To a lesser extent, an additional component of the Master Fund's performance was due to differences in valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the US markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. EMERGING MARKETS CORE EQUITY PORTFOLIO The Emerging Markets Core Equity Portfolio seeks to capture the returns of a broad universe of emerging markets stocks with increased exposure to smaller company stocks and those stocks with deeper value characteristics. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to selected emerging markets countries, and does not attempt to track a specific equity index. As of October 31, 2011, the Portfolio held approximately 3,400 securities across 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the 24 Portfolio's assets. The Portfolio's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2011, total returns were -10.59% for the Portfolio and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Portfolio's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. In general, emerging markets small cap stocks significantly underperformed emerging markets mid cap and large cap stocks over the period. The Portfolio's higher allocation than the Index to small cap stocks and its lower allocation to large stocks had a negative impact on the Portfolio's relative performance. The Portfolio's higher allocation to deep value names, which significantly underperformed, and its lower allocation to extreme growth names, which outperformed, also had a negative impact on the Portfolio's relative performance. To a lesser extent, an additional component of the Portfolio's performance was due to differences in valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the US markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 25 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2011 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- ENHANCED U.S. LARGE COMPANY PORTFOLIO Actual Fund Return Institutional Class Shares........... $1,000.00 $ 931.43 0.25% $1.22 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,023.95 0.25% $1.28 26 DISCLOSURE OF FUND EXPENSES CONTINUED BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE CAP VALUE PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 865.02 0.27% $1.27 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.84 0.27% $1.38 U.S. TARGETED VALUE PORTFOLIO Actual Fund Return Class R1 Shares..................... $1,000.00 $ 839.03 0.48% $2.22 Class R2 Shares..................... $1,000.00 $ 839.05 0.63% $2.92 Institutional Class Shares.......... $1,000.00 $ 839.81 0.38% $1.76 Hypothetical 5% Annual Return Class R1 Shares..................... $1,000.00 $1,022.79 0.48% $2.45 Class R2 Shares..................... $1,000.00 $1,022.03 0.63% $3.21 Institutional Class Shares.......... $1,000.00 $1,023.29 0.38% $1.94 U.S. SMALL CAP VALUE PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 836.53 0.52% $2.41 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.58 0.52% $2.65 U.S. CORE EQUITY 1 PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 898.19 0.20% $0.96 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,024.20 0.20% $1.02 U.S. CORE EQUITY 2 PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 885.16 0.22% $1.05 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,024.10 0.22% $1.12 U.S. VECTOR EQUITY PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 861.26 0.33% $1.55 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.54 0.33% $1.68 U.S. SMALL CAP PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 868.24 0.37% $1.74 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.34 0.37% $1.89 27 DISCLOSURE OF FUND EXPENSES CONTINUED BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- U.S. MICRO CAP PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 877.88 0.52% $2.46 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.58 0.52% $2.65 DFA REAL ESTATE SECURITIES PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 960.16 0.32% $1.58 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.59 0.32% $1.63 LARGE CAP INTERNATIONAL PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 838.94 0.30% $1.39 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.69 0.30% $1.53 INTERNATIONAL CORE EQUITY PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 818.22 0.40% $1.83 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.19 0.40% $2.04 INTERNATIONAL SMALL COMPANY PORTFOLIO*** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 825.23 0.56% $2.58 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.38 0.56% $2.85 JAPANESE SMALL COMPANY PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 981.58 0.56% $2.80 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.38 0.56% $2.85 ASIA PACIFIC SMALL COMPANY PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 832.56 0.60% $2.77 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.18 0.60% $3.06 28 DISCLOSURE OF FUND EXPENSES CONTINUED BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- UNITED KINGDOM SMALL COMPANY PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 854.04 0.60% $2.80 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.18 0.60% $3.06 CONTINENTAL SMALL COMPANY PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 740.30 0.58% $2.54 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.28 0.58% $2.96 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 876.57 0.42% $1.99 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.09 0.42% $2.14 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO*** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 924.55 0.41% $1.99 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,023.14 0.41% $2.09 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 795.69 0.70% $3.17 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,021.68 0.70% $3.57 INTERNATIONAL VECTOR EQUITY PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 804.71 0.55% $2.50 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.43 0.55% $2.80 WORLD EX U.S. VALUE PORTFOLIO*** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 795.52 0.60% $2.72 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.18 0.60% $3.06 EMERGING MARKETS PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 835.46 0.63% $2.91 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.03 0.63% $3.21 29 DISCLOSURE OF FUND EXPENSES CONTINUED BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- EMERGING MARKETS SMALL CAP PORTFOLIO** Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 809.48 0.82% $3.74 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,021.07 0.82% $4.18 EMERGING MARKETS VALUE PORTFOLIO** Actual Fund Return Class R2 Shares..................... $1,000.00 $ 778.14 0.88% $3.94 Institutional Class Shares.......... $1,000.00 $ 779.10 0.63% $2.83 Hypothetical 5% Annual Return Class R2 Shares..................... $1,000.00 $1,020.77 0.88% $4.48 Institutional Class Shares.......... $1,000.00 $1,022.03 0.63% $3.21 EMERGING MARKETS CORE EQUITY PORTFOLIO Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 818.54 0.70% $3.21 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,021.68 0.70% $3.57 -------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). *** The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). 30 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 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% 31 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FIXED INCOME PORTFOLIO ENHANCED U.S. LARGE COMPANY PORTFOLIO Corporate.......................... 31.8% Government......................... 11.8% Foreign Corporate.................. 21.1% Foreign Government................. 27.8% Supranational...................... 7.5% ----- 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary............. 16.7% Consumer Staples................... 4.7% Energy............................. 10.7% Financials......................... 23.0% Health Care........................ 7.6% Industrials........................ 15.1% Information Technology............. 12.3% Materials.......................... 8.5% Other.............................. -- Telecommunication Services......... 1.0% Utilities.......................... 0.4% ----- 100.0% U.S. CORE EQUITY 2 PORTFOLIO Consumer Discretionary............. 14.0% Consumer Staples................... 6.7% Energy............................. 12.1% Financials......................... 17.7% Health Care........................ 10.9% Industrials........................ 13.8% Information Technology............. 13.8% Materials.......................... 5.2% Other.............................. -- Real Estate Investment Trusts...... -- Telecommunication Services......... 3.2% Utilities.......................... 2.6% ----- 100.0% U.S. MICRO CAP PORTFOLIO Consumer Discretionary............. 16.5% Consumer Staples................... 5.3% Energy............................. 4.3% Financials......................... 15.0% Health Care........................ 12.4% Industrials........................ 18.0% Information Technology............. 20.0% Materials.......................... 5.1% Other.............................. -- Telecommunication Services......... 1.4% Utilities.......................... 2.0% ----- 100.0% U.S. SMALL CAP VALUE PORTFOLIO Consumer Discretionary............. 18.4% Consumer Staples................... 3.8% Energy............................. 10.1% Financials......................... 21.3% Health Care........................ 6.5% Industrials........................ 18.9% Information Technology............. 13.2% Materials.......................... 7.4% Other.............................. -- Real Estate Investment Trusts...... -- Telecommunication Services......... 0.3% Utilities.......................... 0.1% ----- 100.0% U.S. VECTOR EQUITY PORTFOLIO Consumer Discretionary............. 15.1% Consumer Staples................... 5.9% Energy............................. 10.6% Financials......................... 23.3% Health Care........................ 8.8% Industrials........................ 13.9% Information Technology............. 12.4% Materials.......................... 5.6% Other.............................. -- Telecommunication Services......... 2.7% Utilities.......................... 1.7% ----- 100.0% DFA REAL ESTATE SECURITIES PORTFOLIO Real Estate Investment Trusts...... 100.0% ----- 100.0% U.S. CORE EQUITY 1 PORTFOLIO Consumer Discretionary............. 13.6% Consumer Staples................... 8.3% Energy............................. 11.0% Financials......................... 15.1% Health Care........................ 11.1% Industrials........................ 12.7% Information Technology............. 16.9% Materials.......................... 4.9% Other.............................. -- Telecommunication Services......... 2.6% Utilities.......................... 3.8% ----- 100.0% U.S. SMALL CAP PORTFOLIO Consumer Discretionary............. 17.4% Consumer Staples................... 4.7% Energy............................. 5.9% Financials......................... 14.4% Health Care........................ 11.2% Industrials........................ 17.6% Information Technology............. 19.2% Materials.......................... 5.4% Other.............................. -- Telecommunication Services......... 0.9% Utilities.......................... 3.3% ----- 100.0% LARGE CAP INTERNATIONAL PORTFOLIO Consumer Discretionary............. 9.8% Consumer Staples................... 10.2% Energy............................. 10.7% Financials......................... 22.4% Health Care........................ 8.4% Industrials........................ 11.9% Information Technology............. 4.5% Materials.......................... 12.3% Other.............................. -- Telecommunication Services......... 5.7% Utilities.......................... 4.1% ----- 100.0% 32 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED INTERNATIONAL CORE EQUITY PORTFOLIO Consumer Discretionary............. 12.7% Consumer Staples................... 7.2% Energy............................. 10.4% Financials......................... 23.6% Health Care........................ 4.9% Industrials........................ 16.1% Information Technology............. 5.6% Materials.......................... 12.8% Other.............................. -- Telecommunication Services......... 3.5% Utilities.......................... 3.2% ----- 100.0% INTERNATIONAL VECTOR EQUITY PORTFOLIO Consumer Discretionary............. 14.4% Consumer Staples................... 5.9% Energy............................. 9.4% Financials......................... 22.4% Health Care........................ 4.1% Industrials........................ 18.5% Information Technology............. 6.4% Materials.......................... 14.0% Other.............................. -- Real Estate Investment Trusts...... -- Telecommunication Services......... 2.8% Utilities.......................... 2.1% ----- 100.0% DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Financials......................... 0.2% Other.............................. 0.2% Real Estate Investment Trusts...... 99.6% ----- 100.0% EMERGING MARKETS CORE EQUITY PORTFOLIO Consumer Discretionary............. 10.3% Consumer Staples................... 7.9% Energy............................. 11.1% Financials......................... 23.2% Health Care........................ 1.8% Industrials........................ 10.7% Information Technology............. 10.9% Materials.......................... 15.0% Other.............................. -- Real Estate Investment Trusts...... -- Telecommunication Services......... 5.5% Utilities.......................... 3.6% ----- 100.0% DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Consumer Discretionary............. 19.5% Consumer Staples................... 5.1% Energy............................. 6.9% Financials......................... 17.7% Health Care........................ 2.0% Industrials........................ 24.6% Information Technology............. 5.0% Materials.......................... 18.4% Other.............................. -- Telecommunication Services......... 0.4% Utilities.......................... 0.4% ----- 100.0% 33 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 FACE AMOUNT^ VALUE+ ------- ----------- (000) BONDS -- (76.9%) AUSTRALIA -- (0.4%) BHP Billiton Finance USA, Ltd. (u) 4.800%, 04/15/13....................................... 600 $ 636,217 ----------- AUSTRIA -- (3.4%) Asfinag AG (u) 2.000%, 10/22/12....................................... 3,650 3,700,312 Oesterreichische Volksbanken AG (e) 3.000%, 02/09/12....................................... 1,600 2,225,404 ----------- TOTAL AUSTRIA.............................................. 5,925,716 ----------- CANADA -- (10.8%) Bank of Nova Scotia (u) 2.250%, 01/22/13....................................... 1,300 1,324,387 British Columbia, Province of Canada 5.500%, 04/24/13....................................... 2,000 2,130,725 Canadian Imperial Bank of Commerce (u) 1.450%, 09/13/13....................................... 600 603,391 Canadian National Railway Co. (u) 4.400%, 03/15/13....................................... 600 628,438 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13....................................... 600 631,231 Encana Corp. (u) 4.750%, 10/15/13....................................... 800 846,408 Ontario Electricity Financial Corp. (u) 7.450%, 03/31/13....................................... 3,200 3,486,509 Ontario, Province of Canada 5.500%, 04/17/13....................................... 4,000 4,251,927 Toronto-Dominion Bank (The) 4.854%, 02/13/13....................................... 4,000 4,184,359 TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13....................................... 685 721,135 ----------- TOTAL CANADA............................................... 18,808,510 ----------- DENMARK -- (3.9%) FIH Erhvervsbank A.S. (u) 2.450%, 08/17/12....................................... 2,800 2,839,136 Kommunekredit A.S. (u) 1.250%, 09/03/13....................................... 4,000 4,038,232 ----------- TOTAL DENMARK.............................................. 6,877,368 ----------- FACE AMOUNT^ VALUE+ ------- ----------- (000) FINLAND -- (0.3%) Nordea Bank Finland P.L.C. Floating Rate Note (r)(u)0.749%, 02/07/13..................................... 500 $ 500,872 ----------- FRANCE -- (5.6%) Caisse d'Amortissement de la Dette Sociale SA (u) 2.250%, 07/06/12....................................... 3,500 3,536,564 (u) 5.375%, 07/17/12....................................... 500 516,041 Societe Financement del'Economie Francaise SA (u) 2.250%, 06/11/12....................................... 1,500 1,515,025 Total Capital SA (g) 5.500%, 01/29/13....................................... 2,500 4,223,233 ----------- TOTAL FRANCE............................................... 9,790,863 ----------- GERMANY -- (6.9%) Deutsche Bank AG (u) 2.375%, 01/11/13....................................... 600 599,452 Kreditanstalt fuer Wiederaufbau (u) 4.000%, 10/15/13....................................... 3,000 3,199,101 Landeskreditbank Baden-Wuerttemberg Foerderbank (u) 2.000%, 10/01/12....................................... 4,000 4,050,708 Landwirtschaftliche Rentenbank (u) 4.125%, 07/15/13....................................... 4,000 4,234,644 ----------- TOTAL GERMANY.............................................. 12,083,905 ----------- NETHERLANDS -- (7.7%) Bank Nederlandse Gemeenten NV (g) 5.750%, 03/07/12....................................... 521 850,970 (u) 1.875%, 03/01/13....................................... 3,000 3,050,808 Diageo Finance BV (u) 5.500%, 04/01/13....................................... 600 639,820 Rabobank Nederland NV (u) 3.000%, 09/18/12....................................... 1,700 1,729,806 (u) 3.375%, 02/19/13....................................... 2,500 2,568,230 Shell International Finance BV (u) 1.875%, 03/25/13....................................... 4,500 4,594,608 ----------- TOTAL NETHERLANDS.......................................... 13,434,242 ----------- 34 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED FACE AMOUNT^ VALUE+ ------- ----------- (000) NORWAY -- (1.8%) Eksportfinans ASA (u) 1.875%, 04/02/13....................................... 3,000 $ 3,048,990 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.9%) African Development Bank (c) 4.850%, 07/24/12....................................... 4,000 4,122,800 Eurofima (u) 5.125%, 08/02/12....................................... 1,000 1,033,638 (c) 4.875%, 12/04/12....................................... 2,500 2,596,208 European Investment Bank (u) 5.250%, 05/15/13....................................... 4,000 4,286,488 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 12,039,134 ----------- SWEDEN -- (1.5%) Kommuninvest I Sverige AB (u) 5.375%, 07/03/12....................................... 2,600 2,682,069 ----------- SWITZERLAND -- (0.4%) Credit Suisse New York AG (u) 5.000%, 05/15/13....................................... 600 624,431 ----------- UNITED KINGDOM -- (1.8%) Barclays Bank P.L.C. (u) 5.450%, 09/12/12....................................... 3,000 3,084,474 ----------- UNITED STATES -- (25.5%) Allstate Corp. (The) 7.500%, 06/15/13....................................... $ 489 534,751 American Express Bank FSB 5.550%, 10/17/12....................................... 600 625,325 Anheuser-Busch Cos., Inc. 4.375%, 01/15/13....................................... 700 726,949 Apache Corp. 5.250%, 04/15/13....................................... 700 746,794 AT&T, Inc. 4.950%, 01/15/13....................................... 600 629,212 Avery Dennison Corp. 4.875%, 01/15/13....................................... 600 622,796 Bank of New York Mellon Corp. (The) 4.500%, 04/01/13....................................... 3,000 3,157,515 Baxter International, Inc. 1.800%, 03/15/13....................................... 800 811,814 FACE AMOUNT VALUE+ ------- ----------- (000) UNITED STATES -- (Continued) BB&T Corp. 3.375%, 09/25/13....................................... $ 600 $ 623,195 BlackRock, Inc. 2.250%, 12/10/12....................................... 600 608,720 Burlington Northern Santa Fe LLC 4.300%, 07/01/13....................................... 600 631,306 Campbell Soup Co. 4.875%, 10/01/13....................................... 251 270,299 Caterpillar Financial Services Corp. 2.000%, 04/05/13....................................... 650 660,803 CenterPoint Energy Resources Corp. 7.875%, 04/01/13....................................... 600 652,649 Citigroup, Inc. 5.300%, 10/17/12....................................... 1,400 1,437,841 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13....................................... 600 658,670 Computer Sciences Corp. 5.000%, 02/15/13....................................... 600 623,750 Consolidated Edison Co. of New York, Inc. 3.850%, 06/15/13....................................... 250 261,140 Dell, Inc. 1.400%, 09/10/13....................................... 600 605,919 Dominion Resources, Inc. 5.000%, 03/15/13....................................... 600 631,546 Dow Chemical Co. (The) 6.000%, 10/01/12....................................... 385 401,660 Enterprise Products Operating LLC 6.375%, 02/01/13....................................... 664 702,009 Fifth Third Bancorp 6.250%, 05/01/13....................................... 600 636,518 General Electric Capital Corp. 6.000%, 06/15/12....................................... 800 825,572 2.800%, 01/08/13....................................... 2,000 2,040,180 General Electric Co. 5.000%, 02/01/13....................................... 1,500 1,573,000 Georgia Power Co. 1.300%, 09/15/13....................................... 700 705,013 Goldman Sachs Group, Inc.(The) 5.450%, 11/01/12....................................... 1,360 1,398,230 Hewlett-Packard Co. 4.500%, 03/01/13....................................... 600 624,438 Historic TW, Inc. 9.125%, 01/15/13....................................... 600 652,654 35 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED FACE AMOUNT VALUE+ ------ ------------ (000) UNITED STATES -- (Continued) HSBC Finance Corp. 6.375%, 11/27/12....................................... $ 600 $ 623,512 International Business Machines Corp. 2.100%, 05/06/13....................................... 700 716,148 John Deere Capital Corp. 4.500%, 04/03/13....................................... 700 738,020 Johnson & Johnson 0.700%, 05/15/13....................................... 2,000 2,007,264 JPMorgan Chase & Co. 5.375%, 10/01/12....................................... 800 834,163 Kimberly-Clark Corp. 5.000%, 08/15/13....................................... 600 641,953 Kroger Co. (The) 5.500%, 02/01/13....................................... 600 629,513 MetLife, Inc. 5.375%, 12/15/12....................................... 1,000 1,043,171 Nisource Finance Corp. 6.150%, 03/01/13....................................... 600 636,019 Paccar Financial Corp. 2.050%, 06/17/13....................................... 600 611,358 PepsiCo, Inc. 4.650%, 02/15/13....................................... 600 630,680 Philip Morris International, Inc. 4.875%, 05/16/13....................................... 600 635,712 Pitney Bowes, Inc. 4.625%, 10/01/12....................................... 600 618,990 Prudential Financial, Inc. 5.150%, 01/15/13....................................... 600 626,599 Reynolds American, Inc. 7.250%, 06/01/13....................................... 600 651,988 SunTrust Banks, Inc. 5.250%, 11/05/12....................................... 500 515,460 Target Corp. 4.000%, 06/15/13....................................... 977 1,029,745 TD Ameritrade Holding Corp. 2.950%, 12/01/12....................................... 700 714,122 Time Warner Cable, Inc. 6.200%, 07/01/13....................................... 1,000 1,081,244 Travelers Property Casualty Corp. 5.000%, 03/15/13....................................... 700 734,647 UnitedHealth Group, Inc. 5.500%, 11/15/12....................................... 250 261,676 4.875%, 04/01/13....................................... 600 629,834 Verizon Communications, Inc. 4.350%, 02/15/13....................................... 600 627,040 Wal-Mart Stores, Inc. 4.250%, 04/15/13....................................... 1,595 1,679,825 FACE AMOUNT VALUE+ ------ ------------ (000) UNITED STATES -- (Continued) Wells Fargo Bank & Co. 4.375%, 01/31/13....................................... $ 500 $ 519,992 ------------ TOTAL UNITED STATES........................................ 44,518,943 ------------ TOTAL BONDS................................................ 134,055,734 ------------ AGENCY OBLIGATIONS -- (11.1%) Federal Home Loan Bank 3.625%, 10/18/13....................................... 3,000 3,185,139 Federal Home Loan Mortgage Corporation 4.125%, 09/27/13....................................... 3,000 3,211,818 Federal Home Loan Mortgage Corporation Discount Note (y)^^ 0.054%, 12/12/11..................................... 4,000 3,999,910 Federal National Mortgage Association Discount Note (y)^^ 0.040%, 12/09/11..................................... 9,000 8,999,812 ------------ TOTAL AGENCY OBLIGATIONS. ................................. 19,396,679 ------------ COMMERCIAL PAPER -- (5.1%) Caisse Cent Desjardins Du Quebec 0.300%, 01/04/12....................................... 3,000 2,998,538 Caisse des Depots Et Consignations 0.572%, 03/19/12....................................... 1,000 998,289 Electricite de France 0.582%, 03/13/12....................................... 1,000 998,429 Sheffield Receivables Corp. 0.360%, 01/04/12....................................... 3,000 2,998,630 0.350%, 01/11/12....................................... 1,000 999,456 ------------ TOTAL COMMERCIAL PAPER..................................... 8,993,342 ------------ 36 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ EXCHANGE-TRADED FUND -- (3.2%) UNITED STATES -- (3.2%) SPDR Trust Series I................................. 44,100 $ 5,532,345 ------------ TEMPORARY CASH INVESTMENTS -- (3.7%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.............................. 6,434,385 6,434,385 ------------ VALUE+ ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $172,868,110).................................. $174,412,485 ============ Summary of inputs used to value the Portfolio's investments as of October 31, 2011 is as follows (See Security Valuation Note): VALUATION INPUTS ---------------------------------------------- INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Bonds........................ -- $134,055,734 -- $134,055,734 Agency Obligations........... -- 19,396,679 -- 19,396,679 Commercial Paper............. -- 8,993,342 -- 8,993,342 Exchange-Traded Fund......... $ 5,532,345 -- -- 5,532,345 Temporary Cash Investments... 6,434,385 -- -- 6,434,385 Forward Currency Contracts**. -- (300,884) -- (300,884) Futures Contracts**.......... 9,411,800 -- -- 9,411,800 ----------- ------------ -- ------------ TOTAL........................ $21,378,530 $162,144,871 -- $183,523,401 =========== ============ == ============ ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 37 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company..................................... $7,341,489,724 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,970,300,490)..................................... $7,341,489,724 ============== See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 38 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (84.6%) Consumer Discretionary -- (14.1%) #Dillard's, Inc. Class A....................... 240,649 $ 12,400,643 0.5% Foot Locker, Inc.............................. 476,481 10,415,875 0.4% #*GameStop Corp. Class A........................ 573,361 14,660,841 0.6% #Lennar Corp. Class A.......................... 638,026 10,552,950 0.4% *Liberty Media Corp. - Liberty Capital Class A. 139,435 10,711,397 0.4% *Mohawk Industries, Inc........................ 290,366 15,287,770 0.6% #Rent-A-Center, Inc............................ 265,181 9,055,931 0.4% #*Toll Brothers, Inc............................ 798,600 13,927,584 0.5% Other Securities.............................. 326,124,938 12.8% ------------ ---- Total Consumer Discretionary..................... 423,137,929 16.6% ------------ ---- Consumer Staples -- (4.0%) *Constellation Brands, Inc. Class A............ 572,827 11,582,562 0.5% *Ralcorp Holdings, Inc......................... 166,665 13,473,199 0.5% #*Smithfield Foods, Inc......................... 767,800 17,551,908 0.7% Other Securities.............................. 76,352,076 3.0% ------------ ---- Total Consumer Staples........................... 118,959,745 4.7% ------------ ---- Energy -- (9.0%) *Bill Barrett Corp............................. 221,991 9,234,826 0.4% *Helix Energy Solutions Group, Inc............. 494,307 8,927,184 0.4% HollyFrontier Corp............................ 292,434 8,974,799 0.4% Patterson-UTI Energy, Inc..................... 442,089 8,983,248 0.4% *Plains Exploration & Production Co............ 584,772 18,420,318 0.7% *Rowan Cos., Inc............................... 522,259 18,012,713 0.7% #Sunoco, Inc................................... 442,604 16,478,147 0.6% *Tesoro Corp................................... 728,585 18,899,495 0.7% #Tidewater, Inc................................ 228,570 11,252,501 0.4% Other Securities.............................. 151,190,000 5.9% ------------ ---- Total Energy..................................... 270,373,231 10.6% ------------ ---- Financials -- (19.5%) American Financial Group, Inc................. 406,455 14,563,283 0.6% Assurant, Inc................................. 387,206 14,922,919 0.6% Axis Capital Holdings, Ltd.................... 478,366 14,996,774 0.6% Everest Re Group, Ltd......................... 105,755 9,509,490 0.4% #Legg Mason, Inc............................... 477,247 13,124,292 0.5% *NASDAQ OMX Group, Inc. (The).................. 660,615 16,548,406 0.6% *PartnerRe, Ltd................................ 152,798 9,507,092 0.4% People's United Financial, Inc................ 729,874 9,305,894 0.4% Reinsurance Group of America, Inc............. 304,455 15,901,685 0.6% Transatlantic Holdings, Inc................... 204,165 10,624,747 0.4% Validus Holdings, Ltd......................... 413,328 11,308,654 0.4% White Mountains Insurance Group, Ltd.......... 22,083 9,274,860 0.4% Other Securities.............................. 434,292,750 17.1% ------------ ---- Total Financials................................. 583,880,846 23.0% ------------ ---- Health Care -- (6.5%) *Coventry Health Care, Inc..................... 467,075 14,857,656 0.6% *Healthspring, Inc............................. 245,340 13,233,640 0.5% *Hologic, Inc.................................. 854,084 13,767,834 0.5% #Omnicare, Inc................................. 522,804 15,590,015 0.6% Other Securities.............................. 136,145,359 5.4% ------------ ---- Total Health Care................................ 193,594,504 7.6% ------------ ----
39 U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (12.7%) *Owens Corning, Inc............................................. 354,345 $ 10,056,311 0.4% *Quanta Services, Inc........................................... 506,883 10,588,786 0.4% #Ryder System, Inc.............................................. 219,950 11,204,253 0.4% Other Securities............................................... 350,478,107 13.8% -------------- ---- Total Industrials................................................. 382,327,457 15.0% -------------- ---- Information Technology -- (10.4%) *Arrow Electronics, Inc......................................... 414,359 14,937,642 0.6% *IAC/InterActiveCorp............................................ 329,849 13,467,735 0.5% *Ingram Micro, Inc. Class A..................................... 529,613 9,469,480 0.4% *Tech Data Corp................................................. 261,278 12,849,652 0.5% Other Securities............................................... 262,468,297 10.3% -------------- ---- Total Information Technology...................................... 313,192,806 12.3% -------------- ---- Materials -- (7.2%) Ashland, Inc................................................... 329,404 17,445,236 0.7% *Coeur d'Alene Mines Corp....................................... 421,417 10,775,633 0.4% #Cytec Industries, Inc.......................................... 201,520 9,001,898 0.4% #Domtar Corp.................................................... 162,773 13,332,736 0.5% MeadWestavco Corp.............................................. 423,735 11,826,444 0.5% Reliance Steel & Aluminum Co................................... 212,025 9,369,385 0.4% Rock-Tenn Co. Class A.......................................... 208,098 12,317,321 0.5% Other Securities............................................... 131,056,566 5.1% -------------- ---- Total Materials................................................... 215,125,219 8.5% -------------- ---- Other -- (0.0%) Other Securities............................................... -- 0.0% -------------- ---- Telecommunication Services -- (0.8%) Other Securities............................................... 25,513,924 1.0% -------------- ---- Utilities -- (0.4%) Other Securities............................................... 10,985,644 0.4% -------------- ---- TOTAL COMMON STOCKS............................................... 2,537,091,305 99.7% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities............................................... 1,491 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.0%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares....................................................... 809,741 809,741 0.0% -------------- ---- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (15.4%) (S)@DFA Short Term Investment Fund................................ 461,537,179 461,537,179 18.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $1,174,891 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $1,179,114) to be repurchased at $1,140,675.................. $ 1,141 1,140,671 0.1% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL............................... 462,677,850 18.2% -------------- ----
40 U.S. TARGETED VALUE PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,747,568,366)....................... $3,000,580,387 117.9% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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... $ 423,137,929 -- -- $ 423,137,929 Consumer Staples......... 118,932,853 $ 26,892 -- 118,959,745 Energy................... 270,373,231 -- -- 270,373,231 Financials............... 583,547,807 333,039 -- 583,880,846 Health Care.............. 193,594,504 -- -- 193,594,504 Industrials.............. 382,261,997 65,460 -- 382,327,457 Information Technology... 313,192,806 -- -- 313,192,806 Materials................ 215,125,219 -- -- 215,125,219 Other.................... -- -- -- -- Telecommunication Services............... 25,513,924 -- -- 25,513,924 Utilities................ 10,985,644 -- -- 10,985,644 Rights/Warrants............. 1,491 -- -- 1,491 Temporary Cash Investments.. 809,741 -- -- 809,741 Securities Lending Collateral................ -- 462,677,850 -- 462,677,850 -------------- ------------ -- -------------- TOTAL....................... $2,537,477,146 $463,103,241 -- $3,000,580,387 ============== ============ == ============== See accompanying Notes to Financial Statements. 41 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- COMMON STOCKS -- (85.1%) Consumer Discretionary -- (15.7%) Bob Evans Farms, Inc.............. 958,265 $ 31,526,919 0.5% #*Cabela's, Inc..................... 1,410,635 35,153,024 0.5% #Dillard's, Inc. Class A........... 1,637,833 84,397,534 1.3% #Group 1 Automotive, Inc........... 692,454 31,548,204 0.5% #*Iconix Brand Group, Inc........... 1,808,160 32,456,472 0.5% #Penske Automotive Group, Inc...... 1,702,549 34,714,974 0.5% #Rent-A-Center, Inc................ 1,554,059 53,071,115 0.8% #*Saks, Inc......................... 3,415,558 36,102,448 0.6% #Scholastic Corp................... 1,528,917 41,051,421 0.6% Other Securities.................. 816,364,443 12.5% -------------- ---- Total Consumer Discretionary......... 1,196,386,554 18.3% -------------- ---- Consumer Staples -- (3.2%) Fresh Del Monte Produce, Inc...... 1,373,299 34,964,193 0.5% *Hain Celestial Group, Inc. (The).. 1,248,931 41,914,124 0.7% #Universal Corp.................... 707,351 30,288,770 0.5% Other Securities.................. 138,519,464 2.1% -------------- ---- Total Consumer Staples............... 245,686,551 3.8% -------------- ---- Energy -- (8.6%) *Bill Barrett Corp................. 781,488 32,509,901 0.5% Bristow Group, Inc................ 1,094,569 54,487,645 0.8% #*Complete Production Services, Inc. 1,359,909 44,605,015 0.7% *Helix Energy Solutions Group, Inc. 3,199,360 57,780,442 0.9% HollyFrontier Corp................ 1,130,678 34,700,508 0.5% SEACOR Holdings, Inc.............. 371,968 31,673,075 0.5% #*Western Refining, Inc............. 1,898,570 30,339,149 0.5% Other Securities.................. 367,601,614 5.6% -------------- ---- Total Energy......................... 653,697,349 10.0% -------------- ---- Financials -- (18.1%) #*American Capital, Ltd............. 4,448,154 34,562,157 0.5% #*CNO Financial Group, Inc.......... 8,156,999 50,981,244 0.8% #Delphi Financial Group, Inc. Class A.......................... 1,362,859 36,088,506 0.5% Harleysville Group, Inc........... 512,744 30,128,837 0.5% Kemper Corp....................... 1,407,792 37,855,527 0.6% #*MBIA, Inc......................... 3,882,727 34,167,998 0.5% Montpelier Re Holdings, Ltd....... 2,084,607 36,480,623 0.6% *PHH Corp.......................... 1,845,253 34,044,918 0.5% #Umpqua Holdings Corp.............. 3,119,312 35,716,122 0.5% #Webster Financial Corp............ 1,871,431 36,754,905 0.6% #Wintrust Financial Corp........... 1,050,018 30,324,520 0.5% Other Securities.................. 987,077,775 15.1% -------------- ---- Total Financials..................... 1,384,183,132 21.2% -------------- ---- Health Care -- (5.5%) Cooper Cos., Inc. (The)........... 613,518 42,516,797 0.7% #*Healthspring, Inc................. 882,626 47,608,846 0.7% #*LifePoint Hospitals, Inc.......... 1,784,701 68,996,541 1.1% *Viropharma, Inc................... 1,980,889 40,093,193 0.6% Other Securities.................. 224,136,923 3.4% -------------- ---- Total Health Care.................... 423,352,300 6.5% -------------- ---- Industrials -- (16.1%) #Alexander & Baldwin, Inc.......... 1,205,757 50,050,973 0.8% #*Avis Budget Group, Inc............ 3,121,273 44,009,949 0.7% 42 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (Continued) #*Esterline Technologies Corp....... 1,045,473 $ 58,441,941 0.9% #GATX Corp......................... 1,559,790 59,240,824 0.9% Seaboard Corp..................... 18,588 40,856,424 0.6% #Trinity Industries, Inc........... 1,796,783 48,998,272 0.7% #Triumph Group, Inc................ 664,017 38,579,388 0.6% Other Securities.................. 883,966,620 13.5% -------------- ---- Total Industrials.................... 1,224,144,391 18.7% -------------- ---- Information Technology -- (11.2%) #*Benchmark Electronics, Inc........ 2,338,129 32,125,892 0.5% #*CACI International, Inc. Class A.. 569,627 31,266,826 0.4% *Coherent, Inc..................... 783,871 39,953,905 0.6% *Convergys Corp.................... 3,064,682 32,792,097 0.5% #*Fairchild Semiconductor International, Inc................ 3,113,394 46,607,508 0.7% MKS Instruments, Inc.............. 1,677,240 44,681,674 0.7% #*Vishay Intertechnology, Inc....... 2,938,669 31,590,692 0.5% Other Securities.................. 594,642,481 9.1% -------------- ---- Total Information Technology......... 853,661,075 13.0% -------------- ---- Materials -- (6.3%) *Coeur d'Alene Mines Corp.......... 1,822,519 46,601,811 0.7% #Westlake Chemical Corp............ 1,576,358 64,961,713 1.0% Other Securities.................. 366,139,330 5.6% -------------- ---- Total Materials...................... 477,702,854 7.3% -------------- ---- Other -- (0.0%) Other Securities.................. 740,208 0.0% -------------- ---- Real Estate Investment Trusts -- (0.0%) Other Securities.................. 1,166 0.0% -------------- ---- Telecommunication Services -- (0.3%) Other Securities.................. 20,070,867 0.3% -------------- ---- Utilities -- (0.1%) Other Securities.................. 9,793,296 0.1% -------------- ---- TOTAL COMMON STOCKS.................. 6,489,419,743 99.2% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.................. 12,439 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.7%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............ 54,349,024 54,349,024 0.8% -------------- ---- 43 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** -------------- -------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (14.2%) (S)@DFA Short Term Investment Fund...... 1,076,914,745 $1,076,914,745 16.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $2,071,998 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $2,079,445) to be repurchased at $2,011,656.... $ 2,012 2,011,649 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..... 1,078,926,394 16.5% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,359,639,212)................. $7,622,707,600 116.5% ============== =====
Summary of inputs used to value the Portfolio's investments as of October 31, 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. $1,196,386,554 -- -- $1,196,386,554 Consumer Staples....... 245,211,528 $ 475,023 -- 245,686,551 Energy................. 653,697,349 -- -- 653,697,349 Financials............. 1,381,123,223 3,059,909 -- 1,384,183,132 Health Care............ 423,331,307 20,993 -- 423,352,300 Industrials............ 1,223,770,149 374,242 -- 1,224,144,391 Information Technology. 853,661,075 -- -- 853,661,075 Materials.............. 477,702,854 -- -- 477,702,854 Other.................. -- 740,208 -- 740,208 Real Estate Investment Trusts.... 1,166 -- -- 1,166 Telecommunication Services............. 20,070,867 -- -- 20,070,867 Utilities.............. 9,793,296 -- -- 9,793,296 Rights/Warrants........... 12,439 -- -- 12,439 Temporary Cash Investments............. 54,349,024 -- -- 54,349,024 Securities Lending Collateral.............. -- 1,078,926,394 -- 1,078,926,394 Futures Contracts**....... 536,023 -- -- 536,023 -------------- -------------- -- -------------- TOTAL..................... $6,539,646,854 $1,083,596,769 -- $7,623,243,623 ============== ============== == ============== ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 44 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (87.8%) Consumer Discretionary -- (12.0%) *Amazon.com, Inc.................. 59,387 $ 12,679,718 0.3% Comcast Corp. Class A............ 508,494 11,924,184 0.3% #Home Depot, Inc.................. 251,163 8,991,635 0.3% McDonald's Corp.................. 160,072 14,862,685 0.4% #Time Warner, Inc................. 253,277 8,862,162 0.2% #Walt Disney Co. (The)............ 412,943 14,403,452 0.4% Other Securities................. 435,260,643 11.7% ------------ ---- Total Consumer Discretionary........ 506,984,479 13.6% ------------ ---- Consumer Staples -- (7.3%) #Altria Group, Inc................ 320,618 8,833,026 0.3% Coca-Cola Co. (The).............. 333,834 22,807,539 0.6% CVS Caremark Corp................ 320,731 11,642,535 0.3% Kraft Foods, Inc. Class A........ 386,181 13,585,848 0.4% PepsiCo, Inc..................... 253,522 15,959,210 0.4% Philip Morris International, Inc. 277,118 19,362,235 0.5% Procter & Gamble Co. (The)....... 429,326 27,472,571 0.7% #Wal-Mart Stores, Inc............. 499,081 28,307,874 0.8% Other Securities................. 161,810,097 4.3% ------------ ---- Total Consumer Staples.............. 309,780,935 8.3% ------------ ---- Energy -- (9.7%) Anadarko Petroleum Corp.......... 117,743 9,242,826 0.3% #Chevron Corp..................... 477,372 50,147,929 1.3% ConocoPhillips................... 318,241 22,165,486 0.6% Exxon Mobil Corp................. 896,367 69,997,299 1.9% Occidental Petroleum Corp........ 173,726 16,146,094 0.4% Schlumberger, Ltd................ 211,589 15,545,444 0.4% Other Securities................. 226,991,149 6.1% ------------ ---- Total Energy........................ 410,236,227 11.0% ------------ ---- Financials -- (13.2%) American Express Co.............. 176,383 8,928,507 0.2% Bank of America Corp............. 1,928,676 13,172,857 0.4% *Berkshire Hathaway, Inc.......... 290,501 22,618,408 0.6% Citigroup, Inc................... 600,766 18,978,198 0.5% Goldman Sachs Group, Inc. (The).. 103,629 11,352,557 0.3% JPMorgan Chase & Co.............. 962,661 33,462,096 0.9% U.S. Bancorp..................... 443,086 11,338,571 0.3% Wells Fargo & Co................. 1,201,867 31,140,374 0.8% Other Securities................. 409,941,471 11.0% ------------ ---- Total Financials.................... 560,933,039 15.0% ------------ ---- Health Care -- (9.7%) #Abbott Laboratories.............. 244,235 13,156,939 0.4% Amgen, Inc....................... 198,736 11,381,611 0.3% Johnson & Johnson................ 435,957 28,071,271 0.7% Merck & Co., Inc................. 709,740 24,486,030 0.7% Pfizer, Inc...................... 1,820,669 35,066,085 0.9% UnitedHealth Group, Inc.......... 245,508 11,781,929 0.3% Other Securities................. 287,020,078 7.7% ------------ ---- Total Health Care................... 410,963,943 11.0% ------------ ---- Industrials -- (11.1%) Caterpillar, Inc................. 104,739 9,893,646 0.3% General Electric Co.............. 2,447,102 40,891,074 1.1% 45 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) Union Pacific Corp............................................. 112,188 $ 11,170,559 0.3% United Technologies Corp....................................... 142,425 11,106,302 0.3% Other Securities............................................... 399,083,572 10.7% -------------- ---- Total Industrials................................................. 472,145,153 12.7% -------------- ---- Information Technology -- (14.8%) *Apple, Inc..................................................... 150,843 61,058,230 1.6% Cisco Sytems, Inc.............................................. 798,867 14,803,006 0.4% *Google, Inc.................................................... 40,661 24,097,335 0.7% Hewlett-Packard Co............................................. 447,680 11,912,765 0.3% #Intel Corp..................................................... 963,439 23,642,793 0.6% International Business Machines Corp........................... 190,180 35,112,933 0.9% Microsoft Corp................................................. 1,228,039 32,702,679 0.9% Oracle Corp.................................................... 628,672 20,601,581 0.6% QUALCOMM, Inc.................................................. 272,315 14,051,454 0.4% #Visa, Inc...................................................... 114,676 10,694,684 0.3% Other Securities............................................... 377,845,655 10.1% -------------- ---- Total Information Technology...................................... 626,523,115 16.8% -------------- ---- Materials -- (4.4%) Other Securities............................................... 183,944,352 4.9% -------------- ---- Other -- (0.0%) Other Securities............................................... 26,516 0.0% -------------- ---- Telecommunication Services -- (2.3%) AT&T, Inc...................................................... 1,371,909 40,210,653 1.1% Verizon Communications, Inc.................................... 650,968 24,072,797 0.6% Other Securities............................................... 33,735,138 0.9% -------------- ---- Total Telecommunication Services.................................. 98,018,588 2.6% -------------- ---- Utilities -- (3.3%) Other Securities............................................... 139,394,990 3.8% -------------- ---- TOTAL COMMON STOCKS............................................... 3,718,951,337 99.7% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities............................................... 26,716 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............................. 10,048,770 10,048,770 0.3% -------------- ---- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (12.0%) (S)@DFA Short Term Investment Fund................................ 508,332,045 508,332,045 13.6% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $1,113,627 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $1,117,629) to be repurchased at $1,081,195.................. $ 1,081 1,081,191 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL............................... 509,413,236 13.6% -------------- ----
46 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,944,426,687)...................... $4,238,440,059 113.6% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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... $ 506,984,479 -- -- $ 506,984,479 Consumer Staples......... 309,773,118 $ 7,817 -- 309,780,935 Energy................... 410,236,227 -- -- 410,236,227 Financials............... 560,846,965 86,074 -- 560,933,039 Health Care.............. 410,963,943 -- -- 410,963,943 Industrials.............. 472,135,073 10,080 -- 472,145,153 Information Technology... 626,523,115 -- -- 626,523,115 Materials................ 183,944,352 -- -- 183,944,352 Other.................... -- 26,516 -- 26,516 Telecommunication Services............... 98,018,588 -- -- 98,018,588 Utilities................ 139,394,990 -- -- 139,394,990 Rights/Warrants............. 26,716 -- -- 26,716 Temporary Cash Investments.. 10,048,770 -- -- 10,048,770 Securities Lending Collateral................ -- 509,413,236 -- 509,413,236 -------------- ------------ -- -------------- TOTAL....................... $3,728,896,336 $509,543,723 -- $4,238,440,059 ============== ============ == ============== See accompanying Notes to Financial Statements. 47 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- COMMON STOCKS -- (84.4%) Consumer Discretionary -- (11.8%) #Comcast Corp. Class A............. 980,689 $ 22,997,157 0.4% Lowe's Cos., Inc.................. 606,612 12,750,984 0.2% #News Corp. Class A................ 837,149 14,666,850 0.2% #Time Warner, Inc.................. 505,637 17,692,239 0.3% #Walt Disney Co. (The)............. 823,524 28,724,517 0.5% Other Securities.................. 719,773,468 12.4% -------------- ---- Total Consumer Discretionary......... 816,605,215 14.0% -------------- ---- Consumer Staples -- (5.7%) Coca-Cola Co. (The)............... 219,621 15,004,507 0.2% #CVS Caremark Corp................. 621,786 22,570,832 0.4% Kraft Foods, Inc. Class A......... 765,796 26,940,703 0.4% Procter & Gamble Co. (The)........ 610,480 39,064,615 0.7% Wal-Mart Stores, Inc.............. 387,774 21,994,541 0.4% Other Securities.................. 266,242,594 4.6% -------------- ---- Total Consumer Staples............... 391,817,792 6.7% -------------- ---- Energy -- (10.2%) Anadarko Petroleum Corp........... 228,215 17,914,878 0.3% #Apache Corp....................... 180,816 18,014,698 0.3% #Chevron Corp...................... 960,977 100,950,634 1.7% ConocoPhillips.................... 621,821 43,309,833 0.8% Devon Energy Corp................. 189,302 12,295,165 0.2% Exxon Mobil Corp.................. 1,268,253 99,037,877 1.7% National Oilwell Varco, Inc....... 194,038 13,840,731 0.3% Occidental Petroleum Corp......... 270,857 25,173,450 0.4% Schlumberger, Ltd................. 177,195 13,018,517 0.2% Other Securities.................. 360,895,030 6.2% -------------- ---- Total Energy......................... 704,450,813 12.1% -------------- ---- Financials -- (14.9%) Bank of America Corp.............. 4,072,969 27,818,378 0.5% *Berkshire Hathaway, Inc........... 192,106 14,957,373 0.3% Citigroup, Inc.................... 627,059 19,808,794 0.3% Goldman Sachs Group, Inc. (The)... 215,233 23,578,775 0.4% JPMorgan Chase & Co............... 1,841,003 63,993,264 1.1% *MetLife, Inc...................... 467,142 16,424,713 0.3% PNC Financial Services Group, Inc. 246,884 13,260,140 0.2% #*Prudential Financial, Inc......... 228,856 12,403,995 0.2% Travelers Cos., Inc. (The)........ 235,445 13,738,216 0.2% #U.S. Bancorp...................... 883,601 22,611,350 0.4% Wells Fargo & Co.................. 2,348,255 60,843,287 1.1% Other Securities.................. 739,340,382 12.7% -------------- ---- Total Financials..................... 1,028,778,667 17.7% -------------- ---- Health Care -- (9.2%) Amgen, Inc........................ 275,807 15,795,467 0.3% Johnson & Johnson................. 349,581 22,509,521 0.4% Merck & Co., Inc.................. 1,428,149 49,271,140 0.8% Pfizer, Inc....................... 3,659,190 70,475,999 1.2% UnitedHealth Group, Inc........... 453,978 21,786,404 0.4% WellPoint, Inc.................... 203,028 13,988,629 0.2% Other Securities.................. 437,036,920 7.5% -------------- ---- Total Health Care.................... 630,864,080 10.8% -------------- ---- 48 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** -------------- -------------- --------------- Industrials -- (11.6%) General Electric Co............................................ 4,935,281 $ 82,468,546 1.4% Union Pacific Corp............................................. 223,752 22,278,987 0.4% Other Securities............................................... 698,161,647 12.0% -------------- ----- Total Industrials................................................. 802,909,180 13.8% -------------- ----- Information Technology -- (11.7%) *Apple, Inc..................................................... 89,996 36,428,581 0.6% *Google, Inc.................................................... 24,471 14,502,493 0.3% Hewlett-Packard Co............................................. 667,594 17,764,676 0.3% Intel Corp..................................................... 1,282,072 31,462,047 0.5% International Business Machines Corp........................... 103,955 19,193,212 0.3% Microsoft Corp................................................. 781,806 20,819,494 0.4% Oracle Corp.................................................... 517,147 16,946,907 0.3% #Visa, Inc...................................................... 232,750 21,706,265 0.4% Other Securities............................................... 624,341,675 10.7% -------------- ----- Total Information Technology...................................... 803,165,350 13.8% -------------- ----- Materials -- (4.4%) Dow Chemical Co. (The)......................................... 547,213 15,256,298 0.3% Newmont Mining Corp............................................ 203,051 13,569,898 0.2% Other Securities............................................... 271,841,644 4.7% -------------- ----- Total Materials................................................... 300,667,840 5.2% -------------- ----- Other -- (0.0%) Other Securities............................................... 71,467 0.0% -------------- ----- Real Estate Investment Trusts -- (0.0%) Other Securities............................................... 180 0.0% -------------- ----- Telecommunication Services -- (2.7%) AT&T, Inc...................................................... 2,765,425 81,054,607 1.4% Verizon Communications, Inc.................................... 1,309,782 48,435,738 0.8% Other Securities............................................... 56,302,411 1.0% -------------- ----- Total Telecommunication Services.................................. 185,792,756 3.2% -------------- ----- Utilities -- (2.2%) Other Securities............................................... 153,685,657 2.7% -------------- ----- TOTAL COMMON STOCKS............................................... 5,818,808,997 100.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities............................................... 32,842 0.0% -------------- ----- SHARES/ FACE AMOUNT -------------- (000) SECURITIES LENDING COLLATERAL -- (15.6%) (S)@DFA Short Term Investment Fund................................ 1,077,291,303 1,077,291,303 18.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $1,362,130 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $1,367,026) to be repurchased at $1,322,460.................. $ 1,322 1,322,456 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................... 1,078,613,759 18.5% -------------- -----
49 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $6,598,533,431)........................ $6,897,455,598 118.5% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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. $ 816,605,215 -- -- $ 816,605,215 Consumer Staples....... 391,799,669 $ 18,123 -- 391,817,792 Energy................. 704,450,813 -- -- 704,450,813 Financials............. 1,028,611,399 167,268 -- 1,028,778,667 Health Care............ 630,864,080 -- -- 630,864,080 Industrials............ 802,883,848 25,332 -- 802,909,180 Information Technology. 803,165,350 -- -- 803,165,350 Materials.............. 300,667,840 -- -- 300,667,840 Other.................. -- 71,467 -- 71,467 Real Estate Investment Trusts............... 180 -- -- 180 Telecommunication Services............. 185,792,756 -- -- 185,792,756 Utilities.............. 153,685,657 -- -- 153,685,657 Rights/Warrants........... 32,842 -- -- 32,842 Securities Lending Collateral.............. -- 1,078,613,759 -- 1,078,613,759 -------------- -------------- -- -------------- TOTAL..................... $5,818,559,649 $1,078,895,949 -- $6,897,455,598 ============== ============== == ============== See accompanying Notes to Financial Statements. 50 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (84.6%) Consumer Discretionary -- (12.8%) CBS Corp. Class B................. 210,809 $ 5,440,980 0.3% Comcast Corp. Class A............. 298,194 6,992,649 0.4% #J.C. Penney Co., Inc.............. 113,950 3,655,516 0.2% *Liberty Interactive Corp. Class A. 295,208 4,850,267 0.3% *Liberty Media Corp. - Liberty Capital Class A.................. 48,389 3,717,243 0.2% #News Corp. Class A................ 247,749 4,340,562 0.2% #Time Warner, Inc.................. 198,927 6,960,456 0.4% *Walt Disney Co. (The)............. 126,878 4,425,505 0.2% Other Securities.................. 238,180,526 12.8% ------------ ---- Total Consumer Discretionary......... 278,563,704 15.0% ------------ ---- Consumer Staples -- (5.0%) Bunge, Ltd........................ 76,528 4,727,135 0.3% CVS Caremark Corp................. 183,826 6,672,884 0.4% J.M. Smucker Co................... 58,872 4,534,321 0.2% Kraft Foods, Inc. Class A......... 226,307 7,961,480 0.4% Procter & Gamble Co. (The)........ 97,417 6,233,714 0.3% Wal-Mart Stores, Inc.............. 67,078 3,804,664 0.2% Other Securities.................. 75,012,758 4.1% ------------ ---- Total Consumer Staples............... 108,946,956 5.9% ------------ ---- Energy -- (9.0%) Anadarko Petroleum Corp........... 68,323 5,363,356 0.3% #Chevron Corp...................... 140,737 14,784,422 0.8% ConocoPhillips.................... 197,546 13,759,079 0.7% Exxon Mobil Corp.................. 184,915 14,440,012 0.8% HollyFrontier Corp................ 137,868 4,231,169 0.2% Murphy Oil Corp................... 99,687 5,519,669 0.3% National Oilwell Varco, Inc....... 52,347 3,733,912 0.2% Other Securities.................. 134,400,828 7.3% ------------ ---- Total Energy......................... 196,232,447 10.6% ------------ ---- Financials -- (19.7%) American Financial Group, Inc..... 129,237 4,630,562 0.2% Bank of America Corp.............. 1,252,365 8,553,653 0.5% Citigroup, Inc.................... 176,896 5,588,145 0.3% Goldman Sachs Group, Inc. (The)... 43,159 4,728,068 0.3% Invesco, Ltd...................... 224,753 4,510,793 0.2% JPMorgan Chase & Co............... 570,669 19,836,454 1.1% *MetLife, Inc...................... 141,103 4,961,181 0.3% #PNC Financial Services Group, Inc. 73,036 3,922,764 0.2% *Principal Financial Group, Inc.... 159,037 4,099,974 0.2% *Prudential Financial, Inc......... 67,351 3,650,424 0.2% Travelers Cos., Inc. (The)........ 73,100 4,265,385 0.2% #Unum Group........................ 203,475 4,850,844 0.3% Wells Fargo & Co.................. 512,244 13,272,242 0.7% XL Group P.L.C.................... 167,597 3,643,559 0.2% Other Securities.................. 340,307,478 18.4% ------------ ---- Total Financials..................... 430,821,526 23.3% ------------ ---- Health Care -- (7.5%) #*Boston Scientific Corp............ 789,051 4,647,510 0.3% Merck & Co., Inc.................. 156,737 5,407,426 0.3% Pfizer, Inc....................... 572,241 11,021,362 0.6% UnitedHealth Group, Inc........... 79,287 3,804,983 0.2% WellPoint, Inc.................... 62,400 4,299,360 0.2% 51 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Health Care -- (Continued) Other Securities.................................................... $ 133,717,915 7.2% -------------- ---- Total Health Care...................................................... 162,898,556 8.8% -------------- ---- Industrials -- (11.7%) General Electric Co................................................. 741,934 12,397,717 0.6% L-3 Communications Holdings, Inc.................................... 54,307 3,680,928 0.2% Union Pacific Corp.................................................. 38,880 3,871,282 0.2% Other Securities.................................................... 236,641,666 12.8% -------------- ---- Total Industrials...................................................... 256,591,593 13.8% -------------- ---- Information Technology -- (10.5%) Fidelity National Information Services, Inc......................... 157,698 4,128,534 0.2% *IAC/InterActiveCorp................................................. 143,044 5,840,487 0.3% #Intel Corp.......................................................... 202,420 4,967,387 0.3% Other Securities.................................................... 214,926,468 11.6% -------------- ---- Total Information Technology........................................... 229,862,876 12.4% -------------- ---- Materials -- (4.7%) MeadWestavco Corp................................................... 151,161 4,218,904 0.2% Other Securities.................................................... 99,109,833 5.4% -------------- ---- Total Materials........................................................ 103,328,737 5.6% -------------- ---- Other -- (0.0%) Other Securities.................................................... 24,012 0.0% -------------- ---- Telecommunication Services -- (2.3%) AT&T, Inc........................................................... 802,858 23,531,768 1.3% Verizon Communications, Inc......................................... 205,994 7,617,658 0.4% Other Securities.................................................... 18,894,974 1.0% -------------- ---- Total Telecommunication Services....................................... 50,044,400 2.7% -------------- ---- Utilities -- (1.4%) *AES Corp............................................................ 393,220 4,411,928 0.3% Other Securities.................................................... 26,318,080 1.4% -------------- ---- Total Utilities........................................................ 30,730,008 1.7% -------------- ---- TOTAL COMMON STOCKS.................................................... 1,848,044,815 99.8% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.................................................... 9,390 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares. 6,829,482 6,829,482 0.4% -------------- ---- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (15.1%) (S)@DFA Short Term Investment Fund..................................... 328,663,098 328,663,098 17.7% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $354,554 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $355,828) to be repurchased at $344,228........................... $ 344 344,227 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL.................................... 329,007,325 17.7% -------------- ----
52 U.S. VECTOR EQUITY PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,137,196,177)........................ $2,183,891,012 117.9% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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... $ 278,563,704 -- -- $ 278,563,704 Consumer Staples......... 108,939,001 $ 7,955 -- 108,946,956 Energy................... 196,232,447 -- -- 196,232,447 Financials............... 430,715,577 105,949 -- 430,821,526 Health Care.............. 162,898,556 -- -- 162,898,556 Industrials.............. 256,572,491 19,102 -- 256,591,593 Information Technology... 229,862,876 -- -- 229,862,876 Materials................ 103,328,737 -- -- 103,328,737 Other.................... -- 24,012 -- 24,012 Telecommunication Services............... 50,044,400 -- -- 50,044,400 Utilities................ 30,730,008 -- -- 30,730,008 Rights/Warrants............. 9,390 -- -- 9,390 Temporary Cash Investments.. 6,829,482 -- -- 6,829,482 Securities Lending Collateral................ -- 329,007,325 -- 329,007,325 -------------- ------------ -- -------------- TOTAL....................... $1,854,726,669 $329,164,343 -- $2,183,891,012 ============== ============ == ============== See accompanying Notes to Financial Statements. 53 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (78.0%) Consumer Discretionary -- (13.5%) #Aaron's, Inc.......................... 265,037 $ 7,092,390 0.2% #Brinker International, Inc............ 322,412 7,383,235 0.2% #Buckle, Inc........................... 166,850 7,434,836 0.2% #*Carter's, Inc......................... 215,859 8,222,069 0.2% #Dillard's, Inc. Class A............... 175,813 9,059,644 0.2% *Domino's Pizza, Inc................... 270,452 8,662,578 0.2% #DSW, Inc. Class A..................... 136,560 7,147,550 0.2% *Express, Inc.......................... 310,412 7,012,207 0.2% *HSN, Inc.............................. 206,075 7,350,695 0.2% Penske Automotive Group, Inc.......... 331,438 6,758,021 0.2% #*Pier 1 Imports, Inc................... 641,193 8,021,324 0.2% #Rent-A-Center, Inc.................... 213,778 7,300,519 0.2% #*Ulta Salon Cosmetics & Fragrance, Inc. 159,558 10,736,658 0.3% Other Securities...................... 551,203,433 14.6% ------------ ---- Total Consumer Discretionary............. 653,385,159 17.3% ------------ ---- Consumer Staples -- (3.6%) #Casey's General Stores, Inc........... 142,377 7,054,780 0.2% #Nu Skin Enterprises, Inc. Class A..... 281,324 14,215,302 0.4% #PriceSmart, Inc....................... 104,676 7,959,563 0.2% #Ruddick Corp.......................... 156,784 6,853,029 0.2% *TreeHouse Foods, Inc.................. 110,760 6,794,018 0.2% Other Securities...................... 133,062,071 3.5% ------------ ---- Total Consumer Staples................... 175,938,763 4.7% ------------ ---- Energy -- (4.6%) *Bill Barrett Corp..................... 159,102 6,618,643 0.2% #*CVR Energy, Inc....................... 308,530 7,639,203 0.2% *Helix Energy Solutions Group, Inc..... 386,146 6,973,797 0.2% HollyFrontier Corp.................... 544,140 16,699,657 0.4% #*Rosetta Resources, Inc................ 159,447 7,069,880 0.2% Other Securities...................... 177,688,715 4.7% ------------ ---- Total Energy............................. 222,689,895 5.9% ------------ ---- Financials -- (11.3%) Other Securities...................... 543,995,659 14.4% ------------ ---- Health Care -- (8.7%) #*Cubist Pharmaceuticals, Inc........... 183,698 6,945,621 0.2% *Healthspring, Inc..................... 198,223 10,692,149 0.3% #*LifePoint Hospitals, Inc.............. 175,186 6,772,691 0.2% #Medicis Pharmaceutical Corp. Class A.. 202,645 7,759,277 0.2% *Myriad Genetics, Inc.................. 308,621 6,567,455 0.2% #*Questcor Pharmaceuticals, Inc......... 231,036 9,382,372 0.3% *Thoratec Corp......................... 190,303 6,947,963 0.2% *WellCare Health Plans, Inc............ 185,381 9,085,523 0.2% Other Securities...................... 356,052,249 9.4% ------------ ---- Total Health Care........................ 420,205,300 11.2% ------------ ---- Industrials -- (13.8%) *Acacia Research - Acacia Technologies. 168,983 6,732,283 0.2% *Alaska Air Group, Inc................. 105,107 6,992,769 0.2% #*Hexcel Corp........................... 334,881 8,274,910 0.2% *MasTec, Inc........................... 304,881 6,591,527 0.1% *Old Dominion Freight Line, Inc........ 191,772 7,013,102 0.2% Robbins & Myers, Inc.................. 153,211 6,847,000 0.2% *Teledyne Technologies, Inc............ 128,230 6,984,688 0.2% 54 U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** -------------- -------------- --------------- Industrials -- (Continued) Other Securities....................................................... $ 614,888,794 16.3% -------------- ---- Total Industrials......................................................... 664,325,073 17.6% -------------- ---- Information Technology -- (15.0%) *Anixter International, Inc............................................. 128,352 7,532,979 0.2% #*CommVault Systems, Inc................................................. 159,126 6,775,585 0.2% *Fairchild Semiconductor International, Inc............................. 459,629 6,880,646 0.2% *Loral Space & Communications, Inc...................................... 120,478 7,288,919 0.2% *NeuStar, Inc........................................................... 253,413 8,055,999 0.2% #*RF Micro Devices, Inc.................................................. 991,023 7,274,109 0.2% *SolarWinds, Inc........................................................ 262,245 7,568,391 0.2% *Zebra Technologies Corp. Class A....................................... 188,468 6,735,846 0.1% Other Securities....................................................... 663,230,127 17.6% -------------- ---- Total Information Technology.............................................. 721,342,601 19.1% -------------- ---- Materials -- (4.2%) #Carpenter Technology Corp.............................................. 154,907 8,786,325 0.2% #NewMarket Corp......................................................... 40,900 7,940,326 0.2% Other Securities....................................................... 186,722,077 5.0% -------------- ---- Total Materials........................................................... 203,448,728 5.4% -------------- ---- Other -- (0.0%) Other Securities....................................................... 146,504 0.0% -------------- ---- Telecommunication Services -- (0.7%) Other Securities....................................................... 35,198,179 0.9% -------------- ---- Utilities -- (2.6%) #IDACORP, Inc........................................................... 169,060 6,826,643 0.2% #New Jersey Resources Corp.............................................. 140,020 6,583,740 0.2% Other Securities....................................................... 112,372,211 3.0% -------------- ---- Total Utilities........................................................... 125,782,594 3.4% -------------- ---- TOTAL COMMON STOCKS....................................................... 3,766,458,455 99.9% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities....................................................... 13,006 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.... 3,579,149 3,579,149 0.1% -------------- ---- SHARES/ FACE AMOUNT -------------- (000) SECURITIES LENDING COLLATERAL -- (21.9%) (S)@DFA Short Term Investment Fund........................................ 1,052,294,913 1,052,294,913 27.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $4,271,584 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $4,286,937) to be repurchased at $4,147,183...... $ 4,147 4,147,169 0.1% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL....................................... 1,056,442,082 28.0% -------------- ----
55 U.S. SMALL CAP PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,405,664,193)......................... $4,826,492,692 128.0% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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. $ 653,385,159 -- -- $ 653,385,159 Consumer Staples....... 175,883,921 $ 54,842 -- 175,938,763 Energy................. 222,689,895 -- -- 222,689,895 Financials............. 543,649,803 345,856 -- 543,995,659 Health Care............ 420,205,300 -- -- 420,205,300 Industrials............ 664,138,990 186,083 -- 664,325,073 Information Technology. 721,342,601 -- -- 721,342,601 Materials.............. 203,448,728 -- -- 203,448,728 Other.................. -- 146,504 -- 146,504 Telecommunication Services............. 35,198,179 -- -- 35,198,179 Utilities.............. 125,782,594 -- -- 125,782,594 Rights/Warrants........... 13,006 -- -- 13,006 Temporary Cash Investments............. 3,579,149 -- -- 3,579,149 Securities Lending Collateral.............. -- 1,056,442,082 -- 1,056,442,082 -------------- -------------- -- -------------- TOTAL..................... $3,769,317,325 $1,057,175,367 -- $4,826,492,692 ============== ============== == ============== See accompanying Notes to Financial Statements. 56 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (82.6%) Consumer Discretionary -- (13.7%) #*BJ's Restaurants, Inc................. 218,820 $ 11,582,143 0.4% #*Buffalo Wild Wings, Inc............... 149,089 9,872,674 0.3% *Domino's Pizza, Inc................... 242,198 7,757,602 0.2% Finish Line, Inc. Class A (The)....... 400,378 8,047,598 0.2% *Genesco, Inc.......................... 140,800 8,298,752 0.3% #*Hibbett Sporting Goods, Inc........... 213,043 8,775,241 0.3% #Monro Muffler Brake, Inc.............. 271,069 10,053,949 0.3% *Papa John's International, Inc........ 217,901 7,356,338 0.2% #*Peet's Coffee & Tea, Inc.............. 131,536 8,381,474 0.3% *True Religion Apparel, Inc............ 210,027 7,124,116 0.2% Other Securities...................... 450,818,741 13.8% ------------ ---- Total Consumer Discretionary............. 538,068,628 16.5% ------------ ---- Consumer Staples -- (4.4%) #*Darling International, Inc............ 576,631 8,084,367 0.2% *Elizabeth Arden, Inc.................. 261,981 8,980,709 0.3% #J & J Snack Foods Corp................ 180,997 9,334,015 0.3% #PriceSmart, Inc....................... 271,252 20,626,002 0.6% #WD-40 Co.............................. 165,082 7,266,910 0.2% Other Securities...................... 119,332,147 3.7% ------------ ---- Total Consumer Staples................... 173,624,150 5.3% ------------ ---- Energy -- (3.5%) #*Clayton Williams Energy, Inc.......... 110,880 7,244,899 0.2% *Newpark Resources, Inc................ 798,676 7,132,177 0.2% Other Securities...................... 123,857,189 3.8% ------------ ---- Total Energy............................. 138,234,265 4.2% ------------ ---- Financials -- (12.4%) #Bank of the Ozarks, Inc............... 312,184 7,764,016 0.2% #FBL Financial Group, Inc. Class A..... 289,468 9,451,130 0.3% #*First Cash Financial Services, Inc.... 268,598 11,146,817 0.3% Infinity Property & Casualty Corp..... 144,597 8,380,842 0.3% #*World Acceptance Corp................. 156,911 10,615,029 0.3% Other Securities...................... 439,307,038 13.5% ------------ ---- Total Financials......................... 486,664,872 14.9% ------------ ---- Health Care -- (10.3%) #*Air Methods Corp...................... 115,182 9,309,009 0.3% *Amsurg Corp........................... 295,558 7,486,484 0.2% #*Ariad Pharmaceuticals, Inc............ 887,486 10,321,462 0.3% #*Neogen Corp........................... 189,637 7,329,470 0.2% #*Questcor Pharmaceuticals, Inc......... 357,716 14,526,847 0.5% Other Securities...................... 355,472,269 10.9% ------------ ---- Total Health Care........................ 404,445,541 12.4% ------------ ---- Industrials -- (14.8%) *Acacia Research - Acacia Technologies. 346,464 13,803,126 0.4% #*Dollar Thrifty Automotive Group, Inc.. 133,851 8,170,265 0.3% Kaman Corp............................ 236,632 7,868,014 0.3% #Raven Industries, Inc................. 178,996 10,741,550 0.3% #Titan International, Inc.............. 319,702 7,193,295 0.2% Other Securities...................... 536,930,809 16.5% ------------ ---- Total Industrials........................ 584,707,059 18.0% ------------ ---- 57 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Information Technology -- (16.6%) #*Cabot Microelectronics Corp............................................ 230,045 $ 8,861,333 0.3% *Entegris, Inc.......................................................... 822,588 7,370,388 0.2% #*Forrester Research, Inc................................................ 256,389 9,181,290 0.3% #*iGATE Corp............................................................. 521,424 7,028,796 0.2% #*IPG Photonics Corp..................................................... 319,989 16,914,619 0.5% *Loral Space & Communications, Inc...................................... 139,336 8,429,828 0.3% #*Manhattan Associates, Inc.............................................. 238,948 10,119,448 0.3% #*NIC, Inc............................................................... 605,136 8,356,928 0.3% #OPNET Technologies, Inc................................................ 203,834 8,915,699 0.3% #*RightNow Technologies, Inc............................................. 176,488 7,590,749 0.2% #*ScanSource, Inc........................................................ 236,107 8,207,079 0.2% #*Tyler Technologies, Inc................................................ 364,519 11,507,865 0.3% Other Securities....................................................... 539,406,472 16.6% -------------- ---- Total Information Technology.............................................. 651,890,494 20.0% -------------- ---- Materials -- (4.2%) #AMCOL International Corp............................................... 263,102 7,943,049 0.2% #*Balchem Corp........................................................... 233,875 8,622,971 0.3% Buckeye Technologies, Inc.............................................. 257,175 7,776,972 0.2% Deltic Timber Corp..................................................... 120,402 8,150,011 0.3% Other Securities....................................................... 134,061,335 4.1% -------------- ---- Total Materials........................................................... 166,554,338 5.1% -------------- ---- Other -- (0.0%) Other Securities....................................................... 225,640 0.0% -------------- ---- Telecommunication Services -- (1.1%) Other Securities....................................................... 44,030,118 1.4% -------------- ---- Utilities -- (1.6%) CH Energy Group, Inc................................................... 129,612 7,155,879 0.2% #MGE Energy, Inc........................................................ 196,967 8,595,640 0.3% Other Securities....................................................... 48,169,935 1.5% -------------- ---- Total Utilities........................................................... 63,921,454 2.0% -------------- ---- TOTAL COMMON STOCKS....................................................... 3,252,366,559 99.8% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities....................................................... 3,054 0.0% -------------- ---- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (17.4%) (S)@DFA Short Term Investment Fund........................................ 683,522,579 683,522,579 21.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $1,971,795 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $1,978,882) to be repurchased at $1,914,370...... $ 1,914 1,914,364 0.1% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL....................................... 685,436,943 21.1% -------------- ----
58 U.S. MICRO CAP PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,600,655,911)........................ $3,937,806,556 120.9% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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... $ 538,068,628 -- -- $ 538,068,628 Consumer Staples......... 173,274,180 $ 349,970 -- 173,624,150 Energy................... 138,234,265 -- -- 138,234,265 Financials............... 486,398,580 266,292 -- 486,664,872 Health Care.............. 404,445,321 220 -- 404,445,541 Industrials.............. 584,543,448 163,611 -- 584,707,059 Information Technology... 651,890,494 -- -- 651,890,494 Materials................ 166,554,338 -- -- 166,554,338 Other.................... -- 225,640 -- 225,640 Telecommunication Services............... 44,030,118 -- -- 44,030,118 Utilities................ 63,921,454 -- -- 63,921,454 Rights/Warrants............. 3,054 -- -- 3,054 Securities Lending Collateral................ -- 685,436,943 -- 685,436,943 -------------- ------------ -- -------------- TOTAL....................... $3,251,363,880 $686,442,676 -- $3,937,806,556 ============== ============ == ============== See accompanying Notes to Financial Statements. 59 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- COMMON STOCKS -- (78.3%) Real Estate Investment Trusts -- (78.3%) #Alexander's, Inc.................. 48,481 $ 21,026,210 0.7% #Alexandria Real Estate Equities, Inc.............................. 521,795 34,485,432 1.1% #American Campus Communities, Inc.. 591,013 23,008,136 0.7% #Apartment Investment & Management Co. Class A...................... 1,070,880 26,418,610 0.9% #AvalonBay Communities, Inc........ 799,309 106,859,620 3.4% #BioMed Realty Trust, Inc.......... 1,115,710 20,205,508 0.7% #Boston Properties, Inc............ 1,282,000 126,905,180 4.1% #BRE Properties, Inc............... 604,452 30,295,134 1.0% Camden Property Trust............. 616,784 37,401,782 1.2% #CBL & Associates Properties, Inc.. 1,200,256 18,459,937 0.6% #DDR Corp.......................... 2,169,519 27,791,538 0.9% #Digital Realty Trust, Inc......... 820,928 51,168,442 1.6% #Douglas Emmett, Inc............... 1,030,607 20,096,837 0.6% #Duke Realty Corp.................. 2,155,660 26,471,505 0.9% #Entertainment Properties Trust.... 398,314 17,844,467 0.6% #Equity Lifestyle Properties, Inc.. 305,149 20,179,503 0.6% #Equity Residential................ 2,602,656 152,723,854 4.9% #Essex Property Trust, Inc......... 278,971 39,825,900 1.3% #Extra Space Storage, Inc.......... 761,021 17,145,803 0.6% #Federal Realty Investment Trust... 562,878 49,961,051 1.6% #General Growth Properties, Inc.... 3,768,676 55,399,537 1.8% #HCP, Inc.......................... 3,359,192 133,863,801 4.3% #Health Care REIT, Inc............. 1,480,401 78,002,329 2.5% #Highwoods Properties, Inc......... 655,670 20,312,657 0.7% #Home Properties, Inc.............. 394,411 23,230,808 0.7% #Hospitality Properties Trust...... 1,129,465 27,141,044 0.9% #Host Hotels & Resorts, Inc........ 6,093,286 86,951,191 2.8% #Kilroy Realty Corp................ 482,302 17,695,660 0.6% #Kimco Realty Corp................. 3,688,342 64,435,335 2.1% #LaSalle Hotel Properties.......... 701,968 16,784,055 0.5% #Liberty Property Trust............ 1,044,979 33,439,328 1.1% #Macerich Co. (The)................ 1,112,431 55,354,567 1.8% #Mack-Cali Realty Corp............. 740,084 20,766,757 0.7% #Mid-America Apartment Communities, Inc................. 306,430 19,121,232 0.6% #National Retail Properties, Inc... 776,932 21,171,397 0.7% #Piedmont Office Realty Trust, Inc. 1,425,836 24,210,695 0.8% #Post Properties, Inc.............. 446,316 18,334,661 0.6% #ProLogis, Inc..................... 3,786,798 112,695,108 3.6% #Public Storage.................... 1,324,670 170,948,664 5.5% #Realty Income Corp................ 1,097,070 36,653,109 1.2% #Regency Centers Corp.............. 750,677 30,747,730 1.0% Senior Housing Properties Trust... 1,254,419 28,149,162 0.9% #Simon Property Group, Inc......... 2,680,150 344,238,466 11.1% #SL Green Realty Corp.............. 733,470 50,602,095 1.6% #Tanger Factory Outlet Centers, Inc 740,796 20,860,815 0.7% Taubman Centers, Inc.............. 501,718 30,720,193 1.0% UDR, Inc.......................... 1,759,117 43,854,787 1.4% #Ventas, Inc....................... 2,279,264 126,749,871 4.1% #Vornado Realty Trust.............. 1,508,390 124,909,776 4.0% Weingarten Realty Investors....... 1,049,531 24,359,615 0.8% Other Securities.................. 350,923,872 11.3% -------------- ---- TOTAL COMMON STOCKS.................. 3,080,902,766 99.4% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............ 16,634,679 16,634,679 0.6% -------------- ---- 60 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS* ------------ -------------- -------------- (000) SECURITIES LENDING COLLATERAL -- (21.3%) (S)@DFA Short Term Investment Fund........... 831,111,524 $ 831,111,524 26.8% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $5,834,067 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $5,855,036) to be repurchased at $5,664,162.............................. $ 5,664 5,664,143 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......... 836,775,667 27.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,212,200,140)...................... $3,934,313,112 127.0% ============== =====
Summary of inputs used to value the Portfolio's investments as of October 31, 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................ $3,080,902,766 -- -- $3,080,902,766 Temporary Cash Investments. 16,634,679 -- -- 16,634,679 Securities Lending Collateral............... -- $836,775,667 -- 836,775,667 -------------- ------------ -- -------------- TOTAL...................... $3,097,537,445 $836,775,667 -- $3,934,313,112 ============== ============ == ============== See accompanying Notes to Financial Statements. 61 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (88.3%) AUSTRALIA -- (7.0%) Australia & New Zealand Banking Group, Ltd.................................. 404,534 $ 9,140,990 0.5% BHP Billiton, Ltd...................... 294,474 11,527,036 0.7% #BHP Billiton, Ltd. Sponsored ADR....... 94,000 7,339,520 0.4% #Commonwealth Bank of Australia NL...... 226,423 11,631,325 0.7% #National Australia Bank, Ltd........... 351,947 9,400,269 0.6% #Westpac Banking Corp................... 370,419 8,596,005 0.5% Other Securities....................... 77,236,078 4.5% ------------ ---- TOTAL AUSTRALIA........................... 134,871,223 7.9% ------------ ---- AUSTRIA -- (0.2%) Other Securities....................... 3,978,127 0.2% ------------ ---- BELGIUM -- (0.7%) Other Securities....................... 12,956,128 0.8% ------------ ---- CANADA -- (9.9%) #Bank of Montreal....................... 100,316 5,926,872 0.3% Bank of Nova Scotia.................... 154,227 8,127,960 0.5% #Barrick Gold Corp...................... 148,900 7,351,261 0.4% *Canadian National Resources, Ltd....... 168,536 5,945,047 0.4% Goldcorp, Inc.......................... 119,317 5,805,743 0.3% Potash Corp. of Saskatchewan, Inc...... 127,800 6,049,264 0.4% #Royal Bank of Canada................... 214,980 10,486,408 0.6% Suncor Energy, Inc..................... 245,579 7,822,557 0.5% #Toronto Dominion Bank.................. 138,484 10,452,121 0.6% Other Securities....................... 121,117,122 7.1% ------------ ---- TOTAL CANADA.............................. 189,084,355 11.1% ------------ ---- DENMARK -- (0.8%) Other Securities....................... 15,934,929 0.9% ------------ ---- FINLAND -- (0.7%) Other Securities....................... 13,200,582 0.8% ------------ ---- FRANCE -- (7.5%) BNP Paribas SA......................... 151,842 6,780,487 0.4% LVMH Moet Hennessy Louis Vuitton SA.... 37,300 6,182,256 0.4% *Sanofi SA.............................. 125,482 8,976,861 0.5% Total SA............................... 188,167 9,818,035 0.6% #Total SA Sponsored ADR................. 144,707 7,568,176 0.4% Other Securities....................... 103,592,222 6.1% ------------ ---- TOTAL FRANCE.............................. 142,918,037 8.4% ------------ ---- GERMANY -- (6.2%) BASF SE................................ 127,327 9,294,343 0.6% Daimler AG............................. 144,927 7,360,712 0.4% Siemens AG Sponsored ADR............... 67,650 7,101,220 0.4% Other Securities....................... 94,484,616 5.5% ------------ ---- TOTAL GERMANY............................. 118,240,891 6.9% ------------ ---- GREECE -- (0.1%) Other Securities....................... 1,332,587 0.1% ------------ ---- HONG KONG -- (2.1%) Other Securities....................... 40,213,065 2.4% ------------ ---- 62 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- IRELAND -- (0.2%) Other Securities..................... $ 3,979,740 0.2% ------------ ---- ISRAEL -- (0.5%) Other Securities..................... 8,892,145 0.5% ------------ ---- ITALY -- (1.8%) Other Securities..................... 35,071,228 2.1% ------------ ---- JAPAN -- (16.5%) Mitsubishi UFJ Financial Group, Inc. ADR................................ 1,455,897 6,304,034 0.4% Sumitomo Mitsui Financial Group, Inc. 206,840 5,781,494 0.3% Toyota Motor Corp.................... 237,000 7,868,585 0.5% Other Securities..................... 296,612,690 17.4% ------------ ---- TOTAL JAPAN............................. 316,566,803 18.6% ------------ ---- NETHERLANDS -- (2.1%) Unilever NV.......................... 232,801 8,037,144 0.5% Other Securities..................... 32,286,432 1.9% ------------ ---- TOTAL NETHERLANDS....................... 40,323,576 2.4% ------------ ---- NEW ZEALAND -- (0.1%) Other Securities..................... 1,751,488 0.1% ------------ ---- NORWAY -- (0.9%) Other Securities..................... 17,778,919 1.0% ------------ ---- PORTUGAL -- (0.2%) Other Securities..................... 3,684,379 0.2% ------------ ---- SINGAPORE -- (1.3%) Other Securities..................... 25,916,519 1.5% ------------ ---- SPAIN -- (2.7%) Banco Santander SA Sponsored ADR..... 884,386 7,570,344 0.5% #Telefonica SA Sponsored ADR.......... 387,489 8,280,640 0.5% Other Securities..................... 36,360,995 2.1% ------------ ---- TOTAL SPAIN............................. 52,211,979 3.1% ------------ ---- SWEDEN -- (2.4%) Other Securities..................... 46,769,874 2.7% ------------ ---- SWITZERLAND -- (6.5%) Nestle SA............................ 489,910 28,335,266 1.7% Novartis AG.......................... 193,385 10,894,398 0.6% Novartis AG ADR...................... 147,100 8,306,737 0.5% Roche Holding AG Genusschein......... 104,748 17,185,942 1.0% *UBS AG............................... 532,753 6,733,044 0.4% Other Securities..................... 52,297,281 3.1% ------------ ---- TOTAL SWITZERLAND....................... 123,752,668 7.3% ------------ ---- UNITED KINGDOM -- (17.9%) Anglo American P.L.C................. 211,958 7,770,474 0.5% AstraZeneca P.L.C.................... 123,555 5,931,765 0.4% BG Group P.L.C....................... 453,969 9,843,858 0.6% #BHP Billiton P.L.C. ADR.............. 113,263 7,132,171 0.4% BP P.L.C. Sponsored ADR.............. 415,018 18,335,495 1.1% British American Tobacco P.L.C....... 252,906 11,595,806 0.7% GlaxoSmithKline P.L.C................ 478,323 10,734,683 0.6% GlaxoSmithKline P.L.C. Sponsored ADR. 154,591 6,924,131 0.4% HSBC Holdings P.L.C.................. 1,206,879 10,735,807 0.6% HSBC Holdings P.L.C. Sponsored ADR... 309,839 13,527,571 0.8% 63 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- UNITED KINGDOM -- (Continued) Rio Tinto P.L.C................................................. 168,948 $ 9,139,891 0.5% Royal Dutch Shell P.L.C. ADR.................................... 267,024 19,172,323 1.1% Standard Chartered P.L.C........................................ 389,134 9,080,168 0.5% Tesco P.L.C..................................................... 1,280,146 8,253,622 0.5% Vodafone Group P.L.C............................................ 3,189,133 8,855,210 0.5% Vodafone Group P.L.C. Sponsored ADR............................. 541,850 15,085,104 0.9% Other Securities................................................ 170,367,996 10.0% -------------- ----- TOTAL UNITED KINGDOM............................................... 342,486,075 20.1% -------------- ----- TOTAL COMMON STOCKS................................................ 1,691,915,317 99.3% -------------- ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.0%).................................................. Other Securities................................................ 1,122,401 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities................................................ -- 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities................................................ 16 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities................................................ 77,534 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS.............................................. 77,550 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (11.6%) (S)@DFA Short Term Investment Fund................................. 222,462,799 222,462,799 13.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $141,447) to be repurchased at $138,674....................... $ 139 138,674 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL................................ 222,601,473 13.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,823,498,825)............................................ $1,915,716,741 112.4% ============== =====
64 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of October 31, 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................ $ 9,980,721 $ 124,890,502 -- $ 134,871,223 Austria.................. 55,100 3,923,027 -- 3,978,127 Belgium.................. 2,331,061 10,625,067 -- 12,956,128 Canada................... 189,084,355 -- -- 189,084,355 Denmark.................. 2,820,245 13,114,684 -- 15,934,929 Finland.................. 1,693,594 11,506,988 -- 13,200,582 France................... 14,835,591 128,082,446 -- 142,918,037 Germany.................. 24,107,837 94,133,054 -- 118,240,891 Greece................... 77,427 1,255,160 -- 1,332,587 Hong Kong................ -- 40,213,065 -- 40,213,065 Ireland.................. 1,798,065 2,181,675 -- 3,979,740 Israel................... 5,353,646 3,538,499 -- 8,892,145 Italy.................... 5,246,571 29,824,657 -- 35,071,228 Japan.................... 31,659,499 284,907,304 -- 316,566,803 Netherlands.............. 3,878,230 36,445,346 -- 40,323,576 New Zealand.............. -- 1,751,488 -- 1,751,488 Norway................... 1,219,272 16,559,647 -- 17,778,919 Portugal................. 145,957 3,538,422 -- 3,684,379 Singapore................ -- 25,916,519 -- 25,916,519 Spain.................... 23,212,665 28,999,314 -- 52,211,979 Sweden................... 658,225 46,111,649 -- 46,769,874 Switzerland.............. 16,266,191 107,486,477 -- 123,752,668 United Kingdom........... 116,652,327 225,833,748 -- 342,486,075 Preferred Stocks Germany.................. -- 1,122,401 -- 1,122,401 Rights/Warrants Belgium.................. -- -- -- -- France................... -- 16 -- 16 Hong Kong................ -- 77,534 -- 77,534 Securities Lending Collateral................ -- 222,601,473 -- 222,601,473 ------------ -------------- -- -------------- TOTAL....................... $451,076,579 $1,464,640,162 -- $1,915,716,741 ============ ============== == ============== See accompanying Notes to Financial Statements. 65 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (87.5%) AUSTRALIA -- (6.6%) Australia & New Zealand Banking Group, Ltd.......................... 762,059 $ 17,219,748 0.3% #Commonwealth Bank of Australia NL..... 298,377 15,327,594 0.3% #National Australia Bank, Ltd.......... 955,683 25,525,653 0.5% #Origin Energy, Ltd.................... 776,727 11,704,787 0.2% Wesfarmers, Ltd....................... 396,275 13,444,988 0.2% Westpac Banking Corp.................. 623,513 14,469,347 0.3% Other Securities...................... 309,219,313 5.7% ------------ ---- TOTAL AUSTRALIA.......................... 406,911,430 7.5% ------------ ---- AUSTRIA -- (0.4%) Other Securities...................... 25,447,567 0.5% ------------ ---- BELGIUM -- (1.0%) Other Securities...................... 60,007,292 1.1% ------------ ---- CANADA -- (10.6%) #Bank of Montreal...................... 247,373 14,615,296 0.3% *Canadian National Resources, Ltd...... 379,150 13,374,381 0.2% #Royal Bank of Canada.................. 276,787 13,501,263 0.3% Suncor Energy, Inc.................... 627,329 19,982,639 0.4% #Toronto Dominion Bank................. 309,560 23,364,132 0.4% Other Securities...................... 562,244,210 10.4% ------------ ---- TOTAL CANADA............................. 647,081,921 12.0% ------------ ---- DENMARK -- (0.7%) Other Securities...................... 44,413,166 0.8% ------------ ---- FINLAND -- (1.3%) Other Securities...................... 81,249,610 1.5% ------------ ---- FRANCE -- (6.2%) BNP Paribas SA........................ 344,447 15,381,240 0.3% #GDF Suez SA........................... 494,347 13,927,097 0.2% Sanofi SA ADR......................... 562,231 20,099,758 0.4% #Total SA Sponsored ADR................ 497,184 26,002,723 0.5% Other Securities...................... 305,307,825 5.6% ------------ ---- TOTAL FRANCE............................. 380,718,643 7.0% ------------ ---- GERMANY -- (5.2%) Bayerische Motoren Werke AG........... 146,243 11,879,923 0.2% Daimler AG............................ 366,977 18,638,432 0.4% E.ON AG............................... 478,966 11,550,258 0.2% Munchener Rueckversicherungs-Gesellschaft AG.. 86,672 11,607,062 0.2% Siemens AG Sponsored ADR.............. 125,474 13,171,006 0.2% Other Securities...................... 253,078,460 4.7% ------------ ---- TOTAL GERMANY............................ 319,925,141 5.9% ------------ ---- GREECE -- (0.3%) Other Securities...................... 18,826,874 0.3% ------------ ---- HONG KONG -- (2.2%) Other Securities...................... 132,897,281 2.5% ------------ ---- IRELAND -- (0.5%) Other Securities...................... 30,027,936 0.6% ------------ ---- ISRAEL -- (0.7%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR.................. 368,163 15,039,459 0.3% 66 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- ISRAEL -- (Continued) Other Securities.................. $ 26,411,514 0.5% -------------- ---- TOTAL ISRAEL......................... 41,450,973 0.8% -------------- ---- ITALY -- (1.9%) Other Securities.................. 116,054,265 2.1% -------------- ---- JAPAN -- (17.3%) Honda Motor Co., Ltd. Sponsored ADR............................. 409,732 12,250,987 0.2% Mitsubishi UFJ Financial Group, Inc............................. 2,788,400 12,118,212 0.2% Sumitomo Mitsui Financial Group, Inc............................. 490,370 13,706,590 0.3% Toyota Motor Corp. Sponsored ADR.. 345,041 23,017,685 0.4% Other Securities.................. 999,914,033 18.6% -------------- ---- TOTAL JAPAN.......................... 1,061,007,507 19.7% -------------- ---- NETHERLANDS -- (2.1%) #*ING Groep NV Sponsored ADR........ 1,565,969 13,529,972 0.3% Other Securities.................. 115,741,461 2.1% -------------- ---- TOTAL NETHERLANDS.................... 129,271,433 2.4% -------------- ---- NEW ZEALAND -- (0.2%) Other Securities.................. 13,882,567 0.3% -------------- ---- NORWAY -- (1.0%) Other Securities.................. 60,195,839 1.1% -------------- ---- PORTUGAL -- (0.3%) Other Securities.................. 18,244,747 0.3% -------------- ---- SINGAPORE -- (1.5%) Other Securities.................. 88,492,413 1.6% -------------- ---- SPAIN -- (2.2%) #Banco Santander SA Sponsored ADR.. 2,229,277 19,082,611 0.4% Other Securities.................. 114,790,363 2.1% -------------- ---- TOTAL SPAIN.......................... 133,872,974 2.5% -------------- ---- SWEDEN -- (2.6%) Other Securities.................. 159,572,780 3.0% -------------- ---- SWITZERLAND -- (5.7%) Compagnie Financiere Richemont SA Series A..................... 232,579 13,248,772 0.2% #Credit Suisse Group AG Sponsored ADR.............................. 411,180 11,911,885 0.2% Holcim, Ltd....................... 196,366 12,435,091 0.2% Nestle SA......................... 634,067 36,672,975 0.7% #Novartis AG ADR................... 565,326 31,923,959 0.6% Roche Holding AG Genusschein...... 82,873 13,596,924 0.3% *Swiss Re, Ltd..................... 260,224 14,207,841 0.3% *UBS AG............................ 1,369,056 17,302,415 0.3% Zurich Financial Services AG...... 94,275 21,725,069 0.4% Other Securities.................. 176,474,572 3.3% -------------- ---- TOTAL SWITZERLAND.................... 349,499,503 6.5% -------------- ---- UNITED KINGDOM -- (17.0%) Anglo American P.L.C.............. 536,326 19,661,949 0.4% #Barclays P.L.C. Sponsored ADR..... 1,018,495 12,741,372 0.2% BG Group P.L.C.................... 693,711 15,042,420 0.3% BP P.L.C. Sponsored ADR........... 1,242,359 54,887,421 1.0% HSBC Holdings P.L.C. Sponsored ADR............................. 1,411,211 61,613,472 1.2% Imperial Tobacco Group P.L.C...... 400,030 14,571,837 0.3% #Prudential P.L.C. ADR............. 624,941 12,917,530 0.2% 67 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- UNITED KINGDOM -- (Continued) #Rio Tinto P.L.C. Sponsored ADR.... 257,107 $ 13,899,204 0.3% #Royal Dutch Shell P.L.C. ADR...... 1,170,652 84,052,814 1.6% SABmiller P.L.C................... 396,880 14,454,433 0.3% Standard Chartered P.L.C.......... 973,934 22,726,066 0.4% Tesco P.L.C....................... 2,009,224 12,954,285 0.2% Vodafone Group P.L.C. Sponsored ADR............................. 2,013,800 56,064,192 1.0% Xstrata P.L.C..................... 782,713 13,037,282 0.2% Other Securities.................. 633,167,848 11.7% -------------- ---- TOTAL UNITED KINGDOM................. 1,041,792,125 19.3% -------------- ---- UNITED STATES -- (0.0%) Other Securities.................. 167,511 0.0% -------------- ---- TOTAL COMMON STOCKS.................. 5,361,011,498 99.3% -------------- ---- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities.................. 3,248,479 0.1% -------------- ---- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................. 2,000 0.0% -------------- ---- BELGIUM -- (0.0%) Other Securities.................. 912 0.0% -------------- ---- CANADA -- (0.0%) Other Securities.................. 6,085 0.0% -------------- ---- HONG KONG -- (0.0%) Other Securities.................. 310,327 0.0% -------------- ---- ITALY -- (0.0%) Other Securities.................. 491,375 0.0% -------------- ---- JAPAN -- (0.0%) Other Securities.................. -- 0.0% -------------- ---- NORWAY -- (0.0%) Other Securities.................. -- 0.0% -------------- ---- SINGAPORE -- (0.0%) Other Securities.................. 44,515 0.0% -------------- ---- SPAIN -- (0.0%) Other Securities.................. -- 0.0% -------------- ---- UNITED KINGDOM -- (0.0%) Other Securities.................. 2,125 0.0% -------------- ---- TOTAL RIGHTS/WARRANTS................ 857,339 0.0% -------------- ---- 68 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------------ -------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (12.4%) (S)@DFA Short Term Investment Fund...... 758,998,178 $ 758,998,178 14.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $1,652,385) to be repurchased at $1,619,990....... $ 1,620 1,619,985 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..... 760,618,163 14.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $6,593,025,409)................. $6,125,735,479 113.5% ============== =====
69 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of October 31, 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.............. $ 24,248,905 $ 382,662,525 -- $ 406,911,430 Austria................ 146,543 25,301,024 -- 25,447,567 Belgium................ 9,198,475 50,808,817 -- 60,007,292 Canada................. 646,764,266 317,655 -- 647,081,921 Denmark................ 2,509,874 41,903,292 -- 44,413,166 Finland................ 3,078,828 78,170,782 -- 81,249,610 France................. 73,789,463 306,929,180 -- 380,718,643 Germany................ 54,910,512 265,014,629 -- 319,925,141 Greece................. 1,839,599 16,987,275 -- 18,826,874 Hong Kong.............. 396,611 132,500,670 -- 132,897,281 Ireland................ 8,472,364 21,555,572 -- 30,027,936 Israel................. 17,762,504 23,688,469 -- 41,450,973 Italy.................. 13,894,968 102,159,297 -- 116,054,265 Japan.................. 80,483,024 980,524,483 -- 1,061,007,507 Netherlands............ 28,196,809 101,074,624 -- 129,271,433 New Zealand............ 536,955 13,345,612 -- 13,882,567 Norway................. 8,085,874 52,109,965 -- 60,195,839 Portugal............... 255,204 17,989,543 -- 18,244,747 Singapore.............. 11,008 88,481,405 -- 88,492,413 Spain.................. 40,201,932 93,671,042 -- 133,872,974 Sweden................. 8,151,868 151,420,912 -- 159,572,780 Switzerland............ 60,490,055 289,009,448 -- 349,499,503 United Kingdom......... 376,698,536 665,093,589 -- 1,041,792,125 United States.......... 167,511 -- -- 167,511 Preferred Stocks Germany................ -- 3,248,479 -- 3,248,479 Rights/Warrants Australia.............. 848 1,152 -- 2,000 Belgium................ 93 819 -- 912 Canada................. 5,504 581 -- 6,085 Hong Kong.............. 9,600 300,727 -- 310,327 Italy.................. 491,375 -- -- 491,375 Japan.................. -- -- -- -- Norway................. -- -- -- -- Singapore.............. 44,515 -- -- 44,515 Spain.................. -- -- -- -- United Kingdom......... -- 2,125 -- 2,125 Securities Lending Collateral.............. -- 760,618,163 -- 760,618,163 -------------- -------------- -- -------------- TOTAL..................... $1,460,843,623 $4,664,891,856 -- $6,125,735,479 ============== ============== == ============== See accompanying Notes to Financial Statements. 70 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011
VALUE+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company.............................. $1,884,274,386 Investment in The Japanese Small Company Series of The DFA Investment Trust Company.............................. 1,339,627,823 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company.............................. 1,099,968,620 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company.............................. 767,432,021 Investment in The Canadian Small Company Series of The DFA Investment Trust Company.............................. 736,260,868 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $5,863,291,899)...................................... 5,827,563,718 ============== TOTAL INVESTMENTS - (100.0%) (Cost $5,863,291,899).................................. $5,827,563,718 ==============
Summary of inputs used to value the Portfolio's investments as of October 31, 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.. $5,827,563,718 -- -- $5,827,563,718 -------------- -- -- -------------- TOTAL............................ $5,827,563,718 -- -- $5,827,563,718 ============== == == ============== See accompanying Notes to Financial Statements. 71 JAPANESE SMALL COMPANY PORTFOLIO SCHEDULES OF INVESTMENTS OCTOBER 31, 2011 VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company............................... $163,185,370 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $225,979,160)......................................... $163,185,370 ============ See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 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............................... $139,306,320 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $133,473,171)......................................... $139,306,320 ============ See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 72 UNITED KINGDOM SMALL COMPANY PORTFOLIO SCHEDULES OF INVESTMENTS OCTOBER 31, 2011 VALUE+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company........................................ $33,875,590 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $32,443,321)........................................... $33,875,590 =========== See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 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....................................... $117,494,809 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $120,697,761)......................................... $117,494,809 ============ See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 73 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (90.0%) AUSTRALIA -- (25.2%) CFS Retail Property Trust.......... 9,495,471 $ 18,101,106 1.7% #Charter Hall Office REIT........... 2,059,687 7,308,705 0.7% #Commonwealth Property Office Fund.. 11,268,571 10,992,235 1.0% Dexus Property Group............... 22,645,933 20,144,876 1.9% Goodman Group...................... 34,562,666 22,460,174 2.1% GPT Group.......................... 8,259,929 27,260,137 2.6% Investa Office Fund................ 12,013,956 7,854,072 0.7% Stockland Trust Group.............. 11,211,135 37,021,381 3.5% Westfield Group.................... 10,752,623 86,562,454 8.2% Westfield Retail Trust............. 13,665,264 36,417,759 3.4% Other Securities................... 20,785,916 2.0% ------------ ---- TOTAL AUSTRALIA....................... 294,908,815 27.8% ------------ ---- BELGIUM -- (1.5%) Cofinimmo SA....................... 57,381 6,995,067 0.7% Other Securities................... 10,552,543 1.0% ------------ ---- TOTAL BELGIUM......................... 17,547,610 1.7% ------------ ---- CANADA -- (6.9%) #Boardwalk REIT..................... 107,425 5,246,500 0.5% #Calloway REIT...................... 235,054 6,202,077 0.6% #Canadian REIT...................... 154,493 5,499,284 0.5% #H&R REIT........................... 626,246 13,677,828 1.3% #RioCan REIT........................ 598,284 15,179,937 1.4% Other Securities................... 35,058,436 3.3% ------------ ---- TOTAL CANADA.......................... 80,864,062 7.6% ------------ ---- CHINA -- (0.1%) Other Securities................... 1,433,235 0.1% ------------ ---- FRANCE -- (12.4%) Fonciere des Regions SA............ 127,922 9,427,170 0.9% Gecina SA.......................... 99,820 9,871,461 0.9% ICADE SA........................... 105,620 9,452,734 0.9% Klepierre SA....................... 477,925 14,896,760 1.4% Societe Immobiliere de Location pour l'Industrie et le Commerce SA............................... 60,179 6,316,891 0.6% Unibail-Rodamco SE................. 430,171 85,522,033 8.1% Other Securities................... 9,177,687 0.9% ------------ ---- TOTAL FRANCE.......................... 144,664,736 13.7% ------------ ---- GERMANY -- (0.2%) Other Securities................... 2,302,835 0.2% ------------ ---- GREECE -- (0.0%) Other Securities................... 289,306 0.0% ------------ ---- HONG KONG -- (3.8%) Link REIT (The).................... 10,491,447 36,030,162 3.4% Other Securities................... 8,303,569 0.8% ------------ ---- TOTAL HONG KONG....................... 44,333,731 4.2% ------------ ---- ISRAEL -- (0.1%) Other Securities................... 471,711 0.0% ------------ ---- ITALY -- (0.2%) Other Securities................... 2,651,637 0.3% ------------ ---- 74 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- JAPAN -- (13.7%) Advance Residence Investment Corp.. 4,506 $ 8,536,227 0.8% #Frontier Real Estate Investment Corp.............................. 803 6,963,253 0.7% Japan Logistics Fund, Inc.......... 661 5,696,505 0.5% Japan Prime Realty Investment Corp. 3,087 7,392,731 0.7% Japan Real Estate Investment Corp.. 2,202 18,782,409 1.8% Japan Retail Fund Investment Corp.. 7,473 11,568,004 1.1% MORI TRUST Sogo REIT, Inc.......... 777 6,841,086 0.6% Nippon Accommodations Fund, Inc.... 832 5,513,194 0.5% Nippon Building Fund, Inc.......... 2,568 24,798,429 2.3% Nomura Real Estate Office Fund, Inc.............................. 1,270 6,776,619 0.6% ORIX JREIT, Inc.................... 1,258 5,176,684 0.5% United Urban Investment Corp....... 7,991 9,010,985 0.9% Other Securities................... 43,483,118 4.1% -------------- ---- TOTAL JAPAN........................... 160,539,244 15.1% -------------- ---- MALAYSIA -- (0.1%) Other Securities................... 1,184,708 0.1% -------------- ---- NETHERLANDS -- (3.2%) #Corio NV........................... 296,540 15,069,675 1.4% Eurocommercial Properties NV....... 173,143 7,384,821 0.7% Wereldhave NV...................... 98,279 7,692,752 0.8% Other Securities................... 7,671,696 0.7% -------------- ---- TOTAL NETHERLANDS..................... 37,818,944 3.6% -------------- ---- NEW ZEALAND -- (0.7%) Other Securities................... 8,046,881 0.8% -------------- ---- SINGAPORE -- (6.6%) Ascendas REIT...................... 8,614,000 14,014,500 1.3% #CapitaCommercial Trust............. 9,608,000 8,583,035 0.8% #CapitaMall Trust................... 9,947,300 14,779,478 1.4% #Suntec REIT........................ 9,576,000 9,409,317 0.9% Other Securities................... 29,927,633 2.8% -------------- ---- TOTAL SINGAPORE....................... 76,713,963 7.2% -------------- ---- SOUTH AFRICA -- (1.3%) Other Securities................... 15,033,826 1.4% -------------- ---- TAIWAN -- (0.5%) Other Securities................... 5,555,880 0.5% -------------- ---- TURKEY -- (0.2%) Other Securities................... 2,750,181 0.3% -------------- ---- UNITED KINGDOM -- (13.3%) British Land Co. P.L.C............. 3,992,823 32,665,745 3.1% Capital Shopping Centres Group P.L.C............................ 2,470,132 13,037,702 1.2% Derwent London P.L.C............... 424,026 11,541,706 1.1% Great Portland Estates P.L.C....... 1,344,878 8,039,765 0.8% Hammerson P.L.C.................... 3,244,216 21,194,780 2.0% Land Securities Group P.L.C........ 3,670,740 40,174,032 3.8% Segro P.L.C........................ 3,278,015 12,818,268 1.2% Shaftesbury P.L.C.................. 964,902 7,797,207 0.7% Other Securities................... 8,319,981 0.8% -------------- ---- TOTAL UNITED KINGDOM.................. 155,589,186 14.7% -------------- ---- TOTAL COMMON STOCKS................... 1,052,700,491 99.3% -------------- ---- 75 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- RIGHTS/WARRANTS -- (0.0%) NETHERLANDS -- (0.0%) Other Securities................ $ -- 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (10.0%) (S)@DFA Short Term Investment Fund. 117,429,095 117,429,095 11.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $145,433) to be repurchased at $142,581....... $ 143 142,581 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................... 117,571,676 11.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,236,416,496) $1,170,272,167 110.4% ============== ===== Summary of inputs used to value the Portfolio's investments as of October 31, 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................. -- $ 294,908,815 -- $ 294,908,815 Belgium................... -- 17,547,610 -- 17,547,610 Canada.................... $80,864,062 -- -- 80,864,062 China..................... -- 1,433,235 -- 1,433,235 France.................... -- 144,664,736 -- 144,664,736 Germany................... -- 2,302,835 -- 2,302,835 Greece.................... -- 289,306 -- 289,306 Hong Kong................. -- 44,333,731 -- 44,333,731 Israel.................... -- 471,711 -- 471,711 Italy..................... -- 2,651,637 -- 2,651,637 Japan..................... -- 160,539,244 -- 160,539,244 Malaysia.................. -- 1,184,708 -- 1,184,708 Netherlands............... -- 37,818,944 -- 37,818,944 New Zealand............... -- 8,046,881 -- 8,046,881 Singapore................. -- 76,713,963 -- 76,713,963 South Africa.............. -- 15,033,826 -- 15,033,826 Taiwan.................... -- 5,555,880 -- 5,555,880 Turkey.................... -- 2,750,181 -- 2,750,181 United Kingdom............ -- 155,589,186 -- 155,589,186 Rights/Warrants Netherlands............... -- -- -- -- Securities Lending Collateral -- 117,571,676 -- 117,571,676 ----------- -------------- -- -------------- TOTAL........................ $80,864,062 $1,089,408,105 -- $1,170,272,167 =========== ============== == ============== See accompanying Notes to Financial Statements. 76 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 SHARES VALUE+ ---------- ------------ AFFILIATED INVESTMENT COMPANIES -- (99.9%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc................. 22,408,191 $520,990,441 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc........................................... 70,803,906 346,939,139 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $700,209,803).............................. 867,929,580 ------------ TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio-Institutional Shares (Cost $1,082,738)................................ 1,082,738 1,082,738 ------------ TOTAL INVESTMENTS - (100.0%) (Cost $701,292,541).............................. $869,012,318 ============ Summary of inputs used to value the Portfolio's investments as of October 31, 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..... $867,929,580 -- -- $867,929,580 Temporary Cash Investments.......... 1,082,738 -- -- 1,082,738 ------------ -- -- ------------ TOTAL............................... $869,012,318 -- -- $869,012,318 ============ == == ============ See accompanying Notes to Financial Statements. 77 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (92.0%) AUSTRALIA -- (6.7%) #Beach Energy, Ltd.................. 21,611,159 $ 26,560,150 0.4% GrainCorp, Ltd..................... 2,965,452 24,427,557 0.3% #Iluka Resources, Ltd............... 1,985,804 33,013,289 0.4% #Primary Health Care, Ltd........... 10,019,264 34,872,372 0.5% Other Securities................... 416,236,086 5.6% ------------ ---- TOTAL AUSTRALIA....................... 535,109,454 7.2% ------------ ---- AUSTRIA -- (0.9%) Wienerberger AG.................... 2,176,620 26,298,707 0.3% Other Securities................... 41,990,462 0.6% ------------ ---- TOTAL AUSTRIA......................... 68,289,169 0.9% ------------ ---- BELGIUM -- (1.0%) Other Securities................... 77,750,194 1.1% ------------ ---- CANADA -- (12.1%) #*Canfor Corp........................ 2,910,053 29,428,978 0.4% *Celestica, Inc..................... 4,421,197 36,682,517 0.5% Groupe Aeroplan, Inc............... 3,926,331 45,221,249 0.6% #HudBay Minerals, Inc............... 3,022,752 33,116,079 0.5% #Laurentian Bank of Canada.......... 707,853 32,653,204 0.4% *Precision Drilling Corp............ 2,895,326 33,579,101 0.5% #*Quadra FNX Mining, Ltd............. 3,463,804 39,963,628 0.5% RONA, Inc.......................... 3,059,000 29,462,152 0.4% Sherritt International Corp........ 6,421,483 36,915,072 0.5% West Fraser Timber Co., Ltd........ 753,923 32,524,393 0.4% Other Securities................... 607,306,890 8.1% ------------ ---- TOTAL CANADA.......................... 956,853,263 12.8% ------------ ---- DENMARK -- (0.6%) Other Securities................... 48,342,975 0.7% ------------ ---- FINLAND -- (2.4%) #Kemira Oyj......................... 1,855,442 25,412,220 0.4% Pohjola Bank P.L.C. Series A....... 3,275,771 37,666,126 0.5% Other Securities................... 128,141,304 1.7% ------------ ---- TOTAL FINLAND......................... 191,219,650 2.6% ------------ ---- FRANCE -- (4.5%) *Arkema SA.......................... 960,744 65,291,306 0.9% Havas SA........................... 7,563,593 32,560,928 0.4% Nexans SA.......................... 580,149 36,492,869 0.5% Valeo SA........................... 610,644 30,651,472 0.4% Other Securities................... 195,565,702 2.6% ------------ ---- TOTAL FRANCE.......................... 360,562,277 4.8% ------------ ---- GERMANY -- (5.2%) Aurubis AG......................... 1,045,010 58,960,862 0.8% #Bilfinger Berger SE................ 956,696 85,393,357 1.1% Other Securities................... 268,964,029 3.6% ------------ ---- TOTAL GERMANY......................... 413,318,248 5.5% ------------ ---- GREECE -- (0.2%) Other Securities................... 17,931,280 0.2% ------------ ---- 78 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- HONG KONG -- (2.2%) Other Securities............... $ 174,201,851 2.3% -------------- ---- IRELAND -- (0.2%) Other Securities............... 17,645,637 0.2% -------------- ---- ISRAEL -- (0.7%) Other Securities............... 57,978,847 0.8% -------------- ---- ITALY -- (2.1%) Other Securities............... 168,859,590 2.3% -------------- ---- JAPAN -- (22.7%) #Sumitomo Osaka Cement Co., Ltd. 9,901,000 29,994,015 0.4% Other Securities............... 1,772,264,168 23.8% -------------- ---- TOTAL JAPAN....................... 1,802,258,183 24.2% -------------- ---- MALAYSIA -- (0.0%) Other Securities............... -- 0.0% -------------- ---- NETHERLANDS -- (1.5%) Nutreco NV..................... 391,496 26,010,687 0.3% Other Securities............... 94,689,595 1.3% -------------- ---- TOTAL NETHERLANDS................. 120,700,282 1.6% -------------- ---- NEW ZEALAND -- (0.4%) Other Securities............... 31,535,579 0.4% -------------- ---- NORWAY -- (1.1%) Other Securities............... 83,920,912 1.1% -------------- ---- PORTUGAL -- (0.3%) Other Securities............... 18,919,692 0.3% -------------- ---- SINGAPORE -- (1.2%) Other Securities............... 94,664,056 1.3% -------------- ---- SPAIN -- (1.8%) #Bankinter SA................... 5,008,248 30,575,631 0.4% Other Securities............... 114,377,921 1.6% -------------- ---- TOTAL SPAIN....................... 144,953,552 2.0% -------------- ---- SWEDEN -- (2.7%) #Holmen AB Series B............. 1,134,730 32,106,688 0.4% Trelleborg AB Series B......... 6,786,568 57,449,216 0.8% Other Securities............... 124,949,633 1.7% -------------- ---- TOTAL SWEDEN...................... 214,505,537 2.9% -------------- ---- SWITZERLAND -- (4.4%) *Clariant AG.................... 3,074,973 33,299,125 0.5% Helvetia Holding AG............ 109,790 40,115,063 0.5% Other Securities............... 277,667,837 3.7% -------------- ---- TOTAL SWITZERLAND................. 351,082,025 4.7% -------------- ---- UNITED KINGDOM -- (17.1%) Amlin P.L.C.................... 10,497,744 48,419,217 0.6% Ashtead Group P.L.C............ 12,335,561 30,695,832 0.4% *Barratt Developments P.L.C..... 18,155,287 25,867,847 0.3% Beazley P.L.C.................. 12,306,390 24,825,067 0.3% Bellway P.L.C.................. 3,448,205 39,236,872 0.5% Bovis Homes Group P.L.C........ 3,834,315 28,935,636 0.4% 79 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- UNITED KINGDOM -- (Continued) Catlin Group, Ltd............... 8,969,846 $ 57,058,371 0.8% Cookson Group P.L.C............. 5,510,187 42,354,187 0.6% DS Smith P.L.C.................. 12,267,878 41,912,701 0.6% Elementis P.L.C................. 10,519,973 24,285,483 0.3% Greene King P.L.C............... 4,908,532 35,393,600 0.5% Hiscox, Ltd..................... 10,648,017 65,075,913 0.9% Inchcape P.L.C.................. 6,722,252 35,842,255 0.5% Logica P.L.C.................... 22,349,788 33,536,882 0.4% Meggitt P.L.C................... 12,257,000 75,645,229 1.0% Millennium & Copthorne Hotels P.L.C......................... 4,813,561 34,415,255 0.5% Mondi P.L.C..................... 7,958,099 60,526,536 0.8% Persimmon P.L.C................. 7,337,098 58,510,689 0.8% *Taylor Wimpey P.L.C............. 64,796,706 38,351,361 0.5% Travis Perkins P.L.C............ 4,769,109 67,455,417 0.9% Other Securities................ 491,922,240 6.6% -------------- ----- TOTAL UNITED KINGDOM............... 1,360,266,590 18.2% -------------- ----- UNITED STATES -- (0.0%) Other Securities................ 1,904,557 0.0% -------------- ----- TOTAL COMMON STOCKS................ 7,312,773,400 98.1% -------------- ----- RIGHTS/WARRANTS -- (0.1%) AUSTRALIA -- (0.0%) Other Securities................ 1,396 0.0% -------------- ----- BELGIUM -- (0.0%) Other Securities................ 5,624 0.0% -------------- ----- CANADA -- (0.0%) Other Securities................ 165,730 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities................ 130,785 0.0% -------------- ----- ITALY -- (0.1%) Other Securities................ 9,173,480 0.1% -------------- ----- NORWAY -- (0.0%) Other Securities................ -- 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities................ 23,819 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS.............. 9,500,834 0.1% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (7.9%) (S)@DFA Short Term Investment Fund. 626,905,225 626,905,225 8.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $90,837) to be repurchased at $89,056.................... $ 89 89,056 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................... 626,994,281 8.4% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,857,612,612)............ $7,949,268,515 106.6% ============== ===== 80 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of October 31, 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................ $ 7,341,399 $ 527,768,055 -- $ 535,109,454 Austria.................. 234,581 68,054,588 -- 68,289,169 Belgium.................. 10,666 77,739,528 -- 77,750,194 Canada................... 956,853,263 -- -- 956,853,263 Denmark.................. 304,116 48,038,859 -- 48,342,975 Finland.................. -- 191,219,650 -- 191,219,650 France................... -- 360,562,277 -- 360,562,277 Germany.................. 986,959 412,331,289 -- 413,318,248 Greece................... 2,994 17,928,286 -- 17,931,280 Hong Kong................ 1,320,577 172,881,274 -- 174,201,851 Ireland.................. 253,795 17,391,842 -- 17,645,637 Israel................... 4,655 57,974,192 -- 57,978,847 Italy.................... -- 168,859,590 -- 168,859,590 Japan.................... 2,683,890 1,799,574,293 -- 1,802,258,183 Malaysia................. -- -- -- -- Netherlands.............. 152,163 120,548,119 -- 120,700,282 New Zealand.............. -- 31,535,579 -- 31,535,579 Norway................... 204,338 83,716,574 -- 83,920,912 Portugal................. 411,087 18,508,605 -- 18,919,692 Singapore................ 39,029 94,625,027 -- 94,664,056 Spain.................... 50,613 144,902,939 -- 144,953,552 Sweden................... 4,843,661 209,661,876 -- 214,505,537 Switzerland.............. 102,112 350,979,913 -- 351,082,025 United Kingdom........... 7,129,266 1,353,137,324 -- 1,360,266,590 United States............ 1,904,557 -- -- 1,904,557 Rights/Warrants Australia................ 1,396 -- -- 1,396 Belgium.................. -- 5,624 -- 5,624 Canada................... 165,730 -- -- 165,730 Hong Kong................ 130,785 -- -- 130,785 Italy.................... 9,173,480 -- -- 9,173,480 Norway................... -- -- -- -- United Kingdom........... -- 23,819 -- 23,819 Securities Lending Collateral................ -- 626,994,281 -- 626,994,281 ------------ -------------- -- -------------- TOTAL....................... $994,305,112 $6,954,963,403 -- $7,949,268,515 ============ ============== == ============== See accompanying Notes to Financial Statements. 81 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ----------- --------------- COMMON STOCKS -- (90.6%) AUSTRALIA -- (6.4%) Australia & New Zealand Banking Group, Ltd................................... 30,566 $ 690,680 0.2% National Australia Bank, Ltd............ 44,894 1,199,089 0.3% #Origin Energy, Ltd...................... 65,486 986,833 0.2% Santos, Ltd............................. 52,226 705,342 0.2% Suncorp Group, Ltd...................... 83,085 745,678 0.2% Other Securities........................ 24,476,572 5.9% ----------- ---- TOTAL AUSTRALIA............................ 28,804,194 7.0% ----------- ---- AUSTRIA -- (0.5%) Other Securities........................ 2,158,236 0.5% ----------- ---- BELGIUM -- (1.2%) Other Securities........................ 5,638,856 1.4% ----------- ---- CANADA -- (10.4%) #Bank of Montreal........................ 13,100 773,974 0.2% Magna International, Inc................ 18,560 708,138 0.2% Suncor Energy, Inc...................... 34,672 1,104,425 0.2% #Toronto Dominion Bank................... 15,429 1,164,508 0.3% Other Securities........................ 42,986,572 10.5% ----------- ---- TOTAL CANADA............................... 46,737,617 11.4% ----------- ---- DENMARK -- (0.9%) Other Securities........................ 4,030,428 1.0% ----------- ---- FINLAND -- (1.6%) UPM-Kymmene Oyj......................... 61,081 714,229 0.2% Other Securities........................ 6,528,806 1.6% ----------- ---- TOTAL FINLAND.............................. 7,243,035 1.8% ----------- ---- FRANCE -- (5.7%) BNP Paribas SA.......................... 18,185 812,049 0.2% Cie de Saint-Gobain SA.................. 15,324 708,237 0.2% *Sanofi SA............................... 20,001 1,430,852 0.3% Total SA Sponsored ADR.................. 15,900 831,570 0.2% Other Securities........................ 21,815,946 5.3% ----------- ---- TOTAL FRANCE............................... 25,598,654 6.2% ----------- ---- GERMANY -- (4.9%) Allianz SE.............................. 6,494 722,536 0.2% Bayerische Motoren Werke AG............. 8,606 699,101 0.1% Daimler AG.............................. 17,410 884,238 0.2% #Deutsche Bank AG........................ 29,192 1,208,841 0.3% Deutsche Post AG........................ 47,190 715,802 0.2% E.ON AG................................. 34,364 828,687 0.2% Other Securities........................ 17,216,296 4.2% ----------- ---- TOTAL GERMANY.............................. 22,275,501 5.4% ----------- ---- GREECE -- (0.4%) Other Securities........................ 1,969,136 0.5% ----------- ---- HONG KONG -- (2.2%) Other Securities........................ 9,717,726 2.4% ----------- ---- IRELAND -- (0.7%) Other Securities........................ 3,281,144 0.8% ----------- ---- 82 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- ISRAEL -- (0.6%) Other Securities..................... $ 2,661,701 0.7% ----------- ---- ITALY -- (2.1%) Other Securities..................... 9,399,033 2.3% ----------- ---- JAPAN -- (20.3%) Mitsubishi UFJ Financial Group, Inc.. 224,300 974,794 0.2% Sumitomo Mitsui Financial Group, Inc. 26,841 750,247 0.2% Toyota Motor Corp. Sponsored ADR..... 11,600 773,836 0.2% Other Securities..................... 88,785,857 21.6% ----------- ---- TOTAL JAPAN............................. 91,284,734 22.2% ----------- ---- NETHERLANDS -- (2.1%) Akzo Nobel NV........................ 17,072 897,681 0.2% Other Securities..................... 8,632,367 2.1% ----------- ---- TOTAL NETHERLANDS....................... 9,530,048 2.3% ----------- ---- NEW ZEALAND -- (0.3%) Other Securities..................... 1,235,763 0.3% ----------- ---- NORWAY -- (1.1%) Other Securities..................... 5,000,308 1.2% ----------- ---- PORTUGAL -- (0.3%) Other Securities..................... 1,265,966 0.3% ----------- ---- SINGAPORE -- (1.4%) Other Securities..................... 6,536,362 1.6% ----------- ---- SPAIN -- (1.9%) Banco Santander SA................... 114,518 969,265 0.2% Other Securities..................... 7,704,384 1.9% ----------- ---- TOTAL SPAIN............................. 8,673,649 2.1% ----------- ---- SWEDEN -- (2.5%) Other Securities..................... 11,053,056 2.7% ----------- ---- SWITZERLAND -- (5.4%) *Aryzta AG............................ 14,609 704,420 0.2% Holcim, Ltd.......................... 21,970 1,391,274 0.3% Julius Baer Group, Ltd............... 27,417 1,030,189 0.3% Novartis AG ADR...................... 13,137 741,846 0.2% *Swiss Re, Ltd........................ 23,898 1,304,795 0.3% Zurich Financial Services AG......... 7,485 1,724,870 0.4% Other Securities..................... 17,375,834 4.2% ----------- ---- TOTAL SWITZERLAND....................... 24,273,228 5.9% ----------- ---- UNITED KINGDOM -- (17.7%) Anglo American P.L.C................. 48,414 1,774,879 0.4% Aviva P.L.C.......................... 128,562 701,377 0.2% BG Group P.L.C....................... 36,356 788,343 0.2% BP P.L.C. Sponsored ADR.............. 66,425 2,934,656 0.7% HSBC Holdings P.L.C. Sponsored ADR... 71,003 3,099,991 0.8% International Power P.L.C............ 155,255 842,209 0.2% Kingfisher P.L.C..................... 232,192 961,992 0.2% Legal & General Group P.L.C.......... 594,171 1,046,697 0.3% Old Mutual P.L.C..................... 503,063 884,450 0.2% Prudential P.L.C..................... 68,348 705,973 0.2% Resolution, Ltd...................... 202,437 890,902 0.2% Royal Dutch Shell P.L.C. ADR......... 88,550 6,357,890 1.6% 83 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ------------ --------------- UNITED KINGDOM -- (Continued) RSA Insurance Group P.L.C......... 512,455 $ 915,168 0.2% Standard Chartered P.L.C.......... 36,935 861,852 0.2% Standard Life P.L.C............... 262,373 905,022 0.2% Vodafone Group P.L.C. Sponsored ADR............................. 165,738 4,614,146 1.1% William Morrison Supermarkets P.L.C........................... 144,442 700,460 0.2% Wolseley P.L.C.................... 25,895 746,709 0.2% Xstrata P.L.C..................... 77,287 1,287,333 0.3% Other Securities.................. 48,849,515 11.9% ------------ ----- TOTAL UNITED KINGDOM................. 79,869,564 19.5% ------------ ----- TOTAL COMMON STOCKS.................. 408,237,939 99.5% ------------ ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities.................. 117,734 0.0% ------------ ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................. 135 0.0% ------------ ----- BELGIUM -- (0.0%) Other Securities.................. 68 0.0% ------------ ----- CANADA -- (0.0%) Other Securities.................. 1,354 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities.................. 30,745 0.0% ------------ ----- ITALY -- (0.0%) Other Securities.................. 49,374 0.0% ------------ ----- NORWAY -- (0.0%) Other Securities.................. -- 0.0% ------------ ----- SINGAPORE -- (0.0%) Other Securities.................. 1,530 0.0% ------------ ----- UNITED KINGDOM -- (0.0%) Other Securities.................. 233 0.0% ------------ ----- TOTAL RIGHTS/WARRANTS................ 83,439 0.0% ------------ ----- SHARES/ FACE AMOUNT VALUE+ ----------- ------------ (000) SECURITIES LENDING COLLATERAL -- (9.4%) (S)@DFA Short Term Investment Fund... 37,180,863 37,180,863 9.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $5,110,426) to be repurchased at $5,010,237....... $ 5,010 5,010,222 1.2% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL.. 42,191,085 10.3% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $414,944,025)................ $450,630,197 109.8% ============ ===== 84 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of October 31, 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.................. $ 838,884 $ 27,965,310 -- $ 28,804,194 Austria.................... 3,397 2,154,839 -- 2,158,236 Belgium.................... 501,082 5,137,774 -- 5,638,856 Canada..................... 46,699,667 37,950 -- 46,737,617 Denmark.................... -- 4,030,428 -- 4,030,428 Finland.................... -- 7,243,035 -- 7,243,035 France..................... 1,712,720 23,885,934 -- 25,598,654 Germany.................... 2,277,734 19,997,767 -- 22,275,501 Greece..................... 66,432 1,902,704 -- 1,969,136 Hong Kong.................. 7,708 9,710,018 -- 9,717,726 Ireland.................... 689,561 2,591,583 -- 3,281,144 Israel..................... 647,536 2,014,165 -- 2,661,701 Italy...................... 957,480 8,441,553 -- 9,399,033 Japan...................... 2,731,897 88,552,837 -- 91,284,734 Netherlands................ 1,861,493 7,668,555 -- 9,530,048 New Zealand................ 23,685 1,212,078 -- 1,235,763 Norway..................... 491,086 4,509,222 -- 5,000,308 Portugal................... 3,838 1,262,128 -- 1,265,966 Singapore.................. -- 6,536,362 -- 6,536,362 Spain...................... 1,000,215 7,673,434 -- 8,673,649 Sweden..................... 69,555 10,983,501 -- 11,053,056 Switzerland................ 1,526,384 22,746,844 -- 24,273,228 United Kingdom............. 19,348,616 60,520,948 -- 79,869,564 Preferred Stocks Germany.................... -- 117,734 -- 117,734 Rights/Warrants Australia.................. -- 135 -- 135 Belgium.................... 16 52 -- 68 Canada..................... 924 430 -- 1,354 Hong Kong.................. 2,177 28,568 -- 30,745 Italy...................... 49,374 -- -- 49,374 Norway..................... -- -- -- -- Singapore.................. -- 1,530 -- 1,530 United Kingdom............. -- 233 -- 233 Securities Lending Collateral. -- 42,191,085 -- 42,191,085 ----------- ------------ -- ------------ TOTAL......................... $81,511,461 $369,118,736 -- $450,630,197 =========== ============ == ============ See accompanying Notes to Financial Statements. 85 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 SHARES VALUE+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in The DFA International Value Series of The DFA Investment Trust Company...................... $32,864,447 Investment in Dimensional Emerging Markets Value Fund... 10,254,501 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc...... 250,782 3,724,113 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $45,361,586)................................. 46,843,061 ----------- TEMPORARY CASH INVESTMENTS -- (0.2%) Citibank-US Dollars on Deposit in Custody Account (Cost $74,471)..................................... 74,471 74,471 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $45,436,057)................................. $46,917,532 =========== Summary of inputs used to value the Portfolio's investments as of October 31, 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.. $46,843,061 -- -- $46,843,061 Temporary Cash Investments....... 74,471 -- -- 74,471 ----------- -- -- ----------- TOTAL............................ $46,917,532 -- -- $46,917,532 =========== == == =========== See accompanying Notes to Financial Statements. 86 EMERGING MARKETS PORTFOLIO SCHEDULES OF INVESTMENTS OCTOBER 31, 2011 VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company.................................. $2,313,873,983 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,350,904,480).................................. $2,313,873,983 ============== See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 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.............................. $1,833,468,496 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,534,538,184).................................. $1,833,468,496 ============== See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 87 EMERGING MARKETS VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 VALUE+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund $13,813,506,817 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $13,579,010,327)................................... $13,813,506,817 =============== See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 2011 located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 88 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (84.8%) BRAZIL -- (7.3%) Banco Bradesco SA.................................... 1,175,090 $ 17,145,356 0.3% Banco do Brasil SA................................... 1,031,580 15,742,433 0.3% Banco Santander Brasil SA ADR........................ 1,950,363 17,748,303 0.3% BM&F Bovespa SA...................................... 3,324,623 20,003,702 0.4% #BRF - Brasil Foods SA ADR............................ 909,480 19,144,554 0.3% Petroleo Brasileiro SA ADR........................... 1,754,339 47,384,696 0.9% Vale SA Sponsored ADR................................ 1,400,390 35,583,910 0.7% Other Securities..................................... 262,158,265 4.9% ------------ ---- TOTAL BRAZIL............................................ 434,911,219 8.1% ------------ ---- CHILE -- (1.8%) Other Securities..................................... 107,727,375 2.0% ------------ ---- CHINA -- (13.6%) Bank of China, Ltd. Series H......................... 74,756,702 26,606,577 0.5% China Construction Bank Corp. Series H............... 52,067,302 38,255,683 0.7% China Mobile, Ltd. Sponsored ADR..................... 1,114,051 52,984,266 1.0% China Petroleum & Chemical Corp. ADR................. 176,059 16,619,970 0.3% #China Unicom Hong Kong, Ltd. ADR..................... 884,817 17,793,670 0.3% #CNOOC, Ltd. ADR...................................... 148,376 27,985,197 0.5% Industrial & Commercial Bank of China, Ltd. Series H. 65,771,725 40,988,883 0.8% #PetroChina Co., Ltd. ADR............................. 216,874 28,109,039 0.5% Tencent Holdings, Ltd................................ 598,600 13,776,120 0.3% Other Securities..................................... 542,632,724 10.1% ------------ ---- TOTAL CHINA............................................. 805,752,129 15.0% ------------ ---- COLOMBIA -- (0.2%) Other Securities..................................... 13,855,945 0.3% ------------ ---- CZECH REPUBLIC -- (0.3%) Other Securities..................................... 20,556,152 0.4% ------------ ---- EGYPT -- (0.1%) Other Securities..................................... 4,661,748 0.1% ------------ ---- HUNGARY -- (0.3%) Other Securities..................................... 20,151,986 0.4% ------------ ---- INDIA -- (8.2%) #ICICI Bank, Ltd. Sponsored ADR....................... 610,734 22,694,875 0.4% Infosys, Ltd......................................... 225,217 13,164,523 0.2% Reliance Industries, Ltd............................. 1,734,304 31,056,647 0.6% Other Securities..................................... 416,737,491 7.8% ------------ ---- TOTAL INDIA............................................. 483,653,536 9.0% ------------ ---- INDONESIA -- (3.3%) PT Astra International Tbk........................... 2,085,000 16,076,981 0.3% Other Securities..................................... 182,267,240 3.4% ------------ ---- TOTAL INDONESIA......................................... 198,344,221 3.7% ------------ ---- ISRAEL -- (0.0%) Other Securities..................................... 306,545 0.0% ------------ ---- MALAYSIA -- (3.4%) Other Securities..................................... 200,386,856 3.7% ------------ ---- MEXICO -- (4.1%) #America Movil S.A.B. de C.V. Series L ADR............ 1,214,537 30,873,531 0.6%
89 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- MEXICO -- (Continued) Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 331,293 $ 22,213,196 0.4% #Grupo Mexico S.A.B. de C.V. Series B..................... 4,804,019 13,326,674 0.3% #Grupo Televisa S.A.B. Sponsored ADR...................... 617,890 13,179,594 0.2% Other Securities......................................... 162,160,825 3.0% -------------- ---- TOTAL MEXICO................................................ 241,753,820 4.5% -------------- ---- PERU -- (0.2%) Other Securities......................................... 11,867,965 0.2% -------------- ---- PHILIPPINES -- (1.2%) Other Securities......................................... 69,510,009 1.3% -------------- ---- POLAND -- (1.4%) Other Securities......................................... 83,551,664 1.6% -------------- ---- RUSSIA -- (3.5%) Gazprom OAO Sponsored ADR................................ 6,598,961 76,497,543 1.4% Lukoil OAO Sponsored ADR................................. 728,785 42,212,084 0.8% Other Securities......................................... 87,068,864 1.6% -------------- ---- TOTAL RUSSIA................................................ 205,778,491 3.8% -------------- ---- SOUTH AFRICA -- (7.3%) Gold Fields, Ltd. Sponsored ADR.......................... 1,511,177 26,339,815 0.5% Impala Platinum Holdings, Ltd............................ 701,181 16,038,408 0.3% MTN Group, Ltd........................................... 1,317,250 23,074,097 0.4% Naspers, Ltd. Series N................................... 358,511 17,328,356 0.3% Sanlam, Ltd.............................................. 4,330,404 16,159,912 0.3% Sasol, Ltd. Sponsored ADR................................ 615,418 27,841,510 0.5% Standard Bank Group, Ltd................................. 1,461,213 18,085,389 0.4% Other Securities......................................... 285,468,241 5.3% -------------- ---- TOTAL SOUTH AFRICA.......................................... 430,335,728 8.0% -------------- ---- SOUTH KOREA -- (13.7%) Hana Financial Group, Inc................................ 431,842 15,426,860 0.3% #Hynix Semiconductor, Inc................................. 697,881 14,123,216 0.3% Hyundai Motor Co., Ltd................................... 178,654 35,978,852 0.7% #*KB Financial Group, Inc. ADR............................. 398,197 15,549,593 0.3% Kia Motors Corp.......................................... 218,671 14,019,409 0.2% *POSCO ADR................................................ 318,823 27,393,272 0.5% Samsung C&T Corp......................................... 211,963 13,105,582 0.2% Samsung Electronics Co., Ltd............................. 125,655 108,171,516 2.0% Shinhan Financial Group Co., Ltd. ADR.................... 189,351 15,072,340 0.3% Other Securities......................................... 552,520,289 10.3% -------------- ---- TOTAL SOUTH KOREA........................................... 811,360,929 15.1% -------------- ---- TAIWAN -- (11.2%) #Hon Hai Precision Industry Co., Ltd...................... 11,515,887 31,569,393 0.6% Taiwan Semiconductor Manufacturing Co., Ltd.............. 15,178,652 36,988,502 0.7% Other Securities......................................... 596,105,733 11.1% -------------- ---- TOTAL TAIWAN................................................ 664,663,628 12.4% -------------- ---- THAILAND -- (2.1%) PTT PCL (Foreign)........................................ 1,352,380 13,457,830 0.3% Other Securities......................................... 113,170,545 2.1% -------------- ---- TOTAL THAILAND.............................................. 126,628,375 2.4% -------------- ---- TURKEY -- (1.6%) Other Securities......................................... 93,018,037 1.7% -------------- ---- TOTAL COMMON STOCKS......................................... 5,028,776,358 93.7% -------------- ----
90 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- PREFERRED STOCKS -- (5.5%) BRAZIL -- (5.5%) Banco Bradesco SA Sponsored ADR................................. 2,639,163 $ 48,032,767 0.9% Gerdau SA Sponsored ADR......................................... 1,649,675 14,880,068 0.3% Itau Unibanco Holding SA ADR.................................... 2,052,691 39,247,452 0.7% #Petroleo Brasileiro SA ADR...................................... 2,409,950 60,947,636 1.1% #Vale SA Sponsored ADR........................................... 1,909,586 45,066,230 0.9% Other Securities................................................ 119,084,967 2.2% -------------- ----- TOTAL BRAZIL....................................................... 327,259,120 6.1% -------------- ----- CHILE -- (0.0%) Other Securities................................................ 1,172,881 0.0% -------------- ----- INDIA -- (0.0%) Other Securities................................................ 8,230 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities................................................ 113,451 0.0% -------------- ----- TOTAL PREFERRED STOCKS............................................. 328,553,682 6.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) Other Securities................................................ -- 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities................................................ 9,841 0.0% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities................................................ 490,922 0.0% -------------- ----- TAIWAN -- (0.0%) Other Securities................................................ 54,103 0.0% -------------- ----- THAILAND -- (0.0%) Other Securities................................................ 27,019 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS.............................................. 581,885 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (9.7%) (S)@DFA Short Term Investment Fund................................. 570,330,893 570,330,893 10.6% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $2,559,154) to be repurchased at $2,508,982................... $ 2,509 2,508,974 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL................................ 572,839,867 10.7% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $5,410,576,029)............................................ $5,930,751,792 110.5% ============== =====
91 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of October 31, 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................ $ 434,911,219 -- -- $ 434,911,219 Chile................. 107,727,375 -- -- 107,727,375 China................. 176,406,876 $ 629,345,253 -- 805,752,129 Colombia.............. 13,855,945 -- -- 13,855,945 Czech Republic........ -- 20,556,152 -- 20,556,152 Egypt................. -- 4,661,748 -- 4,661,748 Hungary............... 450,137 19,701,849 -- 20,151,986 India................. 36,016,183 447,637,353 -- 483,653,536 Indonesia............. 6,073,288 192,270,933 -- 198,344,221 Israel................ -- 306,545 -- 306,545 Malaysia.............. 1,091,538 199,295,318 -- 200,386,856 Mexico................ 241,753,820 -- -- 241,753,820 Peru.................. 11,867,965 -- -- 11,867,965 Philippines........... 2,127,182 67,382,827 -- 69,510,009 Poland................ 54,385 83,497,279 -- 83,551,664 Russia................ 9,915,513 195,862,978 -- 205,778,491 South Africa.......... 78,436,977 351,898,751 -- 430,335,728 South Korea........... 83,729,370 727,631,559 -- 811,360,929 Taiwan................ 20,197,944 644,465,684 -- 664,663,628 Thailand.............. 126,622,102 6,273 -- 126,628,375 Turkey................ 1,529,380 91,488,657 -- 93,018,037 Preferred Stocks Brazil................ 327,259,120 -- -- 327,259,120 Chile................. 1,172,881 -- -- 1,172,881 India................. -- 8,230 -- 8,230 Malaysia.............. -- 113,451 -- 113,451 Rights/Warrants China................. -- -- -- -- Malaysia.............. 9,841 -- -- 9,841 South Korea........... -- 490,922 -- 490,922 Taiwan................ -- 54,103 -- 54,103 Thailand.............. 27,019 -- -- 27,019 Securities Lending Collateral............. -- 572,839,867 -- 572,839,867 -------------- -------------- -- -------------- TOTAL.................... $1,681,236,060 $4,249,515,732 -- $5,930,751,792 ============== ============== == ============== See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S. U.S. U.S. LARGE LARGE CAP U.S. SMALL CAP COMPANY VALUE TARGETED VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO PORTFOLIO ------------ -------------- --------------- -------------- ASSETS: Investments in Affiliated Investment Company at Value............ -- $ 7,341,490 -- -- Investments at Value (including $0, $0, $449,985 and $1,043,902 of securities on loan, respectively)........................... $ 167,978 -- $ 2,537,093 $ 6,489,432 Temporary Cash Investments at Value & Cost....................... 6,434 -- 810 54,349 Collateral Received from Securities on Loan at Value & Cost...... -- -- 1,141 2,011 Affiliated Collateral Received from Securities on Loan at Value & Cost................................................... -- -- 461,537 1,076,915 Cash............................................................. -- -- -- 8,601 Receivables: Investment Securities/Affiliated Investment Company Sold........................................................ -- 13,622 1,811 21,714 Dividends and Interest........................................ 1,609 -- 711 2,121 Securities Lending Income..................................... -- -- 255 876 Fund Shares Sold.............................................. 95 4,515 5,574 3,505 Unrealized Gain on Forward Currency Contracts.................... 2 -- -- -- Prepaid Expenses and Other Assets................................ 20 46 44 46 ------------ -------------- ------------ -------------- Total Assets.............................................. 176,138 7,359,673 3,008,976 7,659,570 ------------ -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. -- -- 462,678 1,078,926 Investment Securities/Affiliated Investment Company Purchased................................................... 272 -- 119 19,778 Fund Shares Redeemed.......................................... 221 18,137 1,337 16,133 Due to Advisor................................................ 28 871 694 2,559 Futures Margin Variation...................................... 4,171 -- -- 933 Unrealized Loss on Forward Currency Contracts.................... 303 -- -- -- Accrued Expenses and Other Liabilities........................... 15 321 169 378 ------------ -------------- ------------ -------------- Total Liabilities......................................... 5,010 19,329 464,997 1,118,707 ------------ -------------- ------------ -------------- NET ASSETS....................................................... $ 171,128 $ 7,340,344 $ 2,543,979 $ 6,540,863 ============ ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $45,132 and $0 and shares outstanding of 0; 0; 2,945,072 and 0, respectively................................................... N/A N/A $ 15.32 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Class R2 Shares -- based on net assets of $0; $0; $10,918 and $0 and shares outstanding of 0; 0; 713,089 and 0, respectively.... N/A N/A $ 15.31 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Institutional Class Shares -- based on net assets of $171,128; $7,340,344; $2,487,929 and $6,540,863 and shares outstanding of 21,000,579; 380,475,929; 162,371,599 and 278,359,194, respectively................................................... $ 8.15 $ 19.29 $ 15.32 $ 23.50 ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... 300,000,000 2,000,000,000 700,000,000 1,700,000,000 ============ ============== ============ ============== Investments in Affiliated Investment Company at Cost............. $ -- $ 5,970,301 $ -- $ -- ------------ -------------- ------------ -------------- Investments at Cost.............................................. $ 166,434 $ -- $ 2,284,081 $ 6,226,364 ============ ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 239,068 $ 7,599,550 $ 2,270,031 $ 6,196,086 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 1,903 20,676 1,385 858 Accumulated Net Realized Gain (Loss)............................. (80,493) (1,651,071) 19,551 80,315 Net Unrealized Foreign Exchange Gain (Loss)...................... (306) -- -- -- Net Unrealized Appreciation (Depreciation)....................... 10,956 1,371,189 253,012 263,604 ------------ -------------- ------------ -------------- NET ASSETS....................................................... $ 171,128 $ 7,340,344 $ 2,543,979 $ 6,540,863 ============ ============== ============ ==============
See accompanying Notes to Financial Statements. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. U.S. U.S. U.S. CORE CORE VECTOR SMALL EQUITY 1 EQUITY 2 EQUITY CAP PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $496,197, $1,049,799, $320,082 and $1,023,988 of securities on loan, respectively)............... $ 3,718,978 $ 5,818,842 $ 1,848,054 $ 3,766,472 Temporary Cash Investments at Value & Cost........ 10,049 -- 6,830 3,579 Collateral Received from Securities on Loan at Value & Cost.................................... 1,081 1,322 344 4,147 Affiliated Collateral Received from Securities on Loan at Value & Cost............................ 508,332 1,077,291 328,663 1,052,295 Cash.............................................. 394 -- 1 30 Receivables: Investment Securities Sold..................... 170 5,486 267 1,191 Dividends and Interest......................... 3,055 4,930 1,263 979 Securities Lending Income...................... 247 450 216 641 Fund Shares Sold............................... 7,193 7,465 2,421 2,529 Prepaid Expenses and Other Assets................. 82 79 37 51 -------------- -------------- -------------- -------------- Total Assets............................... 4,249,581 6,915,865 2,188,096 4,831,914 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............... 509,413 1,078,613 329,007 1,056,442 Investment Securities Purchased................ 5,883 5,297 5,063 671 Fund Shares Redeemed........................... 2,130 8,680 1,570 3,234 Due to Advisor................................. 501 921 435 1,034 Loan Payable................................... -- 2,097 -- -- Accrued Expenses and Other Liabilities............ 243 351 126 210 -------------- -------------- -------------- -------------- Total Liabilities.......................... 518,170 1,095,959 336,201 1,061,591 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 3,731,411 $ 5,819,906 $ 1,851,895 $ 3,770,323 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,731,411; $5,819,906; $1,851,895 and $3,770,323 and shares outstanding of 346,042,019; 548,777,341; 180,126,241 and 183,498,696, respectively....................... $ 10.78 $ 10.61 $ 10.28 $ 20.55 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost............................... $ 3,424,965 $ 5,519,920 $ 1,801,359 $ 3,345,643 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital................................... $ 3,478,765 $ 5,531,385 $ 1,838,615 $ 3,372,263 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 8,359 7,601 3,557 1,483 Accumulated Net Realized Gain (Loss).............. (49,726) (18,002) (36,972) (24,252) Net Unrealized Appreciation (Depreciation)........ 294,013 298,922 46,695 420,829 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 3,731,411 $ 5,819,906 $ 1,851,895 $ 3,770,323 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 94 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. DFA LARGE INTERNATIONAL MICRO REAL ESTATE CAP CORE CAP SECURITIES INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- ------------ ------------- -------------- ASSETS: Investments at Value (including $663,162, $816,381, $211,940 and $713,693 of securities on loan, respectively).............. $ 3,252,370 $ 3,080,903 $ 1,693,115 $ 5,365,117 Temporary Cash Investments at Value & Cost....................... -- 16,635 -- -- Collateral Received from Securities on Loan at Value & Cost...... 1,914 5,664 139 1,620 Affiliated Collateral Received from Securities on Loan at Value & Cost................................................... 683,523 831,111 222,463 758,998 Foreign Currencies at Value...................................... -- -- 1,751 6,146 Cash............................................................. 3,326 -- 5,161 8,298 Receivables: Investment Securities Sold.................................... 5,060 -- -- 51 Dividends, Interest and Tax Reclaims.......................... 850 2,606 4,338 14,205 Securities Lending Income..................................... 638 100 132 623 Fund Shares Sold.............................................. 902 1,831 1,676 8,878 Prepaid Expenses and Other Assets................................ 22 27 21 89 -------------- ------------ ------------ -------------- Total Assets.............................................. 3,948,605 3,938,877 1,928,796 6,164,025 -------------- ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. 685,437 836,775 222,602 760,618 Investment Securities Purchased............................... 1,693 -- 962 3,656 Fund Shares Redeemed.......................................... 2,284 2,577 582 1,838 Due to Advisor................................................ 1,275 706 343 1,518 Unrealized Loss on Foreign Currency Contracts.................... -- -- 2 27 Accrued Expenses and Other Liabilities........................... 197 172 156 484 -------------- ------------ ------------ -------------- Total Liabilities......................................... 690,886 840,230 224,647 768,141 -------------- ------------ ------------ -------------- NET ASSETS....................................................... $ 3,257,719 $ 3,098,647 $ 1,704,149 $ 5,395,884 ============== ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,257,719; $3,098,647; $1,704,149 and $5,395,884 and shares outstanding of 246,129,760; 133,273,662; 95,156,480 and 545,496,112, respectively................................................... $ 13.24 $ 23.25 $ 17.91 $ 9.89 ============== ============ ============ ============== NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000 ============== ============ ============ ============== Investments at Cost.............................................. $ 2,915,219 $ 2,358,790 $ 1,600,897 $ 5,832,407 ============== ============ ============ ============== Foreign Currencies at Cost....................................... $ -- $ -- $ 1,722 $ 5,909 ============== ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 2,956,788 $ 2,633,638 $ 1,806,934 $ 5,903,243 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 3,199 14,529 5,725 13,366 Accumulated Net Realized Gain (Loss)............................. (39,419) (271,633) (200,727) (53,571) Net Unrealized Foreign Exchange Gain (Loss)...................... -- -- (30) (101) Net Unrealized Appreciation (Depreciation)....................... 337,151 722,113 92,247 (467,053) -------------- ------------ ------------ -------------- NET ASSETS....................................................... $ 3,257,719 $ 3,098,647 $ 1,704,149 $ 5,395,884 ============== ============ ============ ==============
See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (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.......... $ 5,827,564 $ 163,185 $ 139,306 $ 33,875 Receivables: Affiliated Investment Companies Sold.......................... 12,000 -- 33 1 Fund Shares Sold.............................................. 14,962 2,077 7 -- Prepaid Expenses and Other Assets................................ 47 9 12 8 -------------- ------------ ------------ ------------ Total Assets.............................................. 5,854,573 165,271 139,358 33,884 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Affiliated Investment Companies Purchased..................... 12,000 2,055 -- -- Fund Shares Redeemed.......................................... 3,730 22 40 1 Due to Advisor................................................ 1,887 57 43 11 Loan Payable.................................................. 2,643 -- -- -- Accrued Expenses and Other Liabilities........................... 298 17 13 3 -------------- ------------ ------------ ------------ Total Liabilities......................................... 20,558 2,151 96 15 -------------- ------------ ------------ ------------ NET ASSETS....................................................... $ 5,834,015 $ 163,120 $ 139,262 $ 33,869 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $5,834,015; $163,120; $139,262 and $33,869 and shares outstanding of 383,664,864; 10,703,299; 6,045,248 and 1,444,937, respectively................................................... $ 15.21 $ 15.24 $ 23.04 $ 23.44 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 100,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost........... $ 5,863,292 $ 225,979 $ 133,473 $ 32,443 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 5,763,382 $ 299,580 $ 159,837 $ 34,193 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 6,376 1,041 1,047 279 Accumulated Net Realized Gain (Loss)............................. 99,876 (74,693) (27,471) (2,041) Net Unrealized Foreign Exchange Gain (Loss)...................... 109 (14) 16 6 Net Unrealized Appreciation (Depreciation)....................... (35,728) (62,794) 5,833 1,432 -------------- ------------ ------------ ------------ NET ASSETS....................................................... $ 5,834,015 $ 163,120 $ 139,262 $ 33,869 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA DFA CONTINENTAL INTERNATIONAL GLOBAL INTERNATIONAL SMALL REAL ESTATE REAL ESTATE SMALL CAP COMPANY SECURITIES SECURITIES VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------- ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value........... $ 117,495 -- $ 867,930 -- Investments at Value (including $0, $109,763, $0 and $574,702 of securities on loan, respectively)............................... -- $ 1,052,700 -- $ 7,322,274 Temporary Cash Investments at Value & Cost........................ -- -- 1,083 -- Collateral Received from Securities on Loan at Value & Cost....... -- 143 -- 89 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................ -- 117,429 -- 626,905 Foreign Currencies at Value....................................... -- 1,162 -- 20,662 Cash.............................................................. -- 3,869 -- 120,829 Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... 19 -- -- 3,301 Dividends, Interest and Tax Reclaims........................... -- 4,225 -- 20,020 Securities Lending Income...................................... -- 59 -- 921 Fund Shares Sold............................................... -- 1,056 975 4,750 Prepaid Expenses and Other Assets................................. 8 172 11 67 ------------ ------------ ------------ -------------- Total Assets................................................. 117,522 1,180,815 869,999 8,119,818 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................... -- 117,572 -- 626,994 Investment Securities/Affiliated Investment Companies Purchased.................................................... -- 2,080 -- 24,508 Fund Shares Redeemed........................................... 19 583 587 4,248 Due to Advisor................................................. 38 299 20 3,925 Unrealized Loss on Foreign Currency Contracts..................... -- 18 -- 356 Accrued Expenses and Other Liabilities............................ 13 107 44 643 ------------ ------------ ------------ -------------- Total Liabilities............................................ 70 120,659 651 660,674 ------------ ------------ ------------ -------------- NET ASSETS........................................................ $ 117,452 $ 1,060,156 $ 869,348 $ 7,459,144 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Cass Shares -- based on net assets of $117,452; $1,060,156; $869,348 and $7,459,144 and shares outstanding of 8,014,115; 216,206,594; 105,892,319 and 502,440,091, respectively.................................................... $ 14.66 $ 4.90 $ 8.21 $ 14.85 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED....................................... 100,000,000 700,000,000 500,000,000 2,300,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost............ $ 120,698 $ -- $ 700,210 $ -- ------------ ------------ ------------ -------------- Investments at Cost............................................... $ -- $ 1,118,844 $ -- $ 8,230,618 ============ ============ ============ ============== Foreign Currencies at Cost........................................ $ -- $ 1,054 $ -- $ 20,645 ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................................... $ 146,677 $ 1,359,232 $ 728,584 $ 8,211,538 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... 27 (53,267) 1,177 21,874 Accumulated Net Realized Gain (Loss).............................. (26,099) (179,765) (28,133) 134,206 Net Unrealized Foreign Exchange Gain (Loss)....................... 50 (8) -- (147) Net Unrealized Appreciation (Depreciation)........................ (3,203) (66,036) 167,720 (908,327) ------------ ------------ ------------ -------------- NET ASSETS........................................................ $ 117,452 $ 1,060,156 $ 869,348 $ 7,459,144 ============ ============ ============ ==============
See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL VECTOR WORLD EX EMERGING EQUITY U.S. VALUE MARKETS PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value........................ $ -- $ 46,843 $ 2,313,874 Investments at Value (including $39,509, $0 and $0 of securities on loan, respectively)................................................................ 408,439 -- -- Temporary Cash Investments at Value & Cost..................................... -- 74 -- Collateral Received from Securities on Loan at Value & Cost.................... 5,010 -- -- Affiliated Collateral Received from Securities on Loan at Value & Cost......... 37,181 -- -- Foreign Currencies at Value.................................................... 1,427 -- -- Cash........................................................................... 946 -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.................. 228 6,675 -- Dividends, and Tax Reclaims................................................. 1,184 -- -- Securities Lending Income................................................... 44 -- -- Fund Shares Sold............................................................ 308 2 1,546 Prepaid Expenses and Other Assets.............................................. 12 14 20 ------------ ------------ ------------ Total Assets............................................................ 454,779 53,608 2,315,440 ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned............................................ 42,191 -- -- Investment Securities/Affiliated Investment Companies Purchased............. 1,034 -- 610 Fund Shares Redeemed........................................................ 773 6,430 936 Due to Advisor.............................................................. 149 8 720 Unrealized Loss on Foreign Currency Contracts.................................. 2 -- -- Accrued Expenses and Other Liabilities......................................... 50 5 139 ------------ ------------ ------------ Total Liabilities....................................................... 44,199 6,443 2,405 ------------ ------------ ------------ NET ASSETS..................................................................... $ 410,580 $ 47,165 $ 2,313,035 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $410,580; $47,165 and $2,313,035 and shares outstanding of 43,960,327; 4,735,190 and 86,708,116, respectively................................................................. $ 9.34 $ 9.96 $ 26.68 ============ ============ ============ NUMBER OF SHARES AUTHORIZED.................................................... 500,000,000 100,000,000 500,000,000 ============ ============ ============ Investments in Affiliated Investment Companies at Cost......................... $ -- $ 45,361 $ 1,350,905 ------------ ------------ ------------ Investments at Cost............................................................ $ 372,753 $ -- $ -- ============ ============ ============ Foreign Currencies at Cost..................................................... $ 1,424 $ -- $ -- ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital................................................................ $ 368,439 $ 51,634 $ 1,254,594 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................................... 782 168 6,113 Accumulated Net Realized Gain (Loss)........................................... 5,666 (6,103) 89,410 Net Unrealized Foreign Exchange Gain (Loss).................................... 4 (16) (51) Net Unrealized Appreciation (Depreciation)..................................... 35,689 1,482 962,969 ------------ ------------ ------------ NET ASSETS..................................................................... $ 410,580 $ 47,165 $ 2,313,035 ============ ============ ============
See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING EMERGING EMERGING MARKETS MARKETS MARKETS SMALL CAP VALUE CORE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO* ------------ -------------- -------------- ASSETS: Investments in Affiliated Investment Company at Value................................... $ 1,833,468 $ 13,813,507 -- Investments at Value (including $0, $0 and $661,404 of securities on loan, respectively).............................. -- -- $ 5,357,912 Collateral Received from Securities on Loan at Value & Cost............................ -- -- 2,509 Affiliated Collateral Received from Securities on Loan at Value & Cost......... -- -- 570,331 Foreign Currencies at Value.................. -- -- 9,564 Cash......................................... -- -- 31,438 Receivables: Dividends, Interest and Tax Reclaims...... -- -- 6,417 Securities Lending Income................. -- -- 854 Fund Shares Sold.......................... 3,090 49,615 9,270 Unrealized Gain on Foreign Currency Contracts -- -- 6 Prepaid Expenses and Other Assets............ 26 82 48 ------------ -------------- -------------- Total Assets.......................... 1,836,584 13,863,204 5,988,349 ------------ -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... -- -- 572,840 Investment Securities/Affiliated Investment Company Purchased............ 2,630 44,423 42,635 Fund Shares Redeemed...................... 460 5,192 1,841 Due to Advisor............................ 647 4,264 2,277 Unrealized Loss on Foreign Currency Contracts -- -- 54 Accrued Expenses and Other Liabilities....... 102 955 1,229 ------------ -------------- -------------- Total Liabilities..................... 3,839 54,834 620,876 ------------ -------------- -------------- NET ASSETS................................... $ 1,832,745 $ 13,808,370 $ 5,367,473 ============ ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $78,157 and $0 and shares outstanding of 0; 2,693,271 and 0, respectively........ N/A $ 29.02 N/A ============ ============== ============== NUMBER OF SHARES AUTHORIZED.................. N/A 100,000,000 N/A ============ ============== ============== Institutional Class Shares -- based on net assets of $1,832,745; $13,730,213 and $5,367,473 and shares outstanding of 92,323,664; 473,115,325 and 286,504,352, respectively............................... $ 19.85 $ 29.02 $ 18.73 ============ ============== ============== NUMBER OF SHARES AUTHORIZED.................. 500,000,000 1,500,000,000 1,000,000,000 ============ ============== ============== Investments in Affiliated Investment Company at Cost.................................... $ 1,534,538 $ 13,579,011 $ -- ------------ -------------- -------------- Investments at Cost.......................... $ -- $ -- $ 4,837,736 ============ ============== ============== Foreign Currencies at Cost................... $ -- $ -- $ 9,627 ============ ============== ============== NET ASSETS CONSIST OF: Paid-In Capital.............................. $ 1,508,677 $ 13,364,578 $ 4,866,799 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................... 1,396 33,870 15,280 Accumulated Net Realized Gain (Loss)......... 23,770 175,232 (34,801) Net Unrealized Foreign Exchange Gain (Loss).. (28) 194 82 Net Unrealized Appreciation (Depreciation)... 298,930 234,496 520,113 ------------ -------------- -------------- NET ASSETS................................... $ 1,832,745 $ 13,808,370 $ 5,367,473 ============ ============== ==============
-------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (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..................................... $ 108 $135,110 $26,432 $ 72,718 Interest...................................... 1,754 20 14 27 Income from Securities Lending................ -- 5,530 2,389 8,523 Expenses Allocated from Affiliated Investment Company.......................... -- (8,588) -- -- ------- -------- ------- -------- Total Investment Income................ 1,862 132,072 28,835 81,268 ------- -------- ------- -------- EXPENSES Investment Advisory Services Fees............. 83 -- 2,659 14,236 Administrative Services Fees.................. 251 11,072 6,649 21,354 Accounting & Transfer Agent Fees.............. 39 99 301 769 S&P 500(R) Fees............................... 8 -- -- -- Shareholder Servicing Fees -- Class R1 Shares........................... -- -- 48 -- Class R2 Shares........................... -- -- 21 -- Custodian Fees................................ 14 -- 57 126 Filing Fees................................... 24 148 122 70 Shareholders' Reports......................... 5 212 115 186 Directors'/Trustees' Fees & Expenses.......... 1 65 23 65 Professional Fees............................. 4 70 65 169 Other......................................... 3 63 41 96 ------- -------- ------- -------- Total Expenses......................... 432 11,729 10,101 37,071 ------- -------- ------- -------- NET INVESTMENT INCOME (LOSS).................. 1,430 120,343 18,734 44,197 ------- -------- ------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold................ 380 301,933 20,083 215,171 Futures................................... 12,791 (9,927) 1,751 (825) Foreign Currency Transactions............. 412 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities..................... (472) (67,687) 53,386 112,710 Futures................................... (995) -- -- 536 Translation of Foreign Currency Denominated Amounts..................... (174) -- -- -- ------- -------- ------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)....... 11,942 224,319 75,220 327,592 ------- -------- ------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $13,372 $344,662 $93,954 $371,789 ======= ======== ======= ========
-------- * 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. 100 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (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........................... $ 56,951 $ 89,078 $24,647 $ 40,299 Interest............................ 19 23 9 20 Income from Securities Lending........................... 1,842 3,963 1,618 7,494 -------- -------- ------- -------- Total Investment Income..................... 58,812 93,064 26,274 47,813 -------- -------- ------- -------- EXPENSES Investment Advisory Services Fees.............................. 5,911 11,363 5,469 1,186 Administrative Services Fees........ -- -- -- 12,649 Accounting & Transfer Agent Fees.............................. 382 613 211 434 Custodian Fees...................... 97 108 56 114 Filing Fees......................... 215 180 83 79 Shareholders' Reports............... 60 117 54 107 Directors'/Trustees' Fees & Expenses.......................... 29 49 16 34 Professional Fees................... 79 137 44 89 Other............................... 48 76 32 54 -------- -------- ------- -------- Total Expenses............... 6,821 12,643 5,965 14,746 -------- -------- ------- -------- NET INVESTMENT INCOME (LOSS)........ 51,991 80,421 20,309 33,067 -------- -------- ------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.......................... 31,974 69,078 46,999 211,228 Futures......................... -- -- -- 929 In-Kind Redemptions............. -- -- -- 126,527* Change in Unrealized Appreciation (Depreciation) of: Investment Securities........... 116,761 192,966 18,243 (60,488) -------- -------- ------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 148,735 262,044 65,242 278,196 -------- -------- ------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................... $200,726 $342,465 $85,551 $311,263 ======== ======== ======= ======== -------- * See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (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 $2, $0, $4,960 and $13,644, respectively)................. $ 34,767 $ 59,625 $ 57,728 $ 172,269 Interest................................. 13 14 10 31 Income from Securities Lending........... 6,716 915 2,823 10,438 -------- -------- --------- --------- Total Investment Income........... 41,496 60,554 60,561 182,738 -------- -------- --------- --------- EXPENSES Investment Advisory Services Fees........ 3,419 8,704 4,343 19,064 Administrative Services Fees............. 13,675 -- -- -- Accounting & Transfer Agent Fees......... 381 325 208 593 Custodian Fees........................... 77 31 367 1,355 Filing Fees.............................. 44 93 66 254 Shareholders' Reports.................... 97 125 84 139 Directors'/Trustees' Fees & Expenses..... 31 25 15 47 Professional Fees........................ 80 69 52 175 Other.................................... 71 36 36 105 -------- -------- --------- --------- Total Expenses.................... 17,875 9,408 5,171 21,732 -------- -------- --------- --------- Fees Paid Indirectly..................... -- -- (2) (5) -------- -------- --------- --------- Net Expenses............................. 17,875 9,408 5,169 21,727 -------- -------- --------- --------- NET INVESTMENT INCOME (LOSS)............. 23,621 51,146 55,392 161,011 -------- -------- --------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities............. -- 13,117 -- -- Net Realized Gain (Loss) on: Investment Securities Sold........... 234,404 (39,946) (12,846) 28,431 Foreign Currency Transactions........ -- -- 187 (191) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... 32,818 277,359 (133,116) (525,986) Translation of Foreign Currency Denominated Amounts................ -- -- (205) (476) -------- -------- --------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................. 267,222 250,530 (145,980) (498,222) -------- -------- --------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $290,843 $301,676 $ (90,588) $(337,211) ======== ======== ========= =========
See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS)
UNITED INTERNATIONAL JAPANESE ASIA PACIFIC KINGDOM SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO* ------------- ---------- ------------ ---------- INVESTMENT INCOME Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $12,592, $249, $143, and $0, respectively).......... $ 166,353 $ 3,315 $ 5,339 $ 1,348 Interest.............................................. 41 45 -- -- Income from Securities Lending........................ 14,413 208 372 8 Expenses Allocated from Affiliated Investment Companies .......................................... (8,917) (214) (237) (44) --------- ------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies......... 171,890 3,354 5,474 1,312 --------- ------- -------- ------- FUND INVESTMENT INCOME Interest.............................................. 13 -- -- -- --------- ------- -------- ------- Total Fund Investment Income................... 13 -- -- -- --------- ------- -------- ------- FUND EXPENSES Administrative Services Fees.......................... 24,741 619 581 141 Accounting & Transfer Agent Fees...................... 85 15 15 13 Filing Fees........................................... 160 23 28 16 Shareholders' Reports................................. 171 1 2 1 Directors'/Trustees' Fees & Expenses.................. 53 1 1 -- Audit Fees............................................ 12 1 1 1 Legal Fees............................................ 53 -- -- -- Other................................................. 51 1 1 1 --------- ------- -------- ------- Total Expenses................................. 25,326 661 629 173 --------- ------- -------- ------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................................ -- -- -- (7) --------- ------- -------- ------- Net Expenses.......................................... 25,326 661 629 166 --------- ------- -------- ------- NET INVESTMENT INCOME (LOSS).......................... 146,577 2,693 4,845 1,146 --------- ------- -------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold........................ 205,897 (5,587) 8,959 1,011 Futures........................................... (271) -- -- -- Foreign Currency Transactions..................... (103) 14 85 1 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........ (571,803) 13,164 (21,184) (2,107) Translation of Foreign Currency Denominated Amounts ............................ (340) (61) 18 2 --------- ------- -------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)............... (366,620) 7,530 (12,122) (1,093) --------- ------- -------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $(220,043) $10,223 $ (7,277) $ 53 ========= ======= ======== =======
-------- * 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. 103 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS)
DFA DFA CONTINENTAL INTERNATIONAL DFA GLOBAL INTERNATIONAL SMALL REAL ESTATE REAL ESTATE SMALL CAP COMPANY SECURITIES SECURITIES VALUE PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------- ----------- ------------- INVESTMENT INCOME Net Investment Income Received from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $467, $0, $0 and $0, respectively).................. $ 3,318 -- -- -- Income Distributions Received from Affiliated Investment Company.................................. -- -- $38,292 -- Interest.............................................. 1 -- -- -- Income from Securities Lending........................ 487 -- -- -- Expenses Allocated from Affiliated Investment Company ............................................ (202) -- -- -- -------- -------- ------- --------- Total Net Investment Income Received from Affiliated Investment Company........... 3,604 -- 38,292 -- -------- -------- ------- --------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $4,252, $0 and $17,167, respectively)........... -- $ 61,042 -- $ 212,101 Interest.............................................. -- 6 2 41 Income from Securities Lending........................ -- 1,583 -- 14,358 -------- -------- ------- --------- Total Fund Investment Income................... -- 62,631 2 226,500 -------- -------- ------- --------- FUND EXPENSES Investment Advisory Services Fees..................... -- 3,562 2,652 53,621 Administrative Services Fees.......................... 538 -- -- -- Accounting & Transfer Agent Fees...................... 15 132 21 892 Custodian Fees........................................ -- 252 -- 2,144 Filing Fees........................................... 20 72 52 167 Shareholders' Reports................................. 2 59 27 232 Directors'/Trustees' Fees & Expenses.................. 1 8 6 74 Audit Fees............................................ 1 25 6 192 Legal Fees............................................ -- 8 6 81 Other................................................. 1 167 9 162 -------- -------- ------- --------- Total Expenses................................. 578 4,285 2,779 57,565 -------- -------- ------- --------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................................ -- -- (2,433) -- Fees Paid Indirectly.................................. -- (1) -- (10) -------- -------- ------- --------- Net Expenses.......................................... 578 4,284 346 57,555 -------- -------- ------- --------- NET INVESTMENT INCOME (LOSS).......................... 3,026 58,347 37,948 168,945 -------- -------- ------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold........................ 3,433 (74,845) (4,706) 146,129 Futures........................................... (16) -- -- -- Foreign Currency Transactions..................... (34) 223 -- 115 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........ (21,048) 3,153 1,312 (659,162) Translation of Foreign Currency Denominated Amounts............................. 3 (99) -- (833) -------- -------- ------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)............... (17,662) (71,568) (3,394) (513,751) -------- -------- ------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $(14,636) $(13,221) $34,554 $(344,806) ======== ======== ======= =========
-------- * 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. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS)
INTERNATIONAL VECTOR WORLD EX EMERGING EQUITY U.S. VALUE MARKETS PORTFOLIO PORTFOLIO*** PORTFOLIO* ------------- ------------ ---------- INVESTMENT INCOME Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $109 and $7,318, respectively) ...... -- $ 1,224 $ 61,504 Income Distributions Received from Affiliated Investment Companies............. -- 80 -- Interest...................................... -- -- 11 Income from Securities Lending................ -- 56 2,626 Expenses Allocated from Affiliated Investment Companies........................ -- (87) (4,837) -------- ------- --------- Total Investment Income................ -- 1,273 59,304 -------- ------- --------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $954, $0 and $0, respectively)........... $ 13,007 -- -- Interest...................................... 3 -- -- Income from Securities Lending................ 842 -- -- -------- ------- --------- Total Fund Investment Income........... 13,852 -- -- -------- ------- --------- FUND EXPENSES Investment Advisory Services Fees............. 1,908 201 -- Administrative Services Fees.................. -- -- 9,541 Accounting & Transfer Agent Fees.............. 69 13 42 Custodian Fees................................ 232 -- -- Filing Fees................................... 36 26 70 Shareholders' Reports......................... 12 5 104 Directors'/Trustees' Fees & Expenses.......... 4 -- 22 Professional Fees............................. 9 14 25 Organizational & Offering Costs............... -- 17 -- Other......................................... 14 1 20 -------- ------- --------- Total Expenses......................... 2,284 277 9,824 -------- ------- --------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................ -- (135) -- Fees Paid Indirectly.......................... -- -- -- -------- ------- --------- Net Expenses.................................. 2,284 142 9,824 -------- ------- --------- NET INVESTMENT INCOME (LOSS).................. 11,568 1,131 49,480 -------- ------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies............. -- 48 -- Net Realized Gain (Loss) on: Investment Securities Sold................ 6,572 (6,148) 94,878 Foreign Currency Transactions**........... 126 (4) (1,059) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................ (47,642) (1,774) (309,714) Translation of Foreign Currency Denominated Amounts..................... (27) (13) (109) Change in Deferred Thailand Capital Gains Tax......................................... -- 3 4,215 -------- ------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)....... (40,971) (7,888) (211,789) -------- ------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $(29,403) $(6,757) $(162,309) ======== ======= =========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $1, and $851, 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. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (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 $4,970, $41,245 and $15,378, respectively)................. $ 47,775 $ 332,333 $ 126,884 Interest................................. 12 116 31 Income from Securities Lending........... 3,723 11,202 7,114 Expenses Allocated from Affiliated Investment Company..................... (6,408) (27,575) -- --------- ----------- --------- Total Investment Income........... 45,102 316,076 134,029 --------- ----------- --------- EXPENSES Investment Advisory Services Fees........ -- -- 27,105 Administrative Services Fees............. 8,734 55,102 -- Accounting & Transfer Agent Fees......... 36 173 539 Shareholder Servicing Fees -- Class R2 Shares...................... -- 100 -- Custodian Fees........................... -- -- 4,668 Filing Fees.............................. 99 799 328 Shareholders' Reports.................... 53 253 164 Directors'/Trustees' Fees & Expenses..... 17 113 40 Professional Fees........................ 22 142 351 Other.................................... 14 94 87 --------- ----------- --------- Total Expenses.................... 8,975 56,776 33,282 --------- ----------- --------- Fees Paid Indirectly..................... -- -- (9) --------- ----------- --------- Net Expenses............................. 8,975 56,776 33,273 --------- ----------- --------- NET INVESTMENT INCOME (LOSS)............. 36,127 259,300 100,756 --------- ----------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold........... 27,050 193,129 20,186 Foreign Currency Transactions**...... (1,258) (3,612) (4,049) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... (354,184) (2,865,375) (717,993) Translation of Foreign Currency Denominated Amounts................ (31) (5) 25 Change in Deferred Thailand Capital Gains Tax.............................. 3,533 16,079 5,965 --------- ----------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................. (324,890) (2,659,784) (695,866) --------- ----------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $(288,763) $(2,400,484) $(595,110) ========= =========== =========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $637, $1,682 and $2,994, respectively. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE COMPANY CAP VALUE U.S. TARGETED PORTFOLIO PORTFOLIO VALUE PORTFOLIO ------------------ ------------------------ ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 -------- -------- ----------- ----------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............. $ 1,430 $ 1,547 $ 120,343 $ 120,445 $ 18,734 $ 13,743 Net Realized Gain (Loss) on: Investment Securities Sold............ 380 1,013 301,933 498,315 20,083 87,567 Futures............................... 12,791 15,127 (9,927) -- 1,751 (256) Foreign Currency Transactions......... 412 (51) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities................. (472) 143 (67,687) 533,400 53,386 298,035 Futures............................... (995) 8,702 -- -- -- -- Translation of Foreign Currency Denominated Amounts........ (174) (171) -- -- -- -- -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... 13,372 26,310 344,662 1,152,160 93,954 399,089 -------- -------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R1 Shares....................... -- -- -- -- (275) (312) Class R2 Shares....................... -- -- -- -- (43) (29) Institutional Class Shares............ (270) (1,589) (117,051) (116,599) (17,989) (12,213) Net Long-Term Gains: Class R1 Shares....................... -- -- -- -- (87) -- Class R2 Shares....................... -- -- -- -- (14) -- Institutional Class Shares............ -- -- -- -- (4,668) -- -------- -------- ----------- ----------- ---------- ---------- Total Distributions................ (270) (1,589) (117,051) (116,599) (23,076) (12,554) -------- -------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................. 42,165 15,684 2,027,913 1,304,022 924,360 911,104 Shares Issued in Lieu of Cash Distributions........................... 259 1,525 109,293 108,979 21,388 11,528 Shares Redeemed........................... (42,128) (49,431) (1,945,509) (1,391,178) (743,912) (521,662) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..................... 296 (32,222) 191,697 21,823 201,836 400,970 -------- -------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets.................... 13,398 (7,501) 419,308 1,057,384 272,714 787,505 NET ASSETS Beginning of Period....................... 157,730 165,231 6,921,036 5,863,652 2,271,265 1,483,760 -------- -------- ----------- ----------- ---------- ---------- End of Period............................. $171,128 $157,730 $ 7,340,344 $ 6,921,036 $2,543,979 $2,271,265 ======== ======== =========== =========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................. 5,163 2,221 100,905 74,182 56,950 65,207 Shares Issued in Lieu of Cash Distributions........................... 33 224 5,526 6,369 1,349 900 Shares Redeemed........................... (5,148) (6,983) (98,393) (79,010) (46,106) (38,952) Shares Reduced by Reverse Stock Split (Note G).......................... -- -- -- -- (9) (1,473) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 48 (4,538) 8,038 1,541 12,184 25,682 ======== ======== =========== =========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)......................... $ 1,903 $ 228 $ 20,676 $ 17,386 $ 1,385 $ 2,297
See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. SMALL U.S. CORE U.S. CORE CAP VALUE PORTFOLIO EQUITY 1 PORTFOLIO EQUITY 2 PORTFOLIO ------------------------ ---------------------- ----------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 ----------- ----------- ---------- ---------- ----------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................. $ 44,197 $ 26,885 $ 51,991 $ 37,162 $ 80,421 $ 65,265 Net Realized Gain (Loss) on:.................. Investment Securities Sold................ 215,171 464,145 31,974 848 69,078 9,966 Futures................................... (825) -- -- -- -- -- In-Kind Redemptions....................... -- 56,505* -- -- -- -- Change in Unrealized Appreciation (Depreciation) of:.......................... Investment Securities..................... 112,710 929,717 116,761 406,078 192,966 767,061 Futures................................... 536 -- -- -- -- -- ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................... 371,789 1,477,252 200,726 444,088 342,465 842,292 ----------- ----------- ---------- ---------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................ (41,924) (25,747) (49,822) (31,326) (78,869) (53,941) ----------- ----------- ---------- ---------- ----------- ---------- Total Distributions.................... (41,924) (25,747) (49,822) (31,326) (78,869) (53,941) ----------- ----------- ---------- ---------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................. 1,194,011 1,005,684 1,193,672 935,366 1,575,775 1,032,528 Shares Issued in Lieu of Cash Distributions............................... 39,640 24,638 45,486 28,011 76,923 52,914 Shares Redeemed............................... (1,577,930) (1,596,209)* (556,060) (468,313) (1,086,755) (687,751) ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions........... (344,279) (565,887) 683,098 495,064 565,943 397,691 ----------- ----------- ---------- ---------- ----------- ---------- Total Increase (Decrease) in Net Assets........................... (14,414) 885,618 834,002 907,826 829,539 1,186,042 NET ASSETS Beginning of Period........................... 6,555,277 5,669,659 2,897,409 1,989,583 4,990,367 3,804,325 ----------- ----------- ---------- ---------- ----------- ---------- End of Period................................. $ 6,540,863 $ 6,555,277 $3,731,411 $2,897,409 $ 5,819,906 $4,990,367 =========== =========== ========== ========== =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................. 48,190 48,187 108,434 97,948 144,791 110,280 Shares Issued in Lieu of Cash Distributions............................... 1,639 1,272 4,215 3,032 7,192 5,795 Shares Redeemed............................... (62,955) (78,455) (51,146) (49,368) (99,493) (73,302) ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........... (13,126) (28,996) 61,503 51,612 52,490 42,773 =========== =========== ========== ========== =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................. $ 858 $ 3,668 $ 8,359 $ 6,193 $ 7,601 $ 11,980
-------- * See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. VECTOR U.S. SMALL U.S. MICRO EQUITY PORTFOLIO CAP PORTFOLIO CAP PORTFOLIO ---------------------- ------------------------ ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 ---------- ---------- ----------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 20,309 $ 15,896 $ 33,067 $ 22,549 $ 23,621 $ 17,911 Net Realized Gain (Loss) on: Investment Securities Sold......... 46,999 11,302 211,228 186,403 234,404 246,080 Futures............................ -- -- 929 -- -- -- In-Kind Redemptions................ -- -- 126,527* -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities.............. 18,243 260,530 (60,488) 519,280 32,818 507,946 ---------- ---------- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 85,551 287,728 311,263 728,232 290,843 771,937 ---------- ---------- ----------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares......... (19,719) (14,799) (32,796) (21,528) (23,667) (17,526) ---------- ---------- ----------- ---------- ---------- ---------- Total Distributions............. (19,719) (14,799) (32,796) (21,528) (23,667) (17,526) ---------- ---------- ----------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued.......................... 551,321 375,571 1,118,116 754,050 509,041 291,712 Shares Issued in Lieu of Cash Distributions........................ 19,400 14,588 30,271 20,104 22,542 16,858 Shares Redeemed........................ (343,081) (282,779) (1,047,988)* (611,402) (719,326) (703,060) ---------- ---------- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.................. 227,640 107,380 100,399 162,752 (187,743) (394,490) ---------- ---------- ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets........................ 293,472 380,309 378,866 869,456 79,433 359,921 NET ASSETS Beginning of Period.................... 1,558,423 1,178,114 3,391,457 2,522,001 3,178,286 2,818,365 ---------- ---------- ----------- ---------- ---------- ---------- End of Period.......................... $1,851,895 $1,558,423 $ 3,770,323 $3,391,457 $3,257,719 $3,178,286 ========== ========== =========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 51,309 41,113 52,474 42,652 37,458 26,534 Shares Issued in Lieu of Cash Distributions........................ 1,845 1,659 1,457 1,220 1,695 1,594 Shares Redeemed........................ (31,749) (30,825) (48,404) (35,288) (52,370) (63,240) ---------- ---------- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 21,405 11,947 5,527 8,584 (13,217) (35,112) ========== ========== =========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............... $ 3,557 $ 2,968 $ 1,483 $ 4,657 $ 3,199 $ 3,227
-------- * See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA REAL ESTATE LARGE CAP INTERNATIONAL SECURITIES INTERNATIONAL CORE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO ---------------------- ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............. $ 51,146 $ 75,701 $ 55,392 $ 38,398 $ 161,011 $ 96,219 Capital Gain Distributions Received from Investment Securities.............................. 13,117 3,056 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold............ (39,946) (57,195) (12,846) (16,990) 28,431 19,341 Foreign Currency Transactions......... -- -- 187 383 (191) 299 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................... 277,359 825,263 (133,116) 134,897 (525,986) 410,019 Translation of Foreign Currency Denominated Amounts........ -- -- (205) 134 (476) 333 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... 301,676 846,825 (90,588) 156,822 (337,211) 526,211 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares............ (40,246) (70,908) (54,107) (40,390) (161,285) (83,173) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions................ (40,246) (70,908) (54,107) (40,390) (161,285) (83,173) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................. 685,272 469,431 463,836 380,265 1,663,723 1,275,823 Shares Issued in Lieu of Cash Distributions........................... 38,998 68,782 51,857 39,047 154,934 79,558 Shares Redeemed........................... (576,605) (643,137) (283,535) (283,409) (791,266) (631,272) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..................... 147,665 (104,924) 232,158 135,903 1,027,391 724,109 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.................... 409,095 670,993 87,463 252,335 528,895 1,167,147 NET ASSETS Beginning of Period....................... 2,689,552 2,018,559 1,616,686 1,364,351 4,866,989 3,699,842 ---------- ---------- ---------- ---------- ---------- ---------- End of Period............................. $3,098,647 $2,689,552 $1,704,149 $1,616,686 $5,395,884 $4,866,989 ========== ========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................. 30,656 25,336 23,919 20,917 153,758 128,031 Shares Issued in Lieu of Cash Distributions........................... 1,817 3,862 2,658 2,285 14,162 8,624 Shares Redeemed........................... (25,853) (34,560) (14,657) (15,664) (73,947) (63,215) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 6,620 (5,362) 11,920 7,538 93,973 73,440 ========== ========== ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)......................... $ 14,529 $ 12,994 $ 5,725 $ 3,984 $ 13,366 $ 16,165
See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE ASIA PACIFIC SMALL COMPANY SMALL COMPANY SMALL COMPANY PORTFOLIO PORTFOLIO PORTFOLIO ---------------------- ------------------ ------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 ---------- ---------- -------- -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................ $ 146,577 $ 90,630 $ 2,693 $ 1,730 $ 4,845 $ 3,468 Net Realized Gain (Loss) on: Investment Securities Sold.............. 205,897 157,743 (5,587) (12,297) 8,959 5,129 Futures................................. (271) -- -- -- -- -- Foreign Currency Transactions........... (103) 1,622 14 76 85 (4) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (571,803) 551,254 13,164 10,741 (21,184) 19,235 Translation of Foreign Currency Denominated Amounts................... (340) 210 (61) 31 18 (12) ---------- ---------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... (220,043) 801,459 10,223 281 (7,277) 27,816 ---------- ---------- -------- -------- -------- -------- Distributions From: Net Investment Income:...................... Institutional Class Shares.............. (179,486) (84,604) (2,305) (1,845) (6,964) (3,162) ---------- ---------- -------- -------- -------- -------- Total Distributions.................. (179,486) (84,604) (2,305) (1,845) (6,964) (3,162) ---------- ---------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued............................... 1,380,524 1,099,327 74,211 11,290 54,555 28,331 Shares Issued in Lieu of Cash Distributions............................. 171,227 80,737 2,020 1,609 6,350 2,788 Shares Redeemed............................. (829,801) (655,189) (35,962) (10,460) (38,913) (26,115) ---------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions......... 721,950 524,875 40,269 2,439 21,992 5,004 ---------- ---------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets......................... 322,421 1,241,730 48,187 875 7,751 29,658 NET ASSETS Beginning of Period......................... 5,511,594 4,269,864 114,933 114,058 131,511 101,853 ---------- ---------- -------- -------- -------- -------- End of Period............................... $5,834,015 $5,511,594 $163,120 $114,933 $139,262 $131,511 ========== ========== ======== ======== ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................... 81,929 75,592 4,725 793 2,200 1,254 Shares Issued in Lieu of Cash Distributions............................. 10,276 5,955 133 116 249 135 Shares Redeemed............................. (50,113) (45,123) (2,288) (742) (1,533) (1,206) ---------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed......... 42,092 36,424 2,570 167 916 183 ========== ========== ======== ======== ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................... $ 6,376 $ 31,973 $ 1,041 $ 631 $ 1,047 $ 652
See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
UNITED KINGDOM CONTINENTAL DFA INTERNATIONAL SMALL COMPANY SMALL COMPANY REAL ESTATE SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ------------------ --------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 -------- -------- -------- -------- ---------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................................... $ 1,146 $ 693 $ 3,026 $ 1,996 $ 58,347 $ 51,453 Net Realized Gain (Loss) on: Investment Securities Sold................................. 1,011 86 3,433 (5,002) (74,845) (52,532) Futures.................................................... -- -- (16) -- -- -- Foreign Currency Transactions.............................. 1 3 (34) 51 223 253 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. (2,107) 6,121 (21,048) 19,653 3,153 149,959 Translation of Foreign Currency Denominated Amounts.................................................. 2 (1) 3 1 (99) (8) ------- ------- -------- -------- ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations....................................... 53 6,902 (14,636) 16,699 (13,221) 149,125 ------- ------- -------- -------- ---------- --------- Distributions From: Net Investment Income: Institutional Class Shares................................. (1,071) (694) (3,562) (1,863) (107,338) (78,863) ------- ------- -------- -------- ---------- --------- Total Distributions..................................... (1,071) (694) (3,562) (1,863) (107,338) (78,863) ------- ------- -------- -------- ---------- --------- Capital Share Transactions (1): Shares Issued.................................................. 3,802 2,343 18,358 15,385 322,549 236,837 Shares Issued in Lieu of Cash Distributions.................... 818 537 2,856 1,577 106,188 78,275 Shares Redeemed................................................ (3,484) (3,200) (13,670) (14,618) (206,576) (169,149) ------- ------- -------- -------- ---------- --------- Net Increase (Decrease) from Capital Share Transactions.......................................... 1,136 (320) 7,544 2,344 222,161 145,963 ------- ------- -------- -------- ---------- --------- Total Increase (Decrease) in Net Assets................. 118 5,888 (10,654) 17,180 101,602 216,225 NET ASSETS Beginning of Period............................................ 33,751 27,863 128,106 110,926 958,554 742,329 ------- ------- -------- -------- ---------- --------- End of Period.................................................. $33,869 $33,751 $117,452 $128,106 $1,060,156 $ 958,554 ======= ======= ======== ======== ========== ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued.................................................. 158 115 1,086 1,040 62,870 48,350 Shares Issued in Lieu of Cash Distributions.................... 33 27 164 118 21,940 16,761 Shares Redeemed................................................ (138) (155) (801) (978) (40,236) (35,159) ------- ------- -------- -------- ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed.............................................. 53 (13) 449 180 44,574 29,952 ======= ======= ======== ======== ========== ========= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................ $ 279 $ 203 $ 27 $ 597 $ (53,267) $ (2,542)
See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA GLOBAL DFA INTERNATIONAL INTERNATIONAL REAL ESTATE SECURITIES SMALL CAP VALUE VECTOR EQUITY PORTFOLIO PORTFOLIO PORTFOLIO -------------------- ------------------------ ------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 --------- --------- ----------- ----------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......................... $ 37,948 $ 31,064 $ 168,945 $ 111,256 $ 11,568 $ 5,813 Net Realized Gain (Loss) on: Investment Securities Sold....................... (4,706) (16,221) 146,129 198,099 6,572 5,866 Foreign Currency Transactions.................... -- -- 115 2,837 126 77 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................................... 1,312 134,183 (659,162) 395,701 (47,642) 28,748 Translation of Foreign Currency Denominated Amounts........................................ -- -- (833) 688 (27) 27 --------- --------- ----------- ----------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 34,554 149,026 (344,806) 708,581 (29,403) 40,531 --------- --------- ----------- ----------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares....................... (41,423) (30,870) (182,741) (101,689) (11,774) (5,380) Net Long-Term Gains: Institutional Class Shares....................... -- -- (138,537) -- (2,419) -- --------- --------- ----------- ----------- -------- -------- Total Distributions........................... (41,423) (30,870) (321,278) (101,689) (14,193) (5,380) --------- --------- ----------- ----------- -------- -------- Capital Share Transactions (1): Shares Issued........................................ 372,793 291,090 1,422,232 1,457,097 139,795 109,333 Shares Issued in Lieu of Cash Distributions.......... 40,672 30,424 303,336 94,455 13,500 5,137 Shares Redeemed...................................... (232,709) (176,711) (1,255,658) (1,363,083) (62,242) (49,042) --------- --------- ----------- ----------- -------- -------- Net Increase (Decrease) from Capital Share Transactions.......................... 180,756 144,803 469,910 188,469 91,053 65,428 --------- --------- ----------- ----------- -------- -------- Total Increase (Decrease) in Net Assets...................................... 173,887 262,959 (196,174) 795,361 47,457 100,579 NET ASSETS Beginning of Period.................................. 695,461 432,502 7,655,318 6,859,957 363,123 262,544 --------- --------- ----------- ----------- -------- -------- End of Period........................................ $ 869,348 $ 695,461 $ 7,459,144 $ 7,655,318 $410,580 $363,123 ========= ========= =========== =========== ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued........................................ 45,423 40,187 86,184 96,841 13,326 11,526 Shares Issued in Lieu of Cash Distributions.......... 5,345 4,617 18,285 6,841 1,293 590 Shares Redeemed...................................... (28,834) (24,880) (75,870) (89,769) (5,988) (5,261) --------- --------- ----------- ----------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 21,934 19,924 28,599 13,913 8,631 6,855 ========= ========= =========== =========== ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................... $ 1,177 $ 5,011 $ 21,874 $ 37,940 $ 782 $ 1,086
See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
EMERGING MARKETS WORLD EX U.S. EMERGING MARKETS SMALL CAP VALUE PORTFOLIO PORTFOLIO PORTFOLIO ---------------------- ---------------------- ---------------------- FOR THE PERIOD YEAR AUG. 23, YEAR YEAR YEAR YEAR ENDED 2010(a) TO ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 -------- -------------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......................... $ 1,131 $ 40 $ 49,480 $ 37,045 $ 36,127 $ 23,479 Capital Gain Distributions Received from Affiliated Investment Companies.................... 48 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold....................... (6,148) 212 94,878 148,805 27,050 97,897 Foreign Currency Transactions*................... (4) 2 (1,059) 506 (1,258) 76 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................................... (1,774) 3,256 (309,714) 317,270 (354,184) 373,644 Translation of Foreign Currency Denominated Amounts............................ (13) (3) (109) (6) (31) (72) Change in Deferred Thailand Capital Gains Tax................................................ 3 (3) 4,215 (2,143) 3,533 (2,963) ------- ------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (6,757) 3,504 (162,309) 501,477 (288,763) 492,061 ------- ------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares....................... (1,006) -- (42,779) (34,414) (33,950) (22,294) Net Short-Term Gains: Institutional Class Shares....................... (19) -- (77) (2,485) -- -- Net Long-Term Gains: Institutional Class Shares....................... (195) -- (136,141) (29,814) (58,359) -- ------- ------- ---------- ---------- ---------- ---------- Total Distributions........................... (1,220) -- (178,997) (66,713) (92,309) (22,294) ------- ------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued........................................ 32,244 28,812 668,299 464,965 694,159 468,984 Shares Issued in Lieu of Cash Distributions.......... 1,211 -- 164,271 60,045 74,466 18,296 Shares Redeemed...................................... (7,929) (2,700) (550,727) (553,564) (387,846) (257,967) ------- ------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......................... 25,526 26,112 281,843 (28,554) 380,779 229,313 ------- ------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets...................................... 17,549 29,616 (59,463) 406,210 (293) 699,080 NET ASSETS Beginning of Period.................................. 29,616 -- 2,372,498 1,966,288 1,833,038 1,133,958 ------- ------- ---------- ---------- ---------- ---------- End of Period........................................ $47,165 $29,616 $2,313,035 $2,372,498 $1,832,745 $1,833,038 ======= ======= ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued........................................ 2,801 2,860 22,995 16,688 31,956 22,700 Shares Issued in Lieu of Cash Distributions.......... 108 -- 5,590 2,260 3,241 933 Shares Redeemed...................................... (782) (252) (18,667) (20,100) (18,437) (13,059) ------- ------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 2,127 2,608 9,918 (1,152) 16,760 10,574 ======= ======= ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................................... $ 168 $ 46 $ 6,113 $ 3,270 $ 1,396 $ 3,213
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $1, $0, $851, $0, $637 and $179, respectively. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS CORE EQUITY VALUE PORTFOLIO PORTFOLIO ------------------------ ---------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 ----------- ----------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................................... $ 259,300 $ 125,933 $ 100,756 $ 51,443 Net Realized Gain (Loss) on: Investment Securities Sold........................................ 193,129 577,480 20,186 35,721 Foreign Currency Transactions*.................................... (3,612) (3,090) (4,049) (776) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................ (2,865,375) 1,724,116 (717,993) 789,087 Translation of Foreign Currency Denominated Amounts............... (5) 2 25 (19) Change in Deferred Thailand Capital Gains Tax......................... 16,079 (9,879) 5,965 (4,133) ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... (2,400,484) 2,414,562 (595,110) 871,323 ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares................................................... (532) (5,375) -- -- Institutional Class Shares........................................ (223,890) (109,197) (86,292) (48,768) 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............................................ (771,699) (297,079) (86,292) (48,768) ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued......................................................... 6,491,870 3,348,220 2,524,065 1,458,158 Shares Issued in Lieu of Cash Distributions........................... 711,366 272,770 77,358 43,732 Shares Redeemed....................................................... (1,805,221) (1,562,283) (732,430) (599,598) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........ 5,398,015 2,058,707 1,868,993 902,292 ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets........................ 2,225,832 4,176,190 1,187,591 1,724,847 NET ASSETS Beginning of Period................................................... 11,582,538 7,406,348 4,179,882 2,455,035 ----------- ----------- ---------- ---------- End of Period......................................................... $13,808,370 $11,582,538 $5,367,473 $4,179,882 =========== =========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................................... 190,904 121,548 122,538 77,138 Shares Issued in Lieu of Cash Distributions........................... 20,921 12,712 3,743 2,449 Shares Redeemed....................................................... (55,156) (53,662) (35,958) (32,331) Shares Reduced by Conversion of Shares (Note G)....................... (19,608) -- -- -- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................................................... 137,061 80,598 90,323 47,256 =========== =========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)..................................................... $ 33,870 $ 12,814 $ 15,280 $ 8,563
-------- * Net of foreign capital gain taxes withheld of $1,682, $1,720, $2,994 and $982, respectively. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO --------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ......................... $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 $ 9.82 -------- -------- -------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A).................... 0.07 0.07 0.05 0.39 0.30 0.12 Net Gains (Losses) on Securities (Realized and Unrealized).................. 0.56 1.05 0.61 (3.74) 0.45 1.19 -------- -------- -------- -------- -------- -------- Total From Investment Operations............... 0.63 1.12 0.66 (3.35) 0.75 1.31 -------- -------- -------- -------- -------- -------- Less Distributions Net Investment Income.......... (0.01) (0.07) (0.59) (0.36) (0.36) (0.18) Net Realized Gains............. -- -- (0.06) (0.73) (0.43) -- -------- -------- -------- -------- -------- -------- Total Distributions........ (0.01) (0.07) (0.65) (1.09) (0.79) (0.18) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period.......................... $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 ======== ======== ======== ======== ======== ======== Total Return...................... 8.41% 17.40% 12.23% (33.89)%(C) 7.13% 13.52% -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)..................... $171,128 $157,730 $165,231 $200,331 $337,050 $347,216 Ratio of Expenses to Average Net Assets...................... 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) 0.26%(D) Ratio of Net Investment Income to Average Net Assets.... 0.86% 0.98% 0.86% 4.74%(B) 2.67% 1.19% Portfolio Turnover Rate........... 140% 78% 46%* N/A N/A N/A
U.S. LARGE CAP VALUE PORTFOLIO ---------------------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ......................... $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40 $ 21.93 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).................... 0.33 0.33 0.31 0.36 0.33 0.38 Net Gains (Losses) on Securities (Realized and Unrealized).................. 0.70 2.76 1.28 (8.83) (0.43) 3.50 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.03 3.09 1.59 (8.47) (0.10) 3.88 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.......... (0.32) (0.32) (0.34) (0.35) (0.32) (0.35) Net Realized Gains............. -- -- (0.02) (1.04) (0.54) (0.06) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........ (0.32) (0.32) (0.36) (1.39) (0.86) (0.41) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.......................... $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40 ========== ========== ========== ========== ========== ========== Total Return...................... 5.53% 19.72% 11.76% (36.63)%(C) (0.49)% 17.97% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $7,340,344 $6,921,036 $5,863,652 $5,330,448 $7,535,552 $6,410,086 Ratio of Expenses to Average Net Assets...................... 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D) 0.28%(D) Ratio of Net Investment Income to Average Net Assets.... 1.63% 1.86% 2.26% 1.86%(B) 1.28% 1.64% Portfolio Turnover Rate........... N/A N/A N/A N/A 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. 116 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+ ---------------------------------------------- PERIOD YEAR YEAR YEAR JAN. 31, ENDED ENDED ENDED 2008(a) OCT. 31, OCT. 31, OCT. 31, TO OCT. 31, 2011 2010 2009 2008 -------- -------- -------- ----------- Net Asset Value, Beginning of Period.............. $ 14.75 $ 11.73 $ 10.92 $ 14.69 ------- ------- ------- ------- Income From Investment Operations Net Investment Income (Loss)(A)................ 0.10 0.07 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).................................. 0.60 3.07 0.87 (3.76) ------- ------- ------- ------- Total From Investment Operations........... 0.70 3.14 0.99 (3.63) ------- ------- ------- ------- Less Distributions Net Investment Income.......................... (0.10) (0.12) (0.18) (0.14) Net Realized Gains............................. (0.03) -- -- -- ------- ------- ------- ------- Total Distributions........................ (0.13) (0.12) (0.18) (0.14) ------- ------- ------- ------- Net Asset Value, End of Period.................... $ 15.32 $ 14.75 $ 11.73 $ 10.92 ======= ======= ======= ======= Total Return...................................... 4.69% 26.93% 9.36% (24.96)%(C) ------- ------- ------- ------- Net Assets, End of Period (thousands)............. $45,132 $41,316 $31,393 $25,599 Ratio of Expenses to Average Net Assets........... 0.48% 0.49% 0.52% 0.50%(B)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 0.61% 0.59% 1.12% 1.24%(B)(E) Portfolio Turnover Rate........................... 23% 20% 17% 20%(C)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+ ---------------------------------------------- PERIOD YEAR YEAR YEAR JUNE 30, ENDED ENDED ENDED 2008(a) OCT. 31, OCT. 31, OCT. 31, TO OCT. 31, 2011 2010 2009 2008 -------- -------- -------- ----------- Net Asset Value, Beginning of Period.............. $ 14.76 $11.74 $10.91 $ 13.94 ------- ------ ------ ------- Income From Investment Operations Net Investment Income (Loss)(A)................ 0.07 0.05 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized).................................. 0.60 3.07 0.88 (3.02) ------- ------ ------ ------- Total From Investment Operations........... 0.67 3.12 0.98 (2.97) ------- ------ ------ ------- Less Distributions Net Investment Income.......................... (0.09) (0.10) (0.15) (0.06) Net Realized Gains............................. (0.03) -- -- -- ------- ------ ------ ------- Total Distributions........................ (0.12) (0.10) (0.15) (0.06) ------- ------ ------ ------- Net Asset Value, End of Period.................... $ 15.31 $14.76 $11.74 $ 10.91 ======= ====== ====== ======= Total Return...................................... 4.50% 26.66% 9.23% (21.40)%(C) ------- ------ ------ ------- Net Assets, End of Period (thousands)............. $10,918 $5,967 $2,930 $ 1,715 Ratio of Expenses to Average Net Assets........... 0.63% 0.64% 0.67% 0.66%(B)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 0.42% 0.44% 0.91% 1.35%(B)(E) Portfolio Turnover Rate........................... 23% 20% 17% 20%(C)
-------- + All per share amounts and net assets values prior to November 19, 2010, have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- -------- -------- -------- Net Asset Value, Beginning of Period ....... $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33 ---------- ---------- ---------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.12 0.09 0.12 0.18 0.20 0.21 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.59 3.06 0.88 (4.68) (1.32) 2.84 ---------- ---------- ---------- -------- -------- -------- Total From Investment Operations..... 0.71 3.15 1.00 (4.50) (1.12) 3.05 ---------- ---------- ---------- -------- -------- -------- Less Distributions Net Investment Income.................... (0.12) (0.09) (0.14) (0.15) (0.20) (0.25) Net Realized Gains....................... (0.03) -- -- (0.40) (1.48) (1.44) ---------- ---------- ---------- -------- -------- -------- Total Distributions.................. (0.15) (0.09) (0.14) (0.55) (1.68) (1.69) ---------- ---------- ---------- -------- -------- -------- Net Asset Value, End of Period.............. $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 ========== ========== ========== ======== ======== ======== Total Return................................ 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% 19.48% ---------- ---------- ---------- -------- -------- -------- Net Assets, End of Period (thousands)....... $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 $215,338 Ratio of Expenses to Average Net Assets..... 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** 0.46%(D) Ratio of Net Investment Income to Average Net Assets........................ 0.71% 0.69% 1.19% 1.39%(B) 1.12% 1.19% Portfolio Turnover Rate..................... 23% 20% 17% 20%(C) 9%(C)* N/A
U.S. SMALL CAP VALUE PORTFOLIO --------------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period .............................. $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)..... 0.16 0.09 0.04 0.18 0.30 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 1.00 4.79 1.54 (7.86) (2.72) 5.06 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................... 1.16 4.88 1.58 (7.68) (2.42) 5.34 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income............... (0.15) (0.08) (0.21) (0.22) (0.28) (0.23) Net Realized Gains.................. -- -- -- (2.27) (2.40) (2.26) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............. (0.15) (0.08) (0.21) (2.49) (2.68) (2.49) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period......... $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 ========== ========== ========== ========== ========== ========== Total Return........................... 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% 20.29% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).......................... $6,540,863 $6,555,277 $5,669,659 $5,503,945 $8,802,846 $8,738,278 Ratio of Expenses to Average Net Assets............................... 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) 0.53%(D) Ratio of Net Investment Income to Average Net Assets................... 0.62% 0.43% 0.27% 0.86%(B) 0.98% 0.94% Portfolio Turnover Rate................ 14% 19% 21%+ 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. 118 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO ------------------------------------------------------------------------ PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, Beginning of Period ....... $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22 ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.17 0.15 0.15 0.17 0.19 0.17 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.59 1.61 0.73 (4.03) 0.35 1.28 ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations..... 0.76 1.76 0.88 (3.86) 0.54 1.45 ---------- ---------- ---------- ---------- ---------- -------- Less Distributions Net Investment Income.................... (0.16) (0.12) (0.15) (0.16) (0.18) (0.17) Net Realized Gains....................... -- -- -- -- (0.03) -- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.................. (0.16) (0.12) (0.15) (0.16) (0.21) (0.17) ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period.............. $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 ========== ========== ========== ========== ========== ======== Total Return................................ 7.47% 20.80% 11.64% (32.85)%(C) 4.68% 14.35% ========== ========== ========== ========== ========== ======== Net Assets, End of Period (thousands)....... $3,731,411 $2,897,409 $1,989,583 $1,320,562 $1,210,031 $652,270 Ratio of Expenses to Average Net Assets..... 0.20% 0.20% 0.22% 0.20%(B) 0.20% 0.23% Ratio of Net Investment Income to Average Net Assets........................ 1.49% 1.53% 2.02% 1.78%(B) 1.53% 1.52% Portfolio Turnover Rate..................... 5% 4% 7% 5%(C) 10% 6%
U.S. CORE EQUITY 2 PORTFOLIO -------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ....... $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.16 0.14 0.14 0.17 0.19 0.17 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.54 1.64 0.66 (4.04) 0.13 1.40 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations..... 0.70 1.78 0.80 (3.87) 0.32 1.57 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.................... (0.15) (0.11) (0.14) (0.17) (0.17) (0.16) Net Realized Gains....................... -- -- -- -- (0.03) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (0.15) (0.11) (0.14) (0.17) (0.20) (0.16) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.............. $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 ========== ========== ========== ========== ========== ========== Total Return................................ 6.98% 21.41% 10.66% (33.16)%(C) 2.78% 15.50% ========== ========== ========== ========== ========== ========== Net Assets, End of Period (thousands)....... $5,819,906 $4,990,367 $3,804,325 $2,501,028 $2,939,420 $1,216,310 Ratio of Expenses to Average Net Assets..... 0.22% 0.23% 0.24% 0.23%(B) 0.23% 0.26% Ratio of Net Investment Income to Average Net Assets........................ 1.42% 1.47% 1.89% 1.77%(B) 1.55% 1.55% Portfolio Turnover Rate..................... 9% 7% 4% 8%(C) 7% 5%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO ---------------------------------------------------------------------- PERIOD PERIOD YEAR YEAR YEAR DEC. 1, YEAR DEC. 30, ENDED ENDED ENDED 2007 TO ENDED 2005(a) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- -------- -------- ---------- Net Asset Value, Beginning of Period............................... $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 $ 10.00 ---------- ---------- ---------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A)..... 0.12 0.10 0.11 0.15 0.16 0.13 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 0.46 1.79 0.57 (3.89) (0.25) 1.73 ---------- ---------- ---------- -------- -------- -------- Total From Investment Operations.................... 0.58 1.89 0.68 (3.74) (0.09) 1.86 ---------- ---------- ---------- -------- -------- -------- Less Distributions Net Investment Income............... (0.12) (0.10) (0.13) (0.16) (0.14) (0.07) Net Realized Gains.................. -- -- -- -- (0.18) -- ---------- ---------- ---------- -------- -------- -------- Total Distributions.................... (0.12) (0.10) (0.13) (0.16) (0.32) (0.07) ---------- ---------- ---------- -------- -------- -------- Net Asset Value, End of Period......... $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 ========== ========== ========== ======== ======== ======== Total Return........................... 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% 18.65%(C) ========== ========== ========== ======== ======== ======== Net Assets, End of Period (thousands).......................... $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742 $403,312 Ratio of Expenses to Average Net Assets............................... 0.33% 0.33% 0.35% 0.34%(B) 0.34% 0.36%(B)(E) ---------- ---------- ---------- -------- -------- -------- Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees)................................ 0.33% 0.33% 0.35% 0.34%(B) 0.33% 0.39%(B)(E) Ratio of Net Investment Income to Average Net Assets................... 1.11% 1.13% 1.60% 1.66%(B) 1.29% 1.24%(B)(E) Portfolio Turnover Rate................ 10% 11% 11% 11%(C) 14% 24%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO --------------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ............................. $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).... 0.18 0.13 0.06 0.14 0.21 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)...................... 1.49 4.17 1.65 (6.08) (0.66) 2.84 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 1.67 4.30 1.71 (5.94) (0.45) 3.01 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.18) (0.13) (0.17) (0.17) (0.21) (0.13) Net Realized Gains................. -- -- -- (1.18) (1.16) (1.17) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.18) (0.13) (0.17) (1.35) (1.37) (1.30) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 ========== ========== ========== ========== ========== ========== Total Return.......................... 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% 15.49% ========== ========== ========== ========== ========== ========== Net Assets, End of Period (thousands)......................... $3,770,323 $3,391,457 $2,522,001 $2,066,849 $3,285,093 $3,297,199 Ratio of Expenses to Average Net Assets.............................. 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) 0.38%(D) Ratio of Net Investment Income to Average Net Assets.................. 0.84% 0.76% 0.50% 0.86%(B) 0.95% 0.82% Portfolio Turnover Rate............... 23% 19% 17%* N/A N/A N/A
U.S. MICRO CAP PORTFOLIO --------------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 30, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ............................. $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).... 0.09 0.06 0.03 0.10 0.14 0.10 Net Gains (Losses) on Securities (Realized and Unrealized)...................... 0.99 2.68 0.54 (4.32) (0.69) 2.04 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 1.08 2.74 0.57 (4.22) (0.55) 2.14 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.09) (0.06) (0.19) (0.13) (0.13) (0.08) Net Realized Gains................. -- -- -- (1.26) (1.35) (1.14) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.09) (0.06) (0.19) (1.39) (1.48) (1.22) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 ========== ========== ========== ========== ========== ========== Total Return.......................... 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% 14.52% ========== ========== ========== ========== ========== ========== Net Assets, End of Period (thousands)......................... $3,257,719 $3,178,286 $2,818,365 $2,924,225 $4,700,371 $4,824,003 Ratio of Expenses to Average Net Assets.............................. 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) 0.53%(D) Ratio of Net Investment Income to Average Net Assets.................. 0.69% 0.58% 0.38% 0.91%(B) 0.89% 0.64% Portfolio Turnover Rate............... 14% 9% 12%* 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. 121 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period..... $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)....... 0.40 0.58 0.58 0.64 0.62 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)........... 1.93 5.92 (0.62) (9.28) (5.64) 8.84 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations...................... 2.33 6.50 (0.04) (8.64) (5.02) 9.48 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income................. (0.32) (0.55) (0.83) (0.30) (0.70) (1.02) Net Realized Gains.................... -- -- -- (2.10) (0.88) (0.41) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.32) (0.55) (0.83) (2.40) (1.58) (1.43) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........... $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 ========== ========== ========== ========== ========== ========== Total Return............................. 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% 38.23% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).... $3,098,647 $2,689,552 $2,018,559 $1,746,961 $2,671,457 $2,837,026 Ratio of Expenses to Average Net Assets................................. 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................ 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33% Ratio of Net Investment Income to Average Net Assets..................... 1.76% 3.13% 4.54% 3.01%(B) 1.99% 2.25% Portfolio Turnover Rate.................. 3% 2% 2% 13%(C) 17% 10%
LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period..... $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)....... 0.63 0.48 0.48 0.68 0.68 0.55 Net Gains (Losses) on Securities (Realized and Unrealized)........... (1.53) 1.43 3.16 (12.06) 3.57 4.68 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations...................... (0.90) 1.91 3.64 (11.38) 4.25 5.23 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income................. (0.61) (0.51) (0.43) (0.64) (0.67) (0.63) Net Realized Gains.................... -- -- -- (0.35) -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.61) (0.51) (0.43) (0.99) (0.67) (0.63) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........... $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 ========== ========== ========== ========== ========== ========== Total Return............................. (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% 28.00% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).... $1,704,149 $1,616,686 $1,364,351 $1,206,860 $2,224,180 $1,673,239 Ratio of Expenses to Average Net Assets................................. 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................ 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets..................... 3.19% 2.65% 3.14% 3.18%(B) 2.62% 2.56% Portfolio Turnover Rate.................. 3% 7% 12% 12%(C) 5% 4%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO ------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, Beginning of Period............... $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07 ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations Net Investment Income (Loss)(A)................. 0.33 0.23 0.23 0.37 0.35 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)................................... (0.89) 0.96 2.32 (6.76) 1.54 2.71 ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations............ (0.56) 1.19 2.55 (6.39) 1.89 2.99 ---------- ---------- ---------- ---------- ---------- -------- Less Distributions Net Investment Income........................... (0.33) (0.20) (0.22) (0.35) (0.32) (0.24) Net Realized Gains.............................. -- -- -- (0.15) (0.04) -- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions......................... (0.33) (0.20) (0.22) (0.50) (0.36) (0.24) ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period..................... $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 ========== ========== ========== ========== ========== ======== Total Return....................................... (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% 30.06% ---------- ---------- ---------- ---------- ---------- -------- Net Assets, End of Period (thousands).............. $5,395,884 $4,866,989 $3,699,842 $1,981,049 $2,342,187 $851,077 Ratio of Expenses to Average Net Assets............ 0.40% 0.40% 0.41% 0.41%(B) 0.41% 0.48% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously........................... Waived Fees and Fees Paid Indirectly).............. 0.40% 0.40% 0.41% 0.41%(B) 0.41% 0.46% Ratio of Net Investment Income to Average Net Assets........................................... 2.96% 2.31% 2.84% 3.39%(B) 2.49% 2.35% Portfolio Turnover Rate............................ 3% 2% 5% 4%(C) 4% 2%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period........ $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.40 0.28 0.28 0.44 0.43 0.36 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.83) 2.13 3.91 (9.55) 2.07 4.02 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations..... (0.43) 2.41 4.19 (9.11) 2.50 4.38 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.................... (0.50) (0.26) (0.27) (0.45) (0.46) (0.36) Net Realized Gains....................... -- -- -- (1.17) (0.67) (0.78) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (0.50) (0.26) (0.27) (1.62) (1.13) (1.14) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.............. $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 ========== ========== ========== ========== ========== ========== Total Return................................ (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% 28.51% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....... $5,834,015 $5,511,594 $4,269,864 $3,084,373 $5,597,209 $4,546,071 Ratio of Expenses to Average Net Assets (D)....................................... 0.55% 0.56% 0.57% 0.55%(B) 0.55% 0.56% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D)............... 0.55% 0.56% 0.57% 0.55%(B) 0.55% 0.56% Ratio of Net Investment Income to Average Net Assets........................ 2.37% 1.94% 2.48% 2.90%(B) 2.03% 2.04%
JAPANESE SMALL COMPANY PORTFOLIO --------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period........ $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97 -------- -------- -------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.27 0.22 0.22 0.29 0.27 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).............. 1.08 (0.18) 2.39 (4.78) (0.52) (0.73) -------- -------- -------- -------- -------- -------- Total From Investment Operations..... 1.35 0.04 2.61 (4.49) (0.25) (0.51) -------- -------- -------- -------- -------- -------- Less Distributions Net Investment Income.................... (0.24) (0.23) (0.26) (0.29) (0.23) (0.23) Net Realized Gains....................... -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total Distributions.................. (0.24) (0.23) (0.26) (0.29) (0.23) (0.23) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period.............. $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 ======== ======== ======== ======== ======== ======== Total Return................................ 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% (2.94)% -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)....... $163,120 $114,933 $114,058 $133,373 $199,080 $168,957 Ratio of Expenses to Average Net Assets (D)....................................... 0.56% 0.57% 0.59% 0.58%(B) 0.56% 0.61% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D)............... 0.56% 0.57% 0.59% 0.58%(B) 0.56% 0.58% Ratio of Net Investment Income to Average Net Assets........................ 1.74% 1.52% 1.68% 2.18%(B) 1.51% 1.19%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO ------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period .................. $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28 -------- -------- -------- ------- -------- ------- Income From Investment Operations Net Investment Income (Loss)(A)..................... 0.85 0.69 0.50 0.83 0.79 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... (2.16) 4.99 8.95 (17.04) 8.43 4.92 -------- -------- -------- ------- -------- ------- Total From Investment Operations................ (1.31) 5.68 9.45 (16.21) 9.22 5.56 -------- -------- -------- ------- -------- ------- Less Distributions Net Investment Income............................... (1.29) (0.63) (0.53) (0.85) (0.75) (0.58) Net Realized Gains.................................. -- -- -- -- -- -- Return of Capital................................... -- -- -- -- -- -- -------- -------- -------- ------- -------- ------- Total Distributions............................. (1.29) (0.63) (0.53) (0.85) (0.75) (0.58) -------- -------- -------- ------- -------- ------- Net Asset Value, End of Period......................... $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 ======== ======== ======== ======= ======== ======= Total Return........................................... (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% 37.52% -------- -------- -------- ------- -------- ------- Net Assets, End of Period (thousands).................. $139,262 $131,511 $101,853 $64,044 $146,307 $71,537 Ratio of Expenses to Average Net Assets(D)............. 0.60% 0.63% 0.65% 0.62%(B) 0.62% 0.64% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D).................... 0.60% 0.61% 0.65% 0.61%(B) 0.59% 0.64% Ratio of Net Investment Income to Average Net Assets... 3.34% 3.14% 3.53% 3.85%(B) 3.13% 3.68%
UNITED KINGDOM SMALL COMPANY PORTFOLIO --------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period .................. $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65 ------- ------- ------- ------- ------- ------- Income From Investment Operations Net Investment Income (Loss)(A)..................... 0.82 0.50 0.55 0.77 0.78 0.61 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... (0.85) 4.41 5.44 (15.84) (0.08) 9.61 ------- ------- ------- ------- ------- ------- Total From Investment Operations................ (0.03) 4.91 5.99 (15.07) 0.70 10.22 ------- ------- ------- ------- ------- ------- Less Distributions Net Investment Income............................... (0.77) (0.50) (0.43) (0.72) (1.03) (0.68) Net Realized Gains.................................. -- -- -- (1.22) (1.35) (1.22) Return of Capital................................... -- -- -- (0.01) -- -- ------- ------- ------- ------- ------- ------- Total Distributions............................. (0.77) (0.50) (0.43) (1.95) (2.38) (1.90) ------- ------- ------- ------- ------- ------- Net Asset Value, End of Period......................... $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 ======= ======= ======= ======= ======= ======= Total Return........................................... (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% 44.15% ------- ------- ------- ------- ------- ------- Net Assets, End of Period (thousands).................. $33,869 $33,751 $27,863 $25,883 $37,139 $31,808 Ratio of Expenses to Average Net Assets(D)............. 0.60% 0.60% 0.61% 0.59%(B) 0.59% 0.60% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D).................... 0.62% 0.64% 0.70% 0.65%(B) 0.62% 0.67% Ratio of Net Investment Income to Average Net Assets... 3.26% 2.39% 3.62% 3.41%(B) 2.28% 2.20%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO -------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period......... $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78 -------- -------- -------- ------- -------- ------- Income From Investment Operations Net Investment Income (Loss)(A)............ 0.39 0.27 0.28 0.52 0.40 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)........................... (2.20) 1.89 4.29 (11.32) 3.00 6.28 -------- -------- -------- ------- -------- ------- Total From Investment Operations........ (1.81) 2.16 4.57 (10.80) 3.40 6.59 -------- -------- -------- ------- -------- ------- Less Distributions Net Investment Income...................... (0.46) (0.25) (0.28) (0.45) (0.38) (0.34) Net Realized Gains......................... -- -- -- (0.96) (0.54) (1.56) Return of Capital.......................... -- -- -- (0.01) -- -- -------- -------- -------- ------- -------- ------- Total Distributions..................... (0.46) (0.25) (0.28) (1.42) (0.92) (1.90) -------- -------- -------- ------- -------- ------- Net Asset Value, End of Period............... $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 ======== ======== ======== ======= ======== ======= Total Return................................. (11.09)% 14.85% 43.12% (49.89)%(C) 16.99% 46.33% -------- -------- -------- ------- -------- ------- Net Assets, End of Period (thousands)........ $117,452 $128,106 $110,926 $93,988 $170,909 $90,261 Ratio of Expenses to Average Net Assets...... 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(D) 0.62%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...... 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D) 0.61%(D) Ratio of Net Investment Income (Loss) to Average Net Assets......................... 2.25% 1.78% 2.39% 3.04%(B) 1.70% 1.78% Portfolio Turnover Rate...................... N/A N/A N/A N/A N/A N/A
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO ----------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, PERIOD ENDED ENDED ENDED 2007 TO MARCH 1, 2007(a) OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO 2011 2010 2009 2008 NOV. 30, 2007 ---------- -------- -------- -------- ---------------- Net Asset Value, Beginning of Period........ $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00 ---------- -------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.30 0.31 0.26 0.34 0.23 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.33) 0.58 0.91 (5.08) (0.76) ---------- -------- -------- -------- -------- Total From Investment Operations..... (0.03) 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.............. $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 ========== ======== ======== ======== ======== Total Return................................ (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C) ---------- -------- -------- -------- -------- Net Assets, End of Period (thousands)....... $1,060,156 $958,554 $742,329 $394,480 $336,840 Ratio of Expenses to Average Net Assets..... 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................... 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Net Investment Income (Loss) to Average Net Assets..................... 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E) Portfolio Turnover Rate..................... 7% 6% 5% 1%(C) 2%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO ----------------------------------------------- PERIOD YEAR YEAR YEAR JUNE 4, ENDED ENDED ENDED 2008(a) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2009 2008 -------- -------- -------- ---------- Net Asset Value, Beginning of Period........ $ 8.28 $ 6.75 $ 6.04 $ 10.00 -------- -------- -------- ------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.41 0.40 0.19 -- Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.06 1.60 0.62 (3.96) -------- -------- -------- ------- Total From Investment Operations..... 0.47 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.............. $ 8.21 $ 8.28 $ 6.75 $ 6.04 ======== ======== ======== ======= Total Return................................ 6.17% 31.38% 13.81% (39.60)%(C) -------- -------- -------- ------- Net Assets, End of Period (thousands)....... $869,348 $695,461 $432,502 $90,672 Ratio of Expenses to Average Net Assets..... 0.41%(D) 0.41%(D) 0.47%(D) 0.54%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................... 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets........................ 5.01% 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 YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period........ $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.34 0.24 0.26 0.52 0.46 0.36 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.98) 1.22 4.14 (9.60) 1.66 4.95 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations..... (0.64) 1.46 4.40 (9.08) 2.12 5.31 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.................... (0.38) (0.22) (0.24) (0.58) (0.53) (0.38) Net Realized Gains....................... (0.29) -- (0.06) (1.57) (1.25) (0.79) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (0.67) (0.22) (0.30) (2.15) (1.78) (1.17) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.............. $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 ========== ========== ========== ========== ========== ========== Total Return................................ (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% 31.73% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....... $7,459,144 $7,655,318 $6,859,957 $4,799,748 $8,180,859 $6,733,067 Ratio of Expenses to Average Net Assets..... 0.70% 0.70% 0.71% 0.69%(B) 0.69% 0.70% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................... 0.70% 0.70% 0.71% 0.69%(B) 0.69% 0.70% Ratio of Net Investment Income to Average Net Assets........................ 2.05% 1.57% 2.19% 3.22%(B) 2.03% 1.85% Portfolio Turnover Rate..................... 16% 18% 22% 16%(C) 18% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO --------------------------------------- PERIOD YEAR YEAR YEAR AUGUST 14, ENDED ENDED ENDED 2008(a) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2009 2008 -------- -------- -------- ---------- Net Asset Value, Beginning of Period........ $ 10.28 $ 9.22 $ 6.74 $ 10.00 -------- -------- -------- ------- Income From Investment Operations Net Investment Income (Loss) (A)......... 0.29 0.18 0.17 0.06 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.87) 1.05 2.46 (3.32) -------- -------- -------- ------- Total From Investment Operations..... (0.58) 1.23 2.63 (3.26) -------- -------- -------- ------- Less Distributions Net Investment Income.................... (0.29) (0.17) (0.15) -- Net Realized Gains....................... (0.07) -- -- -- -------- -------- -------- ------- Total Distributions.................. (0.36) (0.17) (0.15) -- -------- -------- -------- ------- Net Asset Value, End of Period.............. $ 9.34 $ 10.28 $ 9.22 $ 6.74 ======== ======== ======== ======= Total Return................................ (5.99)% 13.62% 39.52% (32.60)%(C) -------- -------- -------- ------- Net Assets, End of Period (thousands)....... $410,580 $363,123 $262,544 $66,774 Ratio of Expenses to Average Net Assets..... 0.54% 0.54% 0.60% 0.60%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................... 0.54% 0.53% 0.59% 1.15%(B)(E) Ratio of Net Investment Income to Average Net Assets........................ 2.73% 1.91% 2.31% 3.01%(B)(E) Portfolio Turnover Rate..................... 10% 5% 8% 0%(C)
WORLD EX U.S. VALUE PORTFOLIO --------------------------------- YEAR PERIOD ENDED AUG. 23, 2010(a) OCT. 31, TO 2011 OCT. 31, 2010 Net Asset Value, Beginning of Period........ $ 11.35 $ 10.00 ------- ------- Income From Investment Operations Net Investment Income (Loss) (A)......... 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized).............. (1.35) 1.33 ------- ------- Total From Investment Operations..... (1.05) 1.35 ------- ------- Less Distributions Net Investment Income.................... (0.26) -- Net Realized Gains....................... (0.08) -- ------- ------- Total Distributions.................. (0.34) -- ------- ------- Net Asset Value, End of Period.............. $ 9.96 $ 11.35 ======= ======= Total Return................................ (9.59)% 13.50%(C) ------- ------- Net Assets, End of Period (thousands)....... $47,165 $29,616 Ratio of Expenses to Average Net Assets..... 0.60%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 and Fees Paid Indirectly)............................... 0.91%(D) 1.37%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets........................ 2.64% 0.76%(B)(E) Portfolio Turnover Rate..................... N/A N/A
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ....... $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.61 0.48 0.42 0.70 0.64 0.48 Net Gains (Losses) on Securities (Realized and Unrealized).............. (2.53) 6.07 8.42 (16.85) 9.88 5.61 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations..... (1.92) 6.55 8.84 (16.15) 10.52 6.09 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.................... (0.53) (0.46) (0.41) (0.69) (0.53) (0.58) Net Realized Gains....................... (1.77) (0.42) (0.25) (1.34) (0.16) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (2.30) (0.88) (0.66) (2.03) (0.69) (0.58) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.............. $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 ========== ========== ========== ========== ========== ========== Total Return................................ (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% 31.31% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....... $2,313,035 $2,372,498 $1,966,288 $1,508,260 $3,388,442 $2,344,990 Ratio of Expenses to Average Net Assets(D)................................. 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.61% Ratio of Net Investment Income to Average Net Assets........................ 2.07% 1.76% 2.15% 2.59%(B) 2.12% 2.13%
EMERGING MARKETS SMALL CAP PORTFOLIO ----------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- -------- ---------- -------- Net Asset Value, Beginning of Period ....... $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37 ---------- ---------- ---------- -------- ---------- -------- Income From Investment Operations Net Investment Income (Loss)(A).......... 0.42 0.34 0.26 0.44 0.31 0.30 Net Gains (Losses) on Securities (Realized and Unrealized).............. (3.67) 6.79 8.14 (12.95) 6.86 4.86 ---------- ---------- ---------- -------- ---------- -------- Total From Investment Operations..... (3.25) 7.13 8.40 (12.51) 7.17 5.16 ---------- ---------- ---------- -------- ---------- -------- Less Distributions Net Investment Income.................... (0.40) (0.32) (0.28) (0.41) (0.26) (0.26) Net Realized Gains....................... (0.76) -- -- (1.49) (1.13) (0.31) ---------- ---------- ---------- -------- ---------- -------- Total Distributions.................. (1.16) (0.32) (0.28) (1.90) (1.39) (0.57) ---------- ---------- ---------- -------- ---------- -------- Net Asset Value, End of Period.............. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 ========== ========== ========== ======== ========== ======== Total Return................................ (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% 39.95% ---------- ---------- ---------- -------- ---------- -------- Net Assets, End of Period (thousands)....... $1,832,745 $1,833,038 $1,133,958 $547,329 $1,458,152 $838,948 Ratio of Expenses to Average Net Assets(D)................................. 0.79% 0.78% 0.80% 0.77%(B) 0.78% 0.81% Ratio of Net Investment Income to Average Net Assets........................ 1.86% 1.70% 2.05% 2.61%(B) 1.48% 1.92%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES + ------------------------------------------------- YEAR YEAR YEAR PERIOD ENDED ENDED ENDED JAN. 29, 2008(a) OCT. 31, OCT. 31, OCT. 31, TO 2011 2010 2009 OCT. 31, 2008 -------- -------- -------- ---------------- Net Asset Value, Beginning of Period........ $ 36.35 $ 46.84 $ 85.43 $187.35 ------- ------- ------- ------- Income from Investment Operations Net Investment Income (Loss)(A).......... 0.20 0.56 0.56 3.93 Net Gains (Losses) on Securities (Realized and Unrealized).............. (5.45) 9.18 21.36 (92.36) ------- ------- ------- ------- Total from Investment Operations..... (5.25) 9.74 21.92 (88.43) ------- ------- ------- ------- Less Distributions Net Investment Income.................... (0.45) (7.12) (6.00) (13.49) Net Realized Gains....................... (1.63) (13.11) (54.52) -- ------- ------- ------- ------- Total Distributions.................. (2.08) (20.23) (60.52) (13.49) ------- ------- ------- ------- Net Asset Value, End of Period.............. $ 29.02 $ 36.35 $ 46.83 $ 85.43 ======= ======= ======= ======= Total Return................................ (15.24)% 29.71% 78.29% (50.51)%(C) ------- ------- ------- ------- Net Assets, End of Period (thousands)....... $78,157 $39,668 $ 5,082 $ 1,799 Ratio of Expenses to Average Net Assets (D)....................................... 0.86% 0.86% 0.90% 0.92%(B)(E) Ratio of Net Investment Income to Average Net Assets........................ 1.56% 1.39% 1.39% 3.35%(B)(E)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ------------------------------------------------------------------------------ YEAR YEAR YEAR PERIOD YEAR YEAR ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30, 2011 2010 2009 OCT. 31, 2008 2007 2006 ----------- ----------- ---------- ------------- ---------- ---------- Net Asset Value, Beginning of Period........ $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86 ----------- ----------- ---------- ---------- ---------- ---------- Income from Investment Operations Net Investment Income (Loss)(A).......... 0.64 0.45 0.38 0.98 0.78 0.60 Net Gains (Losses) on Securities (Realized and Unrealized).............. (5.72) 8.01 12.41 (25.48) 14.82 8.65 ----------- ----------- ---------- ---------- ---------- ---------- Total from Investment Operations..... (5.08) 8.46 12.79 (24.50) 15.60 9.25 ----------- ----------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.................... (0.54) (0.39) (0.34) (1.00) (0.63) (0.60) Net Realized Gains....................... (1.63) (0.70) (2.91) (0.99) (0.38) (0.25) ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions.................. (2.17) (1.09) (3.25) (1.99) (1.01) (0.85) ----------- ----------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.............. $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 =========== =========== ========== ========== ========== ========== Total Return................................ (14.84)% 30.04% 78.59% (55.65)%(C) 50.98% 41.55% ----------- ----------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....... $13,730,213 $11,542,870 $7,401,266 $3,735,580 $7,485,802 $4,283,696 Ratio of Expenses to Average Net Assets (D)....................................... 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.63% Ratio of Net Investment Income to Average Net Assets........................ 1.88% 1.40% 1.76% 2.82%(B) 2.00% 2.22%
-------- + 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. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO ------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, Beginning of Period............... $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54 ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations Net Investment Income (Loss)(A)................. 0.43 0.30 0.25 0.43 0.35 0.27 Net Gains (Losses) on Securities (Realized and Unrealized)................................... (2.65) 4.81 6.56 (11.27) 6.10 3.54 ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations............ (2.22) 5.11 6.81 (10.84) 6.45 3.81 ---------- ---------- ---------- ---------- ---------- -------- Less Distributions Net Investment Income........................... (0.36) (0.29) (0.20) (0.40) (0.32) (0.22) Net Realized Gains.............................. -- -- -- (0.08) (0.06) -- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions......................... (0.36) (0.29) (0.20) (0.48) (0.38) (0.22) ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period..................... $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 ========== ========== ========== ========== ========== ======== Total Return....................................... (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% 33.39% ---------- ---------- ---------- ---------- ---------- -------- Net Assets, End of Period (thousands).............. $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466 $822,136 Ratio of Expenses to Average Net Assets............ 0.67% 0.65% 0.67% 0.65%(B) 0.65% 0.74% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................................... 0.68% 0.65% 0.67% 0.65%(B) 0.65% 0.72% Ratio of Net Investment Income to Average Net Assets........................................... 2.04% 1.63% 2.03% 2.62%(B) 1.87% 2.02% Portfolio Turnover Rate............................ 1% 4% 6% 3%(C) 2% 6%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 131 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of sixty operational portfolios, of which twenty-six (the "Portfolios") are included in this section of the report and the remaining thirty-four are presented in separate reports. Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company and one invests in the Dimensional Emerging Markets Value Fund. 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 10/31/11 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 79% 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 95% 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 17% DFA International Real Estate Securities Portfolio 33% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series --
Amounts designated as -- are less than 1%. Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company Portfolio, DFA Global Real Estate Securities Portfolio 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. 132 Prior to March 30, 2007, U.S.Targeted Value Portfolio invested substantially all of its assets in shares of The U.S. Targeted Value Series. At the close of business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata share of cash and securities from The U.S. Targeted Value Series in a complete liquidation of its interest in the Series. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the 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 133 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 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. These securities are generally categorized as Level 2 in the hierarchy. Debt Securities held by Enhanced U.S. Large Company Portfolio, (the "Fixed Income Portfolio"), are valued on the basis of bid prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over the counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over the counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are generally classified as Level 2 in the hierarchy. 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. 134 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. The Portfolios did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 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 Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: 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 October 31, 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 135 cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities and from the investment in affiliated investment companies that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board 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, Emerging Markets Value Portfolio and World ex U.S. Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis, from their respective Master Funds, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Core Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio are subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. INVESTMENT ADVISOR AND ADMINISTRATOR: 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 year ended October 31, 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% 136 International Core Equity Portfolio.......... 0.35% DFA International Real Estate Securities Portfolio.................................. 0.35% DFA Global Real Estate Securities Portfolio.. 0.35% 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 year ended October 31, 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 year ended October 31, 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. 137
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% -- -- 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% -- $ 42 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% -- 4,924 International Vector Equity Portfolio (2).............. 0.60% -- -- World ex U.S. Value Portfolio (8)...................... 0.60% -- 159 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, 138 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. (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 139 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. EARNED INCOME CREDIT: In addition, the Portfolios have entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolios' custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2011, expenses reduced were as follows (amounts in thousands): FEES PAID INDIRECTLY ---------- Large Cap International Portfolio.............. $ 2 International Core Equity Portfolio............ 5 DFA International Real Estate Securities Portfolio.................................... 1 DFA International Small Cap Value Portfolio.... 10 International Vector Equity Portfolio.......... -- Emerging Markets Core Equity Portfolio......... 9 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2011, the total related amounts paid by the Fund to the CCO were $221 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 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............. $ 5 U.S. Large Cap Value Portfolio.................... 177 U.S. Targeted Value Portfolio..................... 43 U.S. Small Cap Value Portfolio.................... 175 U.S. Core Equity 1 Portfolio...................... 57 U.S. Core Equity 2 Portfolio...................... 106 U.S. Vector Equity Portfolio...................... 34 U.S. Small Cap Portfolio.......................... 75 U.S. Micro Cap Portfolio.......................... 89 DFA Real Estate Securities Portfolio.............. 56 Large Cap International Portfolio................. 40 International Core Equity Portfolio............... 100 International Small Company Portfolio............. 120 Japanese Small Company Portfolio.................. 4 Asia Pacific Small Company Portfolio.............. 3 United Kingdom Small Company Portfolio............ 1 Continental Small Company Portfolio............... 3 DFA International Real Estate Securities Portfolio 18 DFA Global Real Estate Securities Portfolio....... 9 140 DFA International Small Cap Value Portfolio. $192 International Vector Equity Portfolio....... 7 World ex U.S. Value Portfolio............... -- Emerging Markets Portfolio.................. 56 Emerging Markets Small Cap Portfolio........ 29 Emerging Markets Value Portfolio............ 191 Emerging Markets Core Equity Portfolio...... 67 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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.. $74,684 $90,741 $ 143,799 $ 123,188 U.S. Targeted Value Portfolio.......... -- -- 796,675 602,756 U.S. Small Cap Value Portfolio......... -- -- 1,020,457 1,408,030 U.S. Core Equity 1 Portfolio........... -- -- 833,527 158,473 U.S. Core Equity 2 Portfolio........... -- -- 1,048,284 482,452 U.S. Vector Equity Portfolio........... -- -- 409,464 186,551 U.S. Small Cap Portfolio............... -- -- 1,020,273 921,078 U.S. Micro Cap Portfolio............... -- -- 490,594 681,852 DFA Real Estate Securities Portfolio... -- -- 274,872 84,248 Large Cap International Portfolio...... -- -- 275,848 50,963 International Core Equity Portfolio.... -- -- 1,173,778 175,343 DFA International Real Estate Securities Portfolio................. -- -- 232,301 75,020 DFA International Small Cap Value Portfolio............................ -- -- 1,523,493 1,337,433 International Vector Equity Portfolio.. -- -- 129,781 42,491 Emerging Markets Core Equity Portfolio. -- -- 1,950,271 60,533 For the year ended October 31, 2011, the Fund of Funds made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO --------------------------------------------------------------------- DISTRIBUTIONS BALANCE AT BALANCE AT OF REALIZED AFFILIATED INVESTMENT COMPANIES 10/31/2010 10/31/2011 PURCHASES SALES DIVIDEND INCOME GAINS ------------------------------- ---------- ---------- --------- ------- --------------- ------------- DFA Real Estate Securities Portfolio.. $386,385 $520,990 $149,965 $51,387 $32,576 $-- DFA International Real Estate Securities Portfolio................ 307,758 346,939 121,578 42,976 5,716 -- WORLD EX U.S. VALUE PORTFOLIO --------------------------------------------------------------------- DISTRIBUTIONS BALANCE AT BALANCE AT OF REALIZED AFFILIATED INVESTMENT COMPANY 10/31/2010 10/31/2011 PURCHASES SALES DIVIDEND INCOME GAINS ----------------------------- ---------- ---------- --------- ------- --------------- ------------- DFA International Small Cap Value Portfolio........................... $ 2,692 $ 3,724 $ 2,463 $ 889 $ 80 $48
141 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, 2011, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, net foreign currency gains/losses, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, gains on securities distributed in-kind to redeeming shareholders, expiration of capital loss carryovers and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS (LOSSES) --------------- -------------- -------------- Enhanced U.S. Large Company Portfolio.............. $ (1) $ 515 $ (514) U.S. Large Cap Value Portfolio..................... -- (2) 2 U.S. Targeted Value Portfolio...................... 2,688 (1,339) (1,349) U.S. Small Cap Value Portfolio..................... 17,012 (5,083) (11,929) U.S. Core Equity 1 Portfolio....................... -- (3) 3 U.S. Core Equity 2 Portfolio....................... 5,929 (5,931) 2 U.S. Vector Equity Portfolio....................... -- (1) 1 U.S. Small Cap Portfolio........................... 133,007 (3,445) (129,562) U.S. Micro Cap Portfolio........................... (16) 18 (2) DFA Real Estate Securities Portfolio............... 8,423 (9,365) 942 Large Cap International Portfolio.................. -- 456 (456) International Core Equity Portfolio................ 4,661 (2,525) (2,136) International Small Company Portfolio.............. 14,910 7,312 (22,222) Japanese Small Company Portfolio................... (19,912) 22 19,890 Asia Pacific Small Company Portfolio............... -- 2,514 (2,514) United Kingdom Small Company Portfolio............. -- 1 (1) Continental Small Company Portfolio................ -- (34) 34 DFA International Real Estate Securities Portfolio. 3,681 (1,734) (1,947) DFA Global Real Estate Securities Portfolio........ 359 (359) -- DFA International Small Cap Value Portfolio........ 13,407 (2,270) (11,137) International Vector Equity Portfolio.............. 690 (98) (592) World ex U.S. Value Portfolio...................... -- (3) 3 Emerging Markets Portfolio......................... 8,187 (3,858) (4,329) Emerging Markets Small Cap Portfolio............... 5,540 (3,994) (1,546) Emerging Markets Value Portfolio................... 17,436 (13,822) (3,614) Emerging Markets Core Equity Portfolio............. 3,697 (7,747) 4,050
142 The tax character of dividends and distributions declared and paid during the year ended October 31, 2010 and the year ended October 31, 2011 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 2010..................................... $ 1,589 -- $ 1,589 2011..................................... 270 -- 270 U.S. Large Cap Value Portfolio 2010..................................... 116,599 -- 116,599 2011..................................... 117,051 -- 117,051 U.S. Targeted Value Portfolio 2010..................................... 12,576 $ 7 12,583 2011..................................... 19,648 6,119 25,767 U.S. Small Cap Value Portfolio 2010..................................... 25,747 -- 25,747 2011..................................... 47,016 11,920 58,936 U.S. Core Equity 1 Portfolio 2010..................................... 31,326 -- 31,326 2011..................................... 49,822 -- 49,822 U.S. Core Equity 2 Portfolio 2010..................................... 53,941 -- 53,941 2011..................................... 84,798 -- 84,798 U.S. Vector Equity Portfolio 2010..................................... 14,799 -- 14,799 2011..................................... 19,719 -- 19,719 U.S. Small Cap Portfolio 2010..................................... 21,528 -- 21,528 2011..................................... 36,302 2,974 39,276 U.S. Micro Cap Portfolio 2010..................................... 17,526 -- 17,526 2011..................................... 23,667 -- 23,667 DFA Real Estate Securities Portfolio 2010..................................... 70,908 -- 70,908 2011..................................... 40,246 -- 40,246 Large Cap International Portfolio 2010..................................... 40,390 -- 40,390 2011..................................... 54,107 -- 54,107 International Core Equity Portfolio 2010..................................... 83,173 -- 83,173 2011..................................... 165,946 -- 165,946 143 NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- International Small Company Portfolio 2010.................................... $ 84,604 -- $ 84,604 2011.................................... 188,546 $ 5,851 194,397 Japanese Small Company Portfolio 2010.................................... 1,845 -- 1,845 2011.................................... 2,305 -- 2,305 Asia Pacific Small Company Portfolio 2010.................................... 3,162 -- 3,162 2011.................................... 6,964 -- 6,964 United Kingdom Small Company Portfolio 2010.................................... 694 -- 694 2011.................................... 1,071 -- 1,071 Continental Small Company Portfolio 2010.................................... 1,863 -- 1,863 2011.................................... 3,562 -- 3,562 DFA International Real Estate Securities Portfolio 2010.................................... 79,025 -- 79,025 2011.................................... 107,338 -- 107,338 DFA Global Real Estate Securities Portfolio 2010.................................... 30,971 -- 30,971 2011.................................... 41,782 -- 41,782 DFA International Small Cap Value Portfolio 2010.................................... 108,095 6,990 115,085 2011.................................... 190,869 143,816 334,685 International Vector Equity Portfolio 2010.................................... 5,534 54 5,588 2011.................................... 12,224 2,659 14,883 World ex U.S. Value Portfolio 2010.................................... -- -- -- 2011.................................... 1,025 195 1,220 Emerging Markets Portfolio 2010.................................... 40,081 42,220 82,301 2011.................................... 45,589 141,595 187,184 Emerging Markets Small Cap Portfolio 2010.................................... 22,951 1,637 24,588 2011.................................... 36,754 61,095 97,849 144
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- Emerging Markets Value Portfolio 2010................................... $190,697 $142,234 $332,931 2011................................... 302,552 486,583 789,135 Emerging Markets Core Equity Portfolio 2010................................... 48,768 -- 48,768 2011................................... 89,989 -- 89,989
At October 31, 2011, 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............. $ 1,341 $ 1,350 $ 2,691 U.S. Small Cap Value Portfolio............ 5,092 11,920 17,012 U.S. Core Equity 2 Portfolio.............. 5,929 -- 5,929 U.S. Small Cap Portfolio.................. 3,506 2,974 6,480 International Core Equity Portfolio....... 4,661 -- 4,661 International Small Company Portfolio..... 9,060 5,851 14,911 DFA Global Real Estate Securities Portfolio............................... 359 -- 359 DFA International Small Cap Value Portfolio............................... 8,128 5,279 13,407 International Vector Equity Portfolio..... 450 240 690 Emerging Markets Portfolio................ 2,733 5,454 8,187 Emerging Markets Small Cap Portfolio...... 2,804 2,736 5,540 Emerging Markets Value Portfolio.......... 10,139 7,297 17,436 Emerging Markets Core Equity Portfolio.... 3,697 -- 3,697
At October 31, 2011, 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. $ 1,607 -- $ (71,081) $ (69,474) U.S. Large Cap Value Portfolio........ 20,925 -- (1,650,834) (1,629,909) U.S. Targeted Value Portfolio......... 3,325 $19,803 -- 23,128 U.S. Small Cap Value Portfolio........ 6,678 89,307 -- 95,985 U.S. Core Equity 1 Portfolio.......... 8,624 -- (49,208) (40,584) U.S. Core Equity 2 Portfolio.......... 8,232 -- (15,761) (7,529) U.S. Vector Equity Portfolio.......... 3,841 -- (36,502) (32,661) U.S. Small Cap Portfolio.............. 2,512 -- -- 2,512 U.S. Micro Cap Portfolio.............. 4,373 -- (34,914) (30,541) DFA Real Estate Securities Portfolio.. 14,586 -- (212,742) (198,156) Large Cap International Portfolio..... 8,108 -- (181,257) (173,149)
145
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED CAPITAL EARNINGS SHORT-TERM LONG-TERM LOSS (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- International Core Equity Portfolio................ $26,139 -- $ (53,177) $ (27,038) International Small Company Portfolio.............. 50,896 $108,303 -- 159,199 Japanese Small Company Portfolio................... 1,390 -- (72,071) (70,681) Asia Pacific Small Company Portfolio............... 4,771 -- (26,779) (22,008) United Kingdom Small Company Portfolio............. 376 -- (1,867) (1,491) Continental Small Company Portfolio................ 261 -- (26,020) (25,759) DFA International Real Estate Securities Portfolio. 42,778 -- (156,223) (113,445) DFA Global Real Estate Securities Portfolio........ 1,187 -- (1,091) 96 DFA International Small Cap Value Portfolio........ 61,105 126,205 -- 187,310 International Vector Equity Portfolio.............. 2,376 6,466 -- 8,842 World ex U.S. Value Portfolio...................... 211 -- (5,989) (5,778) Emerging Markets Portfolio......................... 6,198 90,266 -- 96,464 Emerging Markets Small Cap Portfolio............... 7,896 37,075 -- 44,971 Emerging Markets Value Portfolio................... 52,913 189,045 -- 241,958 Emerging Markets Core Equity Portfolio............. 18,379 -- (33,524) (15,145)
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, 2011, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
2012 2013 2014 2015 2016 2017 2018 2019 TOTAL ------ ------ ------ ------ ------- ---------- ------- ------- ---------- Enhanced U.S. Large Company Portfolio....................... -- -- -- -- $71,081 -- -- -- $ 71,081 U.S. Large Cap Value Portfolio.... -- -- -- -- -- $1,650,834 -- -- 1,650,834 U.S. Core Equity 1 Portfolio...... -- -- -- -- -- 49,208 -- -- 49,208 U.S. Core Equity 2 Portfolio...... -- -- -- -- -- 15,761 -- -- 15,761 U.S. Vector Equity Portfolio...... -- -- -- -- -- 36,502 -- -- 36,502 U.S. Micro Cap Portfolio.......... -- -- -- -- -- 34,914 -- -- 34,914 DFA Real Estate Securities Portfolio....................... -- -- -- -- 82,044 62,969 $44,388 $23,341 212,742 Large Cap International Portfolio. -- -- -- -- 19,004 135,393 14,311 12,549 181,257 International Core Equity Portfolio....................... -- -- -- -- -- 53,176 -- -- 53,176 Japanese Small Company Portfolio....................... $3,801 $3,055 $2,451 $8,004 23,057 13,952 12,208 5,543 72,071 Asia Pacific Small Company Portfolio....................... -- -- -- -- 18,518 8,261 -- -- 26,779 United Kingdom Small Company Portfolio....................... -- -- -- -- -- 1,867 -- -- 1,867 Continental Small Company Portfolio....................... -- -- -- -- 13,544 7,224 5,252 -- 26,020 DFA International Real Estate Securities Portfolio............ -- -- -- 46 13,446 34,576 38,689 69,466 156,223 DFA Global Real Estate Securities Portfolio....................... -- -- -- -- -- -- 1,091 -- 1,091 World ex U.S. Value Portfolio..... -- -- -- -- -- -- -- 5,989 5,989 Emerging Markets Core Equity Portfolio....................... -- -- -- -- 7,080 26,445 -- -- 33,525
During the year ended October 31, 2011, 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. $ 12,074 U.S. Large Cap Value Portfolio........ 292,231 U.S. Small Cap Value Portfolio........ 111,515 U.S. Core Equity 1 Portfolio.......... 31,942 U.S. Core Equity 2 Portfolio.......... 69,082 U.S. Vector Equity Portfolio.......... 47,040 146 U.S. Small Cap Portfolio.................... $202,569 U.S. Micro Cap Portfolio.................... 234,276 International Core Equity Portfolio......... 26,375 International Small Company Portfolio....... 75,782 Asia Pacific Small Company Portfolio........ 6,585 United Kingdom Small Company Portfolio...... 1,012 Continental Small Company Portfolio......... 3,415 DFA Global Real Estate Securities Portfolio. 1,664 Emerging Markets Core Equity Portfolio...... 20,133 For the year ended October 31, 2011, Japanese Small Company Portfolio had capital loss carryforward expirations of $19,912 (in thousands). At October 31, 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....... $ 172,868 $ 1,695 $ (151) $ 1,544 U.S. Large Cap Value Portfolio.............. 5,970,538 1,710,653 (339,701) 1,370,952 U.S. Targeted Value Portfolio............... 2,749,718 459,698 (208,835) 250,863 U.S. Small Cap Value Portfolio.............. 7,373,740 1,540,016 (1,291,049) 248,967 U.S. Core Equity 1 Portfolio................ 3,945,152 645,470 (352,182) 293,288 U.S. Core Equity 2 Portfolio................ 6,601,298 1,065,896 (769,739) 296,157 U.S. Vector Equity Portfolio................ 2,137,916 336,665 (290,690) 45,975 U.S. Small Cap Portfolio.................... 4,430,869 929,661 (534,037) 395,624 U.S. Micro Cap Portfolio.................... 3,606,245 1,035,410 (703,848) 331,562 DFA Real Estate Securities Portfolio........ 3,271,091 945,600 (282,378) 663,222 Large Cap International Portfolio........... 1,845,312 352,176 (281,771) 70,405 International Core Equity Portfolio......... 6,606,103 661,747 (1,142,115) (480,368) International Small Company Portfolio....... 5,916,085 1,047,515 (1,136,036) (88,521) Japanese Small Company Portfolio............ 228,944 72,142 (137,901) (65,759) Asia Pacific Small Company Portfolio........ 137,887 69,704 (68,285) 1,419 United Kingdom Small Company Portfolio...... 32,713 62,603 (61,441) 1,162 Continental Small Company Portfolio......... 121,007 78,934 (82,446) (3,512) DFA International Real Estate Securities Portfolio.................................. 1,355,986 (15,623) (170,091) (185,714) DFA Global Real Estate Securities Portfolio. 728,335 140,678 -- 140,678 DFA International Small Cap Value Portfolio. 8,888,974 1,160,025 (2,099,731) (939,706) International Vector Equity Portfolio....... 417,330 77,153 (43,853) 33,300 World ex U.S. Value Portfolio............... 45,578 1,450 (111) 1,339 Emerging Markets Portfolio.................. 1,351,774 1,064,291 (102,191) 962,100 Emerging Markets Small Cap Portfolio........ 1,554,300 454,185 (175,017) 279,168 Emerging Markets Value Portfolio............ 13,611,504 2,312,639 (2,110,636) 202,003 Emerging Markets Core Equity Portfolio...... 5,414,914 1,068,217 (552,379) 515,838
147 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and on investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Portfolio's tax 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 more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve 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 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. 148 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. 149 G. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (amounts in thousands):
YEAR YEAR ENDED ENDED OCT. 31, 2011 OCT. 31, 2010 -------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- ------- ----------- ------- U.S. TARGETED VALUE PORTFOLIO Class R1 Shares Shares Issued...................................... $ 9,612 586 $ 7,401 778 Shares Issued in Lieu of Cash Distributions........ 362 23 312 35 Shares Redeemed.................................... (7,533) (462) (5,936) (632) Shares Reduced by Reverse Stock Split.............. -- (2) -- (1,314) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ 2,441 145 $ 1,777 (1,133) =========== ======= =========== ======= Class R2 Shares Shares Issued...................................... $ 9,524 636 $ 5,859 572 Shares Issued in Lieu of Cash Distributions........ 56 4 29 3 Shares Redeemed.................................... (5,191) (324) (3,559) (360) Shares Reduced by Reverse Stock Split.............. -- (7) -- (159) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 4,389 309 $ 2,329 56 =========== ======= =========== ======= Institutional Class Shares Shares Issued...................................... $ 905,224 55,728 $ 897,844 63,857 Shares Issued in Lieu of Cash Distributions........ 20,970 1,322 11,187 862 Shares Redeemed.................................... (731,188) (45,320) (512,167) (37,960) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 195,006 11,730 $ 396,864 26,759 =========== ======= =========== ======= EMERGING MARKETS VALUE PORTFOLIO Class R2 Shares Shares Issued...................................... $ 95,176 3,360 $ 34,637 18,214 Shares Issued in Lieu of Cash Distributions........ 2,336 68 6,798 3,947 Shares Redeemed.................................... (50,507) (1,599) (6,985) (3,724) Shares Reduced by Conversion of Shares............. -- (19,608) -- -- ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 47,005 (17,779) $ 34,450 18,437 =========== ======= =========== ======= Institutional Class Shares Shares Issued...................................... $ 6,396,694 187,544 $ 3,313,583 103,334 Shares Issued in Lieu of Cash Distributions........ 709,030 20,853 265,972 8,765 Shares Redeemed.................................... (1,754,714) (53,557) (1,555,298) (49,938) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 5,351,010 154,840 $ 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 150 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 year ended October 31, 2011 have been retroactively restated to reflect the conversion. Additionally, the capital share activity in the Statement of Changes in Net Assets and capital share activity earlier in this note shows the reduction of shares as a result of the conversion. H. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: 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. 151 At October 31, 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 OCTOBER 31, 2011 GAIN (LOSS) ---------- -------- ------------- -------- ---------------- ----------- 11/22/11 (17,566) Canadian Dollars $(17,392) $(17,615) $(223) 11/22/11 (3,283) UK Pound Sterling (5,197) (5,277) (80) 11/22/11 (1,641) Euro (2,272) (2,270) 2 -------- -------- ----- $(24,861) $(25,162) $(301) ======== ======== ===== * During the year ended October 31, 2011, the Portfolio's average cost basis contract amount of forward currency contracts was $(43,328) (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 and to gain exposure to the S&P 500 Index(R) 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 or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolio could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At October 31, 2011, the following Portfolios 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) 12/16/2011 528 $164,908 $9,412 U.S. Small Cap Value Portfolio Russell 2000(R) Mini 12/16/2011 250 18,483 536
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2011, Enhanced U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $158,696 (in thousands). During the year ended October 31, 2011, U.S. Small Cap Value Portfolio had limited activity in futures contracts. 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 year ended October 31, 2011. 152 The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 2011: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES -------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- ------------------------ ----------------------- Foreign exchange Unrealized Gain on Unrealized Loss on contracts Forward Currency Forward Currency Contracts Contracts Equity contracts Payables: Futures Margin Variation The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of October 31, 2011 (amounts in thousands): ASSET DERIVATIVES VALUE ------------------------ TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCT. 31, 2011 CONTRACTS CONTRACTS ------------- --------- --------- Enhanced U.S. Large Company Portfolio........................ $9,414 $2 $9,412* U.S. Small Cap Value Portfolio..... 536 -- 536* LIABILITY DERIVATIVES VALUE --------------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCT. 31, 2011 CONTRACTS CONTRACTS ------------- --------- --------- Enhanced U.S. Large Company Portfolio.......................... $(303) $(303) -- * 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 year ended October 31, 2011 (amounts in thousands): LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED DERIVATIVE TYPE 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 153 The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2011 (amounts in thousands): REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME -------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio. $12,138 $(653) $12,791 U.S. Targeted Value Portfolio*........ 1,751 -- 1,751 U.S. Small Cap Value Portfolio........ (825) -- (825) U.S. Small Cap Portfolio*............. 929 -- 929 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio. $(1,123) $(128) $ (995) U.S. Small Cap Value Portfolio........ 536 -- 536 * As of October 31, 2011, there were no futures contracts outstanding. During the year ended October 31, 2011, the Portfolio had limited activity in futures contracts. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 22, 2012. For the year ended October 31, 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 year ended October 31, 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 October 31, 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 154 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. The Fund, together with other Dimensional-advised portfolios, expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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...................... 0.84% $ 7,444 31 $ 5 $28,441 U.S. Small Cap Value Portfolio..................... 0.87% 4,930 12 1 32,648 U.S. Core Equity 1 Portfolio....................... 0.83% 9,112 2 -- 10,178 U.S. Core Equity 2 Portfolio....................... 0.91% 3,840 6 1 7,690 U.S. Vector Equity Portfolio....................... 0.90% 8,110 1 -- 8,110 U.S. Small Cap Portfolio........................... 0.88% 4,034 12 1 11,611 U.S. Micro Cap Portfolio........................... 0.86% 5,967 17 2 15,925 DFA Real Estate Securities Portfolio............... 0.91% 3,458 12 1 14,265 Large Cap International Portfolio.................. 0.87% 1,966 11 1 3,454 International Core Equity Portfolio................ 0.84% 5,682 7 1 9,358 International Small Company Portfolio.............. 0.87% 6,458 32 5 18,979 DFA International Real Estate Securities Portfolio. 0.93% 11,492 11 3 19,502 DFA Global Real Estate Securities Portfolio........ 0.94% 5,275 19 3 32,769 DFA International Small Cap Value Portfolio........ 0.90% 3,280 28 2 13,459 International Vector Equity Portfolio.............. 0.85% 1,172 14 -- 2,275 World ex U.S. Value Portfolio...................... 0.85% 47 5 -- 134 Emerging Markets Core Equity Portfolio............. 0.89% 4,819 16 2 10,646
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2011 that each Portfolio's available line of credit was utilized. At October 31, 2011, U.S. Core Equity 2 Portfolio and International Small Company Portfolio had loans outstanding in the amounts of $2,097 and $2,643 (in thousands), respectively. J. SECURITIES LENDING: As of October 31, 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 consisting of short and/or long term U.S. Treasury securities with a market value of $141,140 (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 155 investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repuchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. K. SHAREHOLDER SERVICING FEES: The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10% and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. L. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. IN-KIND REDEMPTIONS: In accordance with guidelines described in the Portfolios' prospectus, the Portfolios may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, 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). During the year ended October 31, 2011, U.S. Small Cap Portfolio realized net gains of in-kind redemptions in the amount of $126,527 (amount in thousands). N. RECENTLY ISSUED ACCOUNTING STANDARDS: In 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. 156 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. Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. O. OTHER: At October 31, 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 67% U.S. Large Cap Value Portfolio -- Institutional Class Shares.................................... 3 76% U.S. Targeted Value Portfolio -- Class R1 Shares.. 1 94% U.S. Targeted Value Portfolio -- Class R2 Shares.. 3 81% U.S. Targeted Value Portfolio -- Institutional Class Shares.................................... 2 58% U.S. Small Cap Value Portfolio -- Institutional Class Shares.................................... 2 52% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.................................... 3 66% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.................................... 3 64% U.S. Vector Equity Portfolio -- Institutional Class Shares.................................... 4 87% U.S. Small Cap Portfolio -- Institutional Class Shares.......................................... 3 53% U.S. Micro Cap Portfolio -- Institutional Class Shares.......................................... 2 56% 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...................... 2 60% International Small Company Portfolio -- Institutional Class Shares...................... 2 46% Japanese Small Company Portfolio -- Institutional Class Shares.................................... 4 71% Asia Pacific Small Company Portfolio -- Institutional Class Shares...................... 3 79% United Kingdom Small Company Portfolio -- Institutional Class Shares...................... 2 86% Continental Small Company Portfolio -- Institutional Class Shares...................... 4 88% DFA International Real Estate Securities Portfolio -- Institutional Class Shares ........ 3 82% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares...................... 3 92% DFA International Small Cap Value Portfolio -- Institutional Class Shares...................... 2 48% International Vector Equity Portfolio -- Institutional Class Shares...................... 3 85% 157 APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- World ex U.S. Value Portfolio -- Institutional Class Shares.................................... 4 89% Emerging Markets Portfolio -- Institutional Class Shares.......................................... 3 67% Emerging Markets Small Cap Portfolio -- Institutional Class Shares...................... 2 38% Emerging Markets Value Portfolio -- Class R2 Shares.......................................... 1 70% 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. On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as The U.S. Large Cap Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. P. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 158 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Core Equity Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, Emerging Markets Core Equity Portfolio and World ex U.S. Value Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at October 31, 2011, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodians, brokers, and the transfer agent of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2011 159 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHART DFA COMMODITY STRATEGY PORTFOLIO VS. DOW JONES-UBS COMMODITY INDEX TOTAL RETURN NOVEMBER 9, 2010-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
DOW JONES- DFA UBS COMMODITY COMMODITY STRATEGY INDEX TOTAL PORTFOLIO RETURN --------- ----------- 11/9/2010 10,000.00 10,000.00 11/30/2010 9,480.00 9,414.11 12/31/2010 10,464.22 10,420.39 1/31/2011 10,584.27 10,524.91 2/28/2011 10,804.36 10,663.61 3/31/2011 11,009.50 10,883.77 4/30/2011 11,439.87 11,260.68 5/31/2011 10,889.40 10,691.09 6/30/2011 10,337.47 10,151.81 7/31/2011 10,678.04 10,452.48 8/31/2011 10,788.23 10,556.86 9/30/2011 9,186.71 9,001.31 10/31/2011 9,798.49 9,597.04
FROM TOTAL RETURN 11/9/2010 ------------ --------- -2.02% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Dow Jones data provided by Dow Jones Indexes. 160 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 During the period from the Portfolio's inception on November 9, 2010, through fiscal year end, October 31, 2011, commodities initially experienced a period of strong growth erased by sharp drops at both the end of April and September. The commodities market suffered from a troubled Eurozone, a Japanese earthquake, and a series of poor U.S. economic reports. The energy sector, driven by a distressed natural gas market, ended the period slightly negative. The precious metals sector overcame shocks from increases in initial margin requirements on futures contracts to end the period with positive double-digit returns. Wheat dropped dramatically as the global supply levels recovered from a Russian drought and cotton fell from record highs as supplies grew on lowered demand from Chinese manufacturers. The livestock sector produced single digit positive returns. DFA COMMODITY STRATEGY PORTFOLIO The DFA Commodity Strategy Portfolio seeks total return consisting of capital appreciation and current income. The Portfolio generally invests in a universe of allowable commodity-linked derivative instruments and fixed income investments. The Portfolio gains exposure to commodities markets by investing in derivative instruments, swap agreements, and other commodity-linked instruments.The portfolio pursues commodity exposure based on sector weights of the Dow Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the fixed income portion of the Portfolio's investment strategy, Dimensional identifies a broadly-diversified universe of eligible U.S. and foreign fixed income securities with precisely-defined maturity ranges and credit quality characteristics then seeks to purchase a broad and diverse portfolio of securities meeting these credit quality standards. In making these purchase decisions, if the anticipated maturity risk premium is greater for longer-term securities in the eligible maturity range, Dimensional will focus investment in that longer-term area; otherwise, the Portfolio will focus investment in the short-term range of the eligible maturity range. From the Portfolio's inception on November 9, 2010, through October 31, 2011, the total return for the Portfolio was -2.02% and -4.03% for the Dow Jones-UBS Commodity Index Total Return. The Portfolio gained exposure to commodities primarily through the use of commodity swap contracts. To a lesser extent, the Portfolio gained exposure to commodities through the use of commodity futures. The Portfolio's commodity swaps provided exposure to the 19 commodities found in the Dow Jones-UBS Commodity Index Total Return whose returns for the period range from -31% (wheat) to +26% (unleaded gas). While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component had a duration of 1.67 years at October 31, 2011. Starting with the first full month the average allocation during the period of the Portfolio was approximately 71% in U.S. and foreign corporate securities, 16% in U.S. government and U.S. government agency securities, 10% in foreign government securities and 3% in supranational securities. The Portfolio's outperformance was primarily due to the structure of the swap contracts in combination with the duration of the fixed income assets. The time of valuation of currency can create differences between the performance of the Portfolio and the Index. 161 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the period indicated. SIX MONTHS ENDED OCTOBER 31, 2011 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $ 856.53 0.42% $1.97 Hypothetical 5% Annual Return. $1,000.00 $1,023.09 0.42% $2.14 -------- * DFA Commodity Strategy Portfolio commenced operations on November 9, 2010. The Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 162 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 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.......................... 47.3% Government......................... 10.9% Foreign Corporate.................. 22.3% Foreign Government................. 16.5% Supranational...................... 3.0% ----- 100.0% 163 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 FACE AMOUNT^ VALUE+ ------- ----------- (000) BONDS -- (84.7%) AUSTRALIA -- (2.2%) BHP Billiton Finance USA, Ltd. (u) 5.125%, 03/29/12....................................... 525 $ 534,730 (u) 5.500%, 04/01/14....................................... 960 1,064,914 Telstra Corp., Ltd. (u) 6.375%, 04/01/12....................................... 1,250 1,276,694 Westpac Banking Corp., Ltd. (u) 2.250%, 11/19/12....................................... 2,000 2,029,342 ----------- TOTAL AUSTRALIA............................................ 4,905,680 ----------- AUSTRIA -- (0.9%) Oesterreichische Kontrollbank AG (u) 1.375%, 01/21/14....................................... 2,000 2,028,118 ----------- CANADA -- (9.7%) Bank of Nova Scotia (u) 2.375%, 12/17/13....................................... 2,000 2,064,346 Canadian National Railway Co. (u) 4.400%, 03/15/13....................................... 1,150 1,204,506 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13....................................... 625 657,532 Encana Corp. (u) 4.750%, 10/15/13....................................... 1,415 1,497,084 Export Development Canada (u) 2.375%, 03/19/12....................................... 1,000 1,007,271 Manitoba, Province of Canada (u) 2.125%, 04/22/13....................................... 1,500 1,534,872 Ontario, Province of Canada (u) 1.875%, 11/19/12....................................... 1,000 1,013,667 (u) 4.375%, 02/15/13....................................... 600 628,225 (u) 1.375%, 01/27/14....................................... 1,300 1,314,282 (u) 4.100%, 06/16/14....................................... 1,500 1,624,920 Petro-Canada (u) 4.000%, 07/15/13....................................... 200 208,420 Royal Bank of Canada (u) 2.250%, 03/15/13....................................... 1,400 1,432,768 (u) 1.125%, 01/15/14....................................... 1,000 1,001,906 Saskatchewan, Province of Canada (u) 7.375%, 07/15/13....................................... 1,800 1,993,558 Total Capital Canada, Ltd. (u) 1.625%, 01/28/14....................................... 3,000 3,061,653 TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13....................................... 1,525 1,605,447 ----------- TOTAL CANADA............................................... 21,850,457 ----------- FACE AMOUNT^ VALUE+ ------- ----------- (000) FRANCE -- (3.4%) Agence Francaise de Developpement (u) 1.250%, 06/09/14....................................... 2,500 $ 2,500,000 BNP Paribas SA (u) 2.125%, 12/21/12....................................... 1,500 1,483,610 France Telecom SA (u) 4.375%, 07/08/14....................................... 1,500 1,616,276 Total Capital SA (u) 5.000%, 05/22/12....................................... 1,500 1,535,252 Veolia Environnement SA (u) 5.250%, 06/03/13....................................... 425 448,725 ----------- TOTAL FRANCE............................................... 7,583,863 ----------- GERMANY -- (3.0%) Deutsche Bank AG (u) 4.875%, 05/20/13....................................... 1,475 1,527,550 (u) 3.875%, 08/18/14....................................... 250 258,406 Kreditanstalt fuer Wiederaufbau (u) 1.375%, 07/15/13....................................... 1,700 1,725,087 (u) 4.125%, 10/15/14....................................... 2,000 2,186,244 Landwirtschaftliche Rentenbank AG (u) 1.875%, 09/24/12....................................... 1,000 1,012,706 ----------- TOTAL GERMANY.............................................. 6,709,993 ----------- JAPAN -- (1.4%) Japan Finance Corp. (u) 2.125%, 11/05/12....................................... 3,000 3,051,018 ----------- NETHERLANDS -- (1.9%) Bank Nederlandse Gemeenten NV (u) 5.000%, 05/16/14....................................... 2,000 2,199,086 Deutsche Telekom International Finance BV (u) 5.250%, 07/22/13....................................... 525 554,946 Diageo Finance BV (u) 5.500%, 04/01/13....................................... 500 533,183 Nederlandse Waterschapsbank NV (u) 5.375%, 09/04/12....................................... 1,000 1,039,594 ----------- TOTAL NETHERLANDS.......................................... 4,326,809 ----------- 164 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED FACE AMOUNT^ VALUE+ ------- ---------- (000) NORWAY -- (1.3%) Eksportfinans ASA (u) 1.875%, 04/02/13....................................... 2,800 $2,845,724 ---------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.9%) Asian Development Bank (u) 1.625%, 07/15/13....................................... 1,200 1,223,286 European Investment Bank (u) 2.625%, 11/15/11....................................... 1,000 1,000,668 (u) 1.125%, 08/15/14....................................... 1,000 1,009,837 Inter-American Development Bank (u) 1.750%, 10/22/12....................................... 1,300 1,317,001 International Bank for Reconstruction & Development (u) 2.000%, 04/02/12....................................... 1,000 1,007,816 Nordic Investment Bank (u) 1.625%, 01/28/13....................................... 1,000 1,012,819 ---------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS............... 6,571,427 ---------- SWEDEN -- (2.0%) Svensk Exportkredit AB (u) 3.250%, 09/16/14....................................... 4,200 4,460,845 ---------- SWITZERLAND -- (1.5%) Credit Suisse AG (u) 5.000%, 05/15/13....................................... 1,275 1,326,917 (u) 5.500%, 05/01/14....................................... 250 266,608 UBS AG (u) 2.250%, 08/12/13....................................... 1,685 1,680,546 ---------- TOTAL SWITZERLAND.......................................... 3,274,071 ---------- UNITED KINGDOM -- (3.2%) Barclays Bank P.L.C. (u) 5.450%, 09/12/12....................................... 1,000 1,028,158 BP Capital Markets P.L.C. (u) 5.250%, 11/07/13....................................... 1,700 1,838,455 Diageo Capital P.L.C. (u) 5.200%, 01/30/13....................................... 1,175 1,238,855 Network Rail Infrastructure Finance P.L.C. (u) 1.500%, 01/13/14....................................... 3,000 3,050,028 ---------- TOTAL UNITED KINGDOM....................................... 7,155,496 ---------- FACE AMOUNT VALUE+ ------- ---------- (000) UNITED STATES -- (51.3%) 3M Co. 4.375%, 08/15/13....................................... $3,000 $3,207,516 ACE INA Holdings, Inc. 5.875%, 06/15/14....................................... 1,250 1,382,409 Air Products & Chemicals, Inc. 4.150%, 02/01/13....................................... 500 521,894 American Express Credit Corp. 5.875%, 05/02/13....................................... 850 903,913 Anheuser-Busch InBev Worldwide, Inc. 2.500%, 03/26/13....................................... 650 665,301 Archer-Daniels-Midland Co. 7.125%, 03/01/13....................................... 325 350,589 Arrow Electronics, Inc. 6.875%, 07/01/13....................................... 350 376,162 AT&T, Inc. 4.950%, 01/15/13....................................... 900 943,818 6.700%, 11/15/13....................................... 755 838,776 Avery Dennison Corp. 4.875%, 01/15/13....................................... 200 207,599 Baltimore Gas & Electric Co. 6.125%, 07/01/13....................................... 500 537,684 Bank of New York Mellon Corp. (The) 4.500%, 04/01/13....................................... 1,000 1,052,505 5.125%, 08/27/13....................................... 2,150 2,310,773 Baxter International, Inc. 1.800%, 03/15/13....................................... 1,490 1,512,004 BB&T Corp. 3.850%, 07/27/12....................................... 1,100 1,125,104 3.375%, 09/25/13....................................... 750 778,993 BlackRock, Inc. 2.250%, 12/10/12....................................... 1,400 1,420,346 Boeing Capital Corp. 5.800%, 01/15/13....................................... 950 1,008,827 Boeing Co. (The) 1.875%, 11/20/12....................................... 550 558,109 Bristol-Myers Squibb Co. 5.250%, 08/15/13....................................... 1,175 1,266,633 Burlington Northern Santa Fe LLC 4.300%, 07/01/13....................................... 1,200 1,262,612 Campbell Soup Co. 5.000%, 12/03/12....................................... 350 365,776 4.875%, 10/01/13....................................... 270 290,759 Capital One Financial Corp. 4.800%, 02/21/12....................................... 350 353,246 6.250%, 11/15/13....................................... 150 161,634 165 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) Caterpillar Financial Services Corp. 2.000%, 04/05/13........................................ $ 400 $ 406,648 6.200%, 09/30/13........................................ 1,250 1,370,496 CenterPoint Energy Resources Corp. 7.875%, 04/01/13........................................ 425 462,293 Charles Schwab Corp. (The) 4.950%, 06/01/14........................................ 1,550 1,703,869 Chubb Corp. (The) 5.200%, 04/01/13........................................ 525 552,530 Cisco Systems, Inc. 1.625%, 03/14/14........................................ 1,850 1,884,921 Citigroup, Inc. 6.500%, 08/19/13........................................ 625 662,091 6.375%, 08/12/14........................................ 250 269,886 Coca-Cola Co. (The) 0.750%, 11/15/13........................................ 1,075 1,077,993 Coca-Cola Refreshments USA, Inc. 3.750%, 03/01/12........................................ 450 454,344 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13........................................ 775 850,782 Computer Sciences Corp. 5.000%, 02/15/13........................................ 850 883,646 ConocoPhillips 4.750%, 10/15/12........................................ 1,450 1,504,628 Consolidated Edison Co. of New York, Inc. 4.875%, 02/01/13........................................ 350 367,120 COX Communications, Inc. 7.125%, 10/01/12........................................ 800 843,483 CSX Corp. 5.500%, 08/01/13........................................ 425 454,823 Daimler Finance North America LLC 6.500%, 11/15/13........................................ 1,300 1,425,227 Dell, Inc. 4.700%, 04/15/13........................................ 1,140 1,202,908 2.100%, 04/01/14........................................ 500 512,875 Dominion Resources, Inc. 5.000%, 03/15/13........................................ 425 447,345 Dow Chemical Co. (The) 6.000%, 10/01/12........................................ 325 339,064 Dr. Pepper Snapple Group, Inc. 2.350%, 12/21/12........................................ 600 609,095 FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) Duke Energy Ohio, Inc. 5.700%, 09/15/12........................................ $ 425 $ 442,900 E.I. Du Pont de Nemours & Co. 4.750%, 11/15/12........................................ 350 364,710 eBay, Inc. 0.875%, 10/15/13........................................ 1,435 1,439,520 Emerson Electric Co. 5.625%, 11/15/13........................................ 1,200 1,309,511 Energy Transfer Partners LP 6.000%, 07/01/13........................................ 425 452,179 Enterprise Products Operating LLC 7.625%, 02/15/12........................................ 650 660,684 5.600%, 10/15/14........................................ 666 734,202 EOG Resources, Inc. 6.125%, 10/01/13........................................ 1,410 1,546,097 Exelon Generation Co. LLC 5.350%, 01/15/14........................................ 1,100 1,176,014 Express Scripts, Inc. 5.250%, 06/15/12........................................ 425 435,689 Fifth Third Bancorp 6.250%, 05/01/13........................................ 875 928,256 General Dynamics Corp. 4.250%, 05/15/13........................................ 920 970,274 General Electric Capital Corp. 2.800%, 01/08/13........................................ 2,000 2,040,180 2.100%, 01/07/14........................................ 600 606,815 General Electric Co. 5.000%, 02/01/13........................................ 1,000 1,048,667 General Mills, Inc. 6.000%, 02/15/12........................................ 425 431,265 Georgia Power Co. 6.000%, 11/01/13........................................ 825 906,047 GlaxoSmithKline Capital, Inc. 4.850%, 05/15/13........................................ 1,300 1,384,985 Goldman Sachs Group, Inc.(The) 5.250%, 10/15/13........................................ 1,500 1,563,090 Hess Corp. 7.000%, 02/15/14........................................ 175 195,713 Hewlett-Packard Co. 1.250%, 09/13/13........................................ 1,500 1,506,561 HSBC Finance Corp. 4.750%, 07/15/13........................................ 1,775 1,850,528 International Business Machines Corp. 2.100%, 05/06/13........................................ 1,270 1,299,296 John Deere Capital Corp. 1.875%, 06/17/13........................................ 1,525 1,561,283 166 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) KeyCorp 6.500%, 05/14/13............................. $1,000 $1,069,500 Kimberly-Clark Corp. 5.000%, 08/15/13............................. 1,000 1,069,921 Kinder Morgan Energy Partners LP 7.125%, 03/15/12............................. 425 433,620 5.850%, 09/15/12............................. 1,000 1,035,432 Kraft Foods, Inc. 6.250%, 06/01/12............................. 555 572,522 Kroger Co. (The) 5.500%, 02/01/13............................. 640 671,480 MetLife, Inc. 5.375%, 12/15/12............................. 1,125 1,173,568 2.375%, 02/06/14............................. 420 430,845 Microsoft Corp. 0.875%, 09/27/13............................. 1,300 1,313,358 National Rural Utilities Cooperative Finance Corp. 7.250%, 03/01/12............................. 283 289,187 Nestle Holdings, Inc. 2.000%, 01/28/13............................. 2,000 2,036,752 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13............................. 750 765,529 Northern Trust Corp. 5.500%, 08/15/13............................. 1,343 1,456,731 Nucor Corp. 4.875%, 10/01/12............................. 440 455,172 Occidental Petroleum Corp. 1.450%, 12/13/13............................. 1,000 1,018,608 Paccar Financial Corp. 2.050%, 06/17/13............................. 300 305,679 Packaging Corp. of America 5.750%, 08/01/13............................. 525 563,149 PepsiCo, Inc. 0.875%, 10/25/13............................. 1,685 1,686,088 Philip Morris International, Inc. 4.875%, 05/16/13............................. 1,425 1,509,816 6.875%, 03/17/14............................. 100 113,821 Pitney Bowes, Inc. 3.875%, 06/15/13............................. 450 465,961 PNC Funding Corp. 5.400%, 06/10/14............................. 1,600 1,757,079 Praxair, Inc. 6.375%, 04/01/12............................. 425 435,076 2.125%, 06/14/13............................. 1,000 1,022,356 FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) Principal Financial Group, Inc. 7.875%, 05/15/14............................. $1,158 $1,316,991 Prudential Financial, Inc. 5.800%, 06/15/12............................. 350 358,483 3.625%, 09/17/12............................. 300 306,658 4.500%, 07/15/13............................. 100 104,994 Reynolds American, Inc. 7.250%, 06/01/13............................. 900 977,982 Ryder System, Inc. 5.000%, 06/15/12............................. 525 537,509 Safeway, Inc. 5.800%, 08/15/12............................. 425 439,908 Sara Lee Corp. 3.875%, 06/15/13............................. 650 673,371 Spectra Energy Capital LLC 5.668%, 08/15/14............................. 380 415,840 St. Jude Medical, Inc. 2.200%, 09/15/13............................. 425 433,308 State Street Corp. 4.300%, 05/30/14............................. 1,400 1,512,792 SunTrust Banks, Inc. 5.250%, 11/05/12............................. 525 541,233 Target Corp. 4.000%, 06/15/13............................. 1,200 1,264,784 Texas Instruments, Inc. 0.875%, 05/15/13............................. 700 702,075 Time Warner Cable, Inc. 6.200%, 07/01/13............................. 425 459,528 Toyota Motor Credit Corp. 1.375%, 08/12/13............................. 2,900 2,936,418 Travelers Property Casualty Corp. 5.000%, 03/15/13............................. 1,400 1,469,295 Unilever Capital Corp. 3.650%, 02/15/14............................. 1,275 1,357,433 Union Bank NA 2.125%, 12/16/13............................. 1,400 1,419,292 United Technologies Corp. 6.100%, 05/15/12............................. 250 257,091 UnitedHealth Group, Inc. 5.000%, 08/15/14............................. 1,170 1,278,371 Valero Energy Corp. 6.875%, 04/15/12............................. 875 897,776 Verizon Communications, Inc. 4.350%, 02/15/13............................. 750 783,800 5.250%, 04/15/13............................. 775 824,476 Wal-Mart Stores, Inc. 1.625%, 04/15/14............................. 4,300 4,409,469 167 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT VALUE+ ----------- ------------ (000) UNITED STATES -- (Continued) Walt Disney Co. (The) 4.700%, 12/01/12................................... $ 725 $ 758,638 Waste Management, Inc. 6.375%, 11/15/12................................... 425 448,783 ------------ TOTAL UNITED STATES.................................... 115,081,063 ------------ TOTAL BONDS............................................ 189,844,564 ------------ AGENCY OBLIGATIONS -- (4.5%) Federal Home Loan Bank 0.875%, 12/27/13................................... 1,500 1,512,556 Federal Home Loan Mortgage Corporation 1.375%, 02/25/14................................... 2,000 2,039,352 Federal National Mortgage Association 2.750%, 03/13/14................................... 3,700 3,897,436 Tennessee Valley Authority 6.000%, 03/15/13................................... 2,400 2,584,291 ------------ TOTAL AGENCY OBLIGATIONS............................... 10,033,635 ------------ U.S. TREASURY OBLIGATIONS -- (5.9%) U.S. Treasury Note ^^@@ 0.625%, 12/31/12................................. 13,200 13,267,030 ------------ SHARES/ FACE AMOUNT ----------- (000) TEMPORARY CASH INVESTMENTS -- (4.9%) Citibank-US Dollars on Deposit in Custody Account...... 11,001,450 11,001,450 ------------ VALUE+ ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $223,287,867).................................. $224,146,679 ============
168 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of inputs used to value the Portfolio's investments as of October 31, 2011 is as follows (See Security Valuation Note): VALUATION INPUTS ---------------------------------------------- INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Bonds.......................... -- $189,844,564 -- $189,844,564 Agency Obligations............. -- 10,033,635 -- 10,033,635 U.S. Treasury Obligations...... -- 13,267,030 -- 13,267,030 Temporary Cash Investments..... $11,001,450 -- -- 11,001,450 Swap Agreements**.............. (2,069,150) -- (2,069,150) Futures Contracts**............ 37,476 -- -- 37,476 ----------- ------------ -- ------------ TOTAL.......................... $11,038,926 $211,076,079 -- $222,115,005 =========== ============ == ============ ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Schedules of Investments. 169 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments at Value............................................. $ 213,145 Temporary Cash Investments at Value & Cost....................... 11,002 Cash............................................................. 2,557 Receivables: Investment Securities Sold.................................... 792 Due From Broker............................................... 2,583 Interest...................................................... 1,927 Fund Shares Sold.............................................. 1,085 Prepaid Expenses and Other Assets................................ 13 Deferred Offering Costs.......................................... 1 ------------ Total Assets.............................................. 233,105 ------------ LIABILITIES: Payables: Fund Shares Redeemed.......................................... 153 Due to Advisor................................................ 55 Futures Margin Variation...................................... 10 Unrealized Loss on Swap Contracts................................ 2,069 Accrued Expenses and Other Liabilities........................... 37 ------------ Total Liabilities......................................... 2,324 ------------ NET ASSETS....................................................... $ 230,781 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 23,612,416 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 9.77 ============ Investments at Cost.............................................. $ 212,286 ------------ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 231,579 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 231 Accumulated Net Realized Gain (Loss)............................. 144 Net Unrealized Appreciation (Depreciation)....................... (1,173) ------------ NET ASSETS....................................................... $ 230,781 ============ (1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000 ============ See accompanying Notes to Financial Statements. 170 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD NOVEMBER 9, 2010(a) TO OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Interest.......................................................... $ 1,921 -------- Total Investment Income.................................... 1,921 -------- EXPENSES Investment Advisory Services Fees................................. 625 Accounting & Transfer Agent Fees.................................. 47 Custodian Fees.................................................... 7 Filing Fees....................................................... 31 Shareholders' Reports............................................. 9 Directors'/Trustees' Fees & Expenses.............................. 1 Professional Fees................................................. 10 Organizational & Offering Costs................................... 189 Other............................................................. 1 -------- Total Expenses............................................. 920 -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D)................................... (104) Fees Paid Indirectly.............................................. (1) -------- Net Expenses...................................................... 815 -------- NET INVESTMENT INCOME (LOSS)...................................... 1,106 -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................... 227 Futures....................................................... (1,328) Swap Contracts................................................ (10,020) Change in Unrealized Appreciation (Depreciation) of: Investment Securities......................................... 859 Futures....................................................... 37 Swap Contracts................................................ (2,069) -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (12,294) -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...... $(11,188) ======== -------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 171 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) PERIOD NOVEMBER 9, 2010(a) TO OCTOBER 31, 2011 ------------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)............................ $ 1,106 Net Realized Gain (Loss) on: Investment Securities Sold.......................... 227 Futures............................................. (1,328) Swap Contracts...................................... (10,020) Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................... 859 Futures............................................. 37 Swap Contracts...................................... (2,069) -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... (11,188) -------- Distributions From: Net Investment Income: Institutional Shares................................ (574) -------- Total Distributions.............................. (574) -------- Capital Share Transactions (1): Shares Issued........................................... 278,288 Shares Issued in Lieu of Cash Distributions............. 559 Shares Redeemed......................................... (36,304) -------- Net Increase (Decrease) from Capital Share Transactions...................................... 242,543 -------- Total Increase (Decrease) in Net Assets............. 230,781 NET ASSETS Beginning of Period..................................... -- -------- End of Period........................................... $230,781 ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued........................................... 27,085 Shares Issued in Lieu of Cash Distributions............. 52 Shares Redeemed......................................... (3,525) -------- Net Increase (Decrease) from Shares Issued and Redeemed............................ 23,612 ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)...................... $ 231 -------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 172 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) PERIOD NOVEMBER 9, 2010(a) TO OCT. 31, 2011 ------------------- Net Asset Value, Beginning of Period................... $ 10.00 -------- Income from Investment Operations Net Investment Income (Loss)(A)..................... 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... (0.27) -------- Total from Investment Operations................ (0.20) -------- Less Distributions Net Investment Income............................... (0.03) -------- Total Distributions............................. (0.03) -------- Net Asset Value, End of Period......................... $ 9.77 ======== Total Return........................................... (2.02)%(C) -------- Net Assets, End of Period (thousands).................. $230,781 Ratio of Expenses to Average Net Assets................ 0.47%(B)(E)(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).. 0.53%(B)(E)(D) Ratio of Net Investment Income to Average Net Assets... 0.64%(B)(E)(D) Portfolio Turnover Rate................................ 50%(C) See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 173 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund 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. 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 . 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. 174 The Portfolio did not have any significant transfers between Level 1 and Level 2 during the period ended October 31, 2011. 2. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors 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 October 31, 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 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. C. BASIS FOR CONSOLIDATION: The Subsidiary commenced operations on November 9, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting 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 October 31, 2011, the Portfolio held $43,496,161 in the Subsidiary, representing 18.66% of the Portfolio's total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses 175 of the Portfolio and its wholly-owned Subsidiary. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. INVESTMENT ADVISOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Portfolio. For the period ended October 31, 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 October 31, 2011, there were no previously waived fees subjected to future recovery by the Advisor. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. For the period ended October 31, 2011, approximately $104 (in thousands) of the Subsidiary management fees was waived pursuant to the Subsidiary fee waiver agreement. EARNED INCOME CREDIT: In addition, the Portfolio has entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the period ended October 31, 2011, expenses reduced were as follows (amounts in thousands): FEES PAID INDIRECTLY ---------- DFA Commodity Strategy Portfolio. $1 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the period ended October 31, 2011, the total related amounts paid by the Fund to the CCO were $221 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. 176 E. DEFERRED COMPENSATION: At October 31, 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 October 31, 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 --------- ------- --------- ------- $193,041. $56,939 $42,797 $29,550 G. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from these amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2011, primarily attributable to adjustments between financial and tax reporting related to the Subsidiary, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for tax purposes and non-deductible offering costs, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS (LOSSES) --------------- -------------- -------------- DFA Commodity Strategy Portfolio. $(10,964) $(301) $11,265 The Portfolio commenced operations on November 9, 2010 and did not pay any distributions for the period ended October 31, 2010. The tax character of dividends and distributions declared and paid during the period ended October 31, 2011 was as follows (amounts in thousands): NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ----- DFA Commodity Strategy Portfolio 2011....... $636 -- $636 177 At October 31, 2011, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ----- DFA Commodity Strategy Portfolio............ $62 -- $62 At October 31, 2011 the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED CAPITAL EARNINGS SHORT-TERM LONG-TERM LOSS (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- DFA Commodity Strategy Portfolio............ $503 -- -- $503 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, 2011, the Portfolio did not have any capital loss carryforwards. At October 31, 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) -------- ------------ -------------- -------------- $223,288 $1,001 $(142) $859 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 more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. H. FINANCIAL INSTRUMENTS: In accordance with the 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. 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. 178 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. 2. 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. 3. 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 179 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. 4. 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. 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. 5. Futures Contracts: A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization or production weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract. The Portfolio is required to segregate with its futures commission merchant an amount of cash or securities acceptable to the broker equal to approximately 1% to 10% of the contract amount. This amount is known as "initial margin" and is in the nature of a performance bond or good faith deposit on the contract which is returned to the Portfolio upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker, will be made daily as the currency, financial instrument 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. 180 At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio's existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price and subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio's performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio's investments in the contracts to greater volatility than investments in traditional securities. 6. Options on Futures Contracts: The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer's futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change would be reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. At October 31, 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) ---------------------------------- ---------- ---------- -------- ----------- CBT Wheat Futures 03/16/12 4 $133 $(1) Copper Futures 03/30/12 2 183 (2) Corn Futures 03/16/12 7 231 -- Gold 100oz Futures 02/29/12 2 345 (2) Live Cattle Futures 03/09/12 3 146 (1) LME Prime Aluminum Futures 12/21/11 2 111 -- Natural Gas Futures 01/31/12 8 324 7 181 EXPIRATION NUMBER OF CONTRACT UNREALIZED DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) ----------- ---------- ---------- -------- ----------- Soybean Futures 01/18/12 4 $ 243 $ 7 WTI Crude Oil Futures 01/31/12 4 372 29 ------ --- $2,088 $37 ====== === Dimensional Cayman Commodity Fund I, LTD. securities have been segregated as collateral for open futures contracts. * During the period ended October 31, 2011 the Dimensional Cayman Commodity Fund I, LTD.'s average notional contract amount of outstanding futures contracts was $3,700 (in thousands). At October 31, 2011, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding commodity index total return swaps (dollar amounts in thousands): UNREALIZED EXPIRATION NOTIONAL APPRECIATION COUNTERPARTY DATE AMOUNT* (DEPRECIATION) ------------ ---------- --- -------- -------------- Citibank, N.A. 11/28/11 USD $ 91,741 $ (828) Deutsche Bank AG, London Branch 11/28/11 USD 80,137 (725) UBS AG 11/28/11 USD 57,040 (516) -------- ------- $228,918 $(2,069) ======== ======= * During the period ended October 31, 2011 the Portfolio's average notional value of outstanding swap contracts was $172,187 (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 October 31, 2011. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 2011: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES ----------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- ------------------ - --------------------- Commodity contracts Payables: Futures Margin Variation Other contracts Unrealized Loss on Swap Contracts 182 The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of October 31, 2011 (amounts in thousands):
ASSET DERIVATIVES VALUE LIABILITY DERIVATIVES VALUE ----------------------- --------------------------- TOTAL VALUE AT COMMODITY OTHER OCT. 31, 2011 CONTRACTS CONTRACTS ------------- ----------------------- --------------------------- Dimensional Cayman Commodity Fund I, LTD................. $(2,032) $37* $(2,069)
* 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 October 31, 2011 (amounts in thousands): LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED DERIVATIVE TYPE IN INCOME --------------- -------------------------------------------------- Commodity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures 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 October 31, 2011 (amounts in thousands): REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------- COMMODITY OTHER TOTAL CONTRACTS CONTRACTS -------- --------- --------- Dimensional Cayman Commodity Fund I, LTD... $(11,348) $(1,328) $(10,020) CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------- COMMODITY OTHER TOTAL CONTRACTS CONTRACTS -------- --------- --------- Dimensional Cayman Commodity Fund I, LTD... $ (2,032) $ 37 $ (2,069) I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 22, 2012. There were no borrowings by the Portfolio under this line of credit during the period ended October 31, 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 183 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. The Fund, together with other Dimensional-advised portfolios, expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. There were no borrowings by the Portfolio under this line of credit during the period ended October 31, 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 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. Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. L. OTHER: At October 31, 2011, two shareholders held 84% of the outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. DFA Commodity Strategy Portfolio is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 184 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. 185 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF DFA COMMODITY STRATEGY PORTFOLIO AND ITS SUBSIDIARY AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of DFA Commodity Strategy Portfolio and its subsidiary (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolio") at October 31, 2011, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2011 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2011 186 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS DFA INTERNATIONAL VALUE PORTFOLIO CLASS R2 VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) APRIL 30, 2008-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
DFA INTERNATIONAL MSCI VALUE WORLD EX PORTFOLIO--CLASS USA INDEX R2 (NET DIV.) ---------------- ---------- 4/30/2008 10,000.00 10,000.00 5/31/2008 10,000.00 10,151.75 6/30/2008 9,005.63 9,362.32 7/31/2008 8,751.65 9,029.15 8/31/2008 8,381.27 8,679.97 9/30/2008 7,404.32 7,426.77 10/31/2008 5,537.15 5,881.85 11/30/2008 5,193.76 5,562.88 12/31/2008 5,593.53 5,856.13 1/31/2009 4,819.37 5,309.71 2/28/2009 4,219.68 4,772.20 3/31/2009 4,685.54 5,086.67 4/30/2009 5,539.45 5,742.64 5/31/2009 6,360.51 6,468.89 6/30/2009 6,268.44 6,401.90 7/31/2009 7,006.57 7,003.02 8/31/2009 7,404.03 7,338.64 9/30/2009 7,788.56 7,641.43 10/31/2009 7,467.38 7,518.76 11/30/2009 7,685.32 7,704.79 12/31/2009 7,769.19 7,827.61 1/31/2010 7,316.28 7,460.70 2/28/2010 7,339.51 7,453.22 3/31/2010 7,920.50 7,933.01 4/30/2010 7,780.93 7,814.73 5/31/2010 6,873.74 6,952.37 6/30/2010 6,750.52 6,851.80 7/31/2010 7,583.77 7,485.08 8/31/2010 7,209.41 7,261.35 9/30/2010 7,990.20 7,957.91 10/31/2010 8,258.57 8,241.40 11/30/2010 7,836.12 7,892.38 12/31/2010 8,567.30 8,527.89 1/31/2011 8,930.68 8,711.60 2/28/2011 9,224.18 9,034.62 3/31/2011 8,966.26 8,853.63 4/30/2011 9,442.59 9,335.82 5/31/2011 9,097.02 9,059.06 6/30/2011 8,968.49 8,930.04 7/31/2011 8,679.03 8,782.73 8/31/2011 7,744.22 8,040.21 9/30/2011 6,896.00 7,232.79 10/31/2011 7,554.58 7,936.21
ONE FROM AVERAGE ANNUAL TOTAL RETURN YEAR 4/30/2008 --------------------------- ----- --------- -8.53% -7.69% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved DFA INTERNATIONAL VALUE PORTFOLIO INSTITUTIONAL CLASS VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
DFA INTERNATIONAL VALUE MSCI PORTFOLIO- WORLD EX INSTITUTIONAL USA INDEX CLASS (NET DIV.) ------------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,362.17 10,393.05 12/31/2001 10,405.52 10,459.69 1/31/2002 10,175.21 9,927.67 2/28/2002 10,290.36 9,988.19 3/31/2002 10,928.93 10,519.13 4/30/2002 11,295.32 10,581.25 5/31/2002 11,672.18 10,719.90 6/30/2002 11,344.01 10,283.85 7/31/2002 10,181.06 9,261.52 8/31/2002 10,170.49 9,247.14 9/30/2002 8,961.37 8,266.41 10/31/2002 9,216.50 8,700.64 11/30/2002 9,769.28 9,101.20 12/31/2002 9,518.51 8,807.06 1/31/2003 9,198.02 8,471.49 2/28/2003 9,016.41 8,304.50 3/31/2003 8,794.46 8,144.45 4/30/2003 9,757.35 8,926.06 5/31/2003 10,495.57 9,479.67 6/30/2003 10,833.22 9,709.96 7/31/2003 11,321.21 9,932.72 8/31/2003 11,614.00 10,188.84 9/30/2003 12,059.61 10,494.52 10/31/2003 13,006.52 11,151.70 11/30/2003 13,278.63 11,404.48 12/31/2003 14,270.65 12,278.97 1/31/2004 14,632.07 12,449.94 2/29/2004 15,070.15 12,736.28 3/31/2004 15,304.54 12,800.04 4/30/2004 14,844.42 12,464.99 5/31/2004 14,986.84 12,523.26 6/30/2004 15,606.98 12,812.46 7/31/2004 15,031.41 12,421.74 8/31/2004 15,219.58 12,473.38 9/30/2004 15,705.82 12,836.97 10/31/2004 16,306.89 13,298.30 11/30/2004 17,509.04 14,182.70 12/31/2004 18,380.42 14,781.87 1/31/2005 18,189.54 14,490.86 2/28/2005 18,908.14 15,135.50 3/31/2005 18,435.37 14,791.94 4/30/2005 17,873.66 14,414.77 5/31/2005 17,896.13 14,441.06 6/30/2005 18,178.02 14,677.11 7/31/2005 18,986.18 15,151.11 8/31/2005 19,612.23 15,569.39 9/30/2005 20,159.53 16,279.93 10/31/2005 19,850.79 15,753.88 11/30/2005 20,205.27 16,171.07 12/31/2005 21,187.12 16,920.86 1/31/2006 22,630.90 17,991.10 2/28/2006 22,842.18 17,930.68 3/31/2006 23,804.70 18,499.33 4/30/2006 25,001.98 19,383.92 5/31/2006 23,992.51 18,647.48 6/30/2006 23,828.07 18,623.47 7/31/2006 24,197.22 18,797.96 8/31/2006 25,018.88 19,332.22 9/30/2006 25,369.06 19,316.65 10/31/2006 26,489.34 20,080.04 11/30/2006 27,356.66 20,678.14 12/31/2006 28,421.80 21,271.04 1/31/2007 28,950.17 21,400.80 2/28/2007 28,925.60 21,572.00 3/31/2007 29,852.73 22,124.75 4/30/2007 31,352.74 23,131.37 5/31/2007 32,422.42 23,645.05 6/30/2007 32,185.65 23,668.78 7/31/2007 31,286.40 23,341.60 8/31/2007 30,924.20 23,003.73 9/30/2007 32,533.65 24,310.66 10/31/2007 34,103.20 25,367.46 11/30/2007 32,031.39 24,375.45 12/31/2007 31,333.30 23,917.24 1/31/2008 28,795.20 21,760.83 2/29/2008 28,421.57 22,155.18 3/31/2008 28,763.38 21,838.92 4/30/2008 30,040.32 23,052.85 5/31/2008 30,053.22 23,402.67 6/30/2008 27,069.62 21,582.81 7/31/2008 26,303.37 20,814.76 8/31/2008 25,193.64 20,009.79 9/30/2008 22,253.20 17,120.81 10/31/2008 16,669.96 13,559.35 11/30/2008 15,646.36 12,824.03 12/31/2008 16,816.00 13,500.05 1/31/2009 14,499.79 12,240.40 2/28/2009 12,719.11 11,001.28 3/31/2009 14,100.57 11,726.22 4/30/2009 16,689.93 13,238.41 5/31/2009 19,171.95 14,912.63 6/30/2009 18,884.57 14,758.20 7/31/2009 21,119.10 16,143.96 8/31/2009 22,318.12 16,917.67 9/30/2009 23,466.32 17,615.66 10/31/2009 22,522.19 17,332.88 11/30/2009 23,178.97 17,761.74 12/31/2009 23,450.30 18,044.88 1/31/2010 22,088.67 17,199.03 2/28/2010 22,157.44 17,181.80 3/31/2010 23,923.99 18,287.85 4/30/2010 23,511.03 18,015.17 5/31/2010 20,744.22 16,027.20 6/30/2010 20,383.76 15,795.35 7/31/2010 22,926.49 17,255.24 8/31/2010 21,794.84 16,739.48 9/30/2010 24,129.10 18,345.25 10/31/2010 24,984.84 18,998.78 11/30/2010 23,708.25 18,194.20 12/31/2010 25,929.39 19,659.22 1/31/2011 27,029.77 20,082.72 2/28/2011 27,918.54 20,827.38 3/31/2011 27,148.65 20,410.15 4/30/2011 28,591.67 21,521.72 5/31/2011 27,558.92 20,883.72 6/30/2011 27,174.46 20,586.29 7/31/2011 26,296.93 20,246.71 8/31/2011 23,477.35 18,534.99 9/30/2011 20,907.88 16,673.65 10/31/2011 22,920.48 18,295.22
ONE FIVE TEN AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS --------------------------- ----- ----- ----- -8.26% -2.85% 8.65% Past performance is not predictive of future performance The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
U.S. LARGE COMPANY S&P 500 PORTFOLIO INDEX ---------- --------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,771.08 10,767.06 12/31/2001 10,860.75 10,861.39 1/31/2002 10,703.52 10,702.88 2/28/2002 10,497.92 10,496.48 3/31/2002 10,884.59 10,891.24 4/30/2002 10,217.94 10,230.93 5/31/2002 10,145.22 10,155.55 6/30/2002 9,423.98 9,432.08 7/31/2002 8,694.38 8,696.90 8/31/2002 8,743.02 8,754.00 9/30/2002 7,798.60 7,802.62 10/31/2002 8,482.05 8,489.37 11/30/2002 8,982.43 8,989.05 12/31/2002 8,446.22 8,460.85 1/31/2003 8,225.24 8,239.18 2/28/2003 8,102.47 8,115.59 3/31/2003 8,177.38 8,194.39 4/30/2003 8,854.72 8,869.36 5/31/2003 9,322.70 9,336.69 6/30/2003 9,444.30 9,456.20 7/31/2003 9,605.00 9,622.91 8/31/2003 9,790.43 9,810.56 9/30/2003 9,679.40 9,706.37 10/31/2003 10,237.83 10,255.46 11/30/2003 10,324.70 10,345.71 12/31/2003 10,855.60 10,888.24 1/31/2004 11,055.25 11,088.09 2/29/2004 11,204.98 11,242.21 3/31/2004 11,042.49 11,072.57 4/30/2004 10,867.41 10,898.73 5/31/2004 11,017.48 11,048.26 6/30/2004 11,233.83 11,263.03 7/31/2004 10,857.27 10,890.23 8/31/2004 10,894.93 10,934.12 9/30/2004 11,014.12 11,052.53 10/31/2004 11,177.95 11,221.41 11/30/2004 11,631.62 11,675.43 12/31/2004 12,025.07 12,072.75 1/31/2005 11,732.71 11,778.48 2/28/2005 11,986.94 12,026.29 3/31/2005 11,770.56 11,813.31 4/30/2005 11,554.00 11,589.21 5/31/2005 11,910.69 11,957.98 6/30/2005 11,932.24 11,974.96 7/31/2005 12,379.86 12,420.43 8/31/2005 12,264.76 12,307.15 9/30/2005 12,363.17 12,406.84 10/31/2005 12,157.55 12,200.02 11/30/2005 12,620.20 12,661.42 12/31/2005 12,623.40 12,665.86 1/31/2006 12,959.68 13,001.25 2/28/2006 12,985.55 13,036.48 3/31/2006 13,148.95 13,198.78 4/30/2006 13,330.49 13,376.04 5/31/2006 12,941.47 12,991.08 6/30/2006 12,966.82 13,008.75 7/31/2006 13,045.01 13,089.01 8/31/2006 13,357.78 13,400.44 9/30/2006 13,694.51 13,745.77 10/31/2006 14,139.65 14,193.75 11/30/2006 14,401.49 14,463.71 12/31/2006 14,608.19 14,666.60 1/31/2007 14,832.12 14,888.41 2/28/2007 14,542.33 14,597.21 3/31/2007 14,695.78 14,760.48 4/30/2007 15,356.56 15,414.30 5/31/2007 15,885.18 15,952.18 6/30/2007 15,628.67 15,687.17 7/31/2007 15,137.37 15,200.79 8/31/2007 15,363.11 15,428.65 9/30/2007 15,938.92 16,005.68 10/31/2007 16,192.34 16,260.33 11/30/2007 15,512.10 15,580.49 12/31/2007 15,414.56 15,472.36 1/31/2008 14,488.08 14,544.02 2/29/2008 14,018.12 14,071.48 3/31/2008 13,965.17 14,010.69 4/30/2008 14,639.17 14,693.01 5/31/2008 14,827.89 14,884.02 6/30/2008 13,583.93 13,629.30 7/31/2008 13,475.59 13,514.68 8/31/2008 13,665.19 13,710.10 9/30/2008 12,461.90 12,488.39 10/31/2008 10,378.11 10,390.97 11/30/2008 9,642.65 9,645.41 12/31/2008 9,748.12 9,748.04 1/31/2009 8,935.77 8,926.41 2/28/2009 7,985.75 7,975.93 3/31/2009 8,686.34 8,674.58 4/30/2009 9,517.57 9,504.83 5/31/2009 10,057.87 10,036.43 6/30/2009 10,070.45 10,056.30 7/31/2009 10,836.53 10,816.94 8/31/2009 11,226.54 11,207.43 9/30/2009 11,647.20 11,625.69 10/31/2009 11,423.21 11,409.72 11/30/2009 12,109.16 12,094.07 12/31/2009 12,343.01 12,327.73 1/31/2010 11,906.21 11,884.30 2/28/2010 12,272.56 12,252.44 3/31/2010 13,016.13 12,991.80 4/30/2010 13,213.98 13,196.90 5/31/2010 12,154.04 12,143.13 6/30/2010 11,518.63 11,507.46 7/31/2010 12,326.21 12,313.71 8/31/2010 11,773.66 11,757.82 9/30/2010 12,820.46 12,807.13 10/31/2010 13,304.79 13,294.43 11/30/2010 13,304.79 13,296.13 12/31/2010 14,194.10 14,184.73 1/31/2011 14,538.20 14,520.92 2/28/2011 15,025.67 15,018.39 3/31/2011 15,043.10 15,024.36 4/30/2011 15,474.54 15,469.30 5/31/2011 15,301.97 15,294.21 6/30/2011 15,042.48 15,039.27 7/31/2011 14,739.03 14,733.46 8/31/2011 13,944.28 13,933.12 9/30/2011 12,957.05 12,953.65 10/31/2011 14,380.58 14,369.39
ONE FIVE TEN AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS --------------------------- ---- ----- ----- 8.09% 0.34% 3.70% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. 187 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The one-year period ending October 31, 2011, was characterized by levels of volatility in non-US developed markets not seen since 2008-09. While broad market returns were positive through April 2011, stocks dropped for five out of the next six months to end the period in negative territory, with stocks represented by the MSCI World ex USA Index (net dividends) returning -3.70% overall. The slide in August and September, accompanied by poor US economic data and European debt worries among other factors, produced some of the lowest monthly returns since 2008. October's rally produced some of the best monthly returns since early 2009. As measured by the MSCI indices below, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ----------- MSCI World ex USA Index........................... -3.70% MSCI World ex USA Small Cap Index................. -2.01% MSCI World ex USA Value Index..................... -4.74% MSCI World ex USA Growth Index.................... -2.73% -------- The US dollar (USD) generally depreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the euro and British pound, it fell significantly against the Swiss franc and Australian dollar, and to a lesser extent, against the Japanese yen. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL TEN LARGEST FOREIGN DEVELOPED MARKETS CURRENCY U.S. DOLLAR BY MARKET CAP RETURN RETURN ------------------------------------- -------- ----------- United Kingdom.................................... 1.14% 2.10% Japan............................................. -5.45% -2.33% Canada............................................ -2.57% -0.18% France............................................ -11.83% -11.52% Australia......................................... -4.39% 3.49% Switzerland....................................... -9.66% 2.03% Germany........................................... -7.39% -7.07% Spain............................................. -15.21% -14.91% Sweden............................................ -7.75% -4.35% Hong Kong......................................... -8.67% -8.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. Losses in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2011, returns in USD were -7.72% for the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks underperformed their value counterparts, while emerging markets small cap stocks underperformed large caps. 188 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ----------- MSCI Emerging Markets Index....................... -7.72% MSCI Emerging Markets Small Cap Index............. -16.70% MSCI Emerging Markets Value Index................. -6.99% MSCI Emerging Markets Growth Index................ -8.45% -------- The US dollar (USD) generally appreciated against most major emerging markets currencies during the period. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN ------------------------------------------ -------- ----------- China............................................. -15.62% -15.76% Brazil............................................ -12.71% -12.57% South Korea....................................... 4.63% 6.24% Taiwan............................................ -5.30% -3.07% South Africa...................................... 10.15% -2.95% India............................................. -12.30% -19.99% Russia............................................ -1.24% 0.22% Mexico............................................ 5.26% -1.38% Malaysia.......................................... 2.08% 3.53% Indonesia......................................... 3.92% 4.92% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. MASTER-FEEDER STRUCTURE The Portfolio described below, called a "Feeder Fund," does not buy individual securities directly; instead, the Portfolio invests in a corresponding fund called a "Master Fund." The Master Fund, in turn, purchases stocks and/or other securities. INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW DFA INTERNATIONAL VALUE PORTFOLIO The DFA International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of The DFA International Value Series, a Master Fund that invests in such stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Master Fund held approximately 530 securities in 23 developed countries. In general, the Master Fund was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund's assets. For the 12 months ending October 31, 2011, total returns were -8.53% for the Portfolio's Class R2 shares, -8.26% for the Portfolio's Institutional Class shares, and -3.70% for the MSCI World ex USA Index (net dividends). The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. In particular, there was an extremely wide performance difference between deep value stocks and extreme growth stocks. The Master Fund's larger allocation to deep value stocks, which underperformed, and significantly lower allocation to extreme growth stocks, which outperformed, was the primary contributor to the Portfolio's relative underperformance as compared to the Index. An additional component of the Portfolio's relative performance was due to differences in valuation timing and methodology between 189 the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The year ending October 31, 2011, was a relatively volatile period for U.S. equities. Broad market returns were positive with the Russell 3000(R) Index returning 7.90%. Small cap stocks, represented by the Russell 2000(R) Index, underperformed large cap stocks, represented by the Russell 1000(R) Index. Small cap value stocks, represented by the Russell 2000(R) Value Index, underperformed small cap growth stocks, represented by the Russell 2000(R) Growth Index. Large cap value stocks, represented by the Russell 1000(R) Value Index, underperformed large cap growth stocks, represented by the Russell 1000(R) Growth Index. The broad market, as represented by the Russell 3000(R) Index, had a positive return in each of the six months through April 2011. Monthly performance turned negative in May and continued through the third quarter, although total returns remained positive through August largely due to gains over the first half of the period. Sharp declines through September brought calendar year to date total returns across all market segments into negative territory. Double-digit gains in October helped all the market segments post positive total returns for the twelve-month period. Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio's holdings. Size is measured by market capitalization and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value. Dividing the market into micro cap, small cap, and large cap segments shows how these segments affected the broad market return. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011 Russell 3000(R) Index............................. 7.90% Russell Microcap(R) Index (micro cap stocks)...... 2.11% Russell 2000(R) Index (small cap stocks).......... 6.71% Russell 1000(R) Index (large cap stocks).......... 8.01% Further dividing small cap and large cap into value and growth segments shows additional detail in the performance differences over the period. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011 Russell 2000(R) Value Index (small cap value stocks)......................................... 3.54% Russell 2000(R) Growth Index (small cap growth stocks)......................................... 9.84% Russell 1000(R) Value Index (large cap value stocks)......................................... 6.16% Russell 1000(R) Growth Index (large cap growth stocks)......................................... 9.92% -------- Source: Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2011 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors LP (the "Advisor" or "Dimensional") generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks. 190 DOMESTIC EQUITY PORTFOLIO PERFORMANCE OVERVIEW U.S. LARGE COMPANY PORTFOLIO The U.S. Large Company Portfolio seeks to approximate the returns of the S&P 500(R) Index by investing in S&P 500(R) Index securities in approximately the same proportions as they are represented in the Index. In addition to individual stocks, the Portfolio utilizes futures to gain market exposure for uninvested cash. The Portfolio was mostly invested in equities or equivalents throughout the year. The average unequitized cash level for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2011, the total return was 8.09% for the Portfolio and 8.09% for the S&P(R) 500 Index. The Portfolio's return is net of fees and expenses. 191 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2011 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- DFA INTERNATIONAL VALUE PORTFOLIO** Actual Fund Return Class R2 Shares..................... $1,000.00 $ 800.06 0.71% $3.22 Institutional Class Shares.......... $1,000.00 $ 801.65 0.45% $2.04 Hypothetical 5% Annual Return Class R2 Shares..................... $1,000.00 $1,021.63 0.71% $3.62 Institutional Class Shares.......... $1,000.00 $1,022.94 0.45% $2.29 192 DISCLOSURE OF FUND EXPENSES CONTINUED BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE COMPANY PORTFOLIO Actual Fund Return $1,000.00 $ 929.30 0.10% $0.49 Hypothetical 5% Annual Return $1,000.00 $1,024.70 0.10% $0.51 -------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (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). 193 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 28, 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....................... 10.7% Consumer Staples............................. 11.1% Energy....................................... 12.3% Financials................................... 12.2% Health Care.................................. 11.5% Industrials.................................. 10.6% Information Technology....................... 19.6% Materials.................................... 3.6% Real Estate Investment Trusts................ 1.7% Telecommunication Services................... 3.0% Utilities.................................... 3.7% ----- 100.0% 194 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2011 VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company............................ $5,294,550,274 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $4,935,484,114).......................................... $5,294,550,274 ============== See the summary of inputs used to value the Portfolio's Master Fund's investments as of October 31, 2011 located within this report (See Security Valuation Note): See accompanying Notes to Financial Statements. 195 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (87.4%) Consumer Discretionary -- (9.3%) *Amazon.com, Inc.................. 118,016 $ 25,197,596 0.7% Comcast Corp. Class A............ 893,415 20,950,582 0.5% #Home Depot, Inc.................. 508,367 18,199,539 0.5% McDonald's Corp.................. 335,301 31,132,698 0.8% #*Walt Disney Co. (The)............ 603,169 21,038,535 0.6% Other Securities................. 278,986,770 7.4% ------------ ---- Total Consumer Discretionary........ 395,505,720 10.5% ------------ ---- Consumer Staples -- (9.7%) Altria Group, Inc................ 673,116 18,544,346 0.5% Coca-Cola Co. (The).............. 746,192 50,979,837 1.3% CVS Caremark Corp................ 437,050 15,864,915 0.4% Kraft Foods, Inc. Class A........ 573,955 20,191,737 0.5% PepsiCo, Inc..................... 514,319 32,376,381 0.9% Philip Morris International, Inc. 570,832 39,884,032 1.1% Procter & Gamble Co. (The)....... 892,978 57,141,662 1.5% Wal-Mart Stores, Inc............. 571,250 32,401,300 0.9% Other Securities................. 142,732,628 3.8% ------------ ---- Total Consumer Staples.............. 410,116,838 10.9% ------------ ---- Energy -- (10.7%) Chevron Corp..................... 650,935 68,380,722 1.8% ConocoPhillips................... 446,209 31,078,457 0.8% Exxon Mobil Corp................. 1,580,105 123,390,399 3.3% Occidental Petroleum Corp........ 264,136 24,548,800 0.6% Schlumberger, Ltd................ 438,521 32,218,138 0.9% Other Securities................. 175,759,383 4.7% ------------ ---- Total Energy........................ 455,375,899 12.1% ------------ ---- Financials -- (10.7%) American Express Co.............. 337,518 17,085,161 0.4% Bank of America Corp............. 3,293,475 22,494,434 0.6% #*Berkshire Hathaway, Inc.......... 571,520 44,498,547 1.2% Citigroup, Inc................... 948,284 29,956,292 0.8% Goldman Sachs Group, Inc. (The).. 164,374 18,007,172 0.5% JPMorgan Chase & Co.............. 1,267,125 44,045,265 1.2% #U.S. Bancorp..................... 624,267 15,974,993 0.4% Wells Fargo & Co................. 1,715,859 44,457,907 1.2% Other Securities................. 217,596,517 5.8% ------------ ---- Total Financials.................... 454,116,288 12.1% ------------ ---- Health Care -- (10.1%) #Abbott Laboratories.............. 505,860 27,250,678 0.7% Amgen, Inc....................... 300,313 17,198,926 0.5% #Bristol-Myers Squibb Co.......... 554,312 17,510,716 0.5% Johnson & Johnson................ 890,568 57,343,674 1.5% Merck & Co., Inc................. 1,001,207 34,541,642 0.9% Pfizer, Inc...................... 2,535,560 48,834,886 1.3% #UnitedHealth Group, Inc.......... 349,732 16,783,639 0.4% Other Securities................. 207,608,489 5.5% ------------ ---- Total Health Care................... 427,072,650 11.3% ------------ ---- Industrials -- (9.2%) 3M Co............................ 230,587 18,220,985 0.5% Caterpillar, Inc................. 209,960 19,832,822 0.5% General Electric Co.............. 3,444,931 57,564,797 1.5%
196 U.S. LARGE COMPANY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (Continued) United Parcel Service, Inc.............................. 318,739 $ 22,388,227 0.6% United Technologies Corp................................ 295,316 23,028,742 0.6% Other Securities........................................ 250,740,230 6.7% -------------- ---- Total Industrials.......................................... 391,775,803 10.4% -------------- ---- Information Technology -- (17.1%) *Apple, Inc.............................................. 301,288 121,955,357 3.2% Cisco Sytems, Inc....................................... 1,787,467 33,121,764 0.9% #*EMC Corp................................................ 671,072 16,447,975 0.4% *Google, Inc............................................. 81,847 48,505,806 1.3% Hewlett-Packard Co...................................... 674,065 17,936,870 0.5% Intel Corp.............................................. 1,706,487 41,877,191 1.1% International Business Machines Corp.................... 388,120 71,658,596 1.9% Microsoft Corp.......................................... 2,423,288 64,532,159 1.7% Oracle Corp............................................. 1,284,041 42,078,024 1.1% QUALCOMM, Inc........................................... 545,886 28,167,718 0.8% Other Securities........................................ 238,955,466 6.4% -------------- ---- Total Information Technology............................... 725,236,926 19.3% -------------- ---- Materials -- (3.2%) Other Securities........................................ 135,360,651 3.6% -------------- ---- Real Estate Investment Trusts -- (1.5%) Other Securities........................................ 62,132,070 1.6% -------------- ---- Telecommunication Services -- (2.6%) AT&T, Inc............................................... 1,925,850 56,446,663 1.5% Verizon Communications, Inc............................. 919,890 34,017,532 0.9% Other Securities........................................ 21,502,747 0.6% -------------- ---- Total Telecommunication Services........................... 111,966,942 3.0% -------------- ---- Utilities -- (3.3%) Other Securities........................................ 137,456,106 3.7% -------------- ---- TOTAL COMMON STOCKS........................................ 3,706,115,893 98.5% -------------- ---- TEMPORARY CASH INVESTMENTS -- (1.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.................................. 50,002,804 50,002,804 1.3% -------------- ----
197 U.S. LARGE COMPANY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------------ -------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (11.4%) (S)@DFA Short Term Investment Fund...... 482,655,415 $ 482,655,415 12.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $745,251 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $747,930) to be repurchased at $723,547...... $ 724 723,545 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..... 483,378,960 12.9% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,089,181,381)................. $4,239,497,657 112.7% ============== =====
Summary of inputs used to value the Portfolio's investments as of October 31, 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... $ 395,505,720 -- -- $ 395,505,720 Consumer Staples......... 410,116,838 -- -- 410,116,838 Energy................... 455,375,899 -- -- 455,375,899 Financials............... 454,116,288 -- -- 454,116,288 Health Care.............. 427,072,650 -- -- 427,072,650 Industrials.............. 391,775,803 -- -- 391,775,803 Information Technology... 725,236,926 -- -- 725,236,926 Materials................ 135,360,651 -- -- 135,360,651 Real Estate Investment Trusts................. 62,132,070 -- -- 62,132,070 Telecommunication Services............... 111,966,942 -- -- 111,966,942 Utilities................ 137,456,106 -- -- 137,456,106 Temporary Cash Investments.. 50,002,804 -- -- 50,002,804 Securities Lending Collateral................ -- $483,378,960 -- 483,378,960 Futures Contracts**......... 3,744,105 -- -- 3,744,105 -------------- ------------ -- -------------- TOTAL....................... $3,759,862,802 $483,378,960 -- $4,243,241,762 ============== ============ == ============== ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 198 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) DFA INTERNATIONAL U.S. LARGE VALUE COMPANY PORTFOLIO PORTFOLIO -------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value......................................... $ 5,294,550 -- Investments at Value (including $0 and $471,717 of securities on loan, respectively).......... -- $ 3,706,116 Temporary Cash Investments at Value & Cost...... -- 50,003 Collateral Received from Securities on Loan at Value & Cost.................................. -- 724 Affiliated Collateral Received from Securities on Loan at Value & Cost....................... -- 482,655 Cash............................................ -- 3,360 Receivables: Dividends and Interest....................... -- 4,231 Securities Lending Income.................... -- 79 Fund Shares Sold............................. 17,886 2,769 Prepaid Expenses and Other Assets............... 50 62 -------------- ------------ Total Assets............................. 5,312,486 4,249,999 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned............. -- 483,379 Affiliated Investment Company Purchased...... 16,059 -- Fund Shares Redeemed......................... 1,827 2,618 Due to Advisor............................... 853 236 Futures Margin Variation..................... -- 1,341 Accrued Expenses and Other Liabilities.......... 322 412 -------------- ------------ Total Liabilities........................ 19,061 487,986 -------------- ------------ NET ASSETS...................................... $ 5,293,425 $ 3,762,013 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $6,102 and $0 and shares outstanding of 385,441 and 0, respectively................... $ 15.83 N/A ============== ============ NUMBER OF SHARES AUTHORIZED..................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $5,287,323 and $3,762,013 and shares outstanding of 334,106,318 and 380,153,718, respectively..................... $ 15.83 $ 9.90 ============== ============ NUMBER OF SHARES AUTHORIZED..................... 1,500,000,000 900,000,000 ============== ============ Investment in Affiliated Investment Company at Cost.......................................... $ 4,935,484 $ -- -------------- ------------ Investments at Cost............................. $ -- $ 2,555,800 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital................................. $ 5,893,047 $ 3,268,088 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... 22,345 10,511 Accumulated Net Realized Gain (Loss)............ (981,194) (670,646) Net Unrealized Foreign Exchange Gain (Loss)..... 161 -- Net Unrealized Appreciation (Depreciation)...... 359,066 1,154,060 -------------- ------------ NET ASSETS...................................... $ 5,293,425 $ 3,762,013 ============== ============ See accompanying Notes to Financial Statements. 199 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS) DFA INTERNATIONAL U.S. LARGE VALUE COMPANY PORTFOLIO* PORTFOLIO ------------- ---------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $15,502 and $0, respectively)................... $ 194,514 $ 78,648 Interest.......................................... 23 28 Income from Securities Lending.................... 9,588 589 Expenses Allocated from Affiliated Investment Company......................................... (12,868) -- --------- -------- Total Investment Income.................... 191,257 79,265 --------- -------- EXPENSES Investment Advisory Services Fees................. -- 968 Administrative Services Fees...................... 11,024 1,936 Accounting & Transfer Agent Fees.................. 80 426 Shareholder Servicing Fees -- Class R2 Shares..... 15 -- S&P 500(R) Fees................................... -- 98 Custodian Fees.................................... -- 50 Filing Fees....................................... 173 70 Shareholders' Reports............................. 148 110 Directors'/Trustees' Fees & Expenses.............. 49 35 Professional Fees................................. 139 119 Other............................................. 47 37 --------- -------- Total Expenses............................. 11,675 3,849 --------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................................ -- 22 --------- -------- Net Expenses...................................... 11,675 3,871 --------- -------- NET INVESTMENT INCOME (LOSS)...................... 179,582 75,394 --------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................... 112,233 (44,142) Futures....................................... -- 2,851 Foreign Currency Transactions................. 364 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... (767,465) 251,680 Futures....................................... -- 2,298 Translation of Foreign Currency Denominated Amounts......................... (353) -- --------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........... (655,221) 212,687 --------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................... $(475,639) $288,081 ========= ======== -------- * 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. 200 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE VALUE PORTFOLIO COMPANY PORTFOLIO ---------------------- ---------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 179,582 $ 108,980 $ 75,394 $ 43,125 Capital Gain Distributions Received from Investment.......................................... Securities............................................ -- -- -- 81 Net Realized Gain (Loss) on: Investment Securities Sold........................ 112,233 255,538 (44,142) (88,214) Futures........................................... -- -- 2,851 76 Foreign Currency Transactions..................... 364 (99) -- -- Change in Unrealized Appreciation (Depreciation) of:................................ Investment Securities and Foreign Currency........ (767,465) 138,488 251,680 688,388 Futures........................................... -- -- 2,298 (3,735) Translation of Foreign Currency Denominated Amounts............................. (353) 342 -- -- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... (475,639) 503,249 288,081 639,721 ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares................................... (172) (249) -- -- Institutional Class Shares........................ (172,488) (107,160) (74,515) (35,473) ---------- ---------- ---------- ---------- Total Distributions............................ (172,660) (107,409) (74,515) (35,473) ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued......................................... 1,450,393 1,032,364 651,122 3,071,799 Shares Issued in Lieu of Cash Distributions........... 162,689 101,479 62,748 30,048 Shares Redeemed....................................... (834,167) (808,163) (878,396) (778,811) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................... 778,915 325,680 (164,526) 2,323,036 ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets........ 130,616 721,520 49,040 2,927,284 NET ASSETS Beginning of Period................................... 5,162,809 4,441,289 3,712,973 785,689 ---------- ---------- ---------- ---------- End of Period......................................... $5,293,425 $5,162,809 $3,762,013 $3,712,973 ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 82,666 62,742 65,475 350,368 Shares Issued in Lieu of Cash Distributions........... 9,157 6,675 6,398 3,492 Shares Redeemed....................................... (47,291) (49,142) (89,099) (52,726) Shares Reduced by Reverse Stock Split (Note G)........ (2) (453) -- -- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......................... 44,530 19,822 (17,226) 301,134 ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 22,345 $ 14,433 $ 10,511 $ 9,631
See accompanying Notes to Financial Statements. 201 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO- CLASS R2 SHARES+ --------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED PERIOD APRIL 30, OCT. 31, OCT. 31, OCT. 31, 2008(a) TO 2011 2010 2009 OCT. 31, 2008 Net Asset Value, Beginning of Period.......................... $17.82 $17.13 $13.58 $ 26.31 ------ ------ ------ ------- Income from Investment Operations Net Investment Income (Loss) (A)........................... 0.53 0.37 0.42 0.66 Net Gains (Losses) on Securities (Realized and Unrealized). (2.00) 1.29 4.10 (11.73) ------ ------ ------ ------- Total from Investment Operations....................... (1.47) 1.66 4.52 (11.07) ------ ------ ------ ------- Less Distributions Net Investment Income...................................... (0.52) (0.97) (0.97) (1.66) Net Realized Gains......................................... -- -- -- -- ------ ------ ------ ------- Total Distributions.................................... (0.52) (0.97) (0.97) (1.66) ------ ------ ------ ------- Net Asset Value, End of Period................................ $15.83 $17.82 $17.13 $ 13.58 ====== ====== ====== ======= Total Return.................................................. (8.53)% 10.60% 34.86% (44.63)%(C) ------ ------ ------ ------- Net Assets, End of Period (thousands)......................... $6,102 $4,952 $3,443 $ 3,372 Ratio of Expenses to Average Net Assets (D)................... 0.71% 0.72% 0.74% 0.73%(B)(E) Ratio of Net Investment Income to Average Net Assets.......... 2.97% 2.11% 2.96% 7.47%(B)(E)
DFA INTERNATIONAL VALUE PORTFOLIO- INSTITUTIONAL CLASS SHARES --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 Net Asset Value, Beginning of Period.............. $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71 $ 17.67 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations Net Investment Income (Loss) (A)............... 0.58 0.39 0.40 0.74 0.72 0.66 Net Gains (Losses) on Securities (Realized and Unrealized).................................. (1.99) 1.34 3.92 (12.44) 3.09 5.37 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... (1.41) 1.73 4.32 (11.70) 3.81 6.03 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.......................... (0.57) (0.38) (0.40) (0.78) (0.63) (0.65) Net Realized Gains............................. -- -- -- (0.49) (0.38) (0.34) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.57) (0.38) (0.40) (1.27) (1.01) (0.99) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.................... $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71 ========== ========== ========== ========== ========== ========== Total Return...................................... (8.26)% 10.94% 35.11% (47.96)%(C) 17.09% 35.39% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $5,287,323 $5,157,857 $4,437,846 $3,350,073 $6,262,069 $4,456,059 Ratio of Expenses to Average Net Assets (D)....... 0.45% 0.45% 0.46% 0.44%(B) 0.44% 0.44% Ratio of Net Investment Income to Average Net Assets.......................................... 3.26% 2.34% 3.00% 3.86%(B) 2.89% 3.25%
+ All per share amounts and net assets values prior to November 19, 2010 have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 202 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO -------------------------------------------------------------------------------- YEAR YEAR YEAR PERIOD YEAR YEAR ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30, 2011 2010 2009 OCT. 31, 2008 2007 2006 ---------- ---------- -------- ------------- ---------- -------- Net Asset Value, Beginning of Period........ $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00 $ 9.82 ---------- ---------- -------- -------- ---------- -------- Income from Investment Operations Net Investment Income (Loss) (A)......... 0.19 0.18 0.18 0.20 0.22 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.56 1.15 0.55 (3.99) 0.62 1.18 ---------- ---------- -------- -------- ---------- -------- Total from Investment Operations..... 0.75 1.33 0.73 (3.79) 0.84 1.37 ---------- ---------- -------- -------- ---------- -------- Less Distributions Net Investment Income.................... (0.19) (0.15) (0.19) (0.22) (0.21) (0.19) ---------- ---------- -------- -------- ---------- -------- Total Distributions.................. (0.19) (0.15) (0.19) (0.22) (0.21) (0.19) ---------- ---------- -------- -------- ---------- -------- Net Asset Value, End of Period.............. $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00 ========== ========== ======== ======== ========== ======== Total Return................................ 8.09% 16.47% 10.07% (33.10)%(C) 7.71% 14.11% ---------- ---------- -------- -------- ---------- -------- Net Assets, End of Period (thousands)....... $3,762,013 $3,712,973 $785,689 $729,218 $1,002,142 $877,405 Ratio of Expenses to Average Net Assets..... 0.10% 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D) 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)................... 0.10% 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D) 0.11%(D) Ratio of Net Investment Income to Average Net Assets........................ 1.95% 1.99% 2.53% 2.10%(B) 1.90% 1.90% Portfolio Turnover Rate..................... 4% 1%* N/A N/A N/A N/A
* For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. ** Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See Page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 203 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Investment Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, 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 October 31, 2011, DFA International Value Portfolio owned 76% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. Class R2 shares of DFA International Value Portfolio commenced operations on April 30, 2008. On November 1, 2008, The DFAInternational 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 Company U.S. Large Company Portfolio 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
204 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 Institutional Index Portfolio $2,731,987 $315,984 Portfolio $870,696 Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investement Income....................... $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments................................ 501,073(b) -------- Net Increase in Net Assets Resulting from Operations................................. $572,754 ======== (a)$43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b)$596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the 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. 205 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 year ended October 31, 2011. 2. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors 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 October 31, 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 206 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 year ended October 31, 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 year ended October 31, 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 year ended October 31, 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% $22 $598 (1) The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding administration fees and custodian fees) to the extent necessary to reduce the ordinary operating 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 207 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. FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2011, the total related amounts paid by the Fund to the CCO were $32 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 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. $126 U.S. Large Company Portfolio...... 199 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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...................... $142,632 Sales.......................... 310,102 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, 2011, primarily attributable to net foreign currency gains/losses, realized gains on securities considered to be "passive foreign investment companies", 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 -- $990 $ (990) U.S. Large Company Portfolio..... $(11,723) 1 11,722 208 The tax character of dividends and distributions declared and paid during the years ended October 31, 2010 and October 31, 2011 were as follows (amounts in thousands): NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- DFA International Value Portfolio. 2010.............................. $107,409 -- $107,409 2011.............................. 172,660 -- 172,660 U.S. Large Company Portfolio...... 2010.............................. 35,473 -- 35,473 2011.............................. 74,515 -- 74,515 At October 31, 2011, 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..... $24,411 -- $(981,047) $(956,636) U.S. Large Company Portfolio........... 10,710 -- (416,033) (405,323) 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, 2011, 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, -------------------------------------------------------------- -------- 2012 2013 2014 2015 2016 2017 2018 2019 TOTAL ------ ------- ------ ------- -------- ------- ------- ------- -------- DFA International Value Portfolio. -- -- -- -- $981,047 -- -- -- $981,047 U.S. Large Company Portfolio...... $5,486 $10,569 $1,944 $86,015 100,024 $87,500 $80,822 $43,673 416,033
For the year ended October 31, 2011, DFA International Value Portfolio had utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes of $111,607 (in thousands). For the year ended October 31, 2011, U.S. Large Company Portfolio had capital loss carryforward expirations of $13,997 (in thousands). At October 31, 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.............. $4,937,524 $ 797,758 $(440,732) $357,026 U.S. Large Company Portfolio.............. 3,340,050 1,412,052 (512,604) 899,448 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and on investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolios' tax positions and has concluded that no provision for income tax is required in the Portfolios' financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total 209 amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (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): YEAR YEAR ENDED ENDED OCT. 31, 2011 OCT. 31, 2010 ------------------- ------------------- AMOUNT SHARES AMOUNT SHARES ---------- ------- ---------- ------- DFA INTERNATIONAL VALUE PORTFOLIO Class R2 Shares Shares Issued.................... $ 4,366 246 $ 2,443 375 Shares Issued in Lieu of Cash Distributions.................. 172 9 249 43 Shares Redeemed.................. (2,617) (146) (1,361) (215) Shares Reduced by Reverse Stock Split.......................... -- (2) -- (453) ---------- ------- ---------- ------- Net Increase (Decrease) -- Class R2 Shares $ 1,921 107 $ 1,331 (250) ========== ======= ========== ======= Institutional Class Shares Shares Issued.................... $1,446,027 82,420 $1,029,921 62,367 Shares Issued in Lieu of Cash Distributions.................. 162,517 9,148 101,230 6,632 Shares Redeemed.................. (831,550) (47,145) (806,802) (48,927) ---------- ------- ---------- ------- Net Increase (Decrease) -- Institutional Class Shares........ $ 776,994 44,423 $ 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 210 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. 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 U.S. Large Company Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. DERIVATIVE FINANCIAL INSTRUMENTS: 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 October 31, 2011, U.S. Large Company Portfolio had outstanding futures contracts (dollar amounts in thousands):
APPROXIMATE EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL --------------- ---------- ---------- -------- ----------- ----------- U.S. Large Company Portfolio. S&P 500(R)Index 12/16/2011 173 $54,032 $3,744 $3,360
* During the year ended October 31, 2011, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $51,173 (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 211 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 year ended October 31, 2011. The following is a summary of U.S. Large Company Portfolio's location and value of derivative instrument holdings on U.S. Large Company Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure as of October 31, 2011 (amounts in thousands):
ASSET DERIVATIVES VALUE ----------------------- LOCATION ON THE STATEMENTS OF ASSETS AND EQUITY LIABILITIES CONTRACTS -------------------------- ----------------------- Payables: Futures U.S. Large Company Portfolio. Margin Variation $3,744*
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on U.S. Large Company Portfolio's Statement of Operations for the Portfolio's derivative instrument holdings through the year ended October 31, 2011: LOCATION OF GAIN (LOSS) ON DERIVATIVES DERIVATIVE TYPE RECOGNIZED IN INCOME --------------- ---------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures The following is a summary of the realized and change in unrealized gains and losses from U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2011 (amounts in thousands): REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $2,851 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $2,298 I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowings. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is 212 scheduled to expire on June 22, 2012. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 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. The Fund, together with other Dimensional-advised portfolios, expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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... 0.87% $10,549 4 $1 $13,712 * Number of Days Outstanding represents the total of single or consecutive days during the year 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 October 31, 2011. J. SECURITIES LENDING: As of October 31, 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. 213 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. Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. N. OTHER: At October 31, 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 65% DFA International Value Portfolio -- Institutional Class Shares...................................... 2 45% U.S. Large Company Portfolio........................ 2 67% 214 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. 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. 215 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio and U.S. Large Company Portfolio (constituting portfolios within Dimensional Investment Group Inc., hereafter referred to as the "Portfolios") at October 31, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodian, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2011 216 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
U.S. LARGE RUSSELL CAP VALUE 1000 VALUE SERIES INDEX ---------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,943.95 10,581.00 12/31/2001 11,201.62 10,830.71 1/31/2002 11,323.13 10,747.32 2/28/2002 11,467.42 10,764.51 3/31/2002 11,944.31 11,273.67 4/30/2002 11,837.80 10,886.99 5/31/2002 11,913.88 10,941.42 6/30/2002 11,191.23 10,313.38 7/31/2002 9,946.91 9,354.24 8/31/2002 10,107.22 9,424.39 9/30/2002 8,987.27 8,376.40 10/31/2002 9,339.71 8,997.09 11/30/2002 9,998.25 9,563.91 12/31/2002 9,548.86 9,148.84 1/31/2003 9,325.36 8,927.43 2/28/2003 9,055.62 8,689.07 3/31/2003 9,012.87 8,703.84 4/30/2003 9,847.68 9,469.78 5/31/2003 10,504.71 10,081.53 6/30/2003 10,617.26 10,207.55 7/31/2003 10,888.70 10,359.64 8/31/2003 11,276.47 10,521.25 9/30/2003 11,028.61 10,418.14 10/31/2003 11,768.00 11,055.73 11/30/2003 12,031.56 11,206.09 12/31/2003 12,858.14 11,896.39 1/31/2004 13,077.27 12,105.76 2/29/2004 13,413.79 12,364.83 3/31/2004 13,359.72 12,256.02 4/30/2004 13,140.19 11,956.97 5/31/2004 13,210.75 12,078.93 6/30/2004 13,610.20 12,363.99 7/31/2004 13,169.63 12,189.66 8/31/2004 13,169.63 12,362.75 9/30/2004 13,573.99 12,554.38 10/31/2004 13,739.71 12,762.78 11/30/2004 14,639.39 13,408.58 12/31/2004 15,226.33 13,857.76 1/31/2005 14,845.27 13,611.10 2/28/2005 15,297.78 14,061.62 3/31/2005 15,256.09 13,868.98 4/30/2005 14,739.34 13,620.72 5/31/2005 15,367.39 13,948.73 6/30/2005 15,684.56 14,101.26 7/31/2005 16,466.00 14,509.24 8/31/2005 16,330.44 14,446.19 9/30/2005 16,581.97 14,649.02 10/31/2005 16,142.02 14,276.97 11/30/2005 16,786.57 14,743.83 12/31/2005 16,809.40 14,831.90 1/31/2006 17,610.24 15,407.84 2/28/2006 17,551.85 15,501.93 3/31/2006 17,863.99 15,711.91 4/30/2006 18,365.56 16,111.25 5/31/2006 18,031.18 15,704.27 6/30/2006 18,184.95 15,804.62 7/31/2006 17,924.69 16,188.89 8/31/2006 18,218.54 16,459.82 9/30/2006 18,723.40 16,787.77 10/31/2006 19,464.92 17,337.39 11/30/2006 19,835.14 17,733.15 12/31/2006 20,233.10 18,131.24 1/31/2007 20,823.45 18,363.12 2/28/2007 20,510.39 18,076.84 3/31/2007 20,653.25 18,356.32 4/30/2007 21,531.73 19,034.63 5/31/2007 22,419.17 19,721.20 6/30/2007 22,058.59 19,260.39 7/31/2007 20,691.73 18,369.72 8/31/2007 20,296.06 18,575.56 9/30/2007 20,825.43 19,213.59 10/31/2007 20,942.73 19,215.71 11/30/2007 19,772.61 18,276.56 12/31/2007 19,706.79 18,099.83 1/31/2008 18,953.37 17,374.87 2/29/2008 18,372.43 16,646.90 3/31/2008 18,200.96 16,522.05 4/30/2008 19,348.20 17,327.43 5/31/2008 19,812.56 17,299.93 6/30/2008 17,640.96 15,643.96 7/31/2008 17,448.91 15,587.48 8/31/2008 17,787.28 15,852.47 9/30/2008 16,189.34 14,687.77 10/31/2008 12,549.67 12,145.13 11/30/2008 11,318.77 11,274.22 12/31/2008 11,687.03 11,430.71 1/31/2009 10,299.49 10,116.29 2/28/2009 8,856.07 8,764.65 3/31/2009 9,731.44 9,514.06 4/30/2009 11,305.23 10,533.88 5/31/2009 12,171.28 11,185.26 6/30/2009 12,022.28 11,102.66 7/31/2009 13,167.70 12,011.43 8/31/2009 14,061.69 12,639.69 9/30/2009 14,676.31 13,128.03 10/31/2009 14,043.07 12,726.25 11/30/2009 14,834.62 13,443.54 12/31/2009 15,244.36 13,681.45 1/31/2010 14,890.49 13,296.67 2/28/2010 15,533.05 13,716.38 3/31/2010 16,743.66 14,609.32 4/30/2010 17,274.46 14,987.35 5/31/2010 15,793.79 13,755.45 6/30/2010 14,601.81 12,981.10 7/31/2010 15,747.23 13,859.89 8/31/2010 14,797.37 13,266.83 9/30/2010 16,240.79 14,296.12 10/31/2010 16,846.09 14,725.09 11/30/2010 16,715.72 14,647.16 12/31/2010 18,345.39 15,802.89 1/31/2011 18,932.07 16,160.37 2/28/2011 19,956.43 16,756.44 3/31/2011 20,049.55 16,822.99 4/30/2011 20,561.73 17,270.96 5/31/2011 20,263.74 17,088.49 6/30/2011 19,909.87 16,738.11 7/31/2011 18,997.25 16,182.92 8/31/2011 17,395.52 15,173.01 9/30/2011 15,635.48 14,026.33 10/31/2011 17,805.27 15,632.24
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 5.69% -1.77% 5.94% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. THE DFA INTERNATIONAL VALUE SERIES VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI DFA WORLD EX INTERNATIONAL USA INDEX VALUE SERIES (NET DIV.) ------------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,366.45 10,393.05 12/31/2001 10,409.11 10,459.69 1/31/2002 10,183.27 9,927.67 2/28/2002 10,296.19 9,988.19 3/31/2002 10,942.91 10,519.13 4/30/2002 11,312.46 10,581.25 5/31/2002 11,692.28 10,719.90 6/30/2002 11,364.25 10,283.85 7/31/2002 10,201.88 9,261.52 8/31/2002 10,191.50 9,247.14 9/30/2002 8,980.01 8,266.41 10/31/2002 9,241.06 8,700.64 11/30/2002 9,793.32 9,101.20 12/31/2002 9,544.58 8,807.06 1/31/2003 9,229.23 8,471.49 2/28/2003 9,040.02 8,304.50 3/31/2003 8,825.93 8,144.45 4/30/2003 9,794.89 8,926.06 5/31/2003 10,532.14 9,479.67 6/30/2003 10,871.88 9,709.96 7/31/2003 11,363.15 9,932.72 8/31/2003 11,662.18 10,188.84 9/30/2003 12,108.49 10,494.52 10/31/2003 13,063.02 11,151.70 11/30/2003 13,342.64 11,404.48 12/31/2003 14,343.90 12,278.97 1/31/2004 14,711.14 12,449.94 2/29/2004 15,153.99 12,736.28 3/31/2004 15,390.55 12,800.04 4/30/2004 14,925.81 12,464.99 5/31/2004 15,077.12 12,523.26 6/30/2004 15,699.97 12,812.46 7/31/2004 15,120.91 12,421.74 8/31/2004 15,317.57 12,473.38 9/30/2004 15,807.56 12,836.97 10/31/2004 16,412.16 13,298.30 11/30/2004 17,632.35 14,182.70 12/31/2004 18,510.44 14,781.87 1/31/2005 18,326.26 14,490.86 2/28/2005 19,051.48 15,135.50 3/31/2005 18,581.17 14,791.94 4/30/2005 18,016.70 14,414.77 5/31/2005 18,039.74 14,441.06 6/30/2005 18,328.87 14,677.11 7/31/2005 19,146.60 15,151.11 8/31/2005 19,777.42 15,569.39 9/30/2005 20,333.48 16,279.93 10/31/2005 20,028.07 15,753.88 11/30/2005 20,384.62 16,171.07 12/31/2005 21,382.98 16,920.86 1/31/2006 22,843.40 17,991.10 2/28/2006 23,062.46 17,930.68 3/31/2006 24,036.07 18,499.33 4/30/2006 25,253.09 19,383.92 5/31/2006 24,230.80 18,647.48 6/30/2006 24,078.31 18,623.47 7/31/2006 24,449.12 18,797.96 8/31/2006 25,289.64 19,332.22 9/30/2006 25,639.80 19,316.65 10/31/2006 26,778.52 20,080.04 11/30/2006 27,668.30 20,678.14 12/31/2006 28,747.31 21,271.04 1/31/2007 29,289.47 21,400.80 2/28/2007 29,263.65 21,572.00 3/31/2007 30,209.59 22,124.75 4/30/2007 31,734.28 23,131.37 5/31/2007 32,819.65 23,645.05 6/30/2007 32,579.84 23,668.78 7/31/2007 31,673.75 23,341.60 8/31/2007 31,319.19 23,003.73 9/30/2007 32,954.25 24,310.66 10/31/2007 34,552.43 25,367.46 11/30/2007 32,459.31 24,375.45 12/31/2007 31,760.16 23,917.24 1/31/2008 29,187.33 21,760.83 2/29/2008 28,815.70 22,155.18 3/31/2008 29,161.07 21,838.92 4/30/2008 30,463.80 23,052.85 5/31/2008 30,478.12 23,402.67 6/30/2008 27,464.21 21,582.81 7/31/2008 26,686.64 20,814.76 8/31/2008 25,571.64 20,009.79 9/30/2008 22,584.98 17,120.81 10/31/2008 16,921.43 13,559.35 11/30/2008 15,883.30 12,824.03 12/31/2008 17,084.56 13,500.05 1/31/2009 14,726.53 12,240.40 2/28/2009 12,917.23 11,001.28 3/31/2009 14,326.12 11,726.22 4/30/2009 16,965.92 13,238.41 5/31/2009 19,487.08 14,912.63 6/30/2009 19,190.47 14,758.20 7/31/2009 21,474.34 16,143.96 8/31/2009 22,705.26 16,917.67 9/30/2009 23,862.03 17,615.66 10/31/2009 22,912.89 17,332.88 11/30/2009 23,595.08 17,761.74 12/31/2009 23,862.03 18,044.88 1/31/2010 22,482.81 17,199.03 2/28/2010 22,571.79 17,181.80 3/31/2010 24,351.43 18,287.85 4/30/2010 23,936.18 18,015.17 5/31/2010 21,133.24 16,027.20 6/30/2010 20,762.49 15,795.35 7/31/2010 23,357.80 17,255.24 8/31/2010 22,215.86 16,739.48 9/30/2010 24,603.55 18,345.25 10/31/2010 25,463.71 18,998.78 11/30/2010 24,188.30 18,194.20 12/31/2010 26,442.51 19,659.22 1/31/2011 27,569.62 20,082.72 2/28/2011 28,489.10 20,827.38 3/31/2011 27,703.09 20,410.15 4/30/2011 29,186.12 21,521.72 5/31/2011 28,133.17 20,883.72 6/30/2011 27,747.58 20,586.29 7/31/2011 26,857.76 20,246.71 8/31/2011 23,980.67 18,534.99 9/30/2011 21,355.70 16,673.65 10/31/2011 23,417.12 18,295.22
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -8.04% -2.65% 8.88% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI JAPANESE JAPAN SMALL SMALL CAP COMPANY INDEX (NET SERIES DIV.) --------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 9,327.35 9,612.18 12/31/2001 8,273.54 8,450.66 1/31/2002 7,825.11 7,877.64 2/28/2002 8,452.91 8,289.40 3/31/2002 8,901.35 8,875.95 4/30/2002 9,260.09 9,462.07 5/31/2002 10,179.37 10,453.56 6/30/2002 9,730.94 9,993.50 7/31/2002 9,618.83 9,677.48 8/31/2002 9,484.30 9,452.00 9/30/2002 9,215.25 9,074.03 10/31/2002 8,497.76 8,135.29 11/30/2002 8,430.49 8,196.37 12/31/2002 8,363.23 8,013.23 1/31/2003 8,385.65 7,966.77 2/28/2003 8,991.03 8,370.73 3/31/2003 9,080.72 8,235.14 4/30/2003 9,484.30 8,492.03 5/31/2003 10,089.69 8,880.07 6/30/2003 10,896.86 9,876.75 7/31/2003 11,031.39 9,992.74 8/31/2003 11,995.52 11,252.49 9/30/2003 12,780.27 12,071.13 10/31/2003 13,295.96 12,965.80 11/30/2003 12,466.37 12,074.92 12/31/2003 13,206.28 12,938.18 1/31/2004 13,856.50 13,409.29 2/29/2004 13,946.19 13,374.63 3/31/2004 16,793.72 15,826.55 4/30/2004 16,233.18 15,323.06 5/31/2004 15,448.43 14,562.03 6/30/2004 16,950.67 16,093.72 7/31/2004 15,874.44 14,774.84 8/31/2004 16,121.08 14,929.06 9/30/2004 15,739.91 14,478.43 10/31/2004 16,053.81 14,746.14 11/30/2004 16,547.09 15,387.82 12/31/2004 17,354.26 16,132.71 1/31/2005 18,071.75 16,681.47 2/28/2005 18,744.39 17,000.41 3/31/2005 18,856.50 16,960.77 4/30/2005 18,340.81 16,822.91 5/31/2005 18,026.91 16,513.06 6/30/2005 18,363.23 16,736.48 7/31/2005 18,744.39 17,210.51 8/31/2005 19,798.21 17,801.18 9/30/2005 20,605.38 18,913.75 10/31/2005 21,255.61 19,291.61 11/30/2005 21,681.61 20,116.10 12/31/2005 24,125.56 22,836.49 1/31/2006 25,156.95 23,564.37 2/28/2006 23,654.71 22,029.98 3/31/2006 24,708.52 23,018.22 4/30/2006 25,201.79 23,132.47 5/31/2006 23,430.49 21,276.86 6/30/2006 22,533.63 20,610.49 7/31/2006 21,457.40 19,247.96 8/31/2006 21,816.14 19,759.90 9/30/2006 21,479.82 19,327.46 10/31/2006 21,322.87 19,203.45 11/30/2006 21,188.34 19,041.76 12/31/2006 21,367.71 19,152.66 1/31/2007 21,816.14 19,525.00 2/28/2007 22,690.58 20,295.43 3/31/2007 22,533.63 20,108.45 4/30/2007 22,219.73 19,764.20 5/31/2007 21,771.30 19,293.11 6/30/2007 22,130.04 19,419.79 7/31/2007 22,264.57 19,414.82 8/31/2007 21,322.87 18,232.06 9/30/2007 21,300.45 18,121.39 10/31/2007 21,434.98 18,776.67 11/30/2007 20,941.70 17,987.27 12/31/2007 19,641.26 16,911.13 1/31/2008 19,080.72 16,080.52 2/29/2008 18,946.19 16,256.79 3/31/2008 19,327.35 16,262.06 4/30/2008 19,461.88 16,463.98 5/31/2008 20,179.37 16,971.30 6/30/2008 19,237.67 15,929.21 7/31/2008 18,699.55 15,407.85 8/31/2008 17,668.16 14,727.10 9/30/2008 16,524.66 13,289.05 10/31/2008 15,313.90 11,886.37 11/30/2008 15,717.49 12,371.81 12/31/2008 17,331.84 13,335.23 1/31/2009 16,143.50 12,636.29 2/28/2009 14,058.30 10,974.99 3/31/2009 14,686.10 11,362.30 4/30/2009 15,291.48 11,943.61 5/31/2009 17,174.89 13,405.20 6/30/2009 18,318.39 14,257.97 7/31/2009 18,699.55 14,614.88 8/31/2009 19,686.10 15,434.15 9/30/2009 19,484.30 15,373.22 10/31/2009 18,789.24 14,810.53 11/30/2009 18,026.91 14,281.12 12/31/2009 17,959.64 14,014.45 1/31/2010 18,206.28 14,316.74 2/28/2010 18,565.02 14,588.56 3/31/2010 19,506.73 15,252.36 4/30/2010 20,089.69 15,665.44 5/31/2010 18,408.07 14,578.75 6/30/2010 18,699.55 14,643.15 7/31/2010 19,035.87 14,820.66 8/31/2010 18,520.18 14,506.95 9/30/2010 19,327.35 15,100.17 10/31/2010 18,923.77 14,976.12 11/30/2010 19,394.62 15,267.84 12/31/2010 21,188.34 16,808.33 1/31/2011 21,681.61 17,008.22 2/28/2011 22,690.58 17,692.38 3/31/2011 21,278.03 16,600.65 4/30/2011 21,165.92 16,615.70 5/31/2011 20,807.17 16,368.73 6/30/2011 21,860.99 16,978.44 7/31/2011 22,668.16 17,683.68 8/31/2011 22,062.78 16,960.86 9/30/2011 21,950.67 16,976.25 10/31/2011 20,829.60 16,350.07
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- 10.07% -0.47% 7.61% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 217 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS THE ASIA PACIFIC SMALL COMPANY SERIES VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI PACIFIC EX ASIA PACIFIC JAPAN SMALL SMALL CAP COMPANY INDEX SERIES (NET DIV.) ------------ ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,569.23 10,540.34 12/31/2001 10,707.69 10,696.29 1/31/2002 11,230.77 11,048.01 2/28/2002 11,338.46 11,116.83 3/31/2002 11,830.77 11,635.32 4/30/2002 11,907.69 11,658.69 5/31/2002 12,584.62 12,522.73 6/30/2002 12,184.62 12,105.21 7/31/2002 11,461.54 11,327.86 8/31/2002 11,676.92 11,600.69 9/30/2002 10,892.31 10,932.32 10/31/2002 11,230.77 11,188.80 11/30/2002 11,338.46 11,438.25 12/31/2002 11,492.31 11,624.82 1/31/2003 11,861.54 12,055.00 2/28/2003 11,938.46 11,866.69 3/31/2003 11,692.31 11,838.56 4/30/2003 12,030.77 12,491.67 5/31/2003 13,261.54 13,379.83 6/30/2003 13,876.92 14,093.87 7/31/2003 14,830.77 14,415.18 8/31/2003 15,892.31 15,115.04 9/30/2003 17,169.23 16,317.91 10/31/2003 18,169.23 17,665.90 11/30/2003 18,307.69 17,587.77 12/31/2003 19,123.08 18,740.21 1/31/2004 20,323.08 19,507.16 2/29/2004 20,953.85 20,096.75 3/31/2004 20,292.31 20,136.47 4/30/2004 18,815.38 18,997.55 5/31/2004 18,676.92 18,911.52 6/30/2004 18,753.85 18,933.81 7/31/2004 19,092.31 19,648.28 8/31/2004 19,553.85 20,295.55 9/30/2004 20,753.85 21,507.08 10/31/2004 21,738.46 22,883.75 11/30/2004 23,323.08 24,644.82 12/31/2004 23,861.54 25,686.55 1/31/2005 24,400.00 25,910.67 2/28/2005 25,107.69 26,735.96 3/31/2005 24,261.54 25,975.82 4/30/2005 23,446.15 25,553.33 5/31/2005 22,923.08 25,881.67 6/30/2005 23,953.85 27,296.65 7/31/2005 24,769.23 28,433.08 8/31/2005 25,415.38 28,410.57 9/30/2005 26,353.85 29,843.62 10/31/2005 24,876.92 28,090.23 11/30/2005 25,492.31 29,155.56 12/31/2005 25,892.31 29,727.83 1/31/2006 27,646.15 31,429.05 2/28/2006 28,046.15 31,744.73 3/31/2006 29,476.92 33,088.83 4/30/2006 31,169.23 35,223.04 5/31/2006 29,400.00 33,424.53 6/30/2006 29,215.38 33,017.40 7/31/2006 29,784.62 33,356.24 8/31/2006 30,523.08 34,444.29 9/30/2006 30,846.15 35,013.74 10/31/2006 33,384.62 37,454.98 11/30/2006 35,246.15 39,731.51 12/31/2006 36,261.54 41,214.77 1/31/2007 37,200.00 42,261.59 2/28/2007 38,200.00 43,067.41 3/31/2007 40,200.00 45,289.34 4/30/2007 43,015.38 48,429.84 5/31/2007 46,707.69 50,331.04 6/30/2007 48,630.77 51,639.92 7/31/2007 49,400.00 51,626.14 8/31/2007 45,723.08 48,303.77 9/30/2007 51,076.92 52,590.28 10/31/2007 55,553.85 56,185.13 11/30/2007 51,892.31 51,671.82 12/31/2007 51,015.38 50,960.73 1/31/2008 45,892.31 44,132.03 2/29/2008 47,307.69 46,753.63 3/31/2008 45,015.38 43,804.20 4/30/2008 48,169.23 46,734.65 5/31/2008 50,276.92 47,238.82 6/30/2008 45,338.46 41,953.90 7/31/2008 42,676.92 40,024.66 8/31/2008 39,692.31 36,773.53 9/30/2008 32,876.92 29,594.72 10/31/2008 21,953.85 19,141.79 11/30/2008 19,846.15 17,052.75 12/31/2008 22,015.38 19,034.03 1/31/2009 19,307.69 16,938.03 2/28/2009 18,246.15 15,886.23 3/31/2009 21,076.92 18,163.07 4/30/2009 24,230.77 21,414.23 5/31/2009 30,492.31 26,548.71 6/30/2009 30,738.46 27,296.09 7/31/2009 35,184.62 31,237.80 8/31/2009 36,784.62 32,843.12 9/30/2009 39,661.54 35,594.15 10/31/2009 40,553.85 36,447.47 11/30/2009 42,446.15 37,495.39 12/31/2009 43,569.23 38,993.74 1/31/2010 41,215.38 36,500.35 2/28/2010 41,953.85 36,957.83 3/31/2010 45,415.38 40,003.60 4/30/2010 46,046.15 41,122.24 5/31/2010 39,676.92 34,913.27 6/30/2010 39,200.00 34,714.24 7/31/2010 43,553.85 38,246.22 8/31/2010 43,507.69 38,161.09 9/30/2010 50,107.69 43,890.56 10/31/2010 52,276.92 45,838.85 11/30/2010 51,584.62 45,226.66 12/31/2010 56,646.15 49,791.31 1/31/2011 55,446.15 48,343.35 2/28/2011 55,800.00 48,608.02 3/31/2011 56,984.62 50,100.04 4/30/2011 59,415.38 52,126.61 5/31/2011 57,661.54 50,933.42 6/30/2011 55,723.08 49,122.18 7/31/2011 56,646.15 49,846.74 8/31/2011 52,707.69 46,379.74 9/30/2011 42,876.92 37,947.11 10/31/2011 49,584.62 44,164.23
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -5.15% 8.23% 17.36% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
UNITED KINGDOM MSCI UK SMALL SMALL CAP COMPANY INDEX SERIES (NET DIV.) --------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,672.76 10,936.71 12/31/2001 11,112.96 11,303.48 1/31/2002 10,813.95 10,713.26 2/28/2002 10,921.93 10,717.24 3/31/2002 11,470.10 11,515.80 4/30/2002 11,976.74 11,944.79 5/31/2002 12,109.63 11,810.27 6/30/2002 11,627.91 11,087.75 7/31/2002 10,789.04 9,862.08 8/31/2002 10,805.65 9,944.34 9/30/2002 9,892.03 9,255.93 10/31/2002 9,842.19 9,267.18 11/30/2002 10,174.42 9,438.37 12/31/2002 10,149.50 9,165.00 1/31/2003 9,908.64 8,476.23 2/28/2003 9,576.41 8,230.16 3/31/2003 9,493.36 8,220.08 4/30/2003 10,390.37 9,320.73 5/31/2003 11,636.21 10,677.75 6/30/2003 12,300.66 11,029.52 7/31/2003 12,790.70 11,727.54 8/31/2003 13,330.56 12,285.65 9/30/2003 13,853.82 12,608.01 10/31/2003 14,642.86 13,630.49 11/30/2003 14,717.61 13,744.04 12/31/2003 15,539.87 14,514.71 1/31/2004 16,694.35 15,744.72 2/29/2004 17,666.11 16,811.38 3/31/2004 17,425.25 16,747.28 4/30/2004 16,802.33 16,164.56 5/31/2004 16,827.24 16,155.31 6/30/2004 17,400.33 16,715.76 7/31/2004 16,760.80 15,959.27 8/31/2004 16,644.52 15,740.85 9/30/2004 17,117.94 16,258.19 10/31/2004 17,657.81 16,876.88 11/30/2004 19,086.38 18,241.41 12/31/2004 19,875.42 19,293.66 1/31/2005 20,440.20 19,726.86 2/28/2005 21,137.87 20,193.81 3/31/2005 20,664.45 19,941.65 4/30/2005 19,966.78 19,040.32 5/31/2005 19,576.41 18,871.47 6/30/2005 19,950.17 19,161.83 7/31/2005 20,340.53 19,730.96 8/31/2005 21,486.71 20,685.84 9/30/2005 21,245.85 20,721.81 10/31/2005 20,647.84 20,090.81 11/30/2005 21,544.85 21,093.61 12/31/2005 22,491.69 22,005.02 1/31/2006 24,252.49 23,797.00 2/28/2006 24,584.72 24,170.09 3/31/2006 24,991.69 24,659.07 4/30/2006 26,254.15 25,964.07 5/31/2006 25,722.59 25,387.80 6/30/2006 25,714.29 25,172.31 7/31/2006 25,897.01 24,976.62 8/31/2006 26,985.05 25,875.37 9/30/2006 27,774.09 26,633.97 10/31/2006 29,352.16 28,159.38 11/30/2006 31,196.01 29,984.30 12/31/2006 32,898.67 31,391.24 1/31/2007 33,131.23 31,318.01 2/28/2007 33,122.92 31,415.74 3/31/2007 34,684.39 32,715.16 4/30/2007 35,880.40 34,339.00 5/31/2007 36,362.13 34,559.59 6/30/2007 35,033.22 33,553.76 7/31/2007 34,850.50 33,365.13 8/31/2007 34,651.16 32,142.02 9/30/2007 33,455.15 30,320.58 10/31/2007 36,129.57 33,652.34 11/30/2007 31,951.83 29,758.35 12/31/2007 30,265.78 28,264.30 1/31/2008 28,230.90 25,990.00 2/29/2008 28,646.18 26,870.55 3/31/2008 28,538.21 26,532.84 4/30/2008 29,019.93 27,026.34 5/31/2008 29,102.99 27,154.23 6/30/2008 26,785.71 25,297.80 7/31/2008 25,847.18 24,288.46 8/31/2008 25,431.89 23,652.70 9/30/2008 21,503.32 19,303.37 10/31/2008 15,730.90 13,947.23 11/30/2008 14,617.94 12,653.82 12/31/2008 14,294.02 12,332.82 1/31/2009 13,945.18 12,265.18 2/28/2009 13,372.09 11,858.58 3/31/2009 13,953.49 12,546.32 4/30/2009 16,877.08 15,428.40 5/31/2009 18,604.65 17,057.98 6/30/2009 18,696.01 17,178.38 7/31/2009 20,315.61 18,759.16 8/31/2009 21,901.99 20,567.85 9/30/2009 22,541.53 21,042.33 10/31/2009 22,574.75 21,072.79 11/30/2009 22,508.31 20,853.53 12/31/2009 22,981.73 21,368.65 1/31/2010 22,757.48 21,269.47 2/28/2010 21,976.74 20,316.81 3/31/2010 23,820.60 22,107.47 4/30/2010 24,701.00 22,989.86 5/31/2010 21,910.30 20,226.43 6/30/2010 22,325.58 20,313.81 7/31/2010 25,340.53 22,757.26 8/31/2010 24,410.30 22,139.12 9/30/2010 27,018.27 24,578.39 10/31/2010 28,430.23 25,626.08 11/30/2010 27,034.88 24,558.85 12/31/2010 29,800.66 27,128.52 1/31/2011 30,232.56 27,390.91 2/28/2011 31,146.18 28,113.28 3/31/2011 30,573.09 27,628.21 4/30/2011 33,280.73 30,160.70 5/31/2011 33,081.40 29,778.97 6/30/2011 32,026.58 28,775.86 7/31/2011 31,818.94 28,696.23 8/31/2011 28,646.18 25,768.96 9/30/2011 25,755.81 23,051.45 10/31/2011 28,488.37 25,570.45
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ---- ----- ----- 0.20% -0.60% 11.04% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI CONTINENTAL EUROPE EX SMALL UK SMALL COMPANY CAP INDEX SERIES (NET DIV.) ----------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 10,426.23 10,756.14 12/31/2001 10,516.39 10,854.44 1/31/2002 10,524.59 10,862.21 2/28/2002 10,680.33 10,914.49 3/31/2002 11,229.51 11,613.59 4/30/2002 11,680.33 11,931.29 5/31/2002 12,147.54 12,138.16 6/30/2002 12,147.54 11,861.08 7/31/2002 11,196.72 10,602.31 8/31/2002 11,049.18 10,326.98 9/30/2002 9,893.44 9,021.19 10/31/2002 10,196.72 9,563.57 11/30/2002 10,762.30 10,087.76 12/31/2002 10,959.02 9,850.93 1/31/2003 10,885.25 9,720.16 2/28/2003 10,565.57 9,292.75 3/31/2003 10,500.00 9,271.06 4/30/2003 11,811.48 10,633.78 5/31/2003 13,016.39 11,679.16 6/30/2003 13,229.51 11,852.81 7/31/2003 13,696.72 12,274.82 8/31/2003 14,000.00 12,628.64 9/30/2003 14,721.31 13,344.66 10/31/2003 15,631.15 14,459.38 11/30/2003 16,450.82 15,228.81 12/31/2003 17,475.41 16,025.45 1/31/2004 18,319.67 16,831.49 2/29/2004 18,934.43 17,399.32 3/31/2004 18,549.18 16,798.90 4/30/2004 18,327.87 16,534.35 5/31/2004 18,532.79 16,587.01 6/30/2004 19,090.16 17,178.66 7/31/2004 18,475.41 16,488.34 8/31/2004 18,590.16 16,540.62 9/30/2004 19,557.38 17,462.76 10/31/2004 20,295.08 18,202.98 11/30/2004 22,467.21 20,223.29 12/31/2004 23,631.15 21,234.33 1/31/2005 23,967.21 21,472.42 2/28/2005 25,508.20 22,976.81 3/31/2005 24,811.48 22,390.05 4/30/2005 24,155.74 21,731.32 5/31/2005 24,221.31 22,040.87 6/30/2005 24,877.05 22,746.24 7/31/2005 26,426.23 24,306.80 8/31/2005 27,319.67 24,996.99 9/30/2005 28,016.39 25,850.55 10/31/2005 26,631.15 24,066.45 11/30/2005 26,729.51 24,373.37 12/31/2005 28,114.75 25,785.86 1/31/2006 30,811.48 28,663.11 2/28/2006 31,704.92 29,472.42 3/31/2006 33,754.10 31,376.50 4/30/2006 36,081.97 33,599.80 5/31/2006 34,352.46 31,872.74 6/30/2006 33,713.11 31,146.44 7/31/2006 33,639.34 30,805.67 8/31/2006 34,532.79 31,530.47 9/30/2006 35,000.00 31,861.33 10/31/2006 36,762.30 33,564.19 11/30/2006 39,319.67 35,912.99 12/31/2006 41,196.72 37,607.07 1/31/2007 43,106.56 38,811.43 2/28/2007 43,180.33 38,977.52 3/31/2007 45,704.92 41,050.13 4/30/2007 48,114.75 43,534.46 5/31/2007 49,049.18 44,293.47 6/30/2007 48,516.39 43,870.15 7/31/2007 48,254.10 43,549.02 8/31/2007 46,540.98 41,578.04 9/30/2007 47,581.97 42,405.35 10/31/2007 49,877.05 44,942.91 11/30/2007 46,196.72 41,727.51 12/31/2007 45,311.48 40,882.27 1/31/2008 41,000.00 35,959.03 2/29/2008 42,762.30 38,135.17 3/31/2008 44,122.95 38,910.66 4/30/2008 44,655.74 39,575.33 5/31/2008 45,516.39 40,190.70 6/30/2008 41,680.33 36,476.45 7/31/2008 39,475.41 34,405.48 8/31/2008 38,401.64 33,465.93 9/30/2008 31,721.31 26,537.01 10/31/2008 23,254.10 19,070.42 11/30/2008 21,442.62 17,489.52 12/31/2008 23,680.33 19,105.69 1/31/2009 20,991.80 17,389.96 2/28/2009 19,180.33 15,858.85 3/31/2009 20,573.77 17,085.09 4/30/2009 23,942.62 20,641.43 5/31/2009 27,409.84 23,722.81 6/30/2009 27,073.77 23,418.72 7/31/2009 29,229.51 25,521.22 8/31/2009 31,680.33 28,140.39 9/30/2009 34,393.44 30,837.40 10/31/2009 33,434.43 29,995.79 11/30/2009 34,450.82 30,612.47 12/31/2009 34,344.26 30,750.49 1/31/2010 33,778.69 30,340.42 2/28/2010 33,065.57 29,476.79 3/31/2010 35,524.59 31,867.58 4/30/2010 35,188.52 31,666.40 5/31/2010 30,188.52 26,767.57 6/30/2010 30,000.00 26,367.41 7/31/2010 33,590.16 29,526.59 8/31/2010 32,057.38 28,123.38 9/30/2010 36,467.21 32,463.01 10/31/2010 38,590.16 34,545.61 11/30/2010 35,581.97 31,928.47 12/31/2010 40,196.72 36,398.58 1/31/2011 41,344.26 37,221.62 2/28/2011 42,057.38 37,852.76 3/31/2011 43,475.41 39,130.12 4/30/2011 46,418.03 41,863.46 5/31/2011 44,852.46 40,266.66 6/30/2011 43,409.84 38,966.49 7/31/2011 40,959.02 36,601.48 8/31/2011 36,754.10 32,777.62 9/30/2011 31,221.31 27,853.45 10/31/2011 34,426.23 30,905.90
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ------ ----- ----- -10.75% -1.30% 13.16% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 218 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS THE CANADIAN SMALL COMPANY SERIES VS. MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS) APRIL 2, 2007-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI CANADIAN CANADA SMALL SMALL CAP COMPANY INDEX SERIES (NET DIV.) --------- ---------- 4/2/2007 10,000.00 10,000.00 4/30/2007 10,710.00 10,486.77 5/31/2007 11,420.00 11,331.42 6/30/2007 11,370.00 11,305.55 7/31/2007 11,300.00 11,024.40 8/31/2007 10,560.00 10,339.57 9/30/2007 11,730.00 11,599.69 10/31/2007 13,000.00 12,851.68 11/30/2007 11,020.00 10,808.72 12/31/2007 11,430.00 11,109.21 1/31/2008 10,350.00 10,107.38 2/29/2008 11,160.00 11,071.35 3/31/2008 10,290.00 10,199.20 4/30/2008 10,540.00 10,554.53 5/31/2008 11,140.00 11,104.08 6/30/2008 10,620.00 10,724.58 7/31/2008 9,710.00 9,775.01 8/31/2008 9,310.00 9,529.52 9/30/2008 7,190.00 7,506.38 10/31/2008 4,800.00 5,011.50 11/30/2008 4,180.00 4,559.69 12/31/2008 4,500.00 4,785.31 1/31/2009 4,530.00 4,833.49 2/28/2009 4,120.00 4,453.87 3/31/2009 4,380.00 4,708.45 4/30/2009 5,300.00 5,465.62 5/31/2009 6,340.00 6,621.52 6/30/2009 5,950.00 6,220.34 7/31/2009 6,700.00 6,995.57 8/31/2009 6,920.00 7,259.67 9/30/2009 7,910.00 8,156.87 10/31/2009 7,760.00 8,210.75 11/30/2009 8,420.00 8,899.60 12/31/2009 8,960.00 9,422.87 1/31/2010 8,540.00 9,031.08 2/28/2010 9,050.00 9,631.72 3/31/2010 9,770.00 10,453.70 4/30/2010 10,120.00 10,889.81 5/31/2010 9,150.00 9,929.20 6/30/2010 8,730.00 9,463.81 7/31/2010 9,440.00 10,233.79 8/31/2010 9,330.00 10,202.01 9/30/2010 10,430.00 11,318.76 10/31/2010 11,110.00 12,004.31 11/30/2010 11,650.00 12,509.34 12/31/2010 12,840.00 13,659.88 1/31/2011 12,780.00 13,499.73 2/28/2011 13,660.00 14,392.30 3/31/2011 13,680.00 14,395.94 4/30/2011 13,940.00 14,832.50 5/31/2011 13,360.00 14,235.58 6/30/2011 12,620.00 13,509.82 7/31/2011 12,810.00 13,867.52 8/31/2011 11,840.00 13,042.67 9/30/2011 9,600.00 10,655.16 10/31/2011 11,140.00 12,174.41
AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 4/2/2007 -------------- ---- -------- 0.27% 2.38% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI EMERGING EMERGING MARKETS MARKETS INDEX SERIES (NET DIV.) --------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 11,107.23 11,043.27 12/31/2001 11,969.70 11,919.10 1/31/2002 12,634.03 12,321.28 2/28/2002 12,470.86 12,521.02 3/31/2002 13,006.99 13,270.30 4/30/2002 13,146.85 13,355.36 5/31/2002 12,808.86 13,139.34 6/30/2002 11,841.49 12,150.05 7/31/2002 11,270.40 11,221.22 8/31/2002 11,305.36 11,392.69 9/30/2002 10,116.55 10,163.15 10/31/2002 10,536.13 10,823.45 11/30/2002 11,340.33 11,568.33 12/31/2002 10,885.78 11,183.53 1/31/2003 10,874.13 11,134.20 2/28/2003 10,710.96 10,821.37 3/31/2003 10,536.13 10,512.33 4/30/2003 11,958.04 11,447.16 5/31/2003 12,832.17 12,265.59 6/30/2003 13,333.33 12,960.90 7/31/2003 13,601.40 13,766.84 8/31/2003 14,219.11 14,688.09 9/30/2003 14,860.14 14,795.06 10/31/2003 15,990.68 16,053.85 11/30/2003 15,839.16 16,249.19 12/31/2003 17,505.83 17,425.74 1/31/2004 17,843.82 18,034.27 2/29/2004 18,636.36 18,861.27 3/31/2004 18,764.57 19,097.00 4/30/2004 17,575.76 17,533.32 5/31/2004 17,377.62 17,183.53 6/30/2004 17,692.31 17,256.72 7/31/2004 17,680.65 16,940.82 8/31/2004 18,170.16 17,643.35 9/30/2004 19,195.80 18,661.28 10/31/2004 19,731.93 19,107.15 11/30/2004 21,456.88 20,875.96 12/31/2004 22,855.48 21,878.59 1/31/2005 23,041.96 21,934.15 2/28/2005 24,755.24 23,847.87 3/31/2005 23,065.27 22,271.83 4/30/2005 22,517.48 21,673.95 5/31/2005 23,193.47 22,428.37 6/30/2005 23,892.77 23,190.38 7/31/2005 25,431.24 24,811.33 8/31/2005 25,594.41 25,023.81 9/30/2005 27,634.03 27,353.90 10/31/2005 26,258.74 25,566.00 11/30/2005 28,158.51 27,680.93 12/31/2005 29,790.21 29,317.06 1/31/2006 32,645.69 32,591.52 2/28/2006 32,552.45 32,552.84 3/31/2006 32,995.34 32,839.73 4/30/2006 34,976.69 35,178.14 5/31/2006 30,944.06 31,492.44 6/30/2006 30,909.09 31,415.46 7/31/2006 31,480.19 31,865.25 8/31/2006 32,470.86 32,677.19 9/30/2006 32,925.41 32,949.27 10/31/2006 34,895.10 34,513.80 11/30/2006 37,132.87 37,079.37 12/31/2006 38,636.36 38,748.91 1/31/2007 39,207.46 38,331.68 2/28/2007 38,613.05 38,104.17 3/31/2007 40,372.96 39,621.55 4/30/2007 42,960.37 41,455.91 5/31/2007 45,839.16 43,509.21 6/30/2007 46,596.74 45,548.75 7/31/2007 47,727.27 47,952.05 8/31/2007 46,911.42 46,932.97 9/30/2007 51,048.95 52,115.94 10/31/2007 56,655.01 57,927.95 11/30/2007 52,960.37 53,821.63 12/31/2007 52,773.89 54,010.37 1/31/2008 48,181.82 47,270.20 2/29/2008 49,720.28 50,759.33 3/31/2008 48,181.82 48,073.18 4/30/2008 51,631.70 51,974.50 5/31/2008 51,934.73 52,938.69 6/30/2008 46,608.39 47,658.72 7/31/2008 46,002.33 45,861.03 8/31/2008 43,275.06 42,197.96 9/30/2008 37,261.07 34,813.18 10/31/2008 27,447.55 25,285.56 11/30/2008 24,965.04 23,382.14 12/31/2008 26,923.08 25,205.85 1/31/2009 24,860.14 23,578.05 2/28/2009 23,251.75 22,247.96 3/31/2009 26,608.39 25,445.15 4/30/2009 30,559.44 29,679.48 5/31/2009 35,769.23 34,750.69 6/30/2009 35,466.20 34,282.58 7/31/2009 39,533.80 38,137.59 8/31/2009 39,673.66 38,001.05 9/30/2009 43,181.82 41,450.42 10/31/2009 42,272.73 41,501.69 11/30/2009 44,813.52 43,284.42 12/31/2009 46,433.57 44,993.77 1/31/2010 43,904.43 42,484.38 2/28/2010 44,440.56 42,633.91 3/31/2010 48,170.16 46,075.86 4/30/2010 48,461.54 46,634.07 5/31/2010 43,962.70 42,532.30 6/30/2010 44,032.63 42,219.64 7/31/2010 47,913.75 45,735.49 8/31/2010 46,806.53 44,847.26 9/30/2010 52,132.87 49,831.12 10/31/2010 53,717.95 51,278.04 11/30/2010 52,517.48 49,924.41 12/31/2010 56,794.87 53,486.99 1/31/2011 55,326.34 52,035.83 2/28/2011 54,941.72 51,550.58 3/31/2011 58,006.99 54,581.43 4/30/2011 60,034.97 56,274.56 5/31/2011 58,379.95 54,798.52 6/30/2011 57,692.31 53,955.51 7/31/2011 57,249.42 53,715.88 8/31/2011 52,622.38 48,915.60 9/30/2011 44,662.00 41,783.97 10/31/2011 50,256.41 47,318.56
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ----- ----- ----- -6.44% 7.57% 17.52% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI EMERGING EMERGING MARKETS MARKETS SMALL CAP INDEX SERIES (NET DIV.) --------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 11,040.22 11,043.27 12/31/2001 11,900.14 11,919.10 1/31/2002 12,815.53 12,321.28 2/28/2002 12,676.84 12,521.02 3/31/2002 13,481.28 13,270.30 4/30/2002 13,855.76 13,355.36 5/31/2002 13,758.67 13,139.34 6/30/2002 12,857.14 12,150.05 7/31/2002 12,260.75 11,221.22 8/31/2002 12,413.31 11,392.69 9/30/2002 10,998.61 10,163.15 10/31/2002 11,456.31 10,823.45 11/30/2002 12,343.97 11,568.33 12/31/2002 11,941.75 11,183.53 1/31/2003 12,163.66 11,134.20 2/28/2003 12,024.97 10,821.37 3/31/2003 11,941.75 10,512.33 4/30/2003 13,481.28 11,447.16 5/31/2003 14,507.63 12,265.59 6/30/2003 15,131.76 12,960.90 7/31/2003 15,450.76 13,766.84 8/31/2003 16,380.03 14,688.09 9/30/2003 17,004.16 14,795.06 10/31/2003 18,488.21 16,053.85 11/30/2003 18,862.69 16,249.19 12/31/2003 20,748.96 17,425.74 1/31/2004 21,373.09 18,034.27 2/29/2004 22,274.62 18,861.27 3/31/2004 22,649.10 19,097.00 4/30/2004 21,400.83 17,533.32 5/31/2004 20,513.18 17,183.53 6/30/2004 20,679.61 17,256.72 7/31/2004 20,832.18 16,940.82 8/31/2004 21,525.66 17,643.35 9/30/2004 22,718.45 18,661.28 10/31/2004 23,300.97 19,107.15 11/30/2004 25,506.24 20,875.96 12/31/2004 26,865.46 21,878.59 1/31/2005 27,628.29 21,934.15 2/28/2005 29,375.87 23,847.87 3/31/2005 27,364.77 22,271.83 4/30/2005 26,366.16 21,673.95 5/31/2005 26,879.33 22,428.37 6/30/2005 27,558.95 23,190.38 7/31/2005 29,098.47 24,811.33 8/31/2005 29,292.65 25,023.81 9/30/2005 31,234.40 27,353.90 10/31/2005 29,722.61 25,566.00 11/30/2005 31,844.66 27,680.93 12/31/2005 33,938.97 29,317.06 1/31/2006 37,239.94 32,591.52 2/28/2006 37,656.03 32,552.84 3/31/2006 38,335.65 32,839.73 4/30/2006 41,484.05 35,178.14 5/31/2006 37,128.99 31,492.44 6/30/2006 35,506.24 31,415.46 7/31/2006 36,324.55 31,865.25 8/31/2006 37,600.55 32,677.19 9/30/2006 38,668.52 32,949.27 10/31/2006 41,595.01 34,513.80 11/30/2006 44,757.28 37,079.37 12/31/2006 46,823.86 38,748.91 1/31/2007 47,753.12 38,331.68 2/28/2007 48,155.34 38,104.17 3/31/2007 50,332.87 39,621.55 4/30/2007 54,188.63 41,455.91 5/31/2007 58,515.95 43,509.21 6/30/2007 60,277.39 45,548.75 7/31/2007 63,231.62 47,952.05 8/31/2007 60,624.13 46,932.97 9/30/2007 64,798.89 52,115.94 10/31/2007 69,708.74 57,927.95 11/30/2007 64,147.02 53,821.63 12/31/2007 64,895.98 54,010.37 1/31/2008 57,115.12 47,270.20 2/29/2008 58,765.60 50,759.33 3/31/2008 56,033.29 48,073.18 4/30/2008 59,445.22 51,974.50 5/31/2008 59,112.34 52,938.69 6/30/2008 52,302.36 47,658.72 7/31/2008 51,511.79 45,861.03 8/31/2008 48,404.99 42,197.96 9/30/2008 39,694.87 34,813.18 10/31/2008 27,669.90 25,285.56 11/30/2008 25,991.68 23,382.14 12/31/2008 29,681.00 25,205.85 1/31/2009 27,420.25 23,578.05 2/28/2009 25,742.03 22,247.96 3/31/2009 29,292.65 25,445.15 4/30/2009 35,228.85 29,679.48 5/31/2009 43,231.62 34,750.69 6/30/2009 43,023.58 34,282.58 7/31/2009 48,529.82 38,137.59 8/31/2009 49,112.34 38,001.05 9/30/2009 53,217.75 41,450.42 10/31/2009 53,176.14 41,501.69 11/30/2009 56,338.42 43,284.42 12/31/2009 59,445.22 44,993.77 1/31/2010 56,837.73 42,484.38 2/28/2010 57,822.47 42,633.91 3/31/2010 62,773.93 46,075.86 4/30/2010 63,814.15 46,634.07 5/31/2010 57,420.25 42,532.30 6/30/2010 58,959.78 42,219.64 7/31/2010 64,396.67 45,735.49 8/31/2010 64,715.67 44,847.26 9/30/2010 72,593.62 49,831.12 10/31/2010 75,492.37 51,278.04 11/30/2010 73,481.28 49,924.41 12/31/2010 77,711.51 53,486.99 1/31/2011 74,452.15 52,035.83 2/28/2011 72,288.49 51,550.58 3/31/2011 76,324.55 54,581.43 4/30/2011 80,360.61 56,274.56 5/31/2011 78,571.43 54,798.52 6/30/2011 78,557.56 53,955.51 7/31/2011 79,459.08 53,715.88 8/31/2011 71,941.75 48,915.60 9/30/2011 59,167.82 41,783.97 10/31/2011 65,728.16 47,318.56
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ------ ----- ----- -12.94% 9.58% 20.72% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 219 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The year ending October 31, 2011, was a relatively volatile period for U.S. equities. Broad market returns were positive with the Russell 3000(R) Index returning 7.90%. Small cap stocks, represented by the Russell 2000(R) Index, underperformed large cap stocks, represented by the Russell 1000(R) Index. Small cap value stocks, represented by the Russell 2000(R) Value Index, underperformed small cap growth stocks, represented by the Russell 2000(R) Growth Index. Large cap value stocks, represented by the Russell 1000(R) Value Index, underperformed large cap growth stocks, represented by the Russell 1000(R) Growth Index. The broad market, as represented by the Russell 3000(R) Index, had a positive return in each of the six months through April 2011. Monthly performance turned negative in May and continued through the third quarter, although total returns remained positive through August largely due to gains over the first half of the period. Sharp declines through September brought calendar year to date total returns across all market segments into negative territory. Double-digit gains in October helped all the market segments post positive total returns for the twelve-month period. Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio's holdings. Size is measured by market capitalization and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value. Dividing the market into micro cap, small cap, and large cap segments shows how these segments affected the broad market return. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011 Russell 3000(R) Index.................................. 7.90% Russell Microcap(R) Index (micro cap stocks)........... 2.11% Russell 2000(R) Index (small cap stocks)............... 6.71% Russell 1000(R) Index (large cap stocks)............... 8.01% Further dividing small cap and large cap into value and growth segments shows additional detail in the performance differences over the period. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011 Russell 2000(R) Value Index (small cap value stocks)... 3.54% Russell 2000(R) Growth Index (small cap growth stocks). 9.84% Russell 1000(R) Value Index (large cap value stocks)... 6.16% Russell 1000(R) Growth Index (large cap growth stocks). 9.92% -------- Sources: Russell data copyright (C) Russell Investment Group 1995-2011, all rights reserved. Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2011 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors LP (the "Advisor" or "Dimensional") generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks. 220 DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW THE U.S. LARGE CAP VALUE SERIES The U.S. Large Cap Value Series seeks to capture the returns of U.S. large company value stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2011, the Series held approximately 220 securities and was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2011, total returns were 5.69% for the Series and 6.16% for the Russell 1000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. As indicated by the Russell benchmarks, growth stocks outperformed value stocks in the U.S. during the year. The Series' higher allocation to the deepest value stocks, which significantly underperformed, was a contributor to its relative underperformance as compared to the Index. Dimensional's U.S. value strategies exclude REITS and highly regulated utilities, two sectors that performed well during this period. In addition to the higher allocation to the deepest value stocks, these exclusions were drivers of underperformance relative to the Russell 1000(R) Value Index. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 The one-year period ending October 31, 2011, was characterized by levels of volatility in non-US developed markets not seen since 2008-09. While broad market returns were positive through April 2011, stocks dropped for five out of the next six months to end the period in negative territory, with stocks represented by the MSCI World ex USA Index (net dividends) returning -3.70% overall. The slide in August and September, accompanied by poor US economic data and European debt worries among other factors, produced some of the lowest monthly returns since 2008. October's rally produced some of the best monthly returns since early 2009. As measured by the MSCI indices below, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ----------- MSCI World ex USA Index........... -3.70% MSCI World ex USA Small Cap Index. -2.01% MSCI World ex USA Value Index..... -4.74% MSCI World ex USA Growth Index.... -2.73% -------- The US dollar (USD) generally depreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the euro and British pound, it fell significantly against the Swiss franc and Australian dollar, and to a lesser extent, against the Japanese yen. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN --------------------------------------------------- -------- ----------- United Kingdom...................................... 1.14% 2.10% Japan............................................... -5.45% -2.33% Canada.............................................. -2.57% -0.18% France.............................................. -11.83% -11.52% Australia........................................... -4.39% 3.49% 221 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN --------------------------------------------------- -------- ----------- Switzerland......................................... -9.66% 2.03% Germany............................................. -7.39% -7.07% Spain............................................... -15.21% -14.91% Sweden.............................................. -7.75% -4.35% Hong Kong........................................... -8.67% -8.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. Losses in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2011, returns in USD were -7.72% for the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks underperformed their value counterparts, while emerging markets small cap stocks underperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ----------- MSCI Emerging Markets Index........... -7.72% MSCI Emerging Markets Small Cap Index. -16.70% MSCI Emerging Markets Value Index..... -6.99% MSCI Emerging Markets Growth Index.... -8.45% -------- The US dollar (USD) generally appreciated against most major emerging markets currencies during the period. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN ------------------------------------------ -------- ----------- China............................................... -15.62% -15.76% Brazil.............................................. -12.71% -12.57% South Korea......................................... 4.63% 6.24% Taiwan.............................................. -5.30% -3.07% South Africa........................................ 10.15% -2.95% India............................................... -12.30% -19.99% Russia.............................................. -1.24% 0.22% Mexico.............................................. 5.26% -1.38% Malaysia............................................ 2.08% 3.53% Indonesia........................................... 3.92% 4.92% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. 222 INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW THE DFA INTERNATIONAL VALUE SERIES The DFA International Value Series seeks to capture the returns of international large company value stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track any specific equity index. As of October 31, 2011, the Series held approximately 530 securities in 23 developed countries. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. For the 12 months ending October 31, 2011, total returns were -8.04% for the Series and -3.70% for the MSCI World ex USA Index (net dividends). The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. In particular, there was an extremely wide performance difference between deep value stocks and extreme growth stocks. The Series' larger allocation to deep value stocks, which underperformed, and significantly lower allocation to extreme growth stocks, which outperformed, was the primary contributor to its relative underperformance as compared to the Index. An additional component of the Series' relative performance was due to differences in valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of U.S. markets, while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets, while the Index uses local market closing prices. THE JAPANESE SMALL COMPANY SERIES The Japanese Small Company Series seeks to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 1,400 securities. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2011, total returns were 10.07% for the Series and 9.17% for the MSCI Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market rather than the behavior of a limited number of stocks. In general, Japanese small cap stocks significantly outperformed Japanese mid cap and large cap stocks over the period. In particular, the smallest Japanese stocks outperformed all other market capitalizations. The Series has a higher allocation to the smallest market capitalization segment than the Index, which contributed significantly to the Series' relative outperformance. The positive contribution from size allocation differences was partially offset by differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. THE ASIA PACIFIC SMALL COMPANY SERIES The Asia Pacific Small Company Series seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 1,100 securities across the eligible countries. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2011, total returns were -5.15% for the Series and -3.65% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. In general, Asia Pacific small cap stocks underperformed Asia Pacific mid cap and large cap stocks over the period. In particular, micro cap stocks in Hong Kong and Singapore did especially poorly. Relative to the Index, the Series' higher allocation to the smallest stocks had a significant negative 223 impact on the Series' relative performance. The Series' relative underperformance was also affected by differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. THE UNITED KINGDOM SMALL COMPANY SERIES The United Kingdom Small Company Series seeks to capture the returns of U.K. small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 375 securities. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2011, total returns were 0.20% for the Series and -0.22% for the MSCI UK Small Cap Index (net dividends). One of the primary contributors to the Series' performance relative to the Index was the Series' exclusion of securities traded on the AIM segment of the London Stock Exchange. The Index includes these securities, which significantly underperformed, contributing to the Series' relative outperformance. The positive impact of the foregoing contributors to relative performance was partially offset by differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. THE CONTINENTAL SMALL COMPANY SERIES The Continental Small Company Series seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 1,500 securities in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Series was mostly invested in equities throughout the year. The average cash level for period was less than 1% of the Series' assets. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2011, total returns were -10.75% for the Series and -10.54% for the MSCI Europe ex UK Small Cap Index (net dividends). Overall, the Series' underperformance was primarily attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. THE CANADIAN SMALL COMPANY SERIES The Canadian Small Company Series seeks to capture the returns of Canadian small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 450 securities. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2011, total returns were 0.27% for the Series and 1.42% for the MSCI Canada Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Canadian equity market rather than the behavior of a 224 limited number of stocks. Relative to the Index, the Series' underperformance was primarily due to differences in construction methodology and the timing of Index rebalancing. For example, two outperforming stocks in the materials sector, New Gold and Equinox Minerals, moved outside Dimensional's small cap universe during the period and were held at lower average weights in the Series than in the Index. Yellow Media, the worst performing stock in Canada during this period, was not added to the Index until August but was eligible for the Series' earlier in the year. The combination of having lower weights in two outperforming stocks and a higher weight in an underperforming stock led to the Series' relative underperformance. The time of valuation of currency can create differences between the performance of the Series and the Index. THE EMERGING MARKETS SERIES The Emerging Markets Series seeks to capture the returns of large cap stocks in selected emerging markets countries. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap emerging markets stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 850 securities across 20 emerging markets. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. The Series' country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2011, total returns were -6.44% for the Series and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Series' relative outperformance was primarily due to differences in country weight allocations and in the composition of the Series' holdings relative to the Index. In particular, the Series' lower weight in China, which underperformed, contributed significantly to the Series' relative outperformance. The time of valuation of currency and fair valuation adjustments can create differences between the performance of the Series and the Index. THE EMERGING MARKETS SMALL CAP SERIES The Emerging Markets Small Cap Series seeks to capture the returns of small company stocks in selected emerging markets. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, and does not attempt to track a specific equity index. As of October 31, 2011, the Series held approximately 2,550 securities in 15 emerging markets. In general, the Series was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Series' assets. The Series' country weights were capped at 15% of assets associated with any one country upon purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2011, total returns were -12.94% for the Series and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Series' underperformance was primarily due to emerging markets small cap stocks significantly underperforming their large cap counterparts during the period. The Series holds primarily small cap stocks, whereas the Index holds primarily large cap and mid cap stocks. To a lesser extent, an additional component of the Series' performance was due to differences in valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 225 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2011 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES Actual Fund Return..................... $1,000.00 $ 865.94 0.12% $0.56 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.60 0.12% $0.61 THE DFA INTERNATIONAL VALUE SERIES Actual Fund Return..................... $1,000.00 $ 802.34 0.23% $1.04 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.05 0.23% $1.17 226 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- THE JAPANESE SMALL COMPANY SERIES Actual Fund Return...................... $1,000.00 $ 984.11 0.14% $0.70 Hypothetical 5% Annual Return........... $1,000.00 $1,024.50 0.14% $0.71 THE ASIA PACIFIC SMALL COMPANY SERIES Actual Fund Return...................... $1,000.00 $ 834.53 0.17% $0.79 Hypothetical 5% Annual Return........... $1,000.00 $1,024.35 0.17% $0.87 THE UNITED KINGDOM SMALL COMPANY SERIES Actual Fund Return...................... $1,000.00 $ 855.99 0.13% $0.61 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE CONTINENTAL SMALL COMPANY SERIES Actual Fund Return...................... $1,000.00 $ 741.64 0.16% $0.70 Hypothetical 5% Annual Return........... $1,000.00 $1,024.40 0.16% $0.82 THE CANADIAN SMALL COMPANY SERIES Actual Fund Return...................... $1,000.00 $ 799.14 0.15% $0.68 Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77 THE EMERGING MARKETS SERIES Actual Fund Return...................... $1,000.00 $ 837.13 0.22% $1.02 Hypothetical 5% Annual Return........... $1,000.00 $1,024.10 0.22% $1.12 THE EMERGING MARKETS SMALL CAP SERIES Actual Fund Return...................... $1,000.00 $ 817.90 0.36% $1.65 Hypothetical 5% Annual Return........... $1,000.00 $1,023.39 0.36% $1.84
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 227 DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 28, 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............. 15.8% Consumer Staples................... 9.1% Energy............................. 17.8% Financials......................... 18.0% Health Care........................ 10.9% Industrials........................ 14.3% Information Technology............. 3.5% Materials.......................... 2.7% Telecommunication Services......... 6.4% Utilities.......................... 1.5% ----- 100.0% THE DFA INTERNATIONAL VALUE SERIES Consumer Discretionary............. 13.2% Consumer Staples................... 5.8% Energy............................. 13.8% Financials......................... 27.8% Health Care........................ 1.8% Industrials........................ 9.9% Information Technology............. 2.6% Materials.......................... 12.3% Other.............................. -- Telecommunication Services......... 9.1% Utilities.......................... 3.7% ----- 100.0% THE JAPANESE SMALL COMPANY SERIES Consumer Discretionary............. 23.1% Consumer Staples................... 10.1% Energy............................. 1.0% Financials......................... 11.4% Health Care........................ 4.2% Industrials........................ 27.0% Information Technology............. 10.8% Materials.......................... 11.8% Utilities.......................... 0.6% ----- 100.0% 228 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED THE ASIA PACIFIC SMALL COMPANY SERIES Consumer Discretionary............. 22.5% Consumer Staples................... 3.8% Energy............................. 6.8% Financials......................... 11.0% Health Care........................ 5.6% Industrials........................ 22.7% Information Technology............. 4.1% Materials.......................... 17.2% Other.............................. -- Telecommunication Services......... 2.2% Utilities.......................... 4.1% ----- 100.0% THE CANADIAN SMALL COMPANY SERIES Consumer Discretionary............. 10.2% Consumer Staples................... 3.1% Energy............................. 25.6% Financials......................... 7.3% Health Care........................ 2.0% Industrials........................ 9.0% Information Technology............. 5.6% Materials.......................... 34.3% Telecommunication Services......... 0.3% Utilities.......................... 2.6% ----- 100.0% THE UNITED KINGDOM SMALL COMPANY SERIES Consumer Discretionary............. 22.7% Consumer Staples................... 4.1% Energy............................. 4.7% Financials......................... 13.5% Health Care........................ 1.9% Industrials........................ 30.7% Information Technology............. 10.2% Materials.......................... 7.3% Other.............................. -- Telecommunication Services......... 2.3% Utilities.......................... 2.6% ----- 100.0% THE EMERGING MARKETS SERIES Consumer Discretionary............. 8.4% Consumer Staples................... 9.2% Energy............................. 14.1% Financials......................... 21.6% Health Care........................ 1.0% Industrials........................ 6.8% Information Technology............. 13.1% Materials.......................... 13.7% Other.............................. -- Telecommunication Services......... 8.7% Utilities.......................... 3.4% ----- 100.0% THE CONTINENTAL SMALL COMPANY SERIES Consumer Discretionary............. 13.7% Consumer Staples................... 7.8% Energy............................. 5.5% Financials......................... 17.8% Health Care........................ 8.8% Industrials........................ 25.2% Information Technology............. 9.7% Materials.......................... 8.0% Other.............................. -- Real Estate Investment Trusts...... -- Telecommunication Services......... 1.3% Utilities.......................... 2.2% ----- 100.0% THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary............. 18.5% Consumer Staples................... 11.4% Energy............................. 1.8% Financials......................... 17.3% Health Care........................ 4.8% Industrials........................ 16.8% Information Technology............. 9.2% Materials.......................... 15.3% Other.............................. 0.1% Real Estate Investment Trusts...... -- Telecommunication Services......... 1.1% Utilities.......................... 3.7% ----- 100.0% 229 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- COMMON STOCKS -- (92.6%) Consumer Discretionary -- (14.6%) Carnival Corp..................... 2,260,335 $ 79,586,395 0.9% #CBS Corp. Class B................. 3,627,769 93,632,718 1.0% #Comcast Corp. Class A............. 9,940,714 233,109,743 2.5% Comcast Corp. Special Class A..... 3,843,964 88,411,172 0.9% *Liberty Interactive Corp. Class A. 3,316,465 54,489,520 0.6% #News Corp. Class A................ 9,024,175 158,103,546 1.7% #News Corp. Class B................ 3,247,295 57,964,216 0.6% #Time Warner Cable, Inc............ 2,004,056 127,638,327 1.4% #Time Warner, Inc.................. 6,251,359 218,735,051 2.3% Other Securities.................. 356,593,391 3.8% -------------- ---- Total Consumer Discretionary......... 1,468,264,079 15.7% -------------- ---- Consumer Staples -- (8.4%) Archer-Daniels-Midland Co......... 3,072,555 88,919,742 0.9% #CVS Caremark Corp................. 6,703,937 243,352,913 2.6% Kraft Foods, Inc. Class A......... 6,937,764 244,070,538 2.6% Other Securities.................. 269,707,477 2.9% -------------- ---- Total Consumer Staples............... 846,050,670 9.0% -------------- ---- Energy -- (16.5%) Anadarko Petroleum Corp........... 2,511,298 197,136,893 2.1% #Apache Corp....................... 722,673 71,999,911 0.8% #Chesapeake Energy Corp............ 3,189,528 89,689,527 1.0% #Chevron Corp...................... 1,013,563 106,474,793 1.1% ConocoPhillips.................... 5,710,341 397,725,251 4.3% Devon Energy Corp................. 734,202 47,686,420 0.5% Hess Corp......................... 1,462,821 91,514,082 1.0% Marathon Oil Corp................. 3,514,978 91,494,877 1.0% Marathon Petroleum Corp........... 1,757,489 63,093,855 0.7% #National Oilwell Varco, Inc....... 1,891,996 134,956,075 1.4% Valero Energy Corp................ 2,742,854 67,474,208 0.7% Other Securities.................. 302,245,745 3.2% -------------- ---- Total Energy......................... 1,661,491,637 17.8% -------------- ---- Financials -- (16.7%) Bank of America Corp.............. 23,609,592 161,253,513 1.7% #Capital One Financial Corp........ 2,343,277 106,994,028 1.1% Citigroup, Inc.................... 7,841,714 247,719,745 2.7% CME Group, Inc.................... 315,128 86,836,672 0.9% Loews Corp........................ 2,340,216 92,906,575 1.0% #*MetLife, Inc...................... 4,759,859 167,356,642 1.8% Morgan Stanley.................... 3,076,864 54,275,881 0.6% #*Prudential Financial, Inc......... 2,326,280 126,084,376 1.4% SunTrust Banks, Inc............... 2,564,707 50,601,669 0.5% Other Securities.................. 584,543,271 6.3% -------------- ---- Total Financials..................... 1,678,572,372 18.0% -------------- ---- Health Care -- (10.1%) Aetna, Inc........................ 1,938,699 77,082,672 0.8% Humana, Inc....................... 712,843 60,513,242 0.7% Pfizer, Inc....................... 17,575,216 338,498,660 3.6% *Thermo Fisher Scientific, Inc..... 1,994,284 100,252,657 1.1% UnitedHealth Group, Inc........... 2,296,880 110,227,271 1.2% WellPoint, Inc.................... 2,580,122 177,770,406 1.9% Other Securities.................. 149,779,340 1.6% -------------- ---- Total Health Care.................... 1,014,124,248 10.9% -------------- ---- 230 THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ --------------- --------------- Industrials -- (13.3%) CSX Corp............................................................... 6,342,908 $ 140,875,987 1.5% General Electric Co.................................................... 21,437,880 358,226,975 3.8% Norfolk Southern Corp.................................................. 2,045,548 151,350,097 1.6% #Northrop Grumman Corp.................................................. 1,627,982 94,015,960 1.0% Tyco International, Ltd................................................ 1,426,599 64,981,584 0.7% Union Pacific Corp..................................................... 2,590,289 257,915,076 2.8% Other Securities....................................................... 269,921,810 2.9% --------------- ----- Total Industrials......................................................... 1,337,287,489 14.3% --------------- ----- Information Technology -- (3.2%) Other Securities....................................................... 324,040,085 3.5% --------------- ----- Materials -- (2.5%) #Alcoa, Inc............................................................. 5,357,434 57,645,990 0.6% International Paper Co................................................. 2,299,481 63,695,624 0.7% Other Securities....................................................... 129,095,337 1.4% --------------- ----- Total Materials........................................................... 250,436,951 2.7% --------------- ----- Telecommunication Services -- (5.9%) AT&T, Inc.............................................................. 13,044,608 382,337,460 4.1% #CenturyLink, Inc....................................................... 1,882,865 66,389,820 0.7% Verizon Communications, Inc............................................ 1,811,751 66,998,552 0.7% Other Securities....................................................... 84,468,354 0.9% --------------- ----- Total Telecommunication Services.......................................... 600,194,186 6.4% --------------- ----- Utilities -- (1.4%) Public Service Enterprise Group, Inc................................... 1,895,147 63,866,454 0.7% Other Securities....................................................... 73,820,471 0.8% --------------- ----- Total Utilities........................................................... 137,686,925 1.5% --------------- ----- TOTAL COMMON STOCKS....................................................... 9,318,148,642 99.8% --------------- ----- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.... 15,006,327 15,006,327 0.1% --------------- ----- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (7.2%) (S)@DFA Short Term Investment Fund........................................ 724,867,696 724,867,696 7.8% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11 (Collateralized by $284,470 FHLMC, rates ranging from 4.500% to 6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to 06/01/41, valued at $285,492) to be repurchased at $276,185.......... $ 276 276,184 0.0% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................................... 725,143,880 7.8% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,292,882,883).................................................... $10,058,298,849 107.7% =============== =====
231 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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.. $1,468,264,079 -- -- $ 1,468,264,079 Consumer Staples........ 846,050,670 -- -- 846,050,670 Energy.................. 1,661,491,637 -- -- 1,661,491,637 Financials.............. 1,678,572,372 -- -- 1,678,572,372 Health Care............. 1,014,124,248 -- -- 1,014,124,248 Industrials............. 1,337,287,489 -- -- 1,337,287,489 Information Technology.. 324,040,085 -- -- 324,040,085 Materials............... 250,436,951 -- -- 250,436,951 Telecommunication Services.............. 600,194,186 -- -- 600,194,186 Utilities............... 137,686,925 -- -- 137,686,925 Temporary Cash Investments. 15,006,327 -- -- 15,006,327 Securities Lending Collateral............... -- $725,143,880 -- 725,143,880 -------------- ------------ -- --------------- TOTAL...................... $9,333,154,969 $725,143,880 -- $10,058,298,849 ============== ============ == =============== See accompanying Notes to Financial Statements. 232 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (90.3%) AUSTRALIA -- (5.1%) National Australia Bank, Ltd......... 1,758,678 $ 46,973,112 0.7% Wesfarmers, Ltd...................... 2,539,298 86,154,389 1.2% Other Securities..................... 254,775,155 3.7% ------------ ---- TOTAL AUSTRALIA......................... 387,902,656 5.6% ------------ ---- AUSTRIA -- (0.3%) Other Securities..................... 20,634,227 0.3% ------------ ---- BELGIUM -- (0.8%) Other Securities..................... 59,337,610 0.9% ------------ ---- CANADA -- (12.2%) #Encana Corp.......................... 2,051,015 44,487,529 0.6% Goldcorp, Inc........................ 952,168 46,330,723 0.7% Kinross Gold Corp.................... 2,678,826 38,190,236 0.5% #Manulife Financial Corp.............. 4,206,497 55,537,999 0.8% #Sun Life Financial, Inc.............. 1,513,735 38,209,754 0.5% Suncor Energy, Inc................... 3,046,286 97,034,944 1.4% #Teck Resources, Ltd. Class B......... 1,483,730 59,483,171 0.9% #Thomson Reuters Corp................. 1,832,184 54,207,280 0.8% #TransCanada Corp..................... 1,901,357 80,823,171 1.2% Other Securities..................... 418,371,148 6.0% ------------ ---- TOTAL CANADA............................ 932,675,955 13.4% ------------ ---- DENMARK -- (1.0%) Other Securities..................... 78,190,915 1.1% ------------ ---- FINLAND -- (0.5%) Other Securities..................... 38,755,297 0.6% ------------ ---- FRANCE -- (8.1%) AXA SA............................... 4,058,877 65,282,762 0.9% Cie de Saint-Gobain SA............... 1,039,077 48,023,542 0.7% GDF Suez SA.......................... 2,974,295 83,793,967 1.2% Societe Generale SA.................. 1,383,654 39,616,437 0.6% Vivendi SA........................... 3,567,218 79,714,572 1.2% Other Securities..................... 301,029,827 4.3% ------------ ---- TOTAL FRANCE............................ 617,461,107 8.9% ------------ ---- GERMANY -- (7.6%) Allianz SE........................... 409,076 45,514,671 0.7% Bayerische Motoren Werke AG.......... 915,762 74,391,132 1.1% Daimler AG........................... 2,088,586 106,077,407 1.5% Deutsche Bank AG..................... 1,039,440 42,979,349 0.6% Deutsche Telekom AG.................. 2,852,483 36,238,329 0.5% #Deutsche Telekom AG Sponsored ADR.... 3,099,741 39,366,711 0.6% E.ON AG.............................. 2,426,569 58,516,673 0.8% Munchener Rueckversicherungs-Gesellschaft AG. 400,624 53,651,325 0.8% Other Securities..................... 124,509,792 1.8% ------------ ---- TOTAL GERMANY........................... 581,245,389 8.4% ------------ ---- GREECE -- (0.1%) Other Securities..................... 4,894,561 0.1% ------------ ---- HONG KONG -- (1.4%) Hutchison Whampoa, Ltd............... 5,618,000 51,349,161 0.7% 233 THE DFA INTERNATIONAL VALUE SERIES CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- HONG KONG -- (Continued) Other Securities................. $ 55,518,530 0.8% -------------- ---- TOTAL HONG KONG..................... 106,867,691 1.5% -------------- ---- IRELAND -- (0.2%) Other Securities................. 15,199,876 0.2% -------------- ---- ISRAEL -- (0.5%) Other Securities................. 38,329,881 0.5% -------------- ---- ITALY -- (1.2%) Other Securities................. 89,164,763 1.3% -------------- ---- JAPAN -- (19.3%) Mitsubishi Heavy Industries, Ltd. 9,007,000 36,699,293 0.5% #Mitsubishi UFJ Financial Group, Inc............................. 15,413,706 66,987,001 1.0% Nissan Motor Co., Ltd............ 4,503,100 41,404,872 0.6% #Sony Corp. Sponsored ADR......... 1,801,665 37,780,915 0.5% Sumitomo Corp.................... 3,241,900 40,138,454 0.6% #Toyota Motor Corp. Sponsored ADR. 673,198 44,909,039 0.7% Other Securities................. 1,205,111,310 17.3% -------------- ---- TOTAL JAPAN......................... 1,473,030,884 21.2% -------------- ---- MALAYSIA -- (0.0%) Other Securities................. -- 0.0% -------------- ---- NETHERLANDS -- (2.8%) #ArcelorMittal NV................. 2,446,831 50,730,198 0.7% *ING Groep NV..................... 4,345,626 37,463,546 0.5% Koninklijke Philips Electronics NV............................. 1,939,039 40,364,410 0.6% Other Securities................. 87,853,051 1.3% -------------- ---- TOTAL NETHERLANDS................... 216,411,205 3.1% -------------- ---- NEW ZEALAND -- (0.1%) Other Securities................. 6,099,517 0.1% -------------- ---- NORWAY -- (1.0%) Other Securities................. 72,663,534 1.0% -------------- ---- PORTUGAL -- (0.1%) Other Securities................. 5,744,115 0.1% -------------- ---- SINGAPORE -- (1.0%) Other Securities................. 78,508,852 1.1% -------------- ---- SPAIN -- (2.8%) Banco Santander SA............... 4,170,537 35,298,849 0.5% Repsol YPF SA Sponsored ADR...... 1,432,181 43,208,901 0.6% Other Securities................. 131,339,944 1.9% -------------- ---- TOTAL SPAIN......................... 209,847,694 3.0% -------------- ---- SWEDEN -- (2.2%) Nordea Bank AB................... 4,070,233 36,961,282 0.5% Other Securities................. 133,018,079 1.9% -------------- ---- TOTAL SWEDEN........................ 169,979,361 2.4% -------------- ---- SWITZERLAND -- (4.9%) Holcim, Ltd...................... 886,165 56,117,367 0.8% *Swiss Re, Ltd.................... 1,108,107 60,500,983 0.9% *UBS AG........................... 3,071,652 38,820,179 0.5% Zurich Financial Services AG..... 322,634 74,348,937 1.1% 234 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- SWITZERLAND -- (Continued) Other Securities.......................... $ 140,256,396 2.0% -------------- ----- TOTAL SWITZERLAND............................ 370,043,862 5.3% -------------- ----- UNITED KINGDOM -- (17.1%) Aviva P.L.C............................... 7,470,381 40,755,092 0.6% #Barclays P.L.C. Sponsored ADR............. 4,308,754 53,902,513 0.8% BP P.L.C. Sponsored ADR................... 2,525,358 111,570,316 1.6% Kingfisher P.L.C.......................... 10,285,817 42,615,041 0.6% Royal Dutch Shell P.L.C. ADR.............. 3,323,210 238,606,478 3.4% Vodafone Group P.L.C...................... 34,976,333 97,118,175 1.4% Vodafone Group P.L.C. Sponsored ADR....... 8,700,738 242,228,546 3.5% William Morrison Supermarkets P.L.C....... 8,127,143 39,411,911 0.6% Xstrata P.L.C............................. 4,186,332 69,729,764 1.0% Other Securities.......................... 370,447,348 5.3% -------------- ----- TOTAL UNITED KINGDOM......................... 1,306,385,184 18.8% -------------- ----- TOTAL COMMON STOCKS.......................... 6,879,374,136 98.9% -------------- ----- PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities.......................... 19,462,153 0.3% -------------- ----- RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities.......................... 1,391,631 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (9.4%) (S)@DFA Short Term Investment Fund........... 715,664,286 715,664,286 10.3% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $2,921,919) to be repurchased at $2,864,635............... $ 2,865 2,864,626 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......... 718,528,912 10.3% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,061,653,062)...................... $7,618,756,832 109.5% ============== =====
235 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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............. $ 6,629,134 $ 381,273,522 -- $ 387,902,656 Austria............... -- 20,634,227 -- 20,634,227 Belgium............... 3,455,957 55,881,653 -- 59,337,610 Canada................ 932,675,955 -- -- 932,675,955 Denmark............... -- 78,190,915 -- 78,190,915 Finland............... 1,388,619 37,366,678 -- 38,755,297 France................ 28,654,193 588,806,914 -- 617,461,107 Germany............... 88,531,841 492,713,548 -- 581,245,389 Greece................ 335,251 4,559,310 -- 4,894,561 Hong Kong............. -- 106,867,691 -- 106,867,691 Ireland............... 4,784,538 10,415,338 -- 15,199,876 Israel................ 5,756,752 32,573,129 -- 38,329,881 Italy................. 23,300,035 65,864,728 -- 89,164,763 Japan................. 117,374,320 1,355,656,564 -- 1,473,030,884 Malaysia.............. -- -- -- -- Netherlands........... 13,867,890 202,543,315 -- 216,411,205 New Zealand........... -- 6,099,517 -- 6,099,517 Norway................ 311,480 72,352,054 -- 72,663,534 Portugal.............. -- 5,744,115 -- 5,744,115 Singapore............. -- 78,508,852 -- 78,508,852 Spain................. 55,061,813 154,785,881 -- 209,847,694 Sweden................ 9,912,006 160,067,355 -- 169,979,361 Switzerland........... 52,276,796 317,767,066 -- 370,043,862 United Kingdom........ 701,196,382 605,188,802 -- 1,306,385,184 Preferred Stocks Germany............... -- 19,462,153 -- 19,462,153 Rights/Warrants Hong Kong............. -- 1,391,631 -- 1,391,631 Securities Lending Collateral............. -- 718,528,912 -- 718,528,912 -------------- -------------- -- -------------- TOTAL.................... $2,045,512,962 $5,573,243,870 -- $7,618,756,832 ============== ============== == ============== See accompanying Notes to Financial Statements. 236 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (89.2%) Consumer Discretionary -- (20.6%) Aoyama Trading Co., Ltd......... 250,500 $ 3,957,036 0.3% Autobacs Seven Co., Ltd......... 97,200 4,450,886 0.3% *Haseko Corp..................... 5,986,000 3,763,301 0.2% Komeri Co., Ltd................. 121,500 3,827,963 0.3% #Nifco, Inc...................... 191,700 4,999,788 0.3% #*Pioneer Electronic Corp......... 981,300 3,934,768 0.3% Ryohin Keikaku Co., Ltd......... 94,300 4,475,211 0.3% Shimachu Co., Ltd............... 187,000 4,033,239 0.3% SKY Perfect JSAT Holdings, Inc.. 7,630 3,708,231 0.2% Sumitomo Forestry Co., Ltd...... 436,666 3,778,511 0.3% Toyobo Co., Ltd................. 3,218,000 4,570,007 0.3% #Zensho Co., Ltd................. 298,400 3,723,858 0.2% Other Securities................ 293,744,594 19.5% ------------ ---- Total Consumer Discretionary....... 342,967,393 22.8% ------------ ---- Consumer Staples -- (9.0%) Fuji Oil Co., Ltd............... 258,900 3,674,846 0.2% #Megmilk Snow Brand Co., Ltd..... 194,300 3,735,258 0.3% Nichirei Corp................... 1,019,000 4,522,962 0.3% Takara Holdings, Inc............ 714,000 4,219,127 0.3% Other Securities................ 134,068,275 8.9% ------------ ---- Total Consumer Staples............. 150,220,468 10.0% ------------ ---- Energy -- (0.9%) Other Securities................ 15,515,236 1.0% ------------ ---- Financials -- (10.1%) Bank of Okinawa, Ltd. (The)..... 92,500 3,692,807 0.2% Century Tokyo Leasing Corp...... 223,890 4,476,323 0.3% Daishi Bank, Ltd. (The)......... 1,398,000 4,448,525 0.3% Hyakugo Bank, Ltd. (The)........ 1,045,609 4,066,286 0.3% Hyakujishi Bank, Ltd. (The)..... 1,022,000 3,913,596 0.2% Juroku Bank, Ltd................ 1,331,000 3,980,608 0.3% Kiyo Holdings, Inc.............. 2,635,900 3,720,995 0.2% Musashino Bank, Ltd............. 130,300 4,143,571 0.3% Ogaki Kyoritsu Bank, Ltd. (The). 1,315,000 4,076,621 0.3% San-in Godo Bank, Ltd. (The).... 592,000 4,303,496 0.3% Tokyo Tatemono Co., Ltd......... 1,552,000 4,870,859 0.3% Other Securities................ 123,207,469 8.2% ------------ ---- Total Financials................... 168,901,156 11.2% ------------ ---- Health Care -- (3.8%) Kaken Pharmaceutical Co., Ltd... 353,000 4,430,753 0.3% KYORIN Holdings, Inc............ 205,000 3,772,136 0.3% #Nihon Kohden Corp............... 159,200 3,716,689 0.2% Rohto Pharmaceutical Co., Ltd... 360,000 4,147,178 0.3% #Sawai Pharmaceutical Co., Ltd... 50,500 4,723,834 0.3% Other Securities................ 42,255,491 2.8% ------------ ---- Total Health Care.................. 63,046,081 4.2% ------------ ---- Industrials -- (24.1%) Duskin Co., Ltd................. 212,500 4,129,397 0.3% Hitachi Zosen Corp.............. 2,951,000 3,989,842 0.3% #Miura Co., Ltd.................. 137,600 3,691,708 0.2% Nachi-Fujikoshi Corp............ 663,000 3,674,507 0.2% OKUMA Corp...................... 517,000 3,805,376 0.3% OSG Corp........................ 289,400 3,708,430 0.2% 237 THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) Sankyu, Inc.......................... 969,000 $ 3,836,727 0.3% Other Securities..................... 374,966,815 24.9% -------------- ----- Total Industrials....................... 401,802,802 26.7% -------------- ----- Information Technology -- (9.6%) #Anritsu Corp......................... 458,000 5,178,398 0.4% Capcom Co., Ltd...................... 205,600 5,378,552 0.4% Horiba, Ltd.......................... 160,950 5,105,623 0.3% IT Holdings Corp..................... 357,401 3,671,509 0.3% Net One Systems Co., Ltd............. 1,984 5,160,385 0.3% Other Securities..................... 135,587,936 9.0% -------------- ----- Total Information Technology............ 160,082,403 10.7% -------------- ----- Materials -- (10.6%) FP Corp.............................. 61,200 3,896,208 0.3% #Hokuetsu Kishu Paper Co., Ltd........ 862,199 5,674,954 0.4% #Sumitomo Osaka Cement Co., Ltd....... 1,640,000 4,968,204 0.3% Taiheiyo Cement Corp................. 2,664,000 5,175,243 0.3% Toagosei Co., Ltd.................... 1,096,000 4,895,489 0.3% Tokai Carbon Co., Ltd................ 825,000 4,092,463 0.3% Other Securities..................... 147,158,740 9.8% -------------- ----- Total Materials......................... 175,861,301 11.7% -------------- ----- Utilities -- (0.5%) Other Securities..................... 8,117,479 0.6% -------------- ----- TOTAL COMMON STOCKS..................... 1,486,514,319 98.9% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities..................... -- 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (10.8%) (S)@DFA Short Term Investment Fund...... 179,334,778 179,334,778 12.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $383,050) to be repurchased at $375,540......... $ 376 375,539 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..... 179,710,317 12.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,814,743,819)................. $1,666,224,636 110.9% ============== =====
238 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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..... $1,942,492 $ 341,024,901 -- $ 342,967,393 Consumer Staples........... 323,805 149,896,663 -- 150,220,468 Energy..................... -- 15,515,236 -- 15,515,236 Financials................. -- 168,901,156 -- 168,901,156 Health Care................ -- 63,046,081 -- 63,046,081 Industrials................ 134,689 401,668,113 -- 401,802,802 Information Technology..... -- 160,082,403 -- 160,082,403 Materials.................. -- 175,861,301 -- 175,861,301 Utilities.................. -- 8,117,479 -- 8,117,479 Rights/Warrants............... -- -- -- -- Securities Lending Collateral. -- 179,710,317 -- 179,710,317 ---------- -------------- -- -------------- TOTAL......................... $2,400,986 $1,663,823,650 -- $1,666,224,636 ========== ============== == ============== See accompanying Notes to Financial Statements. 239 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (82.0%) AUSTRALIA -- (51.7%) Adelaide Brighton, Ltd................ 1,927,272 $ 5,766,974 0.6% Ansell, Ltd........................... 503,479 7,363,989 0.8% #APA Group, Ltd........................ 1,403,768 6,401,846 0.7% #Aristocrat Leisure, Ltd............... 1,611,890 3,816,054 0.4% #Australian Infrastructure Fund NL..... 3,159,690 6,272,817 0.7% Beach Energy, Ltd..................... 4,828,492 5,934,225 0.7% Boart Longyear Group.................. 1,792,094 6,100,440 0.7% Bradken, Ltd.......................... 708,039 5,710,618 0.6% Campbell Brothers, Ltd................ 261,443 12,585,834 1.4% #carsales.com, Ltd..................... 809,574 4,185,086 0.5% Challenger, Ltd....................... 1,063,324 5,069,014 0.6% CSR, Ltd.............................. 2,025,158 5,158,339 0.6% #David Jones, Ltd...................... 1,783,074 6,294,519 0.7% #*Downer EDI, Ltd....................... 1,591,674 5,054,618 0.6% DUET Group, Ltd....................... 4,437,176 7,732,961 0.9% #Flight Centre, Ltd.................... 192,954 4,006,413 0.4% #Goodman Fielder, Ltd.................. 8,233,537 4,788,349 0.5% GrainCorp, Ltd........................ 693,457 5,712,269 0.6% Iluka Resources, Ltd.................. 573,137 9,528,200 1.0% #Independence Group NL................. 892,724 4,935,443 0.5% #Invocare, Ltd......................... 572,622 4,172,041 0.5% #IOOF Holdings, Ltd.................... 989,055 6,550,695 0.7% #JB Hi-Fi, Ltd......................... 407,557 6,726,320 0.7% #Kingsgate Consolidated, Ltd........... 560,879 4,421,985 0.5% #Medusa Mining, Ltd.................... 579,085 4,070,719 0.4% Mineral Resources, Ltd................ 419,678 4,920,651 0.5% #Monadelphous Group, Ltd............... 318,887 6,064,967 0.7% #Mount Gibson Iron, Ltd................ 2,962,399 4,738,207 0.5% #Myer Holdings, Ltd.................... 2,456,107 6,703,584 0.7% #Navitas, Ltd.......................... 1,157,537 5,013,315 0.6% *PanAust, Ltd.......................... 1,780,618 6,016,882 0.7% #Perpetual Trustees Australia, Ltd..... 167,142 3,950,909 0.4% #*Perseus Mining, Ltd................... 1,605,654 5,309,539 0.6% #Primary Health Care, Ltd.............. 1,866,288 6,495,676 0.7% Reece Australia, Ltd.................. 238,457 4,689,436 0.5% #SAI Global, Ltd....................... 1,064,331 5,301,870 0.6% #Seek, Ltd............................. 666,916 4,323,680 0.5% Seven Group Holdings, Ltd............. 641,345 5,152,442 0.6% #Seven West Media, Ltd................. 1,335,509 5,003,193 0.6% Spark Infrastructure Group, Ltd....... 4,783,165 6,094,155 0.7% #*Sundance Resources, Ltd............... 8,756,539 3,955,560 0.4% #Super Retail Group, Ltd............... 909,056 5,150,189 0.6% #Transfield Services, Ltd.............. 1,784,320 4,258,408 0.5% UGL, Ltd.............................. 332,576 4,601,399 0.5% Other Securities...................... 315,932,663 34.8% ------------ ---- TOTAL AUSTRALIA.......................... 562,036,493 62.0% ------------ ---- HONG KONG -- (15.4%) Giordano International, Ltd........... 7,162,000 5,374,945 0.6% Other Securities...................... 162,745,971 17.9% ------------ ---- TOTAL HONG KONG.......................... 168,120,916 18.5% ------------ ---- MALAYSIA -- (0.0%) Other Securities...................... 4,205 0.0% ------------ ---- NEW ZEALAND -- (5.5%) Fisher & Paykel Healthcare Corp., Ltd. 2,659,497 4,946,589 0.5%
240 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- NEW ZEALAND -- (Continued) Port of Tauranga, Ltd................ 528,322 $ 4,135,066 0.5% Sky City Entertainment Group, Ltd.... 2,938,887 8,361,441 0.9% Sky Network Television, Ltd.......... 940,466 4,163,442 0.5% Other Securities..................... 38,013,153 4.2% -------------- ----- TOTAL NEW ZEALAND....................... 59,619,691 6.6% -------------- ----- SINGAPORE -- (9.4%) *Biosensors International Group, Ltd.. 3,419,237 3,811,638 0.4% Other Securities..................... 98,349,063 10.9% -------------- ----- TOTAL SINGAPORE......................... 102,160,701 11.3% -------------- ----- TOTAL COMMON STOCKS..................... 891,942,006 98.4% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities..................... 3,864 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities..................... 40,990 0.0% -------------- ----- SINGAPORE -- (0.0%) Other Securities..................... 79,161 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS................... 124,015 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (18.0%) (S)@DFA Short Term Investment Fund...... 194,946,384 194,946,384 21.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $507,060) to be repurchased at $497,120......... $ 497 497,118 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..... 195,443,502 21.5% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,048,582,657)................. $1,087,509,523 119.9% ============== =====
241 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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................. $ 9,745,378 $ 552,291,115 -- $ 562,036,493 Hong Kong................. 431,272 167,689,644 -- 168,120,916 Malaysia.................. -- 4,205 -- 4,205 New Zealand............... 84,538 59,535,153 -- 59,619,691 Singapore................. 184,430 101,976,271 -- 102,160,701 Rights/Warrants Australia................. 22 3,842 -- 3,864 Hong Kong................. 40,990 -- -- 40,990 Singapore................. 62,935 16,226 -- 79,161 Securities Lending Collateral -- 195,443,502 -- 195,443,502 ----------- -------------- -- -------------- TOTAL........................ $10,549,565 $1,076,959,958 -- $1,087,509,523 =========== ============== == ============== See accompanying Notes to Financial Statements. 242 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (99.5%) Consumer Discretionary -- (22.6%) *Berkeley Group Holdings P.L.C. (The). 511,780 $ 10,262,607 0.9% GKN P.L.C............................ 3,414,280 10,379,451 0.9% Greene King P.L.C.................... 1,421,372 10,248,985 0.9% Inchcape P.L.C....................... 1,915,975 10,215,753 0.9% Informa P.L.C........................ 2,227,041 12,932,542 1.1% *ITV P.L.C............................ 8,448,636 8,656,619 0.8% Ladbrokes P.L.C...................... 3,578,739 7,926,071 0.7% Millennium & Copthorne Hotels P.L.C.. 1,048,561 7,496,839 0.7% Persimmon P.L.C...................... 1,135,393 9,054,346 0.8% Rightmove P.L.C...................... 378,372 7,916,679 0.7% UBM P.L.C............................ 917,439 7,467,863 0.6% William Hill P.L.C................... 2,873,883 9,975,029 0.9% Other Securities..................... 142,912,801 12.6% ------------ ---- Total Consumer Discretionary............ 255,445,585 22.5% ------------ ---- Consumer Staples -- (4.1%) PZ Cussons P.L.C..................... 1,287,639 7,603,992 0.7% Tate & Lyle P.L.C.................... 1,074,000 11,236,585 1.0% Other Securities..................... 27,383,039 2.4% ------------ ---- Total Consumer Staples.................. 46,223,616 4.1% ------------ ---- Energy -- (4.7%) John Wood Group P.L.C................ 1,034,385 10,241,235 0.9% *Premier Oil P.L.C.................... 1,778,192 10,468,183 0.9% Other Securities..................... 32,447,704 2.9% ------------ ---- Total Energy............................ 53,157,122 4.7% ------------ ---- Financials -- (13.4%) Aberdeen Asset Management P.L.C...... 2,820,342 8,684,151 0.8% Amlin P.L.C.......................... 1,905,352 8,788,141 0.8% Catlin Group, Ltd.................... 1,357,851 8,637,469 0.8% Henderson Group P.L.C................ 3,838,880 7,392,054 0.7% Hiscox, Ltd.......................... 1,562,751 9,550,834 0.8% IG Group Holdings P.L.C.............. 1,317,769 9,826,558 0.9% Jardine Lloyd Thompson Group P.L.C... 638,821 7,365,218 0.6% London Stock Exchange Group P.L.C.... 579,642 8,368,165 0.7% Provident Financial P.L.C............ 541,018 9,615,833 0.8% Other Securities..................... 73,851,452 6.5% ------------ ---- Total Financials........................ 152,079,875 13.4% ------------ ---- Health Care -- (1.9%) Other Securities..................... 21,928,906 1.9% ------------ ---- Industrials -- (30.5%) Babcock International Group P.L.C.... 1,446,405 16,346,634 1.4% Balfour Beatty P.L.C................. 2,828,972 11,412,635 1.0% BBA Aviation P.L.C................... 2,792,163 7,949,170 0.7% Carillion P.L.C...................... 1,773,138 9,848,482 0.9% Charter International P.L.C.......... 664,438 9,570,201 0.8% Cookson Group P.L.C.................. 1,135,834 8,730,616 0.8% Firstgroup P.L.C..................... 1,763,210 9,443,194 0.8% IMI P.L.C............................ 1,053,765 13,887,888 1.2% Intertek Group P.L.C................. 506,207 16,690,015 1.5% Invensys P.L.C....................... 2,110,010 7,633,539 0.7% Meggitt P.L.C........................ 2,465,596 15,216,658 1.3% Melrose P.L.C........................ 1,583,124 8,361,271 0.7% Michael Page International P.L.C..... 1,310,832 8,438,432 0.8% 243 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (Continued) *Rentokil Initial P.L.C............ 6,753,492 $ 7,788,542 0.7% Rotork P.L.C...................... 366,679 9,890,187 0.9% Spirax-Sarco Engineering P.L.C.... 319,520 9,815,375 0.9% Travis Perkins P.L.C.............. 922,110 13,042,544 1.2% Other Securities.................. 161,405,297 14.2% -------------- ---- Total Industrials.................... 345,470,680 30.5% -------------- ---- Information Technology -- (10.1%) Halma P.L.C....................... 1,541,075 8,281,224 0.7% Logica P.L.C...................... 6,339,968 9,513,413 0.8% *Misys P.L.C....................... 1,604,251 7,512,729 0.7% Spectris P.L.C.................... 515,234 10,526,946 0.9% Other Securities.................. 78,876,227 7.0% -------------- ---- Total Information Technology......... 114,710,539 10.1% -------------- ---- Materials -- (7.3%) Croda International P.L.C......... 520,183 14,624,049 1.3% Mondi P.L.C....................... 1,078,021 8,199,053 0.7% Other Securities.................. 59,734,196 5.3% -------------- ---- Total Materials...................... 82,557,298 7.3% -------------- ---- Telecommunication Services -- (2.3%) Other Securities.................. 25,819,992 2.3% -------------- ---- Utilities -- (2.6%) Drax Group P.L.C.................. 1,479,700 12,880,863 1.2% Pennon Group P.L.C................ 1,445,401 16,146,166 1.4% Other Securities.................. 240,136 0.0% -------------- ---- Total Utilities...................... 29,267,165 2.6% -------------- ---- TOTAL COMMON STOCKS.................. 1,126,660,778 99.4% -------------- ---- PREFERRED STOCKS -- (0.0%) Consumer Staples -- (0.0%) Other Securities.................. 9,625 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.................. 9,536 0.0% -------------- ---- SHARES/ FACE AMOUNT VALUE+ ---------- -------------- (000) SECURITIES LENDING COLLATERAL -- (0.5%) (S)@DFA Short Term Investment Fund... 3,124,051 3,124,051 0.3% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $2,571,372) to be repurchased at $2,520,961........ $ 2,521 2,520,953 0.2% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL.. 5,645,004 0.5% -------------- ---- TOTAL INVESTMENTS -- (100.0%) (Cost $1,103,961,462).............. $1,132,324,943 99.9% ============== ==== 244 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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..... $2,307,852 $ 253,137,733 -- $ 255,445,585 Consumer Staples........... 291,174 45,932,442 -- 46,223,616 Energy..................... -- 53,157,122 -- 53,157,122 Financials................. 3,845 152,076,030 -- 152,079,875 Health Care................ -- 21,928,906 -- 21,928,906 Industrials................ -- 345,470,680 -- 345,470,680 Information Technology..... -- 114,710,539 -- 114,710,539 Materials.................. -- 82,557,298 -- 82,557,298 Telecommunication Services. -- 25,819,992 -- 25,819,992 Utilities.................. -- 29,267,165 -- 29,267,165 Preferred Stocks Consumer Staples........... -- 9,625 -- 9,625 Rights/Warrants............... -- 9,536 -- 9,536 Securities Lending Collateral. -- 5,645,004 -- 5,645,004 ---------- -------------- -- -------------- TOTAL......................... $2,602,871 $1,129,722,072 -- $1,132,324,943 ========== ============== == ============== See accompanying Notes to Financial Statements. 245 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (86.7%) AUSTRIA -- (2.1%) Other Securities..................... $ 49,235,911 2.5% ------------ ---- BELGIUM -- (2.9%) Ackermans & van Haaren NV............ 87,214 7,026,076 0.4% *D'ieteren SA......................... 129,060 7,344,614 0.4% Other Securities..................... 52,870,924 2.6% ------------ ---- TOTAL BELGIUM........................... 67,241,614 3.4% ------------ ---- DENMARK -- (2.6%) *Topdanmark A.S....................... 53,386 8,789,962 0.5% Other Securities..................... 50,816,373 2.5% ------------ ---- TOTAL DENMARK........................... 59,606,335 3.0% ------------ ---- FINLAND -- (5.8%) #Elisa Oyj............................ 494,801 10,431,808 0.5% Orion Oyj Series B................... 337,043 7,013,846 0.4% Other Securities..................... 115,966,780 5.8% ------------ ---- TOTAL FINLAND........................... 133,412,434 6.7% ------------ ---- FRANCE -- (10.1%) *Arkema SA............................ 139,427 9,475,335 0.5% #Neopost SA........................... 91,985 6,996,144 0.4% #Nexans SA............................ 131,823 8,292,007 0.4% Remy Cointreau SA.................... 82,777 6,781,256 0.3% Valeo SA............................. 229,231 11,506,324 0.6% Zodiac Aerospace SA.................. 89,170 6,991,700 0.3% Other Securities..................... 183,063,235 9.1% ------------ ---- TOTAL FRANCE............................ 233,106,001 11.6% ------------ ---- GERMANY -- (12.8%) *Aareal Bank AG....................... 423,110 8,478,484 0.4% Aurubis AG........................... 152,783 8,620,221 0.4% Bilfinger Berger SE.................. 162,980 14,547,368 0.7% MTU Aero Engines Holding AG.......... 176,697 11,832,506 0.6% Rheinmetall AG....................... 126,352 6,700,932 0.4% Rhoen-Klinikum AG.................... 406,308 8,107,235 0.4% #*SGL Carbon SE........................ 229,387 14,257,094 0.7% Software AG.......................... 192,899 7,988,782 0.4% Symrise AG........................... 330,233 8,548,072 0.4% Other Securities..................... 204,125,996 10.2% ------------ ---- TOTAL GERMANY........................... 293,206,690 14.6% ------------ ---- GREECE -- (1.9%) Other Securities..................... 43,085,344 2.2% ------------ ---- IRELAND -- (2.9%) DCC P.L.C............................ 308,989 8,564,908 0.4% Dragon Oil P.L.C..................... 1,339,680 12,083,896 0.6% Paddy Power P.L.C.................... 180,573 9,997,277 0.5% Other Securities..................... 35,360,315 1.8% ------------ ---- TOTAL IRELAND........................... 66,006,396 3.3% ------------ ---- ISRAEL -- (2.4%) Other Securities..................... 53,990,503 2.7% ------------ ---- 246 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- -------------- --------------- ITALY -- (7.1%) #Banca Popolare di Sondrio Scarl...... 922,722 $ 7,039,189 0.4% Davide Campari - Milano SpA.......... 990,609 7,652,926 0.4% Prysmian SpA......................... 653,038 9,872,100 0.5% Other Securities..................... 139,095,655 6.9% -------------- ---- TOTAL ITALY............................. 163,659,870 8.2% -------------- ---- NETHERLANDS -- (4.6%) Aalberts Industries NV............... 384,012 6,753,750 0.3% #Imtech NV............................ 272,621 8,053,728 0.4% Nutreco NV........................... 145,366 9,658,003 0.5% SBM Offshore NV...................... 563,703 12,385,902 0.6% Other Securities..................... 69,399,633 3.5% -------------- ---- TOTAL NETHERLANDS....................... 106,251,016 5.3% -------------- ---- NORWAY -- (2.8%) Other Securities..................... 64,920,076 3.2% -------------- ---- PORTUGAL -- (0.9%) Other Securities..................... 20,190,809 1.0% -------------- ---- SPAIN -- (5.4%) #Bolsas y Mercados Espanoles SA....... 236,082 6,761,301 0.3% Ebro Foods SA........................ 340,839 6,906,928 0.4% #*Grifols SA.......................... 457,616 8,508,217 0.4% Viscofan SA.......................... 183,430 7,043,085 0.4% Other Securities..................... 94,355,215 4.7% -------------- ---- TOTAL SPAIN............................. 123,574,746 6.2% -------------- ---- SWEDEN -- (8.3%) *Castellum AB......................... 548,218 7,421,699 0.4% Elekta AB Series B................... 255,842 10,216,832 0.5% *Lundin Petroleum AB.................. 439,229 10,719,305 0.5% *Meda AB Series A..................... 750,311 7,635,753 0.4% Trelleborg AB Series B............... 928,357 7,858,668 0.4% Other Securities..................... 146,210,677 7.3% -------------- ---- TOTAL SWEDEN............................ 190,062,934 9.5% -------------- ---- SWITZERLAND -- (14.1%) *Aryzta AG............................ 289,931 13,979,948 0.7% Bank Sarasin & Cie AG Series B....... 182,505 6,937,974 0.3% *Clariant AG.......................... 699,758 7,577,735 0.4% *Dufry AG............................. 65,162 6,975,452 0.3% #Galenica Holding AG.................. 18,828 10,906,687 0.5% GAM Holding AG....................... 780,910 9,336,078 0.5% Helvetia Holding AG.................. 22,754 8,313,855 0.4% Lonza Group AG....................... 140,493 9,345,357 0.5% *PSP Swiss Property AG................ 148,327 13,494,819 0.7% *Sulzer AG............................ 64,067 7,466,988 0.4% Swiss Life Holding AG................ 93,938 11,537,216 0.6% Other Securities..................... 219,321,241 10.9% -------------- ---- TOTAL SWITZERLAND....................... 325,193,350 16.2% -------------- ---- TOTAL COMMON STOCKS..................... 1,992,744,029 99.6% -------------- ---- RIGHTS/WARRANTS -- (0.1%) BELGIUM -- (0.0%) Other Securities..................... 1,402 0.0% -------------- ---- ITALY -- (0.1%) Other Securities..................... 1,667,926 0.1% -------------- ---- 247 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- NORWAY -- (0.0%) Other Securities......................................................... $ -- 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS....................................................... 1,669,328 0.1% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (13.2%) (S)@DFA Short Term Investment Fund.......................................... 303,408,660 303,408,660 15.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $1,237,089) to be repurchased at $1,212,836.............................................. $ 1,213 1,212,832 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL......................................... 304,621,492 15.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,351,668,120)..................................................... $2,299,034,849 114.9% ============== =====
248 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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................... $ 391,925 $ 48,843,986 -- $ 49,235,911 Belgium................... 518,454 66,723,160 -- 67,241,614 Denmark................... 263,563 59,342,772 -- 59,606,335 Finland................... -- 133,412,434 -- 133,412,434 France.................... 592,920 232,513,081 -- 233,106,001 Germany................... 2,803,490 290,403,200 -- 293,206,690 Greece.................... 140,819 42,944,525 -- 43,085,344 Ireland................... 38,612 65,967,784 -- 66,006,396 Israel.................... 2,399,465 51,591,038 -- 53,990,503 Italy..................... -- 163,659,870 -- 163,659,870 Netherlands............... 309,421 105,941,595 -- 106,251,016 Norway.................... 901,048 64,019,028 -- 64,920,076 Portugal.................. 492,951 19,697,858 -- 20,190,809 Spain..................... 181,193 123,393,553 -- 123,574,746 Sweden.................... 2,260,761 187,802,173 -- 190,062,934 Switzerland............... 339,294 324,854,056 -- 325,193,350 Rights/Warrants Belgium................... 355 1,047 -- 1,402 Italy..................... 1,667,926 -- -- 1,667,926 Norway.................... -- -- -- -- Securities Lending Collateral -- 304,621,492 -- 304,621,492 ----------- -------------- -- -------------- TOTAL........................ $13,302,197 $2,285,732,652 -- $2,299,034,849 =========== ============== == ============== See accompanying Notes to Financial Statements. 249 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (77.5%) Consumer Discretionary -- (7.9%) Astral Media, Inc. Class A........... 195,947 $ 6,727,170 0.9% #Cineplex, Inc........................ 191,278 5,079,637 0.7% #Corus Entertainment, Inc. Class B.... 295,300 5,655,658 0.8% #Dollarama, Inc....................... 197,346 7,428,565 1.0% Groupe Aeroplan, Inc................. 696,151 8,017,872 1.1% RONA, Inc............................ 677,175 6,522,077 0.9% Other Securities..................... 34,910,751 4.7% ------------ ---- Total Consumer Discretionary............ 74,341,730 10.1% ------------ ---- Consumer Staples -- (2.4%) Jean Coutu Group PJC, Inc. Class A (The).............................. 400,161 5,118,688 0.7% Other Securities..................... 17,452,446 2.4% ------------ ---- Total Consumer Staples.................. 22,571,134 3.1% ------------ ---- Energy -- (19.8%) *Advantage Oil & Gas, Ltd............. 1,098,231 5,828,585 0.8% #AltaGas, Ltd......................... 276,864 8,169,120 1.1% #*Bankers Petroleum, Ltd............... 810,182 4,307,965 0.6% #*Birchcliff Energy, Ltd............... 355,600 5,394,203 0.7% *BlackPearl Resources, Inc............ 954,830 4,550,231 0.6% *Celtic Exploration, Ltd.............. 269,000 6,663,266 0.9% #Daylight Energy, Ltd................. 739,288 7,305,730 1.0% *Gran Tierra Energy, Inc.............. 969,291 5,941,678 0.8% #Keyera Corp.......................... 92,651 4,226,577 0.6% #Mullen Group, Ltd.................... 274,057 5,507,260 0.7% #NAL Energy Corp...................... 517,913 4,588,083 0.6% *Paramount Resources, Ltd. Class A.... 136,127 4,953,425 0.7% ShawCor, Ltd. Class A................ 222,500 5,323,928 0.7% #Trilogy Energy Corp.................. 191,610 6,528,293 0.9% Other Securities..................... 108,079,045 14.7% ------------ ---- Total Energy............................ 187,367,389 25.4% ------------ ---- Financials -- (5.6%) #AGF Management, Ltd. Class B......... 330,879 5,304,687 0.7% Canadian Western Bank................ 255,372 7,301,833 1.0% Home Capital Group, Inc.............. 120,600 5,454,375 0.7% Laurentian Bank of Canada............ 92,400 4,262,405 0.6% TMX Group, Inc....................... 231,476 10,171,707 1.4% Other Securities..................... 20,797,284 2.8% ------------ ---- Total Financials........................ 53,292,291 7.2% ------------ ---- Health Care -- (1.6%) Other Securities..................... 14,813,008 2.0% ------------ ---- Industrials -- (7.0%) Progressive Waste Solutions, Ltd..... 209,167 4,406,829 0.6% #Ritchie Brothers Auctioneers, Inc.... 244,637 4,869,424 0.7% Russel Metals, Inc................... 243,400 5,601,802 0.8% Toromont Industries, Ltd............. 282,567 5,301,232 0.7% #*Westport Innovations, Inc............ 189,501 5,718,776 0.8% Other Securities..................... 40,046,544 5.4% ------------ ---- Total Industrials....................... 65,944,607 9.0% ------------ ---- Information Technology -- (4.3%) *Celestica, Inc....................... 847,607 7,032,566 0.9% MacDonald Dettweiler & Associates, Ltd................................ 111,753 5,023,980 0.7% 250 THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ ------------ --------------- Information Technology -- (Continued) *Open Text Corp....................... 107,738 $ 6,594,528 0.9% Wi-Lan, Inc.......................... 666,819 4,963,930 0.7% Other Securities..................... 17,427,010 2.4% ------------ ----- Total Information Technology............ 41,042,014 5.6% ------------ ----- Materials -- (26.6%) Alamos Gold, Inc..................... 423,220 7,833,869 1.1% #*AuRico Gold, Inc..................... 967,320 9,365,074 1.3% *Detour Gold Corp..................... 237,256 7,854,977 1.1% *Euro Goldfields, Ltd................. 521,960 5,875,487 0.8% *First Majestic Silver Corp........... 350,583 5,954,723 0.8% #HudBay Minerals, Inc................. 611,960 6,704,392 0.9% Major Drilling Group International, Inc................................ 319,200 4,268,810 0.6% #Methanex Corp........................ 289,704 7,469,669 1.0% #*NovaGold Resources, Inc.............. 612,655 5,624,071 0.8% *Quadra FNX Mining, Ltd............... 408,502 4,713,091 0.6% #*SEMAFO, Inc.......................... 905,185 6,947,244 0.9% Sherritt International Corp.......... 1,571,926 9,036,505 1.2% #Silvercorp Metals, Inc............... 620,630 5,771,999 0.8% West Fraser Timber Co., Ltd.......... 131,316 5,664,999 0.8% Other Securities..................... 157,883,063 21.4% ------------ ----- Total Materials......................... 250,967,973 34.1% ------------ ----- Telecommunication Services -- (0.3%) Other Securities..................... 2,467,484 0.3% ------------ ----- Utilities -- (2.0%) #Just Energy Group, Inc............... 467,883 5,050,836 0.7% Other Securities..................... 13,927,682 1.9% ------------ ----- Total Utilities......................... 18,978,518 2.6% ------------ ----- TOTAL COMMON STOCKS..................... 731,786,148 99.4% ------------ ----- RIGHTS/WARRANTS -- (0.0%) Other Securities...................... 43,371 0.0% ------------ ----- SHARES/ FACE AMOUNT VALUE+ ------------ ------------ (000) SECURITIES LENDING COLLATERAL -- (22.5%) (S)@DFA Short Term Investment Fund...... 210,374,890 210,374,890 28.6% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $2,366,389) to be repurchased at $2,319,996....... $ 2,320 2,319,989 0.3% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL..... 212,694,879 28.9% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $970,256,943)................... $944,524,398 128.3% ============ =====
251 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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....... $ 74,341,730 -- -- $ 74,341,730 Consumer Staples............. 22,571,134 -- -- 22,571,134 Energy....................... 187,367,389 -- -- 187,367,389 Financials................... 53,292,291 -- -- 53,292,291 Health Care.................. 14,813,008 -- -- 14,813,008 Industrials.................. 65,944,607 -- -- 65,944,607 Information Technology....... 41,042,014 -- -- 41,042,014 Materials.................... 250,967,973 -- -- 250,967,973 Telecommunication Services... 2,467,484 -- -- 2,467,484 Utilities.................... 18,978,518 -- -- 18,978,518 Rights/Warrants................. 32,434 $ 10,937 -- 43,371 Securities Lending Collateral... -- 212,694,879 -- 212,694,879 ------------ ------------ -- ------------ TOTAL........................... $731,818,582 $212,705,816 -- $944,524,398 ============ ============ == ============ See accompanying Notes to Financial Statements. 252 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (84.3%) BRAZIL -- (5.1%) #BRF - Brasil Foods SA ADR........... 590,060 $ 12,420,763 0.5% Petroleo Brasilerio SA ADR.......... 825,839 22,305,911 0.9% #Vale SA Sponsored ADR............... 517,614 13,152,572 0.6% Other Securities.................... 85,465,200 3.5% ------------ ---- TOTAL BRAZIL........................... 133,344,446 5.5% ------------ ---- CHILE -- (1.9%) Other Securities.................... 51,064,584 2.1% ------------ ---- CHINA -- (12.4%) Bank of China, Ltd. Series H........ 48,700,100 17,332,800 0.7% China Construction Bank Corp. Series H.......................... 28,362,590 20,838,995 0.9% #China Life Insurance Co., Ltd. ADR.. 305,704 11,846,030 0.5% China Mobile, Ltd. Sponsored ADR.... 729,872 34,712,712 1.4% #China Petroleum & Chemical Corp. ADR................................ 106,449 10,048,786 0.4% #CNOOC, Ltd. ADR..................... 100,270 18,911,925 0.8% Industrial & Commercial Bank of China, Ltd. Series H.............. 36,966,185 23,037,295 0.9% #PetroChina Co., Ltd. ADR............ 141,210 18,302,228 0.7% Tencent Holdings, Ltd............... 700,600 16,123,538 0.7% Other Securities.................... 154,657,110 6.3% ------------ ---- TOTAL CHINA............................ 325,811,419 13.3% ------------ ---- COLOMBIA -- (0.4%) Other Securities.................... 9,639,683 0.4% ------------ ---- CZECH REPUBLIC -- (0.5%) Other Securities.................... 13,611,179 0.6% ------------ ---- EGYPT -- (0.1%) Other Securities.................... 3,004,529 0.1% ------------ ---- HUNGARY -- (0.4%) Other Securities.................... 10,049,799 0.4% ------------ ---- INDIA -- (8.6%) HDFC Bank, Ltd...................... 1,530,370 15,228,014 0.6% ICICI Bank, Ltd. Sponsored ADR...... 306,356 11,384,189 0.5% Infosys, Ltd........................ 250,829 14,661,612 0.6% #Infosys, Ltd. Sponsored ADR......... 188,659 11,053,531 0.4% Reliance Industries, Ltd............ 1,475,013 26,413,453 1.1% Tata Consultancy Services, Ltd...... 481,215 10,927,517 0.4% Other Securities.................... 136,085,923 5.6% ------------ ---- TOTAL INDIA............................ 225,754,239 9.2% ------------ ---- INDONESIA -- (2.8%) PT Astra International Tbk.......... 2,078,561 16,027,331 0.7% Other Securities.................... 59,037,568 2.4% ------------ ---- TOTAL INDONESIA........................ 75,064,899 3.1% ------------ ---- ISRAEL -- (0.0%) Other Securities.................... 19 0.0% ------------ ---- MALAYSIA -- (3.7%) Other Securities.................... 96,938,566 4.0% ------------ ---- MEXICO -- (5.7%) #America Movil S.A.B. de C.V. Series L........................... 33,690,314 42,823,885 1.8% #Fomento Economico Mexicano S.A.B. de C.V............................. 2,109,900 14,153,602 0.6% 253 THE EMERGING MARKETS SERIES CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- MEXICO -- (Continued) Grupo Mexico S.A.B. de C.V. Series B........................ 3,928,317 $ 10,897,417 0.4% #Wal-Mart de Mexico S.A.B. de C.V. Series V......................... 6,300,780 16,263,738 0.7% Other Securities.................. 66,144,096 2.7% -------------- ---- TOTAL MEXICO......................... 150,282,738 6.2% -------------- ---- PERU -- (0.5%) Other Securities.................. 11,960,082 0.5% -------------- ---- PHILIPPINES -- (0.8%) Other Securities.................. 20,249,894 0.8% -------------- ---- POLAND -- (1.2%) Other Securities.................. 31,373,697 1.3% -------------- ---- RUSSIA -- (4.6%) Gazprom OAO Sponsored ADR......... 4,226,507 48,995,198 2.0% Lukoil OAO Sponsored ADR.......... 354,178 20,514,406 0.8% MMC Norilsk Nickel JSC ADR........ 597,703 11,655,726 0.5% Rosneft Oil Co. GDR............... 1,491,147 10,565,684 0.4% Other Securities.................. 30,529,004 1.3% -------------- ---- TOTAL RUSSIA......................... 122,260,018 5.0% -------------- ---- SOUTH AFRICA -- (7.8%) Impala Platinum Holdings, Ltd..... 478,692 10,949,323 0.5% MTN Group, Ltd.................... 1,659,950 29,077,128 1.2% Naspers, Ltd. Series N............ 324,237 15,671,748 0.6% Sasol, Ltd. Sponsored ADR......... 691,887 31,300,968 1.3% Standard Bank Group, Ltd.......... 863,345 10,685,595 0.4% Other Securities.................. 107,096,309 4.4% -------------- ---- TOTAL SOUTH AFRICA................... 204,781,071 8.4% -------------- ---- SOUTH KOREA -- (13.8%) Hyundai Heavy Industries Co., Ltd. 39,020 10,424,738 0.4% Hyundai Mobis..................... 53,070 15,188,178 0.6% #Hyundai Motor Co., Ltd............ 96,847 19,503,867 0.8% Kia Motors Corp................... 225,130 14,433,507 0.6% LG Chemical, Ltd.................. 32,392 10,452,445 0.4% POSCO............................. 46,060 15,959,255 0.7% Samsung Electronics Co., Ltd...... 69,482 59,814,359 2.4% Samsung Electronics Co., Ltd. GDR. 49,372 21,160,746 0.9% Other Securities.................. 197,575,151 8.1% -------------- ---- TOTAL SOUTH KOREA.................... 364,512,246 14.9% -------------- ---- TAIWAN -- (10.5%) Formosa Plastics Corp............. 4,070,648 11,972,150 0.5% Hon Hai Precision Industry Co., Ltd............................. 6,066,096 16,629,459 0.7% #HTC Corp.......................... 581,235 13,062,416 0.5% Nan Ya Plastic Corp............... 5,377,564 12,097,508 0.5% Taiwan Semiconductor Manufacturing Co., Ltd.......... 19,090,808 46,521,944 1.9% Other Securities.................. 175,552,816 7.2% -------------- ---- TOTAL TAIWAN......................... 275,836,293 11.3% -------------- ---- THAILAND -- (2.0%) Other Securities.................. 53,870,863 2.2% -------------- ---- TURKEY -- (1.5%) Other Securities.................. 40,343,682 1.7% -------------- ---- TOTAL COMMON STOCKS.................. 2,219,753,946 91.0% -------------- ---- 254 THE EMERGING MARKETS SERIES CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- PREFERRED STOCKS -- (8.0%) BRAZIL -- (8.0%) Banco Bradesco SA.............. 1,656,632 $ 30,009,177 1.2% Cia de Bebidas das Americas SA ADR.......................... 661,939 22,320,583 0.9% Itau Unibanco Holding SA....... 1,765,755 33,909,161 1.4% #Petroleo Brasilerio SA ADR..... 1,376,550 34,812,950 1.4% Vale SA Series A............... 1,412,691 33,612,970 1.4% Other Securities............... 55,872,895 2.3% -------------- ----- TOTAL BRAZIL...................... 210,537,736 8.6% -------------- ----- TOTAL PREFERRED STOCKS............ 210,537,736 8.6% -------------- ----- RIGHTS/WARRANTS -- (0.0%) SOUTH KOREA -- (0.0%) Other Securities............... 44,763 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (7.7%).......................... (S)@DFA Short Term Investment Fund 198,287,107 198,287,107 8.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $3,330,993) to be repurchased at $3,265,689.... $ 3,266 3,265,679 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL...................... 201,552,786 8.3% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,590,413,944)........... $2,631,889,231 107.9% ============== ===== 255 THE EMERGING MARKETS SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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.................. $133,344,446 -- -- $ 133,344,446 Chile................... 51,064,584 -- -- 51,064,584 China................... 111,877,546 $ 213,933,873 -- 325,811,419 Colombia................ 9,639,683 -- -- 9,639,683 Czech Republic.......... -- 13,611,179 -- 13,611,179 Egypt................... -- 3,004,529 -- 3,004,529 Hungary................. -- 10,049,799 -- 10,049,799 India................... 31,223,348 194,530,891 -- 225,754,239 Indonesia............... 18,078 75,046,821 -- 75,064,899 Israel.................. -- 19 -- 19 Malaysia................ -- 96,938,566 -- 96,938,566 Mexico.................. 150,275,025 7,713 -- 150,282,738 Peru.................... 11,960,082 -- -- 11,960,082 Philippines............. -- 20,249,894 -- 20,249,894 Poland.................. -- 31,373,697 -- 31,373,697 Russia.................. 1,649,511 120,610,507 -- 122,260,018 South Africa............ 54,788,205 149,992,866 -- 204,781,071 South Korea............. 12,119,450 352,392,796 -- 364,512,246 Taiwan.................. 7,697,143 268,139,150 -- 275,836,293 Thailand................ 53,870,863 -- -- 53,870,863 Turkey.................. 287,635 40,056,047 -- 40,343,682 Preferred Stocks Brazil.................. 210,537,736 -- -- 210,537,736 Rights/Warrants South Korea............. -- 44,763 -- 44,763 Securities Lending Collateral............... -- 201,552,786 -- 201,552,786 ------------ -------------- -- -------------- TOTAL...................... $840,353,335 $1,791,535,896 -- $2,631,889,231 ============ ============== == ============== See accompanying Notes to Financial Statements. 256 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (89.0%) ARGENTINA -- (0.0%) Other Securities................... $ -- 0.0% ------------ ---- BRAZIL -- (8.3%) Anhanguera Educacional Participacoes SA................. 343,345 5,101,629 0.3% BR Malls Participacoes SA.......... 567,258 6,162,077 0.3% *CETIP SA........................... 307,059 4,204,769 0.2% *Cia Hering SA...................... 340,090 7,616,542 0.4% *Diagnosticos Da America SA......... 574,800 4,633,621 0.3% Duratex SA......................... 749,354 4,115,915 0.2% #Gafisa SA ADR...................... 642,131 4,777,455 0.3% *Localiza Rent a Car SA............. 293,302 4,402,477 0.2% Lojas Renner SA.................... 273,700 8,321,717 0.4% M. Dias Branco SA.................. 164,941 4,274,238 0.2% Multiplan Empreendimentos Imobiliarios SA.................. 200,046 4,039,721 0.2% *Totvs SA........................... 288,020 4,797,957 0.3% Other Securities................... 106,844,083 5.7% ------------ ---- TOTAL BRAZIL.......................... 169,292,201 9.0% ------------ ---- CHILE -- (1.5%) Other Securities................... 30,306,458 1.6% ------------ ---- CHINA -- (13.2%) #*Brilliance China Automotive Holdings, Ltd...................... 7,248,000 7,815,955 0.4% ENN Energy Holdings, Ltd........... 2,178,000 7,870,265 0.4% *Semiconductor Manufacturing International Corp................ 93,483,000 5,010,191 0.3% Shougang Fushan Resources Group, Ltd.............................. 10,944,000 4,459,400 0.2% #Sino-Ocean Land Holdings, Ltd...... 11,976,054 5,358,877 0.3% Other Securities................... 238,475,680 12.7% ------------ ---- TOTAL CHINA........................... 268,990,368 14.3% ------------ ---- HUNGARY -- (0.1%) Other Securities................... 2,422,355 0.1% ------------ ---- INDIA -- (9.2%) Other Securities................... 187,159,793 10.0% ------------ ---- INDONESIA -- (4.4%) *PT Charoen Pokphand Indonesia Tbk.. 19,232,500 5,727,240 0.3% PT Lippo Karawaci Tbk.............. 59,407,812 4,259,280 0.2% Other Securities................... 79,892,392 4.3% ------------ ---- TOTAL INDONESIA....................... 89,878,912 4.8% ------------ ---- ISRAEL -- (0.0%) Other Securities................... 539,578 0.0% ------------ ---- MALAYSIA -- (5.5%) *Dialog Group Berhad................ 6,956,692 5,402,167 0.3% Other Securities................... 106,658,903 5.7% ------------ ---- TOTAL MALAYSIA........................ 112,061,070 6.0% ------------ ---- MEXICO -- (3.5%) Arca Continental S.A.B. de C.V..... 4,727,621 22,437,310 1.2% Other Securities................... 48,658,336 2.6% ------------ ---- TOTAL MEXICO.......................... 71,095,646 3.8% ------------ ---- PHILIPPINES -- (2.0%) Other Securities................... 40,703,369 2.2% ------------ ---- 257 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- POLAND -- (1.7%) Other Securities.......... $ 34,641,829 1.8% SOUTH AFRICA -- (8.1%) Adcock Ingram Holdings, Ltd..................... 565,230 4,434,618 0.2% AECI, Ltd................. 459,895 4,409,638 0.2% Aveng, Ltd................ 1,069,332 4,967,592 0.3% AVI, Ltd.................. 1,007,184 4,408,388 0.2% Clicks Group, Ltd......... 970,964 5,067,687 0.3% *Foschini Group, Ltd. (The) 349,032 4,382,932 0.2% JD Group, Ltd............. 983,807 5,506,388 0.3% Mediclinic International, Ltd..................... 913,800 4,000,607 0.2% Mr. Price Group, Ltd...... 693,186 6,646,662 0.4% PSG Group, Ltd............ 742,484 4,634,305 0.3% Reunert, Ltd.............. 689,181 5,444,736 0.3% *Spar Group, Ltd. (The).... 622,477 7,589,595 0.4% Tongaat-Hulett, Ltd....... 629,016 7,244,639 0.4% Woolworths Holdings, Ltd.. 1,230,163 6,273,575 0.3% Other Securities.......... 89,671,716 4.8% -------------- ---- TOTAL SOUTH AFRICA........... 164,683,078 8.8% -------------- ---- SOUTH KOREA -- (13.4%) *BS Financial Group, Inc... 409,510 4,507,079 0.3% Cheil Worldwide, Inc...... 264,015 4,322,997 0.2% CJ Cheiljedang Corp....... 22,343 6,165,900 0.3% *DGB Financial Group, Inc.. 367,913 4,631,282 0.3% Dongbu Insurance Co., Ltd. 97,230 4,093,322 0.2% *Hanwha Corp............... 116,950 4,104,538 0.2% Hyosung Corp.............. 70,064 4,040,869 0.2% *Hyundai Marine & Fire Insurance Co., Ltd....... 154,140 4,463,250 0.3% Korea Investment Holdings Co., Ltd................ 120,780 4,011,991 0.2% LG Uplus Corp............. 720,590 4,291,412 0.2% *ORION Corp................ 10,218 5,481,798 0.3% Woongjin Coway Co., Ltd... 143,810 4,954,100 0.3% Other Securities.......... 217,778,751 11.6% -------------- ---- TOTAL SOUTH KOREA............ 272,847,289 14.6% -------------- ---- TAIWAN -- (12.5%) Other Securities.......... 255,093,611 13.6% -------------- ---- THAILAND -- (3.1%) Other Securities.......... 62,101,112 3.3% -------------- ---- TURKEY -- (2.5%) Other Securities.......... 49,659,130 2.7% -------------- ---- TOTAL COMMON STOCKS.......... 1,811,475,799 96.6% -------------- ---- PREFERRED STOCKS -- (2.3%) BRAZIL -- (2.3%) Banco do Estado do Rio Grande do Sul SA........ 402,747 4,250,677 0.2% Eletropaulo Metropolitana Eletricidade de Sao Paulo SA................ 368,000 6,644,727 0.3% *Klabin SA................. 1,412,700 5,192,147 0.3% Other Securities.......... 29,342,615 1.6% -------------- ---- TOTAL BRAZIL................. 45,430,166 2.4% -------------- ---- CHILE -- (0.0%) Other Securities.......... 534,244 0.1% -------------- ---- INDIA -- (0.0%) Other Securities.......... 52,585 0.0% -------------- ---- 258 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- MALAYSIA -- (0.0%) Other Securities.................... $ 265,785 0.0% -------------- ----- PHILIPPINES -- (0.0%) Other Securities.................... 9,743 0.0% -------------- ----- TOTAL PREFERRED STOCKS................. 46,292,523 2.5% -------------- ----- RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) Other Securities.................... -- 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities.................... 77,219 0.0% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities.................... 399,948 0.0% -------------- ----- TAIWAN -- (0.0%) Other Securities.................... 69,858 0.0% -------------- ----- THAILAND -- (0.0%) Other Securities.................... 47,521 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS.................. 594,546 0.0% -------------- ----- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (8.7%) (S)@DFA Short Term Investment Fund..... 173,497,753 173,497,753 9.3% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $3,508,923) to be repurchased at $3,440,132......... $ 3,440 3,440,121 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL........................... 176,937,874 9.5% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,723,730,227)................ $2,035,300,742 108.6% ============== =====
259 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of inputs used to value the Series' investments as of October 31, 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............... -- -- -- -- Brazil.................. $169,292,201 -- -- $ 169,292,201 Chile................... 30,306,458 -- -- 30,306,458 China................... 380,480 $ 268,609,888 -- 268,990,368 Hungary................. -- 2,422,355 -- 2,422,355 India................... 1,803,073 185,356,720 -- 187,159,793 Indonesia............... 12,614 89,866,298 -- 89,878,912 Israel.................. -- 539,578 -- 539,578 Malaysia................ 1,477,730 110,583,340 -- 112,061,070 Mexico.................. 70,808,805 286,841 -- 71,095,646 Philippines............. 24,160 40,679,209 -- 40,703,369 Poland.................. 27,375 34,614,454 -- 34,641,829 South Africa............ 237,044 164,446,034 -- 164,683,078 South Korea............. 4,631,282 268,216,007 -- 272,847,289 Taiwan.................. -- 255,093,611 -- 255,093,611 Thailand................ 62,000,974 100,138 -- 62,101,112 Turkey.................. -- 49,659,130 -- 49,659,130 Preferred Stocks Brazil.................. 45,394,648 35,518 -- 45,430,166 Chile................... 534,244 -- -- 534,244 India................... -- 52,585 -- 52,585 Malaysia................ 9,517 256,268 -- 265,785 Philippines............. 9,743 -- -- 9,743 Rights/Warrants China................... -- -- -- -- Malaysia................ 77,219 -- -- 77,219 South Korea............. -- 399,948 -- 399,948 Taiwan.................. -- 69,858 -- 69,858 Thailand................ 47,521 -- -- 47,521 Securities Lending Collateral............... -- 176,937,874 -- 176,937,874 ------------ -------------- -- -------------- TOTAL...................... $387,075,088 $1,648,225,654 -- $2,035,300,742 ============ ============== == ============== See accompanying Notes to Financial Statements. 260 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (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 $705,167, $659,265, $168,689 and $171,355 of securities on loan, respectively)......................... $ 9,318,149 $6,900,228 $1,486,514 $ 892,066 Temporary Cash Investments at Value & Cost.................................. 15,006 -- -- -- Collateral Received from Securities on Loan at Value & Cost.................. 276 2,865 375 497 Affiliated Collateral Received from Securities on Loan at Value & Cost.... 724,868 715,664 179,335 194,946 Foreign Currencies at Value............. -- 5,055 113 10,013 Cash.................................... -- 7,998 416 545 Receivables: Investment Securities Sold........... 16,470 10,461 -- 24 Dividends, Interest and Tax Reclaims. 12,523 22,583 10,774 1,914 Securities Lending Income............ 882 392 168 213 Fund Shares Sold..................... -- 16,059 5,055 3,000 ----------- ---------- ---------- ---------- Total Assets..................... 10,088,174 7,681,305 1,682,750 1,103,218 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned..... 725,144 718,529 179,710 195,443 Investment Securities Purchased...... 11,357 -- -- 848 Fund Shares Redeemed................. 15,399 5,329 -- 33 Due to Advisor....................... 738 1,124 129 71 Unrealized Loss on Foreign Currency Contracts............................. -- -- -- 12 Accrued Expenses and Other Liabilities.. 429 416 96 77 ----------- ---------- ---------- ---------- Total Liabilities................ 753,067 725,398 179,935 196,484 ----------- ---------- ---------- ---------- NET ASSETS.............................. $ 9,335,107 $6,955,907 $1,502,815 $ 906,734 =========== ========== ========== ========== Investments at Cost..................... $ 7,552,733 $6,343,124 $1,635,033 $ 853,139 =========== ========== ========== ========== Foreign Currencies at Cost.............. $ -- $ 5,106 $ 115 $ 9,776 =========== ========== ========== ==========
See accompanying Notes to Financial Statements. 261 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (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 $5,273, $284,106, $201,676, $242,548 and $153,944 of securities on loan, respectively)......................... $1,126,680 $1,994,413 $731,829 $2,430,336 $1,858,363 Collateral Received from Securities on Loan at Value & Cost.................. 2,521 1,213 2,320 3,266 3,440 Affiliated Collateral Received from Securities on Loan at Value & Cost.... 3,124 303,409 210,375 198,287 173,498 Foreign Currencies at Value............. 15,561 180 101 4,293 4,899 Cash.................................... 198 851 692 1,802 11,034 Receivables: Investment Securities Sold........... -- 339 67 1,249 6,511 Dividends and Tax Reclaims........... 3,539 3,302 517 2,602 1,657 Securities Lending Income............ 13 472 184 257 314 Fund Shares Sold..................... -- 3,000 3,000 610 2,630 ---------- ---------- -------- ---------- ---------- Total Assets..................... 1,151,636 2,307,179 949,085 2,642,702 2,062,346 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned..... 5,645 304,622 212,695 201,553 176,938 Investment Securities Purchased...... -- 459 25 432 9,843 Fund Shares Redeemed................. 12,001 19 -- 152 -- Due to Advisor....................... 90 161 57 190 294 Unrealized Loss on Foreign Currency Contracts............................. -- -- -- -- 5 Accrued Expenses and Other Liabilities.. 55 155 46 394 340 ---------- ---------- -------- ---------- ---------- Total Liabilities................ 17,791 305,416 212,823 202,721 187,420 ---------- ---------- -------- ---------- ---------- NET ASSETS.............................. $1,133,845 $2,001,763 $736,262 $2,439,981 $1,874,926 ========== ========== ======== ========== ========== Investments at Cost..................... $1,098,317 $2,047,047 $757,562 $1,388,861 $1,546,792 ========== ========== ======== ========== ========== Foreign Currencies at Cost.............. $ 15,576 $ 181 $ 100 $ 4,262 $ 4,884 ========== ========== ======== ========== ==========
-------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 262 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS)
THE ASIA THE U.S. THE JAPANESE PACIFIC LARGE THE DFA SMALL SMALL CAP VALUE INTERNATIONAL COMPANY COMPANY SERIES VALUE SERIES SERIES SERIES --------- ------------- ------------ --------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $20,604, $2,246 and $971, respectively)................. $172,743 $ 258,493 $ 29,941 $ 36,085 Interest.................................. 25 30 5 2 Income from Securities Lending............ 7,066 12,747 1,938 2,502 -------- ----------- -------- --------- Total Investment Income............... 179,834 271,270 31,884 38,589 -------- ----------- -------- --------- EXPENSES Investment Advisory Services Fees......... 9,440 14,647 1,442 979 Accounting & Transfer Agent Fees.......... 900 708 159 116 Custodian Fees............................ 103 1,317 316 454 Shareholders' Reports..................... 52 41 8 6 Directors'/Trustees' Fees & Expenses...... 83 66 12 9 Professional Fees......................... 328 238 33 24 Other..................................... 76 87 19 14 -------- ----------- -------- --------- Total Expenses........................ 10,982 17,104 1,989 1,602 -------- ----------- -------- --------- Fees Paid Indirectly...................... -- (7) (1) -- -------- ----------- -------- --------- Net Expenses.............................. 10,982 17,097 1,988 1,602 -------- ----------- -------- --------- NET INVESTMENT INCOME (LOSS).............. 168,852 254,173 29,896 36,987 -------- ----------- -------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on:.............. Investment Securities Sold............ 387,017 161,341 17,637 71,818 Futures............................... (12,646) -- -- -- Foreign Currency Transactions......... -- 506 93 521 Change in Unrealized Appreciation (Depreciation) of:..... Investment Securities and Foreign Currency.................... (74,679) (1,021,735) 66,983 (158,023) Translation of Foreign Currency Denominated Amounts................. -- (517) (598) 109 -------- ----------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS).................................. 299,692 (860,405) 84,115 (85,575) -------- ----------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $468,544 $ (606,232) $114,011 $ (48,588) ======== =========== ======== =========
See accompanying Notes to Financial Statements. 263 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (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 $13, $8,010, $2,212, $7,771 and $5,088, respectively)....... $ 44,170 $ 56,938 $ 12,539 $ 65,327 $ 48,912 Interest................................. 3 28 5 11 12 Income from Securities Lending........... 246 8,288 2,514 2,791 3,812 -------- --------- -------- --------- --------- Total Investment Income........... 44,419 65,254 15,058 68,129 52,736 -------- --------- -------- --------- --------- EXPENSES Investment Advisory Services Fees........ 1,142 2,274 810 2,535 3,976 Accounting & Transfer Agent Fees......... 131 237 100 262 210 Custodian Fees........................... 106 779 222 1,912 2,177 Shareholders' Reports.................... 6 13 4 14 11 Directors'/Trustees' Fees & Expenses..... 10 20 7 23 17 Audit Fees............................... 16 50 11 328 119 Legal Fees............................... 11 22 8 26 20 Other.................................... 14 28 6 41 33 -------- --------- -------- --------- --------- Total Expenses.................... 1,436 3,423 1,168 5,141 6,563 -------- --------- -------- --------- --------- Fees Paid Indirectly..................... (1) (1) -- (1) (2) -------- --------- -------- --------- --------- Net Expenses............................. 1,435 3,422 1,168 5,140 6,561 -------- --------- -------- --------- --------- NET INVESTMENT INCOME (LOSS)............. 42,984 61,832 13,890 62,989 46,175 -------- --------- -------- --------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold........... 18,980 66,872 38,405 103,456 29,751 Futures.............................. -- (287) -- -- -- Foreign Currency Transactions........ 33 (576) (110) (1,120)** (1,286)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... (66,130) (377,057) (68,747) (330,512) (364,541) Translation of Foreign Currency Denominated Amounts................ 53 52 4 (115) (32) Change in Deferred Thailand Capital Gains Tax.............................. -- -- -- 4,428 3,997 -------- --------- -------- --------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................. (47,064) (310,996) (30,448) (223,863) (332,111) -------- --------- -------- --------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $ (4,080) $(249,164) $(16,558) $(160,874) $(285,936) ======== ========= ======== ========= =========
-------- ** Net of foreign capital gain taxes withheld of $903 and $652, respectively. See accompanying Notes to Financial Statements. 264 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE JAPANESE LARGE CAP VALUE INTERNATIONAL VALUE SMALL COMPANY SERIES SERIES SERIES ----------------------- ----------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 ----------- ---------- ----------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................ $ 168,852 $ 167,346 $ 254,173 $ 164,482 $ 29,896 $ 23,032 Net Realized Gain (Loss) on: Investment Securities Sold.............. 387,017 638,095 161,341 360,748 17,637 (15,709) Futures................................. (12,646) -- -- -- -- -- Foreign Currency Transactions........... -- -- 506 (156) 93 792 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (74,679) 678,724 (1,021,735) 182,952 66,983 (460) Translation of Foreign Currency Denominated Amounts................... -- -- (517) 537 (598) 315 ----------- ---------- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 468,544 1,484,165 (606,232) 708,563 114,011 7,970 ----------- ---------- ----------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 1,230,772 512,765 900,473 611,794 212,545 61,990 Withdrawals............................. (1,180,609) (688,930) (257,967) (592,688) (35,341) (41,396) ----------- ---------- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 50,163 (176,165) 642,506 19,106 177,204 20,594 ----------- ---------- ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... 518,707 1,308,000 36,274 727,669 291,215 28,564 NET ASSETS Beginning of Period......................... 8,816,400 7,508,400 6,919,633 6,191,964 1,211,600 1,183,036 ----------- ---------- ----------- ---------- ---------- ---------- End of Period............................... $ 9,335,107 $8,816,400 $ 6,955,907 $6,919,633 $1,502,815 $1,211,600 =========== ========== =========== ========== ========== ==========
See accompanying Notes to Financial Statements. 265 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC THE UNITED KINGDOM THE CONTINENTAL SMALL COMPANY SMALL COMPANY SMALL COMPANY SERIES SERIES SERIES ------------------- ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 --------- -------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................ $ 36,987 $ 28,020 $ 42,984 $ 24,392 $ 61,832 $ 38,583 Net Realized Gain (Loss) on: Investment Securities Sold.............. 71,818 46,684 18,980 35,525 66,872 72,573 Futures................................. -- -- -- -- (287) -- Foreign Currency Transactions........... 521 (20) 33 126 (576) 811 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (158,023) 129,509 (66,130) 152,112 (377,057) 156,901 Translation of Foreign Currency Denominated Amounts................... 109 (75) 53 (30) 52 30 --------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... (48,588) 204,118 (4,080) 212,125 (249,164) 268,898 --------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions............................... 80,765 85,604 125,970 59,131 225,654 199,653 Withdrawals................................. (60,581) (35,581) (24,739) (5,034) (47,211) (26,959) --------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 20,184 50,023 101,231 54,097 178,443 172,694 --------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... (28,404) 254,141 97,151 266,222 (70,721) 441,592 NET ASSETS Beginning of Period......................... 935,138 680,997 1,036,694 770,472 2,072,484 1,630,892 --------- -------- ---------- ---------- ---------- ---------- End of Period............................... $ 906,734 $935,138 $1,133,845 $1,036,694 $2,001,763 $2,072,484 ========= ======== ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 266 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE CANADIAN THE EMERGING SMALL COMPANY THE EMERGING MARKETS SMALL CAP SERIES MARKETS SERIES SERIES ------------------ ------------------------ ------------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2011 2010 2011 2010 2011 2010 -------- -------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......................... $ 13,890 $ 5,240 $ 62,989 $ 48,891 $ 46,175 $ 30,699 Net Realized Gain (Loss) on: Investment Securities Sold....................... 38,405 6,585 103,456 160,587 29,751 102,089 Foreign Currency Transactions.................... (110) 40 (1,120)** 541 (1,286)** 77** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................................... (68,747) 168,950 (330,512) 337,045 (364,541) 382,774 Translation of Foreign Currency Denominated Amounts............................ 4 (11) (115) (5) (32) (76) Change in Deferred Thailand Capital Gains Tax........ -- -- 4,428 (2,275) 3,997 (3,052) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (16,558) 180,804 (160,874) 544,784 (285,936) 512,511 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................................ 130,949 117,737 341,207 199,169 472,662 344,585 Withdrawals.......................................... (41,851) -- (269,845) (323,776) (193,156) (143,713) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest.................... 89,098 117,737 71,362 (124,607) 279,506 200,872 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets...................................... 72,540 298,541 (89,512) 420,177 (6,430) 713,383 NET ASSETS Beginning of Period.................................. 663,722 365,181 2,529,493 2,109,316 1,881,356 1,167,973 -------- -------- ---------- ---------- ---------- ---------- End of Period........................................ $736,262 $663,722 $2,439,981 $2,529,493 $1,874,926 $1,881,356 ======== ======== ========== ========== ========== ==========
-------- ** Net of foreign capital gain taxes withheld of $903, $652 and $184, respectively. See accompanying Notes to Financial Statements. 267 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES+ ---------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ----------- ---------- Total Return...................................... 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16% ---------- ---------- ---------- ---------- ----------- ---------- Net Assets, End of Period (thousands)............. $9,335,107 $8,816,400 $7,508,400 $6,739,363 $10,159,322 $8,866,306 Ratio of Expenses to Average Net Assets........... 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12% Ratio of Net Investment Income to Average Net Assets.......................................... 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68% Portfolio Turnover Rate........................... 14% 28% 29% 19%(C) 9% 13%
THE DFA INTERNATIONAL VALUE SERIES+ --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Total Return...................................... (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $6,955,907 $6,919,633 $6,191,964 $4,700,337 $9,638,721 $7,457,252 Ratio of Expenses to Average Net Assets........... 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................ 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23% Ratio of Net Investment Income to Average Net Assets.......................................... 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29% Portfolio Turnover Rate........................... 9% 20% 18% 16%(C) 16% 8%
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. 268 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES ---------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Total Return...................................... 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% (2.28)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $1,502,815 $1,211,600 $1,183,036 $1,062,964 $1,504,821 $1,385,722 Ratio of Expenses to Average Net Assets........... 0.14% 0.14% 0.15% 0.13%(B) 0.13% 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................ 0.14% 0.14% 0.15% 0.13%(B) 0.13% 0.14% Ratio of Net Investment Income to Average Net Assets.......................................... 2.07% 1.95% 2.15% 2.64%(B) 1.94% 1.68% Portfolio Turnover Rate........................... 5% 10% 7% 10%(C) 9% 9% THE ASIA PACIFIC SMALL COMPANY SERIES ---------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Total Return...................................... (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% 38.26% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154 $ 749,627 Ratio of Expenses to Average Net Assets........... 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................ 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17% Ratio of Net Investment Income to Average Net Assets.......................................... 3.78% 3.64% 4.00% 4.33%(B) 3.58% 4.19% Portfolio Turnover Rate........................... 17% 18% 23% 20%(C) 25% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 269 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES ------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Total Return...................................... 0.20% 25.94% 43.51% (50.77)%(C) 2.42% 44.80% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $1,133,845 $1,036,694 $ 770,472 $ 555,390 $1,158,580 $1,117,826 Ratio of Expenses to Average Net Assets........... 0.13% 0.13% 0.14% 0.12%(B) 0.12% 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................ 0.13% 0.13% 0.14% 0.12%(B) 0.12% 0.13% Ratio of Net Investment Income to Average Net Assets.......................................... 3.76% 2.86% 4.02% 3.79%(B) 2.72% 2.70% Portfolio Turnover Rate........................... 7% 15% 10% 25%(C) 12% 8% THE CONTINENTAL SMALL COMPANY SERIES ------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Total Return...................................... (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% 47.10% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $2,001,763 $2,072,484 $1,630,892 $1,111,585 $2,256,122 $1,875,194 Ratio of Expenses to Average Net Assets........... 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................ 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets.......................................... 2.72% 2.24% 2.93% 3.49%(B) 2.16% 2.27% Portfolio Turnover Rate........................... 10% 12% 7% 18%(C) 12% 7%
See accompanying Notes to Financial Statements. 270 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES ------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, PERIOD ENDED ENDED ENDED 2007 TO APRIL 2, 2007(a) OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO 2011 2010 2009 2008 NOV. 30, 2007 -------- -------- -------- -------- ---------------- Total Return........................................... 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C) -------- -------- -------- -------- -------- Net Assets, End of Period (thousands).................. $736,262 $663,722 $365,181 $232,873 $213,529 Ratio of Expenses to Average Net Assets................ 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................ 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Net Investment Income to Average Net Assets................................................. 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E) Portfolio Turnover Rate................................ 24% 10% 23% 21%(C) 6%(C)
THE EMERGING MARKETS SERIES --------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% 31.87% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $2,439,981 $2,529,493 $2,109,316 $1,624,524 $3,707,790 $2,414,971 Ratio of Expenses to Average Net Assets....... 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets...................................... 2.48% 2.18% 2.57% 3.00%(B) 2.52% 2.54% Portfolio Turnover Rate....................... 16% 12% 14% 19%(C) 7% 11%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 271 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES ----------------------------------------------------------------------- PERIOD YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED 2007 TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2011 2010 2009 2008 2007 2006 ---------- ---------- ---------- -------- ---------- -------- Total Return....................................... (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% 40.55% ---------- ---------- ---------- -------- ---------- -------- Net Assets, End of Period (thousands).............. $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571 $903,529 Ratio of Expenses to Average Net Assets............ 0.33% 0.32% 0.33% 0.30%(B) 0.31% 0.34% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................ 0.33% 0.32% 0.33% 0.30%(B) 0.31% 0.34% Ratio of Net Investment Income to Average Net Assets........................................... 2.32% 2.16% 2.52% 3.07%(B) 1.94% 2.39% Portfolio Turnover Rate............................ 18% 15% 13% 19%(C) 16% 18%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 272 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of eleven 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) 273 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. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed 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 year ended October 31, 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. 274 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 Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in 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 October 31, 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 are subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. 275 C. INVESTMENT ADVISOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the year ended October 31, 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% EARNED INCOME CREDIT: In addition, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Series custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2011, expenses reduced were as follows (amounts in thousands): FEES PAID INDIRECTLY ---------- The DFA International Value Series...... $ 7 The Japanese Small Company Series....... 1 The Asia Pacific Small Company Series... -- The United Kingdom Small Company Series. 1 The Continental Small Company Series.... 1 The Canadian Small Company Series....... -- The Emerging Markets Series............. 1 The Emerging Markets Small Cap Series... 2 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the year ended October 31, 2011, the total related amounts paid by the Trust to the CCO were $84 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 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................ $226 The DFA International Value Series............. 176 The Japanese Small Company Series.............. 37 The Asia Pacific Small Company Series.......... 18 The United Kingdom Small Company Series........ 21 The Continental Small Company Series........... 44 276 The Canadian Small Company Series..... $10 The Emerging Markets Series........... 60 The Emerging Markets Small Cap Series. 30 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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........................ $1,527,597 $1,330,587 The DFA International Value Series..................... 1,526,295 660,584 The Japanese Small Company Series...................... 269,316 69,415 The Asia Pacific Small Company Series.................. 208,234 167,484 The United Kingdom Small Company Series................ 223,610 82,231 The Continental Small Company Series................... 456,167 215,427 The Canadian Small Company Series...................... 280,913 195,028 The Emerging Markets Series............................ 529,036 398,877 The Emerging Markets Small Cap Series.................. 665,282 352,620 There were no purchases or sales of long-term U.S. government securities. F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Series are treated as partnerships for Federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At October 31, 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......... $8,293,184 $2,196,901 $(431,786) $1,765,115 The DFA International Value Series......... 7,064,348 1,142,717 (588,308) 554,409 The Japanese Small Company Series....... 1,819,229 164,477 (317,482) (153,005) The Asia Pacific Small Company Series....... 1,076,850 214,050 (203,391) 10,659 The United Kingdom Small Company Series. 1,111,769 242,578 (222,022) 20,556 The Continental Small Company Series....... 2,356,891 455,824 (513,680) (57,856) The Canadian Small Company Series....... 984,551 118,412 (158,439) (40,027) The Emerging Markets Series............... 1,592,448 1,085,985 (46,544) 1,039,441 The Emerging Markets Small Cap Series..... 1,743,947 499,690 (208,336) 291,354 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and on investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Series' tax positions and has concluded that no provision for income tax is required in any Series' financial statements. No Series is aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax 277 benefits will significantly change in the next twelve months. Each of the Series' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (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. 2. Foreign Markets Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities by the Series may be inhibited. 278 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. 3. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. 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 year ended October 31, 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 $(12,646) The Continental Small Company Series*... Net Realized Gain (Loss) on Futures (287) * As of October 31, 2011, there were no futures contracts outstanding. During the year ended October 31, 2011, the Series had limited activity in futures contracts. H. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 22, 2012. There were no borrowings by the Series under this line of credit during the year ended October 31, 2011. 279 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. The Trust, together with other Dimensional-advised portfolios, expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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....... 0.87% $6,501 33 $ 5 $15,367 The DFA International Value Series. 0.86% 2,623 14 1 12,532 The Japanese Small Company Series....... 0.88% 625 16 -- 4,628 The Asia Pacific Small Company Series....... 0.85% 446 51 1 2,968 The United Kingdom Small Company Series....... 0.91% 117 19 -- 1,227 The Continental Small Company Series....... 0.83% 574 11 -- 2,038 The Emerging Markets Series....... 0.90% 4,082 42 4 15,798 The Emerging Markets Small Cap Series....... 0.85% 3,345 41 3 16,110 * Number of Days Outstanding represents the total of single or consecutive days during the year ended that each Series' available line of credit was utilized. There were no outstanding borrowings by the Series under this line of credit as of October 31, 2011. I. SECURITIES LENDING: As of October 31, 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 consisting of short and/or long term U.S. Treasury securities with a market value of $56,173 and $306, 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 280 market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Series will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. J. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Trust's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. K. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 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 Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as The U.S. Large Cap Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. 281 Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 282 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY: In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The U.S. Large Cap Value Series, The DFA International Value Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, The Emerging Market Series and The Emerging Markets Small Cap Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at October 31, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodians, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2011 283 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHART DIMENSIONAL EMERGING MARKETS VALUE FUND VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2001-OCTOBER 31, 2011 GROWTH OF $10,000 [CHART]
MSCI DIMENSIONAL EMERGING EMERGING MARKETS MARKETS INDEX VALUE FUND (NET DIV.) ----------- ---------- 10/31/2001 10,000.00 10,000.00 11/30/2001 11,214.77 11,043.27 12/31/2001 11,982.44 11,919.10 1/31/2002 12,949.67 12,321.28 2/28/2002 12,780.64 12,521.02 3/31/2002 13,550.67 13,270.30 4/30/2002 13,926.29 13,355.36 5/31/2002 13,757.26 13,139.34 6/30/2002 12,780.64 12,150.05 7/31/2002 12,282.94 11,221.22 8/31/2002 12,311.11 11,392.69 9/30/2002 10,846.17 10,163.15 10/31/2002 11,306.31 10,823.45 11/30/2002 12,200.02 11,568.33 12/31/2002 11,838.85 11,183.53 1/31/2003 12,020.99 11,134.20 2/28/2003 11,915.54 10,821.37 3/31/2003 11,656.72 10,512.33 4/30/2003 13,190.49 11,447.16 5/31/2003 14,187.45 12,265.59 6/30/2003 14,820.13 12,960.90 7/31/2003 15,155.65 13,766.84 8/31/2003 16,162.19 14,688.09 9/30/2003 16,957.84 14,795.06 10/31/2003 18,482.03 16,053.85 11/30/2003 18,692.66 16,249.19 12/31/2003 20,954.80 17,425.74 1/31/2004 21,526.21 18,034.27 2/29/2004 22,935.02 18,861.27 3/31/2004 23,220.72 19,097.00 4/30/2004 21,605.02 17,533.32 5/31/2004 20,964.66 17,183.53 6/30/2004 21,364.80 17,256.72 7/31/2004 21,632.85 16,940.82 8/31/2004 22,615.71 17,643.35 9/30/2004 24,104.29 18,661.28 10/31/2004 24,874.11 19,107.15 11/30/2004 27,563.47 20,875.96 12/31/2004 29,351.15 21,878.59 1/31/2005 29,844.45 21,934.15 2/28/2005 32,567.86 23,847.87 3/31/2005 30,201.04 22,271.83 4/30/2005 29,130.52 21,673.95 5/31/2005 29,573.14 22,428.37 6/30/2005 30,556.89 23,190.38 7/31/2005 32,775.99 24,811.33 8/31/2005 33,317.74 25,023.81 9/30/2005 35,999.11 27,353.90 10/31/2005 33,755.72 25,566.00 11/30/2005 36,261.53 27,680.93 12/31/2005 38,550.24 29,317.06 1/31/2006 42,250.54 32,591.52 2/28/2006 42,423.66 32,552.84 3/31/2006 43,875.52 32,839.73 4/30/2006 47,707.31 35,178.14 5/31/2006 42,562.08 31,492.44 6/30/2006 42,182.94 31,415.46 7/31/2006 43,200.32 31,865.25 8/31/2006 43,987.96 32,677.19 9/30/2006 44,897.37 32,949.27 10/31/2006 48,032.57 34,513.80 11/30/2006 51,556.32 37,079.37 12/31/2006 53,381.29 38,748.91 1/31/2007 54,223.49 38,331.68 2/28/2007 54,546.52 38,104.17 3/31/2007 57,403.66 39,621.55 4/30/2007 61,998.27 41,455.91 5/31/2007 66,731.76 43,509.21 6/30/2007 68,647.67 45,548.75 7/31/2007 71,923.27 47,952.05 8/31/2007 69,626.86 46,932.97 9/30/2007 75,912.85 52,115.94 10/31/2007 84,272.06 57,927.95 11/30/2007 78,155.93 53,821.63 12/31/2007 78,056.80 54,010.37 1/31/2008 70,317.97 47,270.20 2/29/2008 73,146.11 50,759.33 3/31/2008 70,702.82 48,073.18 4/30/2008 76,177.17 51,974.50 5/31/2008 76,859.85 52,938.69 6/30/2008 67,943.80 47,658.72 7/31/2008 66,628.93 45,861.03 8/31/2008 60,952.84 42,197.96 9/30/2008 50,443.83 34,813.18 10/31/2008 34,793.71 25,285.56 11/30/2008 32,168.27 23,382.14 12/31/2008 36,137.87 25,205.85 1/31/2009 32,890.12 23,578.05 2/28/2009 30,094.92 22,247.96 3/31/2009 35,319.91 25,445.15 4/30/2009 42,269.19 29,679.48 5/31/2009 51,806.10 34,750.69 6/30/2009 51,175.82 34,282.58 7/31/2009 58,064.62 38,137.59 8/31/2009 58,521.19 38,001.05 9/30/2009 63,940.69 41,450.42 10/31/2009 62,439.29 41,501.69 11/30/2009 66,443.39 43,284.42 12/31/2009 69,764.19 44,993.77 1/31/2010 65,814.76 42,484.38 2/28/2010 66,347.73 42,633.91 3/31/2010 72,196.71 46,075.86 4/30/2010 72,688.68 46,634.07 5/31/2010 65,104.14 42,532.30 6/30/2010 65,514.11 42,219.64 7/31/2010 71,609.08 45,735.49 8/31/2010 70,324.49 44,847.26 9/30/2010 78,797.32 49,831.12 10/31/2010 81,516.83 51,278.04 11/30/2010 78,906.65 49,924.41 12/31/2010 85,493.59 53,486.99 1/31/2011 82,828.75 52,035.83 2/28/2011 81,489.50 51,550.58 3/31/2011 86,190.55 54,581.43 4/30/2011 89,292.70 56,274.56 5/31/2011 85,917.23 54,798.52 6/30/2011 84,168.00 53,955.51 7/31/2011 83,498.38 53,715.88 8/31/2011 75,052.88 48,915.60 9/30/2011 61,605.68 41,783.97 10/31/2011 69,723.19 47,318.56
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS -------------- ------ ----- ----- -14.47% 7.74% 21.43% Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2011, all rights reserved. 284 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT'S DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011 Losses in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2011, returns in USD were -7.72% for the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks underperformed their value counterparts, while emerging markets small cap stocks underperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2011 U.S. DOLLAR RETURN ----------- MSCI Emerging Markets Index........... -7.72% MSCI Emerging Markets Small Cap Index. -16.70% MSCI Emerging Markets Value Index..... -6.99% MSCI Emerging Markets Growth Index.... -8.45% -------- The US dollar (USD) generally appreciated against most major emerging markets currencies during the period. 12 MONTHS ENDED OCTOBER 31, 2011 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN ------------------------------------------ -------- ----------- China.................................................. -15.62% -15.76% Brazil................................................. -12.71% -12.57% South Korea............................................ 4.63% 6.24% Taiwan................................................. -5.30% -3.07% South Africa........................................... 10.15% -2.95% India.................................................. -12.30% -19.99% Russia................................................. -1.24% 0.22% Mexico................................................. 5.26% -1.38% Malaysia............................................... 2.08% 3.53% Indonesia.............................................. 3.92% 4.92% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2011, all rights reserved. INTERNATIONAL EQUITY FUND PERFORMANCE OVERVIEW DIMENSIONAL EMERGING MARKETS VALUE FUND The Dimensional Emerging Markets Value Fund seeks to capture the returns of large and small cap value stocks in selected emerging markets. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to emerging markets value stocks, and does not attempt to track a specific equity index. As of October 31, 2011, the Fund held approximately 2,150 securities across 17 emerging markets. In general, the Fund was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Fund's assets. The Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. 285 For the 12 months ended October 31, 2011, total returns were -14.47% for the Fund and -7.72% for the MSCI Emerging Markets Index (net dividends). As a result of the Fund's diversified investment approach, performance was generally determined by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Fund's relative underperformance as compared to the Index was primarily due to its higher allocation than the Index to small cap and value stocks, both of which underperformed, and a lower allocation than the Index to large cap and growth stocks, respectively, each of which outperformed. To a lesser extent, an additional component of the Fund's performance was due to differences in valuation timing and methodology between the Fund and the Index. The Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 286 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2011 EXPENSE TABLE BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/11 10/31/11 RATIO* PERIOD* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $ 780.86 0.22% $0.99 Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12 -------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 287 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on September 28, 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....................... 7.4% Consumer Staples............................. 6.5% Energy....................................... 17.4% Financials................................... 30.6% Health Care.................................. 0.6% Industrials.................................. 10.5% Information Technology....................... 6.3% Materials.................................... 16.8% Other........................................ -- Telecommunication Services................... 2.3% Utilities.................................... 1.6% ----- 100.0% 288 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2011 PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- COMMON STOCKS -- (88.5%) BRAZIL -- (7.6%) #Banco Santander Brasil SA ADR... 13,875,608 $ 126,268,033 0.9% BM&F Bovespa SA................. 30,436,745 183,132,816 1.3% BR Malls Participacoes SA....... 4,338,270 47,126,269 0.3% Petroleo Brasileiro SA ADR...... 10,788,313 291,392,334 2.1% Other Securities................ 484,469,038 3.5% -------------- ---- TOTAL BRAZIL....................... 1,132,388,490 8.1% -------------- ---- CHILE -- (1.8%) Empresas CMPC SA................ 15,763,090 65,487,845 0.5% #Enersis SA Sponsored ADR........ 3,046,239 59,797,672 0.4% Other Securities................ 144,299,147 1.0% -------------- ---- TOTAL CHILE........................ 269,584,664 1.9% -------------- ---- CHINA -- (13.6%) #Bank of China, Ltd. Series H.... 803,391,331 285,934,139 2.0% #Bank of Communications Co., Ltd. Series H.................. 95,161,574 65,402,021 0.5% #*China Citic Bank Corp., Ltd. Series H........................ 95,111,716 50,856,739 0.4% China Coal Energy Co., Ltd. Series H...................... 41,470,000 51,652,075 0.4% China Communications Construction Co., Ltd. Series H............................. 65,744,327 49,588,080 0.3% China Construction Bank Corp. Series H...................... 153,591,940 112,849,414 0.8% #China Petroleum & Chemical Corp. ADR...................... 993,796 93,814,342 0.7% China Petroleum & Chemical Corp. Series H................ 116,064,289 109,617,984 0.8% #China Unicom Hong Kong, Ltd. ADR............................ 7,272,462 146,249,211 1.0% Other Securities................ 1,060,281,770 7.6% -------------- ---- TOTAL CHINA........................ 2,026,245,775 14.5% -------------- ---- CZECH REPUBLIC -- (0.3%) Other Securities................ 47,098,177 0.3% -------------- ---- HUNGARY -- (0.5%) Other Securities................ 73,482,477 0.5% -------------- ---- INDIA -- (8.7%) #ICICI Bank, Ltd. Sponsored ADR.. 3,343,138 124,231,008 0.9% Reliance Industries, Ltd........ 15,874,574 284,270,252 2.0% Tata Steel, Ltd................. 5,110,167 50,322,064 0.4% Other Securities................ 838,988,289 6.0% -------------- ---- TOTAL INDIA........................ 1,297,811,613 9.3% -------------- ---- INDONESIA -- (3.4%) PT Bumi Resources Tbk........... 275,669,000 72,003,897 0.5% Other Securities................ 424,948,346 3.1% -------------- ---- TOTAL INDONESIA.................... 496,952,243 3.6% -------------- ---- ISRAEL -- (0.0%) Other Securities................ 1,614,106 0.0% -------------- ---- MALAYSIA -- (3.2%) Other Securities................ 471,605,118 3.4% -------------- ---- MEXICO -- (4.7%) #Alfa S.A.B. de C.V. Series A.... 4,281,493 49,429,768 0.4% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 2,134,064 143,088,991 1.0% #Grupo Financiero Banorte S.A.B. de C.V. Series O............... 14,274,417 48,681,042 0.3% Grupo Mexico S.A.B. de C.V. Series B...................... 24,138,837 66,962,768 0.5% 289 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- --------------- --------------- MEXICO -- (Continued) Other Securities................ $ 389,833,877 2.8% --------------- ---- TOTAL MEXICO....................... 697,996,446 5.0% --------------- ---- PHILIPPINES -- (0.9%) Other Securities................ 128,360,276 0.9% --------------- ---- POLAND -- (1.6%) *Polski Koncern Naftowy Orlen SA. 5,310,008 65,568,714 0.5% Other Securities................ 171,779,219 1.2% --------------- ---- TOTAL POLAND....................... 237,347,933 1.7% --------------- ---- RUSSIA -- (5.2%) Gazprom OAO Sponsored ADR....... 50,745,478 588,259,941 4.2% Lukoil OAO Sponsored ADR........ 2,457,775 142,357,217 1.0% Other Securities................ 47,186,142 0.4% --------------- ---- TOTAL RUSSIA....................... 777,803,300 5.6% --------------- ---- SOUTH AFRICA -- (7.9%) ABSA Group, Ltd................. 4,420,483 79,295,598 0.6% Gold Fields, Ltd. Sponsored ADR. 10,210,601 177,970,775 1.3% Nedbank Group, Ltd.............. 3,060,140 54,140,695 0.4% Sanlam, Ltd..................... 28,905,406 107,867,260 0.8% Standard Bank Group, Ltd........ 10,800,550 133,678,079 0.9% #Steinhoff International Holdings, Ltd.................. 16,661,875 50,383,723 0.3% Other Securities................ 576,621,237 4.1% --------------- ---- TOTAL SOUTH AFRICA................. 1,179,957,367 8.4% --------------- ---- SOUTH KOREA -- (13.7%) Hana Financial Group, Inc....... 2,545,984 90,951,178 0.7% Hyundai Motor Co., Ltd.......... 695,176 140,000,418 1.0% #*KB Financial Group, Inc. ADR.... 3,116,900 121,714,945 0.9% #LG Electronics, Inc............. 1,144,074 75,740,020 0.5% POSCO........................... 366,870 127,116,197 0.9% #*POSCO ADR....................... 1,529,671 131,429,332 0.9% Samsung C&T Corp................ 1,105,770 68,369,291 0.5% #Samsung SDI Co., Ltd............ 384,336 46,296,900 0.3% Shinhan Financial Group Co., Ltd........................... 3,676,399 146,457,204 1.1% #Shinhan Financial Group Co., Ltd. ADR....................... 818,794 65,176,002 0.5% SK Holdings Co., Ltd............ 349,657 46,548,698 0.3% Other Securities................ 978,264,186 7.0% --------------- ---- TOTAL SOUTH KOREA.................. 2,038,064,371 14.6% --------------- ---- TAIWAN -- (11.4%) First Financial Holding Co., Ltd........................... 72,788,356 48,316,420 0.4% Fubon Financial Holding Co., Ltd........................... 48,047,063 56,332,130 0.4% #Mega Financial Holding Co., Ltd. 95,728,765 73,586,438 0.5% #United Microelectronics Corp.... 166,249,681 72,995,607 0.5% Other Securities................ 1,448,397,285 10.3% --------------- ---- TOTAL TAIWAN....................... 1,699,627,880 12.1% --------------- ---- THAILAND -- (2.2%) Other Securities................ 326,723,327 2.3% --------------- ---- TURKEY -- (1.8%) Other Securities................ 258,818,491 1.8% --------------- ---- TOTAL COMMON STOCKS................ 13,161,482,054 94.0% --------------- ---- 290 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ --------------- --------------- PREFERRED STOCKS -- (4.9%) BRAZIL -- (4.9%) #Gerdau SA Sponsored ADR............. 6,582,102 $ 59,370,560 0.4% #Petroleo Brasileiro SA ADR.......... 14,314,698 362,018,712 2.6% Usinas Siderurgicas de Minas Gerais SA Perferred Series A...... 8,735,599 61,108,742 0.4% Other Securities.................... 249,018,808 1.8% --------------- ----- TOTAL BRAZIL........................... 731,516,822 5.2% --------------- ----- INDIA -- (0.0%) Other Securities.................... 124,022 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities.................... 823,203 0.0% --------------- ----- TOTAL PREFERRED STOCKS................. 732,464,047 5.2% --------------- ----- RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) Other Securities.................... -- 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities.................... 167 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities.................... 1,665,450 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities.................... 14,739 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................. 1,680,356 0.0% --------------- ----- SHARES/ FACE AMOUNT (000) VALUE+ ------------ --------------- SECURITIES LENDING COLLATERAL -- (6.6%) (S)@DFA Short Term Investment Fund..... 975,164,009 975,164,009 7.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $615,910) to be repurchased at $603,835....................... $ 604 603,833 0.0% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL........................... 975,767,842 7.0% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $14,542,174,907)............... $14,871,394,299 106.2% =============== =====
291 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of inputs used to value the Fund's investments as of October 31, 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.............. $1,132,388,490 -- -- $ 1,132,388,490 Chile............... 269,584,664 -- -- 269,584,664 China............... 259,284,178 $ 1,766,961,597 -- 2,026,245,775 Czech Republic...... -- 47,098,177 -- 47,098,177 Hungary............. -- 73,482,477 -- 73,482,477 India............... 170,449,761 1,127,361,852 -- 1,297,811,613 Indonesia........... 360,979 496,591,264 -- 496,952,243 Israel.............. 29,523 1,584,583 -- 1,614,106 Malaysia............ 6,339,852 465,265,266 -- 471,605,118 Mexico.............. 697,363,905 632,541 -- 697,996,446 Philippines......... -- 128,360,276 -- 128,360,276 Poland.............. -- 237,347,933 -- 237,347,933 Russia.............. 90,326 777,712,974 -- 777,803,300 South Africa........ 256,013,737 923,943,630 -- 1,179,957,367 South Korea......... 370,900,652 1,667,163,719 -- 2,038,064,371 Taiwan.............. 33,736,378 1,665,891,502 -- 1,699,627,880 Thailand............ 326,723,327 -- -- 326,723,327 Turkey.............. -- 258,818,491 -- 258,818,491 Preferred Stocks Brazil.............. 731,516,822 -- -- 731,516,822 India............... -- 124,022 -- 124,022 Malaysia............ 82,073 741,130 -- 823,203 Rights/Warrants China............... -- -- -- -- Malaysia............ 167 -- -- 167 South Korea......... -- 1,665,450 -- 1,665,450 Thailand............ 14,739 -- -- 14,739 Securities Lending Collateral........... -- 975,767,842 -- 975,767,842 -------------- --------------- -- --------------- TOTAL.................. $4,254,879,573 $10,616,514,726 -- $14,871,394,299 ============== =============== == =============== See accompanying Notes to Financial Statements. 292 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS) ASSETS: Investments at Value (including $1,084,631 of securities on loan)*. $13,895,627 Collateral Received from Securities on Loan at Value & Cost........ 604 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................. 975,164 Foreign Currencies at Value........................................ 23,423 Cash............................................................... 75,404 Receivables: Investment Securities Sold...................................... 7,107 Dividends, Interest and Tax Reclaims............................ 8,268 Fund Shares Sold................................................ 44,423 Securities Lending Income....................................... 1,206 ----------- Total Assets................................................ 15,031,226 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned................................ 975,768 Investment Securities Purchased................................. 46,500 Fund Shares Redeemed............................................ 2,165 Due to Advisor.................................................. 1,081 Unrealized Loss on Foreign Currency Contracts...................... 66 Accrued Expenses and Other Liabilities............................. 2,067 ----------- Total Liabilities........................................... 1,027,647 ----------- NET ASSETS......................................................... $14,003,579 =========== Investments at Cost................................................ $13,566,407 =========== Foreign Currencies at Cost......................................... $ 23,378 =========== -------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 293 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2011 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $41,813)......... $ 337,342 Interest..................................................... 118 Income from Securities Lending............................... 11,381 ----------- Total Investment Income............................... 348,841 ----------- EXPENSES Investment Advisory Services Fees............................ 14,009 Accounting & Transfer Agent Fees............................. 1,329 Custodian Fees............................................... 11,494 Shareholders' Reports........................................ 73 Directors'/Trustees' Fees & Expenses......................... 116 Professional Fees............................................ 753 Other........................................................ 263 ----------- Total Expenses........................................ 28,037 ----------- Fees Paid Indirectly......................................... (13) ----------- Net Expenses................................................. 28,024 ----------- NET INVESTMENT INCOME (LOSS)................................. 320,817 ----------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold............................... 201,891 Foreign Currency Transactions............................ (3,672)** Change in Unrealized Appreciation (Depreciation) of:......... Investment Securities and Foreign Currency............... (2,901,288) Translation of Foreign Currency Denominated Amounts...... (7) Change in Deferred Thailand Capital Gains Tax................ 16,303 ----------- NET REALIZED AND UNREALIZED GAIN (LOSS)...................... (2,686,773) ----------- Net Increase (Decrease) in Net Assets Resulting from Operations. $(2,365,956) =========== -------- ** Net of foreign capital gain taxes withheld of $1,707. See accompanying Notes to Financial Statements. 294 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2011 2010 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................. $ 320,817 $ 171,366 Net Realized Gain (Loss) on: Investment Securities Sold................ 201,891 591,224 Foreign Currency Transactions............. (3,672)** (3,254)** Change in Unrealized Appreciation (Depreciation) of:.......................... Investment Securities and Foreign Currency................................ (2,901,288) 1,841,702 Translation of Foreign Currency Denominated Amounts..................... (7) (154) Change in Deferred Thailand Capital Gains Tax................................... 16,303 (10,266) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........................... (2,365,956) 2,590,618 ----------- ----------- Transactions in Interest: Contributions................................. 5,059,674 2,372,583 Withdrawals................................... (608,094) (1,010,371) ----------- ----------- Net Increase (Decrease) from Transactions in Interest............. 4,451,580 1,362,212 ----------- ----------- Total Increase (Decrease) in Net Assets........................... 2,085,624 3,952,830 NET ASSETS Beginning of Period........................... 11,917,955 7,965,125 ----------- ----------- End of Period................................. $14,003,579 $11,917,955 =========== =========== -------- ** Net of foreign capital gain taxes withheld of $1,707 and $1,806, respectively. See accompanying Notes to Financial Statements. 295 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR YEAR PERIOD YEAR ENDED ENDED ENDED DEC. 1, 2007 YEAR ENDED ENDED OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30, 2011 2010 2009 OCT. 31, 2008 2007 2006 ----------- ----------- ---------- ------------- ---------- ---------- Total Return.................................. (14.47)% 30.55% 79.39% (55.47)%(C) 51.59% 42.14% ----------- ----------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $14,003,579 $11,917,955 $7,965,125 $4,048,404 $8,188,710 $4,837,912 Ratio of Expenses to Average Net Assets....... 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22% Ratio of Net Investment Income to Average Net Assets...................................... 2.29% 1.81% 2.17% 3.19%(B) 2.50% 2.57% Portfolio Turnover Rate....................... 5% 15% 20% 14%(C) 14% 9%
-------- 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. 296 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under 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. 297 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. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Fund's investments by each major security type, industry and/or country is disclosed 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 year ended October 31, 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 Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: 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; 298 DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At October 31, 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 $205 (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 October 31, 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 is subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. INVESTMENT ADVISOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Fund. For the year ended October 31, 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. EARNED INCOME CREDIT: In addition, the Fund has entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund's custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2011, expenses reduced were as follows (amount in thousands): 299 FEES PAID INDIRECTLY ---------- Dimensional Emerging Markets Value Fund...... $13 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2011, the total related amounts paid by the Fund to the CCO were $24 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. D. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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.................................... $5,467,684 Sales........................................ 754,501 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. At October 31, 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) -------- ------------ -------------- -------------- $14,574,908 $2,389,582 $(2,093,095) $296,487 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and on investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the 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 more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve 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 300 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 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 with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. 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. 301 Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. 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. 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 October 31, 2011, the Fund had no outstanding futures contracts. G. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 22, 2012. There were no borrowings by the Fund under this line of credit during the year ended October 31, 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. The Fund, together with other Dimensional-advised portfolios, expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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 ------------- ------------ ------------ -------- --------------- 0.91% $32,673 41 $34 $124,315 * Number of Days Outstanding represents the total of single or consecutive days during the year 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 October 31, 2011. H. SECURITIES LENDING: As of October 31, 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 consisting of short and/or long term U.S. Treasury securities with a market value of $204,631 (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 302 value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Fund's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. Subject to its stated investment policy, the Fund will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Fund also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. I. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. J. RECENTLY ISSUED ACCOUNTING STANDARDS: In 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 303 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. 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. 304 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF DIMENSIONAL EMERGING MARKETS VALUE FUND: In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statement of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the "Fund") at October 31, 2011, the results of its operations for the year then ended, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodian, broker and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2011 305 FUND MANAGEMENT (UNAUDITED) TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has four standing committees, an Audit Committee, a Nominating Committee, a Portfolio Performance and Service Review Committee (the "Performance Committee") and an Independent Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also acts as a liaison between the Fund's independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2011. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. There was one Nominating Committee meeting held for each Fund during the fiscal year ended October 31, 2011. Each Board's Performance Committee is comprised of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S. Scholes. Each member of the Performance Committee is a disinterested Trustee/Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were six Performance Committee meetings held during the fiscal year ended October 31, 2011. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2011. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at www.dimensional.com. 306
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5 WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN COMPANIES HELD --------------- -------------------- --------------------- --------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS -------------------------------- George M. Constantinides DFAITC - since 1993 94 portfolios in 4 Leo Melamed Professor of Finance, The Director of DFAIDG and DIG. DFAIDG - since 1983 investment companies University of Chicago Booth School of Trustee of DFAITC and DEM. DIG - since 1993 Business. The University of Chicago DEM - since 1993 Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 64 John P. Gould DFAITC - since 1993 94 portfolios in 4 Steven G. Rothmeier Distinguished Director of DFAIDG and DIG. DFAIDG - since 1986 investment companies Service Professor of Economics, The Trustee of DFAITC and DEM. DIG - since 1993 University of Chicago Booth School of The University of Chicago DEM - since 1993 Business (since 1965). Member and Booth School of Business Chair, Competitive Markets Advisory 5807 S. Woodlawn Avenue Committee, Chicago Mercantile Exchange Chicago, IL 60637 (futures trading exchange) (since Age: 72 2004). Formerly, Director of UNext, Inc. (1999-2006). Trustee, Harbor Fund (registered investment company) (30 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Mutal Insurance Company (1997-2010). Roger G. Ibbotson DFAITC - since 1993 94 portfolios in 4 Professor in Practice of Finance, Yale Director of DFAIDG and DIG. DFAIDG - since 1981 investment companies School of Management (since 1984). Trustee of DFAITC and DEM. DIG - since 1993 Chairman, CIO and Partner, Zebra Yale School of Management DEM - since 1993 Capital Management, LLC (hedge fund 135 Prospect Street manager) (since 2001). Consultant to New Haven, CT Morningstar, Inc. (since 2006). 06520-8200 Formerly, Chairman, Ibbotson Age: 68 Associates, Inc., Chicago, IL (software data publishing and consulting) (1977-2006). Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010).
307
NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD --------------- -------------------- --------------------- ----------------------------------------------- Edward P. Lazear DFAITC - since 2010 94 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. DFAIDG - since 2010 investment companies Institution (since 2002). Jack Steele Parker Trustee of DFAITC and DEM. DIG - since 2010 Professor of Human Resources Management Stanford University DEM - since 2010 and Economics, Graduate School of Graduate School of Business Business, Stanford University (since 1995). 518 Memorial Way Cornerstone Research (expert testimony and Stanford, CA 94305-5015 economic and financial analysis) (since Age: 63 2009). Formerly, Chairman of the President George W. Bush's Council of Economic Advisers (2006-2009). Formerly, Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). Myron S. Scholes DFAITC - since 1993 94 portfolios in 4 Frank E. Buck Professor Emeritus of Director of DFAIDG and DIG. DFAIDG - since 1981 investment companies Finance, Stanford University (since 1981). Trustee of DFAITC and DEM. DIG - since 1993 Formerly, Chairman, Platinum Grove Asset c/o Dimensional Fund DEM - since 1993 Management, L.P. (hedge fund) (formerly, Advisors, L.P. Oak Hill Platinum Partners) (1999-2009). 6300 Bee Cave Road Formerly, Managing Partner, Oak Hill Building 1 Capital Management (private equity firm) Austin, TX 78746 (until 2004). Director, American Century Age: 70 Fund Complex (registered investment companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Abbie J. Smith DFAITC - since 2000 94 portfolios in 4 Boris and Irene Stern Distinguished Service Director of DFAIDG and DIG. DFAIDG - since 2000 investment companies Professor of Accounting, The University of Trustee of DFAITC and DEM. DIG - since 2000 Chicago Booth School of Business (since The University of Chicago DEM - since 2000 1980). Co-Director Investment Research, Booth School of Business Fundamental Investment Advisors (hedge 5807 S. Woodlawn fund) (since 2008). Director, HNI Avenue Corporation (formerly known as HON Chicago, IL 60637 Industries Inc.) (office furniture) (since Age: 58 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (3 investment companies within the fund complex) (52 portfolios) (since 2009).
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NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD --------------- -------------------- --------------------- ----------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* David G. Booth DFAITC - since 1993 94 portfolios in 4 Chairman, Director/Trustee, President, Chairman, Director, DFAIDG - since 1981 investment companies and Co-Chief Executive Officer (since Co-Chief Executive Officer DIG - since 1992 January 2010) of Dimensional Holdings and President of DFAIDG DEM - since 1993 Inc., Dimensional Fund Advisors LP, DFA and DIG. Chairman, Securities LLC, Dimensional Emerging Trustee, Co-Chief Markets Value Fund, DFAIDG, Dimensional Executive Officer and Investment Group Inc. and The DFA President of DFAITC and Investment Trust Company. Director of DEM. Dimensional Fund Advisors Ltd., 6300 Bee Cave Road, Dimensional Funds PLC, Dimensional Building One Funds II PLC, DFA Australia Limited and Austin, Texas 78746 Dimensional Cayman Commodity Fund I Age: 64 Ltd. Chairman and President of Dimensional SmartNest LLC and Dimensional SmartNest (US) LLC. Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). Eduardo A. Repetto DFAITC - since 2009 94 portfolios in 4 Co-Chief Executive Officer (since Director, Co-Chief DFAIDG - since 2009 investment companies January 2010), Chief Investment Officer Executive Officer and DIG - since 2009 (since March 2007) and Director/Trustee Chief Investment Officer of DEM - since 2009 of Dimensional Holdings Inc., DFAIDG and DIG. Dimensional Fund Advisors LP, DFA Trustee, Co-Chief Securities LLC, Dimensional Emerging Executive Officer and Markets Value Fund, DFAIDG, Dimensional Chief Investment Officer of Investment Group Inc., The DFA DFAITC and DEM. Investment Trust Company and 6300 Bee Cave Road, Dimensional Cayman Commodity Fund I Building One Ltd. Co-Chief Executive Officer, Austin, TX 78746 President and Chief Investment Officer Age: 44 of Dimensional Fund Advisors Canada ULC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC and Dimensional Funds II PLC. Co-Chief Executive Officer of Dimensional SmartNest LLC and Dimensional SmartNest (US) LLC. Formerly, Vice President of Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 309 OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- ------------------------------------------- OFFICERS April A. Aandal Since 2008 Vice President, Global Business Vice President, Global Business Development of all the DFA Entities. Development Chief Learning Officer of Dimensional Age: 48 (September 2008-October 2011). Formerly, Regional Director of Dimensional (2004-2008). Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President Age: 45 Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Formerly, Vice President of DFA Age: 55 Australia Limited and Dimensional Fund Advisors Ltd. John T. Blood Since 2011 Vice President of all the DFA Entities. Vice President Regional Director for Dimensional Age: 42 (2010). Formerly, Chief Market Strategist at Commonwealth Financial (2007-2010); Director of Research at Commonwealth Financial (2000-2007). Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President Regional Director of Dimensional (since Age: 42 November 1997). Valerie A. Brown Since 2001 Vice President and Assistant Secretary Vice President and Assistant of all the DFA Entities, DFA Australia Secretary Limited, Dimensional Fund Advisors Age: 44 Ltd., Dimensional Fund Advisors Canada ULC (since 2003) and Dimensional Cayman Commodity Fund I Ltd. David P. Butler Since 2007 Vice President of all the DFA Entities. Vice President Head of Global Financial Services of Age: 47 Dimensional (since 2008). Formerly, Regional Director of Dimensional (January 1995 to January 2005). James G. Charles Since 2011 Vice President of all the DFA Entities. Vice President Regional Director for Dimensional Age: 55 (2008-2010). Formerly, Vice President, Client Portfolio Manager at American Century Investments (2001-2008). Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 45 (since October 2005). Stephen A. Clark Since 2004 Vice President of all the DFA Entities, Vice President DFA Australia Limited and Dimensional Age: 39 Fund Advisors Canada ULC. Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Vice President Regional Director of Financial Services Age: 62 Group of Dimensional (since August 1993). George H. Crane Since 2010 Vice President of all the DFA Entities. Vice President Formerly, Senior Vice President and Age: 56 Managing Director at State Street Bank & Trust Company (2007-2008). Managing Director, Head of Investment Administration and Operations at State Street Research & Management Company (2002-2005). Christopher S. Crossan Since 2004 Vice President and Global Chief Vice President and Global Chief Compliance Officer of all the DFA Compliance Officer Entities, DFA Australia Limited, Age: 45 Dimensional Fund Advisors Ltd., Dimensional SmartNest LLC and Dimensional SmartNest (US) LLC. Chief Compliance Officer of Dimensional Fund Advisors Canada ULC.
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- ------------------------------------------- James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President Formerly, Vice President of DFA Age: 54 Australia Limited and Dimensional Fund Advisors Ltd. Robert T. Deere Since 1994 Vice President of all the DFA Entities, Vice President DFA Australia Limited and Dimensional Age: 54 Fund Advisors Canada ULC. Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Vice President Research Associate for Dimensional Age: 39 (since August 2008). Formerly, Research Assistant for Dimensional (April 2006-August 2008). Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Vice President and Chief Chief Communications Officer of Communications Officer Dimensional (since 2010). Age: 41 Richard A. Eustice Since 1998 Vice President and Assistant Secretary Vice President and Assistant of all the DFA Entities and DFA Secretary Australia Limited. Chief Operating Age: 46 Officer of Dimensional Fund Advisors Ltd. (since July 2008). Formerly, Vice President of Dimensional Fund Advisors Ltd. Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President Age: 40 Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 37 (since September 2004). Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Vice President Senior Technology Manager for Age: 40 Dimensional (since June 2006). Formerly, Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998-June 2006). Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Vice President Regional Director of Dimensional. Age: 44 Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President Formerly, Vice President of DFA Age: 44 Australia Limited. John T. Gray Since 2007 Vice President of all the DFA Entities. Vice President Formerly, Regional Director of Age: 37 Dimensional (January 2005 to February 2007). Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Vice President Regional Director of Dimensional (since Age: 43 June 1998). Julie C. Henderson Since 2005 Vice President and Fund Controller of Vice President and Fund Controller all the DFA Entities and Dimensional Age: 37 Cayman Commodity Fund I Ltd. Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President Age: 43 Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President Age: 43 Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Vice President Formerly, Managing Director, Co-Head Age: 51 Global Consultant Relations at BlackRock (2004-2011). Jeff J. Jeon Since 2004 Vice President of all the DFA Entities Vice President and Dimensional Cayman Commodity Fund I Age: 37 Ltd.
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- --------------------- ------------------------------------------- Patrick M. Keating Since 2003 Vice President of all the DFA Entities Vice President and Chief Operating and Dimensional Cayman Commodity Fund I Officer Ltd. and Chief Operating Officer of Age: 56 Dimensional and Dimensional Cayman Commodity Fund I Ltd. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited. David M. Kershner Since 2010 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 40 (since June 2004). Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Vice President Head of Defined Contribution Sales for Age: 40 Dimensional (since August 2010). Formerly, Chief DC Strategist, Barclays Global Investors (2005-2009). Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Vice President Age: 39 Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Vice President Regional Director for Dimensional Age: 42 (2007-2010). Michael F. Lane Since 2004 Vice President of all the DFA Entities. Vice President Age: 44 Juliet Lee Since 2005 Vice President of all the DFA Entities. Vice President Age: 40 Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Vice President Research Associate for Dimensional Age: 30 (July 2008-2010). Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Vice President Regional Director for Dimensional Age: 42 (since February 2004). Kenneth M. Manell Since 2010 Vice President of all the DFA Entities Vice President and Dimensional Cayman Commodity Fund I Age: 38 Ltd. Counsel for Dimensional (since September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). Aaron M. Marcus Since 2008 Vice President and Head of Global Human Vice President & Head of Global Resources of Dimensional. Formerly, Human Resources Global Head of Recruiting and Vice Age: 41 President of Goldman Sachs & Co. (June 2006 to January 2008), and Global Co-Head of HR of the Equities & FICC Division, and Vice President of Goldman Sachs & Co. (May 2005 to May 2006). David R. Martin Since 2007 Vice President, Chief Financial Officer Vice President, Chief Financial and Treasurer of all the DFA Entities. Officer and Treasurer Director, Vice President, Chief Age: 54 Financial Officer and Treasurer of Dimensional Fund Advisors Ltd. and DFA Australia Limited. Chief Financial Officer, Treasurer, and Vice President of Dimensional Fund Advisors Canada ULC, Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and Dimensional Cayman Commidity Fund I Ltd. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Formerly, Executive Vice President and Chief Financial Officer of Janus Capital Group Inc. (June 2005 to March 2007). Catherine L. Newell Vice President since Vice President and Secretary of all the Vice President and Secretary 1997 and Secretary DFA Entities. Director, Vice President Age: 47 since 2000 and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and Dimensional Cayman Commodity Fund I Ltd. Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Formerly, Assistant Secretary of all DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd.
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- ------------------------------------------- Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Vice President Services Manager for Dimensional (since Age: 36 January 2008). Formerly, Design Manager of Dimensional (2005-2008). Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 47 (2008-2010). Formerly, Vice President and Portfolio Manager at USAA Investment Management Company (2001-2006). Carolyn L. O Since 2010 Vice President of all the DFA Entities Vice President and Dimensional Cayman Commodity Fund I Age: 37 Ltd. Deputy General Counsel, Funds (since 2011). Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates LLP (January 2004-September 2007). Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Vice President Formerly, Research Associate of Age: 34 Dimensional (2004 to 2006). Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 37 (since July 2005). Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Vice President Senior Compliance Officer for Age: 33 Dimensional (since January 2008). Formerly, Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. David A. Plecha Since 1993 Vice President of all the DFA Entities, Vice President DFA Australia Limited, Dimensional Fund Age: 50 Advisors Ltd. and Dimensional Fund Advisors Canada ULC. Allen Pu Since 2011 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional (July Age: 40 2006-2010). Stephen A. Quance Since 2011 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 37 (October 2006-2010). Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Vice President Formerly, Research Associate of Age: 38 Dimensional (2006-2008). Systems Developer of Dimensional (2001-2006). L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President Age: 40 Julie A. Saft Since 2010 Vice President of all the DFA Entities. Vice President Client Systems Manager for Dimensional Age: 52 (since July 2008). Formerly, Senior Manager at Vanguard (November 1997-July 2008). David E. Schneider Since 2001 Vice President of all the DFA Entities Vice President and Dimensional Fund Advisors Canada Age: 65 ULC. Head of Institutional Services of Dimensional. Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Vice President Regional Director for Dimensional Age: 49 (since March 2006). Formerly, Senior Director at Moody's KMV (1999-March 2006). Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Vice President Investment Operations Manager for Age: 46 Dimensional (since May 2007). Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007). Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Vice President Regional Director of Dimensional (since Age: 43 December 2002). Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Vice President Formerly, Regional Director of Age: 36 Dimensional (December 1999 to January 2007).
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- ------------------------------------------- Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Vice President Project Manager for Dimensional Age: 43 (2007-2010). Formerly, Business Analyst Manager, National Instruments (2003-2007). Grady M. Smith Since 2004 Vice President of all the DFA Entities Vice President and Dimensional Fund Advisors Canada Age: 55 ULC. Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President Formerly, Vice President of DFA Age: 48 Australia Limited. Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President Age: 63 Bradley G. Steiman Since 2004 Vice President of all the DFA Entities Vice President and Director and Vice President of Age: 38 Dimensional Fund Advisors Canada ULC. Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Vice President Senior Manager, Technology for Age: 53 Dimensional (since March 2007). Formerly, Director of Technology at AMVESCAP (2002-2007). Karen E. Umland Since 1997 Vice President of all the DFA Entities, Vice President DFA Australia Limited, Dimensional Fund Age: 45 Advisors Ltd., and Dimensional Fund Advisors Canada ULC. Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Vice President Portfolio Manager for Dimensional Age: 41 (since 2004). Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President Formerly, Vice President of DFA Age: 60 Australia Limited. Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Vice President Senior Trader of Dimensional. Formerly, Age: 35 Portfolio Manager (2006 to 2007) and Trader (2001 to 2006) for Dimensional. Paul E. Wise Since 2005 Vice President of all the DFA Entities. Vice President Chief Technology Officer for Age: 56 Dimensional (since 2004). John S. Wotowicz Since 2010 Vice President of all the DFA Entities. Vice President Formerly, Managing Director at Morgan Age: 47 Stanley (1999-2007). Joseph L. Young Since 2011 Vice President of all the DFA Entities. Vice President Regional Director for Dimensional Age: 33 (2005-2010).
/1/ Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. 314 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. 315 NOTICE TO SHAREHOLDERS (UNAUDITED) For shareholders that do not have an October 31, 2011 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2011 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2010 to October 31, 2011, each Portfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolio to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
NET INVESTMENT SHORT-TERM LONG-TERM RETURN INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- Enhanced U.S. Large Company Portfolio........ 100% -- -- -- -- 100% U.S. Large Cap Value Portfolio............... 100% -- -- -- -- 100% U.S. Targeted Value Portfolio................ 76% -- 24% -- -- 100% U.S. Small Cap Value Portfolio............... 80% -- 20% -- -- 100% U.S. Core Equity 1 Portfolio................. 100% -- -- -- -- 100% U.S. Core Equity 2 Portfolio................. 100% -- -- -- -- 100% U.S. Vector Equity Portfolio................. 100% -- -- -- -- 100% U. S Small Cap Portfolio..................... 92% -- 8% -- -- 100% U.S. Micro Cap Portfolio..................... 100% -- -- -- -- 100% DFA Real Estate Securities Portfolio......... 100% -- -- -- -- 100% Large Cap International Portfolio............ 100% -- -- -- -- 100% International Core Equity Portfolio.......... 100% -- -- -- -- 100% International Small Company Portfolio........ 97% -- 3% -- -- 100% Japanese Small Company Portfolio............. 100% -- -- -- -- 100% Asia Pacific Small Company Portfolio......... 100% -- -- -- -- 100% United Kingdom Small Company Portfolio....... 100% -- -- -- -- 100% Continental Small Company Portfolio.......... 100% -- -- -- -- 100% DFA International Real Estate Securities Portfolio.................................. 100% -- -- -- -- 100% DFA Global Real Estate Securities Portfolio.. 100% -- -- -- -- 100% DFA International Small Cap Value Portfolio.. 57% -- 43% -- -- 100% International Vector Equity Portfolio........ 82% -- 18% -- -- 100% World ex U.S. Value Portfolio................ 83% 1% 16% -- -- 100% Emerging Markets Portfolio................... 24% -- 76% -- -- 100% Emerging Markets Small Cap Portfolio......... 38% -- 62% -- -- 100% Emerging Markets Value Portfolio............. 29% 9% 62% -- -- 100% Emerging Markets Core Equity Portfolio....... 100% -- -- -- -- 100% DFA Commodity Strategy Portfolio............. 99% 1% -- -- -- 100% DIMENSIONAL INVESTMENT GROUP INC. DFA International Value Portfolio............ 100% -- -- -- -- 100% U.S. Large Company Portfolio................. 100% -- -- -- -- 100%
QUALIFYING FOR CORPORATE DIVIDENDS QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING QUALIFYING RECEIVED DIVIDEND GOVERNMENT TAX SOURCE INTEREST SHORT-TERM DFA INVESTMENT DIMENSIONS GROUP INC. DEDUCTION(1) INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) CAPITAL GAIN(7) ------------------------------------ ------------- ---------- ----------- --------- --------- ---------- --------------- Enhanced U.S. Large Company Portfolio........ -- -- 1% -- -- 100% 100% U.S. Large Cap Value Portfolio............... 100% 100% -- -- -- 100% 100% U.S. Targeted Value Portfolio................ 100% 100% -- -- -- 100% 100% U.S. Small Cap Value Portfolio............... 100% 100% -- -- -- 100% 100% U.S. Core Equity 1 Portfolio................. 100% 100% -- -- -- 100% 100% U.S. Core Equity 2 Portfolio................. 100% 100% -- -- -- 100% 100% U.S. Vector Equity Portfolio................. 100% 100% -- -- -- 100% 100% U. S Small Cap Portfolio..................... 100% 100% -- -- -- 100% 100% U.S. Micro Cap Portfolio..................... 100% 100% -- -- -- 100% 100% DFA Real Estate Securities Portfolio......... 100% 100% -- -- -- 100% 100% Large Cap International Portfolio............ 100% 100% -- 4% 95% 100% 100% International Core Equity Portfolio.......... 100% 100% -- 3% 95% 100% 100% International Small Company Portfolio........ 100% 100% -- 3% 93% 100% 100% Japanese Small Company Portfolio............. 100% 100% -- 7% 93% 100% 100% Asia Pacific Small Company Portfolio......... 100% 100% -- 1% 93% 100% 100% United Kingdom Small Company Portfolio....... 100% 100% -- -- 100% 100% 100% Continental Small Company Portfolio.......... 100% 100% -- 5% 89% 100% 100% DFA International Real Estate Securities Portfolio.................................. 100% 100% -- 2% 97% 100% 100% DFA Global Real Estate Securities Portfolio.. 100% 100% -- -- -- 100% 100% DFA International Small Cap Value Portfolio.. 100% 100% -- 3% 89% 100% 100% International Vector Equity Portfolio........ 100% 100% -- 3% 93% 100% 100% World ex U.S. Value Portfolio................ 100% 100% -- 2% 91% 100% 100% Emerging Markets Portfolio................... 100% 100% -- 5% 98% 100% 100% Emerging Markets Small Cap Portfolio......... 100% 100% -- 4% 96% 100% 100% Emerging Markets Value Portfolio............. 100% 100% -- 5% 98% 100% 100% Emerging Markets Core Equity Portfolio....... 100% 100% -- 5% 99% 100% 100% DFA Commodity Strategy Portfolio............. -- -- -- -- -- 100% 100% DIMENSIONAL INVESTMENT GROUP INC. DFA International Value Portfolio............ 100% 100% -- 2% 95% 100% 100% U.S. Large Company Portfolio................. 100% 100% -- -- -- 100% 100%
-------- (1)Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). (2)The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. (3)"U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. (4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income. (5)"Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (6)The percentage in this column represents the amount of "Qualifying Interest Income" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). (7)The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 316 [logo] Recycled Recyclable DFA103111-001A ITEM 2. CODE OF ETHICS. The Registrant has adopted, as of the end of the period covered by this Form N-CSR (the "Report"), a code of ethics that applies to the Registrant's principal executive officer and principal financial officer (the "Code of Business Ethics"). The Registrant has not made any substantive amendments to the Code of Business Ethics during the period covered by this Report. The Registrant also has not granted any waiver from any provisions of the Code of Business Ethics during the period covered by this Report. A copy of the Code of Business Ethics is filed as an exhibit to this Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an "audit committee financial expert" serving on the Registrant's Audit Committee and has designated Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith's education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant's financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees Fiscal Year Ended October 31, 2011: $24,346 Fiscal Year Ended October 31, 2010: $23,082 (b) Audit-Related Fees Fees for Registrant Fiscal Year Ended October 31, 2011: $1,257 Fiscal Year Ended October 31, 2010: $1,301 For fiscal years ended October 31, 2011 and October 31, 2010, Audited-Related Fees included fees for services related to limited procedures performed in connection with the production of the Registrant's semi-annual financial statements. Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X Fiscal Year Ended October 31, 2011: $160,000 Fiscal Year Ended October 31, 2010: $159,000 For the fiscal years ended October 31, 2011 and October 31, 2010, Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services rendered in connection with the issuance of a Type II SAS 70 over controls at the Registrant's investment adviser. (c) Tax Fees Fees for Registrant Fiscal Year Ended October 31, 2011: $20,517 Fiscal Year Ended October 31, 2010: $17,216 Tax Fees included, for the fiscal years ended October 31, 2011 and October 31, 2010, fees for tax services in connection with the Registrant's excise tax calculations, limited review of the Registrant's applicable tax returns and capital gains tax services in India. There were no Tax Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (d) All Other Fees Fees for Registrant Fiscal Year Ended October 31, 2011: $0 Fiscal Year Ended October 31, 2010: $0 There were no "All Other Fees" required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (e)(1) Audit Committee's Pre-Approval Policies and Procedures Pre-Approval Policies and Procedures as adopted by the Audit Committees of DFA Investment Dimensions Group Inc. Dimensional Emerging Markets Value Fund Dimensional Investment Group Inc. The DFA Investment Trust Company (together, the "Funds") The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules") adopted by the U.S. Securities and Exchange Commission (the "SEC") require that the Funds' Audit Committees (together, the "Committee") pre-approve all audit services and non-audit services provided to the Funds by their independent registered public accounting firm (the "Auditor"). The Act and the Rules also require that the Committee pre-approve all non-audit services provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the Funds' investment advisor, and to affiliates of Dimensional that provide ongoing services to the Funds (with Dimensional, together the "Service Affiliates") if the services directly impact the Funds' operations and financial reporting. The following policies and procedures govern the ways in which the Committee will pre-approve audit and various types of non-audit services that the Auditor provides to the Funds and to Service Affiliates. These policies and procedures do not apply in the case of audit services that the Auditor provides to Service Affiliates, nor do they apply to services that an audit firm other than the Auditor provides to such entities. These policies and procedures comply with the requirements for pre-approval, but also provide mechanisms by which management of the Funds may request and secure pre-approval of audit and non-audit services in an orderly manner with minimal disruption to normal business operations. Pre-approval of non-audit services may be achieved through a combination of the procedures described in Sections C and D below. A. General 1. The Committee must pre-approve all audit services and non-audit services that the Auditor provides to the Funds. 2. The Committee must pre-approve any engagement of the Auditor to provide non-audit services to any Service Affiliate during the period of the Auditor's engagement to provide audit services to the Funds, if the non- audit services to the Service Affiliate directly impact the Funds' operations and financial reporting. B. Pre-Approval of Audit Services to the Funds 1. The Committee shall approve the engagement of an independent registered public accounting firm to certify the Funds' financial statements for each fiscal year (the "Engagement"). The approval of the Engagement shall not be delegated to a Designated Member (as that term is defined in Section D below). In approving the Engagement, the Committee shall obtain, review and consider sufficient information concerning the proposed Auditor to enable the Committee to make a reasonable evaluation of the Auditor's qualifications and independence. The Committee also shall consider the Auditor's proposed fees for the Engagement, in light of the scope and nature of the audit services that the Funds will receive. 2. The Committee shall report to the Boards of Directors/Trustees of the Funds (together, the "Board") regarding its approval of the Engagement and of the proposed fees for the Engagement, and the basis for such approval. 3. Unless otherwise in accordance with applicable law, the Engagement, in any event, shall require that the Auditor be selected by the vote, cast in person, of a majority of the members of the Board who are not "interested persons" of the Funds (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940) (the "Independent Directors"). C. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--by Types of Services 1. The Committee may pre-approve types of non-audit services (including tax services) to the Funds and their Service Affiliates pursuant to this Section C. 2. Annually, at such time as the Committee considers the Engagement of the Auditor, management of the Funds, in consultation with the Auditor, shall provide to the Committee, for its consideration and action, the following: (a) a list of those types of non-audit services, if any, that the Funds may request from the Auditor during the fiscal year; and (b) a list of those types of non-audit services directly impacting the Funds' operations and financial reporting that Service Affiliates may request from the Auditor during the fiscal year. 3. The lists submitted to the Committee shall describe the types of non-audit services in reasonable detail (which may include a range of tax services) and shall include an estimated budget (or budgeted range) of fees, where possible, and such other information as the Committee may request. If management and the Auditor desire the Committee to preapprove the furnishing of a range of tax services, the Auditor shall provide an estimated range of fees for such tax services for the consideration and approval by the Committee. 4. The Committee's pre-approval of the types of non-audit services submitted pursuant to this Section C shall constitute authorization for management of the Funds to utilize the Auditor for the types of non-audit services so pre-approved, if needed or desired during the fiscal year. 5. A list of the types of non-audit services pre-approved by the Committee pursuant to this Section C will be distributed to management of the Service Affiliates and the appropriate partners of the Auditor. Periodically, the Auditor will discuss with the Committee those non-audit services that have been or are being provided pursuant to this Section C. D. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--Project-by-Project Basis 1. The Committee also may pre-approve non-audit services on a project-by-project basis pursuant to this Section D. 2. Management of the Funds, in consultation with the Auditor, may submit either to the Committee or to the Designated Member, as provided in this Section D, for their consideration and action, a pre-approval request identifying one or more non-audit service projects. The request so submitted shall describe the project(s) in reasonable detail and shall include an estimated budget (or budgeted range) of fees and such other information as the Committee or the Designated Member, as appropriate, shall request. 3. The Committee, from time to time, shall designate one or more of its members who are Independent Directors (each a "Designated Member") to consider, on the Committee's behalf, any non-audit services, whether to the Funds or to any Service Affiliate, that have not been pre-approved by the Committee. The Designated Member also shall review, on the Committee's behalf, any proposed material change in the nature or extent of any non-audit services previously approved. The Funds' management, in consultation with the Auditor, shall explain why such non-audit services or material change in non-audit services are necessary and appropriate and the anticipated costs thereof. 4. The Designated Member will review the requested non-audit services or proposed material change in such services and will either: (a) pre-approve, pre-approve subject to conditions, or disapprove any such requested services, or any proposed material change in services, whether to the Funds or to a Service Affiliate; or (b) refer such matter to the full Committee for its consideration and action. In considering any requested non-audit services or proposed material change in such services, the Designated Member's authority shall be limited to approving non-audit services or proposed material changes that do not exceed $10,000 in value. 5. The Designated Member's pre-approval (or pre-approval subject to conditions) of the requested non-audit services or proposed material change in services pursuant to this Section D shall constitute authorization for the management of the Funds or the Service Affiliate, as the case may be, to utilize the Auditor for the non-audit services so pre-approved. Any action by the Designated Member in approving a requested non-audit service shall be presented for ratification by the Committee not later than at its next scheduled meeting. If the Designated Member does not approve the Auditor providing the requested non-audit service, the matter may be presented to the full Committee for its consideration and action. E. Amendment; Annual Review 1. The Committee may amend these procedures from time to time. 2. These procedures shall be reviewed annually by the Committee. F. Recordkeeping 1. The Funds shall maintain a written record of all decisions made by the Committee or by a Designated Member pursuant to these procedures, together with appropriate supporting materials. 2. In connection with the approval of any non-audit service pursuant to the de minimis exception provided in the Rules, a record shall be made indicating that each of the conditions for this exception, as set forth in the Rules, has been satisfied. 3. A copy of these Procedures (and of any amendments to these Procedures) shall be maintained and preserved permanently in an easily accessible place. The written records referred to in paragraphs 1 and 2 of this Section F shall be maintained and preserved for six years from the end of the fiscal year in which the actions recorded were taken, for at least the first two years in an easily accessible location. (e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) The percentage of hours expended on the principal accountant's engagement to audit the Registrant's financial statements for the fiscal year ended October 31, 2011 that were attributed to work performed by persons other than the principal accountant's full time, permanent employees was not greater than 50%. (g) Aggregate Non-Audit Fees Fiscal Year Ended October 31, 2011: $1,247,583 Fiscal Year Ended October 31, 2010: $ 529,590 (h) The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant because it is not a listed issuer. ITEM 6. INVESTMENTS. (a) 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 FNMA 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 OCTOBER 31, 2011
SHARES VALUE++ ------------- --------------- COMMON STOCKS -- (88.5%) BRAZIL -- (7.6%) Banco ABC Brasil SA ...................................................................... 776,812 $ 5,203,330 Banco Alfa de Investimento SA ............................................................ 97,200 373,661 Banco do Brasil SA ....................................................................... 826 12,605 Banco Pine SA ............................................................................ 307,308 2,051,286 *Banco Santander Brasil SA ................................................................ 954,917 8,621,145 #Banco Santander Brasil SA ADR ............................................................ 13,875,608 126,268,033 Banco Sofisa SA .......................................................................... 694,800 1,448,807 Bematech SA .............................................................................. 480,400 1,108,066 *BHG SA - Brazil Hospitality Group ........................................................ 914 9,263 BM&F Bovespa SA .......................................................................... 30,436,745 183,132,816 BR Malls Participacoes SA ................................................................ 4,338,270 47,126,269 BRF - Brasil Foods SA .................................................................... 250,298 5,197,381 #BRF - Brasil Foods SA ADR ................................................................ 2,067,420 43,519,191 Brookfield Incorporacoes SA .............................................................. 4,422,749 17,233,999 Camargo Correa Desenvolvimento Imobiliario SA ............................................ 746,800 1,626,835 Cia Providencia Industria e Comercio SA .................................................. 311,300 1,087,923 Cosan SA Industria e Comercio ............................................................ 1,829,381 28,524,641 CR2 Empreendimentos Imobiliarios SA ...................................................... 99,200 340,903 Cremer SA ................................................................................ 261,170 2,105,363 Duratex SA ............................................................................... 1,272,592 6,989,861 Embraer SA ADR ........................................................................... 1,037,648 28,867,367 Eternit SA ............................................................................... 601,023 3,206,670 Even Construtora e Incorporadora SA ...................................................... 2,054,143 7,753,063 EZ Tec Empreendimentos e Participacoes SA ................................................ 856,100 7,778,874 *Fertilizantes Heringer SA ................................................................ 274,100 1,631,652 Fibria Celulose SA ....................................................................... 752,062 6,754,694 #Fibria Celulose SA Sponsored ADR ......................................................... 3,015,926 26,751,264 Forjas Taurus SA ......................................................................... 224,056 232,297 Gafisa SA ................................................................................ 4,210,776 15,598,646 #Gafisa SA ADR ............................................................................ 1,920,932 14,291,734 *General Shopping Brasil SA ............................................................... 341,730 2,388,537 Gerdau SA ................................................................................ 1,819,796 13,980,901 *Globex Utilidades SA ..................................................................... 44,331 464,780 #Gol Linhas Aereas Inteligentes SA ADR .................................................... 65,467 525,045 Grendene SA .............................................................................. 1,166,445 5,428,486 Guararapes Confeccoes SA ................................................................. 11,950 604,165 Helbor Empreendimentos SA ................................................................ 27,800 357,043 *Hypermarcas SA ........................................................................... 2,156,093 11,729,568 *IdeiasNet SA ............................................................................. 708,930 1,114,897 Iguatemi Empresa de Shopping Centers SA .................................................. 323,860 6,309,880 Industrias Romi SA ....................................................................... 626,500 2,339,089 Inepar SA Industria e Construcoes ........................................................ 26,528 50,990 *JBS SA ................................................................................... 12,542,690 37,697,108 JHSF Participacoes SA .................................................................... 1,590,600 4,113,501 *Kepler Weber SA .......................................................................... 4,157,400 629,597 *Kroton Educacional SA .................................................................... 392,436 4,386,433 *Log-in Logistica Intermodal SA ........................................................... 788,000 3,029,269 M. Dias Branco SA ........................................................................ 130,500 3,381,743 *Magnesita Refratarios SA ................................................................. 2,206,234 8,005,847 Mahle-Metal Leve SA Industria e Comercio ................................................. 3,900 97,202 Marfrig Alimentos SA ..................................................................... 2,372,825 10,241,217 Metalfrio Solutions SA ................................................................... 97,900 363,237 Minerva SA ............................................................................... 726,725 2,137,613 *MPX Energia SA ........................................................................... 386,000 8,397,414 Multiplan Empreendimentos Imobiliarios SA ................................................ 194,269 3,923,060 Obrascon Huarte Lain Brasil SA ........................................................... 167,400 5,616,239 Paranapanema SA .......................................................................... 3,368,293 7,690,659 *Petroleo Brasileiro SA ................................................................... 1,190,298 16,126,238
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- BRAZIL -- (Continued) Petroleo Brasileiro SA ADR ............................................................... 10,788,313 $ 291,392,334 *Plascar Participacoes Industriais SA ..................................................... 1,187,300 1,673,568 Porto Seguro SA .......................................................................... 266,730 2,860,180 Positivo Informatica SA .................................................................. 501,726 1,607,300 Profarma Distribuidora de Produtos Farmaceuticos SA ...................................... 144,425 894,218 Rodobens Negocios Imobiliarios SA ........................................................ 300,501 1,924,460 Rossi Residencial SA ..................................................................... 2,290,089 14,566,078 *Sao Carlos Empreendimentos e Participacoes SA ............................................ 78,200 979,293 Sao Martinho SA .......................................................................... 598,132 7,141,979 SLC Agricola SA .......................................................................... 270,434 2,685,674 *Springs Global Participacoes SA .......................................................... 438,409 919,284 Sul America SA ........................................................................... 1,292,785 10,534,445 *Tereos Internacional SA .................................................................. 67,104 96,150 Trisul SA ................................................................................ 91,961 154,799 Triunfo Participacoes e Investimentos SA ................................................. 130,400 754,973 Usinas Siderurgicas de Minas Gerais SA ................................................... 2,197,000 31,172,741 *Vanguarda Agro SA ........................................................................ 9,053,712 3,375,004 *Viver Incorporadora e Construtora SA ..................................................... 2,653,625 3,678,613 --------------- TOTAL BRAZIL ................................................................................. 1,132,388,490 --------------- CHILE -- (1.8%) Almendral SA ............................................................................. 881,321 127,175 Banco de Credito e Inversiones SA ........................................................ 117,855 6,591,172 Besalco SA ............................................................................... 2,860 4,444 Cementos Bio-Bio SA ...................................................................... 665,307 903,009 Cencosud SA .............................................................................. 3,680,515 23,667,375 Cia General de Electricidad SA ........................................................... 1,051,291 4,978,049 Cintac SA ................................................................................ 153,487 87,716 Compania Sud Americana de Vapores SA ..................................................... 14,607,370 3,990,902 Corpbanca SA ............................................................................. 1,024,366,698 14,840,198 Cristalerias de Chile SA ................................................................. 264,624 2,565,494 CTI Cia Tecno Industrial SA .............................................................. 488,163 34,743 Embotelladora Andina SA Series A ADR ..................................................... 24,316 559,268 Empresas CMPC SA ......................................................................... 15,763,090 65,487,845 Empresas Copec SA ........................................................................ 2,188,048 33,541,733 *Empresas Hites SA ........................................................................ 106,786 91,215 Empresas Iansa SA ........................................................................ 43,801,768 3,823,659 Empresas La Polar SA ..................................................................... 2,536,138 1,686,134 Enersis SA ............................................................................... 31,903,095 12,836,120 #Enersis SA Sponsored ADR ................................................................. 3,046,239 59,797,672 Gasco SA ................................................................................. 155,648 984,812 Grupo Security SA ........................................................................ 964,349 344,505 Industrias Forestales SA ................................................................. 3,436,382 925,814 Inversiones Aguas Metropolitanas SA ...................................................... 4,824,905 7,582,767 *Madeco SA ................................................................................ 64,288,076 2,696,438 Masisa SA ................................................................................ 36,930,742 3,864,556 Minera Valparaiso SA ..................................................................... 7,390 248,872 Parque Arauco SA ......................................................................... 1,761,407 3,374,517 PAZ Corp. SA ............................................................................. 1,074,463 685,183 Ripley Corp. SA .......................................................................... 6,451,158 6,831,947 Salfacorp SA ............................................................................. 412,693 1,278,973 Sociedad Quimica y Minera de Chile SA Series A ........................................... 32,018 1,888,601 Socovesa SA .............................................................................. 4,547,599 2,197,735 *Sonda SA ................................................................................. 65,547 160,004 Soquimic Comercial SA .................................................................... 198,000 70,721 Vina Concha Y Toro SA .................................................................... 160,507 316,831 Vina Concha Y Toro SA Sponsored ADR ...................................................... 2,846 105,302 Vina San Pedro Tarapaca SA ............................................................... 57,038,434 413,163 --------------- TOTAL CHILE .................................................................................. 269,584,664 ---------------
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- CHINA -- (13.6%) *A8 Digital Music Holdings, Ltd. .......................................................... 474,000 $ 69,667 #Agile Property Holdings, Ltd. ............................................................ 9,782,000 8,792,656 #Aluminum Corp. of China, Ltd. ADR ........................................................ 287,695 3,823,467 #Aluminum Corp. of China, Ltd. Series H ................................................... 28,000 15,038 AMVIG Holdings, Ltd. ..................................................................... 5,067,100 3,161,611 #Angang Steel Co., Ltd. Series H .......................................................... 13,887,640 8,473,137 Anhui Tianda Oil Pipe Co., Ltd. Series H ................................................. 2,718,412 477,367 #Anton Oilfield Services Group ............................................................ 14,114,527 1,914,760 #Asia Cement China Holdings Corp. ......................................................... 6,545,500 3,095,453 Asian Citrus Holdings, Ltd. .............................................................. 1,848,000 1,271,225 *AVIC International Holding HK, Ltd. ...................................................... 20,490,285 689,695 #Bank of China, Ltd. Series H ............................................................. 803,391,331 285,934,139 #Bank of Communications Co., Ltd. Series H ................................................ 95,161,574 65,402,021 #Baoye Group Co., Ltd. Series H ........................................................... 1,751,120 858,982 #*BaWang International Group Holding, Ltd. ................................................. 2,454,000 282,271 Beijing Capital International Airport Co., Ltd. Series H ................................. 23,115,599 10,291,837 Beijing Capital Land, Ltd. Series H ...................................................... 14,359,060 3,646,196 *Beijing Development HK, Ltd. ............................................................. 1,545,000 224,160 Beijing Enterprises Holdings, Ltd. ....................................................... 6,017,500 33,415,073 #Beijing Jingkelong Co., Ltd. Series H .................................................... 207,000 201,640 Beijing North Star Co., Ltd. Series H .................................................... 7,018,000 1,116,520 *Beijing Properties Holdings, Ltd. ........................................................ 62,000 3,706 Bosideng International Holdings, Ltd. .................................................... 6,958,000 1,918,147 #*Brilliance China Automotive Holdings, Ltd. ............................................... 14,532,000 15,670,731 *BYD Electronic International Co., Ltd. ................................................... 11,509,636 4,178,861 C C Land Holdings, Ltd. .................................................................. 10,872,162 2,613,713 *Catic Shenzhen Holdings, Ltd. Series H ................................................... 2,494,000 1,049,663 Central China Real Estate, Ltd. .......................................................... 7,431,350 1,668,668 Centron Telecom International Holdings, Ltd. ............................................. 3,090,945 437,555 #Chaoda Modern Agriculture Holdings, Ltd. ................................................. 37,445,412 5,301,971 #China Aerospace International Holdings, Ltd. ............................................. 31,748,000 2,733,984 China Agri-Industries Holdings, Ltd. ..................................................... 14,466,000 11,532,299 China Aoyuan Property Group, Ltd. ........................................................ 14,675,000 1,725,463 #China Automation Group, Ltd. ............................................................. 877,000 306,675 China BlueChemical, Ltd. Series H ........................................................ 9,710,878 7,646,809 China Chengtong Development Group, Ltd. .................................................. 4,982,000 237,642 #*China Citic Bank Corp., Ltd. Series H .................................................... 95,111,716 50,856,739 China Coal Energy Co., Ltd. Series H ..................................................... 41,470,000 51,652,075 China Communications Construction Co., Ltd. Series H ..................................... 65,744,327 49,588,080 China Communications Services Corp., Ltd. Series H ....................................... 23,974,227 10,965,202 China Construction Bank Corp. Series H ................................................... 153,591,940 112,849,414 #China COSCO Holdings Co., Ltd. Series H .................................................. 27,991,500 14,563,318 #China Dongxiang Group Co., Ltd. .......................................................... 34,763,127 6,218,568 *China Energine International Holdings, Ltd. .............................................. 6,356,390 256,881 China Everbright, Ltd. ................................................................... 11,567,869 17,179,659 #*China Grand Forestry Green Resources Group, Ltd. ......................................... 85,148,000 531,728 #China Green Holdings, Ltd. ............................................................... 6,633,800 2,056,651 China Haidian Holdings, Ltd. ............................................................. 20,237,108 2,109,857 #*China High Precision Automation Group, Ltd. .............................................. 429,000 151,305 #China High Speed Transmission Equipment Group Co., Ltd. .................................. 8,895,000 5,610,706 #China Huiyuan Juice Group, Ltd. .......................................................... 7,474,483 2,336,243 #*China Lumena New Materials Corp. ......................................................... 17,910,000 3,919,312 China Merchants Holdings International Co., Ltd. ......................................... 6,592,083 20,508,449 *China Mining Resources Group, Ltd. ....................................................... 30,230,000 439,706 #China Minsheng Banking Corp., Ltd. Series H .............................................. 47,409,500 38,439,921 #China Molybdenum Co., Ltd. Series H ...................................................... 2,196,000 1,087,744 #China National Materials Co., Ltd. Series H .............................................. 3,884,000 1,955,465 *China Nickel Resources Holding Co., Ltd. ................................................. 5,314,000 464,621 *China Oil & Gas Group, Ltd. .............................................................. 14,705,715 986,807 China Oriental Group Co., Ltd. ........................................................... 26,000 9,923 #China Petroleum & Chemical Corp. ADR ..................................................... 993,796 93,814,342
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- CHINA -- (Continued) China Petroleum & Chemical Corp. Series H ................................................ 116,064,289 $ 109,617,984 #China Pharmaceutical Group, Ltd. ......................................................... 12,940,000 3,506,102 *China Properties Group, Ltd. ............................................................. 6,795,000 1,717,580 #*China Qinfa Group, Ltd. .................................................................. 3,908,000 759,587 #China Railway Construction Corp., Ltd. Series H .......................................... 28,531,514 17,003,256 #*China Rare Earth Holdings, Ltd. .......................................................... 17,253,000 3,745,173 *China Renewable Energy Investment, Ltd. .................................................. 2,031,110 90,655 China Resources Enterprise, Ltd. ......................................................... 5,546,000 20,254,260 #China Resources Land, Ltd. ............................................................... 22,423,727 32,821,524 China Resources Microelectronics, Ltd. ................................................... 52,715,000 3,223,101 China SCE Property Holdings, Ltd. ........................................................ 826,000 168,585 #China Shanshui Cement Group, Ltd. ........................................................ 586,000 451,070 #*China Shipping Container Lines Co., Ltd. Series H ........................................ 48,149,700 9,073,940 China Shipping Development Co., Ltd. Series H ............................................ 15,913,488 11,210,361 *China Singyes Solar Technologies Holdings, Ltd. .......................................... 95,000 51,703 #China South City Holdings, Ltd. .......................................................... 3,870,462 543,565 China Starch Holdings, Ltd. .............................................................. 15,550,000 579,874 China Sunshine Paper Holdings Co., Ltd. .................................................. 850,500 135,888 China Travel International Investment Hong Kong, Ltd. .................................... 46,979,631 7,094,257 #China Unicom Hong Kong, Ltd. ............................................................. 3,578,000 7,193,984 #China Unicom Hong Kong, Ltd. ADR ......................................................... 7,272,462 146,249,211 #*China Vanadium Titano - Magnetite Mining Co., Ltd. ....................................... 8,244,000 1,700,478 China Wireless Technologies, Ltd. ........................................................ 732,000 122,470 #China Yurun Food Group, Ltd. ............................................................. 1,163,000 2,001,090 #China Zhongwang Holdings, Ltd. ........................................................... 19,878,954 6,549,151 #*Chongqing Iron & Steel Co., Ltd. Series H ................................................ 6,512,000 1,115,128 Chongqing Machinery & Electric Co., Ltd. Series H ........................................ 14,284,000 2,793,438 #Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. ............................... 2,648,000 642,613 *CIMC Enric Holdings, Ltd. ................................................................ 1,474,000 490,766 #Citic Pacific, Ltd. ...................................................................... 16,748,000 30,268,179 *CITIC Resources Holdings, Ltd. ........................................................... 37,094,000 5,290,461 #*Clear Media, Ltd. ........................................................................ 641,000 237,851 *Coastal Greenland, Ltd. .................................................................. 8,098,000 328,642 #*Comtec Solar Systems Group, Ltd. ......................................................... 2,346,000 431,264 #COSCO International Holdings, Ltd. ....................................................... 10,630,000 4,514,770 COSCO Pacific, Ltd. ...................................................................... 19,612,187 27,239,257 *Coslight Technology International Group, Ltd. ............................................ 1,250,000 362,736 #Country Garden Holdings Co., Ltd. ........................................................ 32,487,146 12,862,889 CPMC Holdings, Ltd. ...................................................................... 1,598,000 707,454 DaChan Food Asia, Ltd. ................................................................... 3,035,000 595,186 Dalian Port (PDA) Co., Ltd. Series H ..................................................... 13,512,000 3,471,622 #Dynasty Fine Wines Group, Ltd. ........................................................... 8,788,600 2,070,934 Embry Holdings, Ltd. ..................................................................... 409,000 224,240 Fantasia Holdings Group Co., Ltd. ........................................................ 3,554,515 369,927 #First Tractor Co., Ltd. Series H ......................................................... 3,192,000 2,892,603 #Fosun International, Ltd. ................................................................ 12,978,244 7,351,030 #Franshion Properties China, Ltd. ......................................................... 39,572,580 8,127,849 #Geely Automobile Holdings, Ltd. .......................................................... 7,710,000 1,971,271 #Global Bio-Chem Technology Group Co., Ltd. ............................................... 33,192,360 7,596,246 #*Global Sweeteners Holdings, Ltd. ......................................................... 10,102,350 1,217,907 #*Glorious Property Holdings, Ltd. ......................................................... 27,384,000 4,253,008 Goldbond Group Holdings, Ltd. ............................................................ 1,830,000 64,068 *Golden Meditech Holdings, Ltd. ........................................................... 11,063,679 1,271,245 Goldlion Holdings, Ltd. .................................................................. 1,065,000 409,060 #Great Wall Motor Co., Ltd. Series H ...................................................... 8,222,000 11,081,746 #Great Wall Technology Co., Ltd. Series H ................................................. 7,314,035 1,737,400 Greentown China Holdings, Ltd. ........................................................... 7,140,091 4,561,247 #Guangshen Railway Co., Ltd. .............................................................. 412,000 143,045 #Guangshen Railway Co., Ltd. Sponsored ADR ................................................ 424,432 7,317,208 Guangzhou Automobile Group Co., Ltd. Series H ............................................ 27,145,572 27,082,210 *Guangzhou Investment Co., Ltd. ........................................................... 62,596,170 9,661,024
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- CHINA -- (Continued) Guangzhou Pharmaceutical Co., Ltd. Series H .............................................. 1,396,000 $ 977,600 #Guangzhou R&F Properties Co., Ltd. Series H .............................................. 12,575,914 12,140,694 Hainan Meilan International Airport Co., Ltd. Series H ................................... 1,665,000 1,171,142 Harbin Electric Co., Ltd. Series H ....................................................... 9,919,474 9,996,230 Heng Tai Consumables Group, Ltd. ......................................................... 45,015,998 2,800,573 #Hidili Industry International Development, Ltd. .......................................... 14,103,000 5,888,839 #*HKC Holdings, Ltd. ....................................................................... 32,633,878 1,327,412 #*Honghua Group, Ltd. ...................................................................... 14,782,970 1,504,003 #Hopson Development Holdings, Ltd. ........................................................ 10,456,000 6,518,857 Hua Han Bio-Pharmaceutical Holdings, Ltd. ................................................ 11,211,420 2,497,347 #*Hunan Non-Ferrous Metal Corp., Ltd. Series H ............................................. 8,438,000 2,351,964 Huscoke Resources Holdings, Ltd. ......................................................... 15,234,000 355,052 Industrial & Commercial Bank of China, Ltd. Series H ..................................... 59,719,996 37,217,450 Inspur International, Ltd. ............................................................... 30,251,713 1,054,385 #Jingwei Textile Machinery Co., Ltd. Series H ............................................. 494,000 279,057 #Ju Teng International Holdings, Ltd. ..................................................... 10,438,249 1,990,549 *Kai Yuan Holdings, Ltd. .................................................................. 61,340,000 1,412,763 #*Kaisa Group Holdings, Ltd. ............................................................... 9,413,632 1,947,524 Kasen International Holdings, Ltd. ....................................................... 1,885,000 286,628 Kingboard Chemical Holdings, Ltd. ........................................................ 7,504,871 25,348,848 #Kingboard Laminates Holdings, Ltd. ....................................................... 3,568,000 1,916,212 Kingway Brewery Holdings, Ltd. ........................................................... 3,138,000 790,837 #KWG Property Holding, Ltd. ............................................................... 19,063,000 8,222,258 Lai Fung Holdings, Ltd. .................................................................. 22,212,280 651,634 #Lee & Man Paper Manufacturing, Ltd. ...................................................... 7,279,000 2,976,018 #Lijun International Pharmaceutical Holding, Ltd. ......................................... 7,895,046 910,517 #Lingbao Gold Co., Ltd. Series H .......................................................... 2,780,000 1,248,773 Loudong General Nice Resources China Holdings, Ltd. ...................................... 17,994,000 1,693,709 #Maanshan Iron & Steel Co., Ltd. Series H ................................................. 26,030,000 7,782,715 *Media China Corp., Ltd. .................................................................. 3,711,250 53,294 #Metallurgical Corp of China, Ltd. Series H ............................................... 14,712,683 3,192,556 MIN XIN Holdings, Ltd. ................................................................... 1,540,000 734,254 #*Mingyuan Medicare Development Co., Ltd. .................................................. 36,460,264 1,664,819 #Minmetals Land, Ltd. ..................................................................... 19,235,205 2,392,603 *Minmetals Resources, Ltd. ................................................................ 5,504,000 2,819,730 #Minth Group, Ltd. ........................................................................ 2,614,000 2,708,878 *Nan Hai Corp, Ltd. ....................................................................... 31,450,000 136,719 NetDragon Websoft, Inc. .................................................................. 1,739,500 877,961 New World China Land, Ltd. ............................................................... 16,228,400 3,682,000 #Nine Dragons Paper Holdings, Ltd. ........................................................ 14,014,000 9,486,910 #*Oriental Ginza Holdings, Ltd. ............................................................ 1,037,000 53,228 *Overseas Chinese Town Asia Holdings, Ltd. ................................................ 2,000 675 #*Peak Sport Products Co., Ltd. ............................................................ 1,443,000 422,442 *PetroAsian Energy Holdings, Ltd. ......................................................... 42,498,084 1,345,267 PetroChina Co., Ltd. ADR ................................................................. 32,000 4,147,520 #Poly Hong Kong Investment, Ltd. .......................................................... 24,317,488 12,227,377 #*Pou Sheng International Holdings, Ltd. ................................................... 7,914,529 1,223,103 Powerlong Real Estate Holdings, Ltd. ..................................................... 451,000 67,507 #Prosperity International Holdings HK, Ltd. ............................................... 18,240,000 1,055,910 Qin Jia Yuan Media Services Co., Ltd. .................................................... 2,089,450 117,114 Qingling Motors Co., Ltd. Series H ....................................................... 12,616,000 3,485,824 Qunxing Paper Holdings Co., Ltd. ......................................................... 5,020,071 1,327,048 #*Real Gold Mining, Ltd. ................................................................... 3,137,500 3,578,191 #Real Nutriceutical Group, Ltd. ........................................................... 4,367,000 1,630,192 Regent Manner International, Ltd. ........................................................ 436,000 105,468 #Renhe Commercial Holdings Co., Ltd. ...................................................... 2,858,000 400,490 REXLot Holdings, Ltd. .................................................................... 78,256,150 5,442,184 Samson Holding, Ltd. ..................................................................... 7,320,452 748,477 *Semiconductor Manufacturing International Corp. .......................................... 142,522,000 7,638,420 #*Semiconductor Manufacturing International Corp. ADR ...................................... 1,331,701 3,529,008 #Shandong Chenming Paper Holdings, Ltd. Series H .......................................... 3,534,818 1,546,544
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- CHINA -- (Continued) Shandong Molong Petroleum Machinery Co., Ltd. Series H ................................... 44,613 $ 26,937 Shandong Xinhua Pharmaceutical Co., Ltd. Series H ........................................ 984,000 255,331 Shanghai Industrial Holdings, Ltd. ....................................................... 8,204,918 26,759,140 *Shanghai Industrial Urban Development Group, Ltd. ........................................ 11,246,000 2,079,377 Shanghai Jin Jiang International Hotels Group Co., Ltd. Series H ......................... 15,634,000 2,010,385 Shanghai Prime Machinery Co., Ltd. Series H .............................................. 8,256,000 1,362,544 *Shanghai Zendai Property, Ltd. ........................................................... 18,545,000 403,422 Shengli Oil & Gas Pipe Holdings, Ltd. .................................................... 3,469,500 339,706 Shenzhen International Holdings, Ltd. .................................................... 97,682,500 6,340,169 Shenzhen Investment, Ltd. ................................................................ 33,297,494 7,153,610 #Shimao Property Holdings, Ltd. ........................................................... 21,445,535 20,991,970 Shougang Concord Century Holdings, Ltd. .................................................. 7,134,299 376,612 Shougang Concord International Enterprises Co., Ltd. ..................................... 60,356,208 4,195,254 Shougang Fushan Resources Group, Ltd. .................................................... 36,392,594 14,829,050 #Shui On Land, Ltd. ....................................................................... 37,776,204 11,864,578 #Silver Grant International Industries, Ltd. .............................................. 19,860,804 4,631,787 #SIM Technology Group, Ltd. ............................................................... 7,816,000 639,023 #*Sino Oil & Gas Holdings, Ltd. ............................................................ 75,670,000 2,839,505 *Sino Prosper State Gold Resources Holdings, Ltd. ......................................... 83,280,000 1,431,001 *Sino Union Energy Investment Group, Ltd. ................................................. 43,140,000 2,970,059 SinoCom Software Group, Ltd. ............................................................. 1,160,000 79,838 #Sinofert Holdings, Ltd. .................................................................. 31,086,000 10,005,902 *Sinolink Worldwide Holdings, Ltd. ........................................................ 17,370,508 1,345,549 #SinoMedia Holding, Ltd. .................................................................. 2,952,139 950,870 #Sino-Ocean Land Holdings, Ltd. ........................................................... 41,569,377 18,600,881 Sinopec Kantons Holdings, Ltd. ........................................................... 8,856,300 4,454,843 #Sinotrans Shipping, Ltd. ................................................................. 15,455,916 3,896,906 Sinotrans, Ltd. Series H ................................................................. 23,880,000 4,896,220 #Sinotruk Hong Kong, Ltd. ................................................................. 8,473,835 4,993,918 #Skyworth Digital Holdings, Ltd. .......................................................... 21,824,555 11,559,962 *SMI Corp., Ltd. .......................................................................... 2,232,000 81,177 #Soho China, Ltd. ......................................................................... 26,070,888 18,488,501 #Solargiga Energy Holdings, Ltd. .......................................................... 6,020,486 762,134 SPG Land Holdings, Ltd. .................................................................. 3,332,575 687,380 #SRE Group, Ltd. .......................................................................... 34,772,000 1,792,314 Sunny Optical Technology Group Co., Ltd. ................................................. 3,659,000 860,506 Tak Sing Alliance Holdings, Ltd. ......................................................... 3,394,391 267,162 TCC International Holdings, Ltd. ......................................................... 12,053,056 5,550,487 *TCL Communication Technology Holdings, Ltd. .............................................. 198,000 99,143 *TCL Multimedia Technology Holdings, Ltd. ................................................. 8,722,200 2,653,334 Texhong Textile Group, Ltd. .............................................................. 1,152,000 334,706 #Tian An China Investments Co., Ltd. ...................................................... 7,019,000 3,707,186 Tiangong International Co., Ltd. ......................................................... 10,565,944 1,871,652 Tianjin Port Development Holdings, Ltd. .................................................. 6,141,657 872,600 #Tianneng Power International, Ltd. ....................................................... 7,890,280 3,695,300 #Tomson Group, Ltd. ....................................................................... 2,947,206 717,902 *Tong Ren Tang Technologies Co., Ltd. Series H ............................................ 14,000 14,295 #TPV Technology, Ltd. ..................................................................... 4,346,496 1,241,353 Travelsky Technology, Ltd. Series H ...................................................... 16,861,500 8,308,853 Truly International Holdings, Ltd. ....................................................... 20,763,500 3,092,370 #Uni-President China Holdings, Ltd. ....................................................... 11,000 6,538 #*VODone, Ltd. ............................................................................. 13,198,000 1,924,568 Wasion Group Holdings, Ltd. .............................................................. 4,805,291 1,789,803 Weiqiao Textile Co., Ltd. Series H ....................................................... 7,147,500 3,908,662 *West China Cement, Ltd. .................................................................. 2,954,000 551,250 Wuyi International Pharmaceutical Co., Ltd. .............................................. 3,925,000 225,167 Xiamen International Port Co., Ltd. Series H ............................................. 13,606,000 1,971,037 #Xingda International Holdings, Ltd. ...................................................... 7,462,000 4,303,199 #Xinhua Winshare Publishing & Media Co., Ltd. Series H .................................... 4,954,000 2,182,203 #Xinjiang Xinxin Mining Industry Co., Ltd. Series H ....................................... 8,824,000 2,922,544 #*Xiwang Sugar Holdings Co., Ltd. .......................................................... 9,246,736 1,755,853
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- CHINA -- (Continued) *Yantai North Andre Juice Co. Series H .................................................... 270,000 $ 8,567 #Yip's Chemical Holdings, Ltd. ............................................................ 200,000 174,085 *Youyuan International Holdings, Ltd. ..................................................... 2,663 779 Yuexiu Transport Infrastructure, Ltd. .................................................... 1,003 433 *Yuzhou Properties Co. .................................................................... 243,000 62,944 #*Zhejiang Glass Co., Ltd. Series H ........................................................ 437,000 -- #*Zhong An Real Estate, Ltd. ............................................................... 4,524,800 618,245 --------------- TOTAL CHINA .................................................................................. 2,026,245,775 --------------- CZECH REPUBLIC -- (0.3%) CEZ A.S. ................................................................................. 135,315 5,721,920 Komercni Banka A.S. ...................................................................... 12,469 2,385,725 #Pegas Nonwovens SA ....................................................................... 134,012 3,165,281 Telefonica Czech Republic A.S. ........................................................... 1,038,988 21,878,903 *Unipetrol A.S. ........................................................................... 1,436,781 13,946,348 --------------- TOTAL CZECH REPUBLIC ......................................................................... 47,098,177 --------------- HUNGARY -- (0.5%) *Danubius Hotel & Spa P.L.C. .............................................................. 136,180 1,895,615 *Egis Gyogyszergyar NYRT .................................................................. 55,527 4,517,964 *Fotex Holding SE Co., Ltd. ............................................................... 899,183 1,164,656 #*MOL Hungarian Oil & Gas P.L.C. ........................................................... 278,733 21,576,313 #OTP Bank P.L.C. .......................................................................... 2,635,811 41,330,061 *PannErgy P.L.C. .......................................................................... 184,403 542,815 Tisza Chemical Group P.L.C. .............................................................. 237,662 2,455,053 --------------- TOTAL HUNGARY ................................................................................ 73,482,477 --------------- INDIA -- (8.7%) Aban Offshore, Ltd. ...................................................................... 176,725 1,553,146 ABG Shipyard, Ltd. ....................................................................... 244,227 2,157,636 Aditya Birla Nuvo, Ltd. .................................................................. 422,480 7,824,797 Ajmera Realty & Infra India, Ltd. ........................................................ 50,552 120,597 Akzo Nobel India, Ltd. ................................................................... 50,729 861,956 Alembic Pharmaceuticals, Ltd. ............................................................ 619,600 572,584 *Alembic, Ltd. ............................................................................ 619,600 232,895 Allahabad Bank, Ltd. ..................................................................... 1,288,116 3,950,020 Alok Industries, Ltd. .................................................................... 3,717,329 1,595,993 Amara Raja Batteries, Ltd. ............................................................... 19,579 81,489 Ambuja Cements, Ltd. ..................................................................... 4,593,836 14,567,913 Amtek Auto, Ltd. ......................................................................... 964,705 2,514,121 Anant Raj Industries, Ltd. ............................................................... 1,108,283 1,214,743 *Andhra Bank, Ltd. ........................................................................ 1,698,306 4,128,500 Ansal Properties & Infrastructure, Ltd. .................................................. 598,206 443,821 *Apollo Hospitals Enterprise, Ltd. ........................................................ 367,830 3,896,650 Apollo Tyres, Ltd. ....................................................................... 1,676,970 1,962,638 *Arvind, Ltd. ............................................................................. 1,526,154 3,415,205 *Ashok Leyland, Ltd. ...................................................................... 17,481,814 9,748,355 Asian Hotels East, Ltd. .................................................................. 1,050 6,310 Aurobindo Pharma, Ltd. ................................................................... 898,680 2,347,142 Axis Bank, Ltd. .......................................................................... 778,153 18,391,259 Bajaj Finance, Ltd. ...................................................................... 94,089 1,311,543 Bajaj Hindusthan, Ltd. ................................................................... 4,079,964 3,184,043 Bajaj Holdings & Investment, Ltd. ........................................................ 346,315 5,253,747 Balkrishna Industries, Ltd. .............................................................. 22,245 80,728 Ballarpur Industries, Ltd. ............................................................... 3,776,483 2,279,908 Balmer Lawrie & Co., Ltd. ................................................................ 59,029 712,306 Balrampur Chini Mills, Ltd. .............................................................. 2,120,941 2,315,425 Bank of Baroda ........................................................................... 797,959 12,566,973 Bank of India ............................................................................ 1,492,091 10,115,700 Bank of Maharashtra, Ltd. ................................................................ 1,320,264 1,385,476
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDIA -- (Continued) BASF India, Ltd. ......................................................................... 1,381 $ 16,920 BEML, Ltd. ............................................................................... 151,479 1,636,757 Bengal & Assam Co., Ltd. ................................................................. 9,237 44,612 Bhushan Steel, Ltd. ...................................................................... 982,756 6,836,581 Birla Corp., Ltd. ........................................................................ 117,478 773,124 Bl Kashyap & Sons, Ltd. .................................................................. 112,932 27,074 Bombay Dyeing & Manufacturing Co., Ltd. .................................................. 106,530 932,916 Bombay Rayon Fashions, Ltd. .............................................................. 393,115 2,329,560 Brigade Enterprises, Ltd. ................................................................ 5,099 6,743 *Cairn India, Ltd. ........................................................................ 3,309,459 20,164,077 Canara Bank .............................................................................. 1,266,616 12,137,428 Central Bank of India .................................................................... 2,277,373 5,050,367 Century Enka, Ltd. ....................................................................... 1,913 5,966 Century Textiles & Industries, Ltd. ...................................................... 472,754 3,110,173 Chambal Fertilizers & Chemicals, Ltd. .................................................... 1,344,619 2,478,795 *Cholamandalam Investment & Finance Co., Ltd. ............................................. 11,397 37,556 City Union Bank, Ltd. .................................................................... 1,222,291 1,141,813 *Coromandel International, Ltd. ........................................................... 72,717 496,373 Corporation Bank ......................................................................... 197,416 1,720,248 *Cranes Software International, Ltd. ...................................................... 127,339 8,624 Dalmia Bharat Enterprises, Ltd. .......................................................... 159,852 349,217 Dalmia Cement (Bharat), Ltd. ............................................................. 130,837 45,538 *DB Realty, Ltd. .......................................................................... 605,552 891,083 DCM Shriram Consolidated, Ltd. ........................................................... 216,466 206,997 *Deccan Chronicle Holdings, Ltd. .......................................................... 436,014 461,445 Deepak Fertilizers & Petrochemicals Corp., Ltd. .......................................... 424,886 1,469,490 Dena Bank ................................................................................ 99,442 163,611 *Development Credit Bank, Ltd. ............................................................ 1,868,686 1,714,878 Dewan Housing Finance Corp., Ltd. ........................................................ 115,506 536,290 Dhanalakshmi Bank, Ltd. .................................................................. 470,051 626,833 Dishman Pharmaceuticals & Chemicals, Ltd. ................................................ 89,818 96,234 DLF, Ltd. ................................................................................ 4,857,180 23,872,930 *Dredging Corp. of India, Ltd. ............................................................ 61,914 292,076 E.I.D. - Parry (India), Ltd. ............................................................. 727,495 3,312,496 Edelweiss Financial Services, Ltd. ....................................................... 1,123,000 610,611 Educomp Solutions, Ltd. .................................................................. 523,312 2,890,946 Eicher Motors, Ltd. ...................................................................... 41,089 1,424,547 EIH, Ltd. ................................................................................ 872,785 1,674,327 Elder Pharmaceuticals, Ltd. .............................................................. 136,186 1,118,540 Electrosteel Casings, Ltd. ............................................................... 723,522 390,081 Elgi Equipments, Ltd. .................................................................... 35,934 50,941 Era Infra Engineering, Ltd. .............................................................. 234,648 732,267 Escorts, Ltd. ............................................................................ 1,272,669 2,209,984 *Essar Ports, Ltd. ........................................................................ 586,604 960,532 *Essar Shipping, Ltd. ..................................................................... 288,928 503,451 Essel Propack, Ltd. ...................................................................... 750,981 565,881 Everest Kanto Cylinder, Ltd. ............................................................. 351,825 443,101 *Everonn Education, Ltd. .................................................................. 9,550 74,261 FAG Bearings (India), Ltd. ............................................................... 500 13,156 FDC, Ltd. ................................................................................ 131,817 247,591 Federal Bank, Ltd. ....................................................................... 1,697,495 14,377,534 *Federal-Mogul Goetze (India), Ltd. ....................................................... 9,195 43,421 Financial Technologies (India), Ltd. ..................................................... 113,765 1,702,978 Finolex Cables, Ltd. ..................................................................... 530,760 404,576 Finolex Industries, Ltd. ................................................................. 695,629 919,254 *Fortis Healthcare India, Ltd. ............................................................ 605,349 1,539,784 Future Capital Holdings, Ltd. ............................................................ 96,389 280,036 GAIL India, Ltd. ......................................................................... 635,512 5,481,065 Gammon India, Ltd. ....................................................................... 411,248 547,077 Gateway Distriparks, Ltd. ................................................................ 239,619 729,906 Geodesic, Ltd. ........................................................................... 617,061 743,644
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDIA -- (Continued) Geojit BNP Paribas Financial Services, Ltd. .............................................. 9,369 $ 3,543 Gitanjali Gems, Ltd. ..................................................................... 513,757 3,625,203 Godawari Power & Ispat, Ltd. ............................................................. 12,722 30,955 Godfrey Phillips India, Ltd. ............................................................. 784 55,537 Graphite India, Ltd. ..................................................................... 502,507 755,263 Grasim Industries, Ltd. .................................................................. 15,142 769,061 Great Eastern Shipping Co., Ltd. ......................................................... 942,893 4,509,267 Great Offshore, Ltd. ..................................................................... 47,996 126,620 *GTL Infrastructure, Ltd. ................................................................. 2,481,649 532,989 Gujarat Alkalies & Chemicals, Ltd. ....................................................... 421,803 1,222,323 Gujarat Fluorochemicals, Ltd. ............................................................ 222,534 2,426,071 Gujarat Narmada Valley Fertilizers Co., Ltd. ............................................. 647,256 1,232,747 Gujarat NRE Coke, Ltd. ................................................................... 589,431 299,285 Gujarat State Fertilizers & Chemicals, Ltd. .............................................. 445,889 4,326,393 Gulf Oil Corp., Ltd. ..................................................................... 194,724 295,193 HBL Power Systems, Ltd. .................................................................. 430,244 164,288 HCL Infosystems, Ltd. .................................................................... 752,250 1,004,100 HEG, Ltd. ................................................................................ 136,218 575,303 *HeidelbergCement India, Ltd. ............................................................. 541,608 375,121 Hexaware Technologies, Ltd. .............................................................. 2,847,378 5,189,992 Hikal, Ltd. .............................................................................. 2,987 18,318 Hindalco Industries, Ltd. ................................................................ 13,995,859 38,793,082 Hinduja Global Solutions, Ltd. ........................................................... 63,466 402,218 Hinduja Ventures, Ltd. ................................................................... 68,545 469,979 Hindustan Construction Co., Ltd. ......................................................... 6,104,087 3,637,691 Hotel Leelaventure, Ltd. ................................................................. 1,357,335 1,085,496 *Housing Development & Infrastructure, Ltd. ............................................... 2,859,933 5,815,708 HSIL, Ltd. ............................................................................... 103,913 380,330 ICICI Bank, Ltd. ......................................................................... 111,742 2,105,214 #ICICI Bank, Ltd. Sponsored ADR ........................................................... 3,343,138 124,231,008 ICSA (India), Ltd. ....................................................................... 280,681 329,174 IDBI Bank, Ltd. .......................................................................... 2,670,212 6,370,872 *Idea Cellular, Ltd. ...................................................................... 8,283,772 15,933,866 IFCI, Ltd. ............................................................................... 7,425,776 4,986,840 India Cements, Ltd. ...................................................................... 2,331,300 3,829,504 India Infoline, Ltd. ..................................................................... 2,371,418 3,616,628 Indiabulls Financial Services, Ltd. ...................................................... 1,877,333 5,870,166 Indiabulls Real Estate, Ltd. ............................................................. 4,078,238 6,234,482 Indian Bank .............................................................................. 1,138,976 5,047,654 Indian Hotels Co., Ltd. .................................................................. 3,531,468 5,048,609 Indian Overseas Bank ..................................................................... 1,632,621 3,420,445 Indo Rama Synthetics (India), Ltd. ....................................................... 180,172 119,550 IndusInd Bank, Ltd. ...................................................................... 1,092,668 6,411,123 INEOS ABS India, Ltd. .................................................................... 28,114 360,258 Infotech Enterprises, Ltd. ............................................................... 21,152 50,940 Infrastructure Development Finance Co., Ltd. ............................................. 9,157,715 24,650,485 ING Vysya Bank, Ltd. ..................................................................... 289,910 1,997,848 Ingersoll-Rand India, Ltd. ............................................................... 28,300 282,079 Ipca Laboratories, Ltd. .................................................................. 171,947 895,284 ISMT, Ltd. ............................................................................... 311,182 215,933 *IVRCL Assets & Holdings, Ltd. ............................................................ 46,934 35,228 IVRCL Infrastructures & Projects, Ltd. ................................................... 3,263,325 2,754,039 J.B. Chemicals & Pharmaceuticals, Ltd. ................................................... 373,888 567,196 Jai Balaji Industries, Ltd. .............................................................. 16,461 30,091 Jai Corp., Ltd. .......................................................................... 138,834 237,457 Jaiprakash Associates, Ltd. .............................................................. 10,073,988 15,780,674 Jammu & Kashmir Bank, Ltd. ............................................................... 266,249 4,582,679 JBF Industries, Ltd. ..................................................................... 96,294 244,284 *Jet Airways (India), Ltd. ................................................................ 244,572 1,282,189 Jindal Poly Films, Ltd. .................................................................. 139,745 657,010 Jindal Saw, Ltd. ......................................................................... 1,642,728 5,095,192
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDIA -- (Continued) JK Cement, Ltd. .......................................................................... 68,524 $ 153,024 JK Lakshmi Cement, Ltd. .................................................................. 215,508 190,251 JK Tyre & Industries, Ltd. ............................................................... 84,255 124,594 JM Financial, Ltd. ....................................................................... 1,719,256 667,166 *JSL Stainless, Ltd. ...................................................................... 746,050 1,449,117 JSW Energy, Ltd. ......................................................................... 1,328,996 1,418,088 *JSW ISPAT Steel, Ltd. .................................................................... 4,828,018 1,323,936 JSW Steel, Ltd. .......................................................................... 1,467,112 19,553,190 Jubilant Industries, Ltd. ................................................................ 12,130 46,386 Jubilant Organosys, Ltd. ................................................................. 394,532 1,591,808 Jyoti Structures, Ltd. ................................................................... 4,680 6,011 K.S.B. Pumps, Ltd. ....................................................................... 7,582 31,567 *Kakinada Fertilizers, Ltd. ............................................................... 2,082,495 479,408 Kalpataru Power Transmission, Ltd. ....................................................... 48,456 108,840 *Kalyani Investment Co., Ltd. ............................................................. 8,518 90,935 Kalyani Steels, Ltd. ..................................................................... 49,945 48,927 Karnataka Bank, Ltd. ..................................................................... 1,659,587 3,046,759 Karur Vysya Bank, Ltd. ................................................................... 294,278 2,375,884 Karuturi Global, Ltd. .................................................................... 2,133,835 219,541 KEC International, Ltd. .................................................................. 5,033 5,929 Kesoram Industries, Ltd. ................................................................. 187,382 484,928 Kirloskar Industries, Ltd. ............................................................... 8,838 49,684 Kirloskar Oil Engines, Ltd. .............................................................. 328,770 875,193 *KSK Energy Ventures, Ltd. ................................................................ 35,815 75,214 Lakshmi Machine Works, Ltd. .............................................................. 4,697 185,247 Lakshmi Vilas Bank, Ltd. ................................................................. 384,784 778,014 *Landmark Property Development Co., Ltd. .................................................. 201,134 11,096 LIC Housing Finance, Ltd. ................................................................ 1,589,690 7,584,358 Madhucon Projects, Ltd. .................................................................. 174,483 240,655 Madras Cements, Ltd. ..................................................................... 465,735 974,227 *Mahanagar Telephone Nigam, Ltd. .......................................................... 1,755,921 1,127,957 #*Mahanagar Telephone Nigam, Ltd. ADR ...................................................... 100,249 134,334 Maharashtra Scooters, Ltd. ............................................................... 4,450 29,593 Maharashtra Seamless, Ltd. ............................................................... 166,380 1,156,569 Mahindra & Mahindra Financial Services, Ltd. ............................................. 30,842 423,946 Mahindra Lifespace Developers, Ltd. ...................................................... 135,781 848,895 Manaksia, Ltd. ........................................................................... 147,412 180,161 Maruti Suzuki India, Ltd. ................................................................ 262,121 6,028,260 *Mastek, Ltd. ............................................................................. 58,981 106,133 *MAX India, Ltd. .......................................................................... 62,495 241,869 McLeod Russel India, Ltd. ................................................................ 637,181 3,346,396 *Mercator Lines, Ltd. ..................................................................... 2,249,868 1,235,023 Merck, Ltd. .............................................................................. 29,241 397,949 MindTree, Ltd. ........................................................................... 26,874 220,410 Monnet Ispat, Ltd. ....................................................................... 141,328 1,316,790 *Moser Baer (India), Ltd. ................................................................. 589,699 324,091 *Mphasis, Ltd. ............................................................................ 3,649 25,611 MRF, Ltd. ................................................................................ 17,453 2,435,739 Mukand, Ltd. ............................................................................. 237,046 158,003 Nagarjuna Construction Co., Ltd. ......................................................... 1,813,074 1,985,619 *Nagarjuna Oil Refinery, Ltd. ............................................................. 1,893,177 435,825 Nahar Capital & Financial Services, Ltd. ................................................. 18,955 20,929 Nahar Spinning Mills, Ltd. ............................................................... 6,026 7,401 National Aluminium Co., Ltd. ............................................................. 909,021 1,194,704 Nava Bharat Ventures, Ltd. ............................................................... 21,069 74,623 NIIT Technologies, Ltd. .................................................................. 426,488 1,994,675 NIIT, Ltd. ............................................................................... 1,198,069 1,178,815 NOCIL, Ltd. .............................................................................. 410,986 137,416 Noida Toll Bridge Co., Ltd. .............................................................. 659,041 318,239 OCL India, Ltd. .......................................................................... 84,049 165,945 *OMAXE, Ltd. .............................................................................. 617,318 1,850,682
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDIA -- (Continued) Orbit Corp., Ltd. ........................................................................ 431,838 $ 299,501 Orchid Chemicals & Pharmaceuticals, Ltd. ................................................. 556,542 1,883,211 Orient Paper & Industries, Ltd. .......................................................... 335,647 412,908 Oriental Bank of Commerce ................................................................ 791,237 4,688,538 *Oswal Chemical & Fertilizers, Ltd. ....................................................... 481,366 589,219 Panacea Biotec, Ltd. ..................................................................... 68,042 135,892 *Parsvnath Developers, Ltd. ............................................................... 1,384,563 2,265,040 *Patni Computer Systems, Ltd. ............................................................. 750,275 5,143,344 *Patni Computer Systems, Ltd. ADR ......................................................... 55,441 758,433 Peninsula Land, Ltd. ..................................................................... 224,699 192,780 Petronet LNG, Ltd. ....................................................................... 2,943,666 9,728,473 Piramal Healthcare, Ltd. ................................................................. 467,474 3,449,792 Plethico Pharmaceuticals, Ltd. ........................................................... 148,837 1,181,253 Polaris Software Lab, Ltd. ............................................................... 396,842 1,187,020 Polyplex Corp., Ltd. ..................................................................... 22,174 84,782 Power Finance Corp., Ltd. ................................................................ 129,000 395,313 Prism Cement, Ltd. ....................................................................... 487,572 437,619 PSL, Ltd. ................................................................................ 21,802 27,852 PTC India, Ltd. .......................................................................... 2,097,057 3,021,189 Punj Lloyd, Ltd. ......................................................................... 2,873,787 3,484,373 Rain Commodities, Ltd. ................................................................... 1,238,953 760,406 Rajesh Exports, Ltd. ..................................................................... 432,984 1,310,485 Ranbaxy Laboratories, Ltd. ............................................................... 121,205 1,240,559 Raymond, Ltd. ............................................................................ 340,181 2,704,748 REI Agro, Ltd. ........................................................................... 3,597,472 1,729,349 REI Six Ten Retail, Ltd. ................................................................. 439,400 169,289 *Reliance Broadcast Network, Ltd. ......................................................... 20,606 27,787 Reliance Capital, Ltd. ................................................................... 1,332,296 10,039,175 Reliance Communications, Ltd. ............................................................ 6,552,200 10,648,863 Reliance Industries, Ltd. ................................................................ 15,874,574 284,270,252 *Reliance Industries, Ltd. Sponsored GDR .................................................. 107,000 3,873,400 *Reliance Power, Ltd. ..................................................................... 6,370,084 12,372,837 Rolta India, Ltd. ........................................................................ 1,402,924 2,383,001 Ruchi Soya Industries, Ltd. .............................................................. 1,505,069 3,379,507 Rural Electrification Corp., Ltd. ........................................................ 3,437,792 12,596,608 S. Kumars Nationwide, Ltd. ............................................................... 1,478,828 1,201,594 *SEAMEC, Ltd. ............................................................................. 37,241 78,869 Sesa Goa, Ltd. ........................................................................... 2,382,764 10,055,615 Shipping Corp. of India, Ltd. ............................................................ 899,433 1,361,462 Shiv-Vani Oil & Gas Exploration Services, Ltd. ........................................... 91,757 384,921 *Shree Renuka Sugars, Ltd. ................................................................ 4,184,984 4,901,208 Simplex Infrastructures, Ltd. ............................................................ 1,570 6,628 Sintex Industries, Ltd. .................................................................. 1,452,499 3,500,368 SKF India, Ltd. .......................................................................... 11,347 153,422 Sobha Developers, Ltd. ................................................................... 455,969 2,350,192 Sona Koyo Steering Systems, Ltd. ......................................................... 64,698 19,131 South Indian Bank, Ltd. .................................................................. 9,724,062 4,699,019 SREI Infrastructure Finance, Ltd. ........................................................ 1,473,919 1,070,895 SRF, Ltd. ................................................................................ 266,306 1,665,740 State Bank of Bikaner & Jaipur ........................................................... 3,341 27,084 State Bank of India ...................................................................... 829,178 32,248,216 State Bank of India Sponsored GDR ........................................................ 5,732 448,686 Steel Authority of India, Ltd. ........................................................... 5,465,207 12,519,093 Sterling Biotech, Ltd. ................................................................... 1,172,020 1,597,648 Sterlite Industries (India), Ltd. ........................................................ 5,746,256 15,039,744 #Sterlite Industries (India), Ltd. ADR .................................................... 2,454,968 25,335,270 Sterlite Technologies, Ltd. .............................................................. 1,281,513 1,034,362 Strides Arcolab, Ltd. .................................................................... 227,849 1,841,515 Sundaram Finance, Ltd. ................................................................... 5,730 59,656 Sundram Fastners, Ltd. ................................................................... 55,097 66,069 *Suzlon Energy, Ltd. ...................................................................... 12,199,536 9,574,705
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDIA -- (Continued) Syndicate Bank ........................................................................... 1,739,874 $ 3,831,700 Tamilnadu Newsprint & Papers, Ltd. ....................................................... 58,711 122,991 Tanla Solutions, Ltd. .................................................................... 107,489 16,656 Tata Chemicals, Ltd. ..................................................................... 1,091,283 7,411,085 #Tata Communications, Ltd. ADR ............................................................ 30,720 246,067 Tata Investment Corp., Ltd. .............................................................. 59,975 596,734 Tata Steel, Ltd. ......................................................................... 5,110,167 50,322,064 Tata Tea, Ltd. ........................................................................... 4,602,216 8,696,311 TCI Developers, Ltd. ..................................................................... 3,427 10,950 *Teledata Marine Solutions, Ltd. .......................................................... 267,258 2,964 Time Technoplast, Ltd. ................................................................... 498,379 645,043 Titagarh Wagons, Ltd. .................................................................... 101,789 915,471 Transport Corp of India, Ltd. ............................................................ 68,548 107,857 Trent, Ltd. .............................................................................. 17,717 391,265 *Trent, Ltd. Series B ..................................................................... 3,220 65,465 *Triveni Turbine, Ltd. .................................................................... 240,000 190,492 Tube Investments of India, Ltd. .......................................................... 638,438 1,832,407 Tulip IT Services, Ltd. .................................................................. 85,536 263,805 UCO Bank ................................................................................. 2,106,355 3,234,539 Uflex, Ltd. .............................................................................. 440,201 1,582,929 Unichem Laboratories, Ltd. ............................................................... 199,000 528,215 Union Bank of India, Ltd. ................................................................ 797,003 3,678,731 *Unitech, Ltd. ............................................................................ 17,577,707 10,764,455 United Phosphorus, Ltd. .................................................................. 1,287,792 3,857,703 Unity Infraprojects, Ltd. ................................................................ 132,583 107,810 Usha Martin, Ltd. ........................................................................ 1,332,972 897,901 *Vardhman Special Steels, Ltd. ............................................................ 19,609 8,456 Vardhman Textiles, Ltd. .................................................................. 99,836 419,244 Varun Shipping Co., Ltd. ................................................................. 269,190 103,276 Videocon Industries, Ltd. ................................................................ 891,313 3,193,850 Videsh Sanchar Nigam, Ltd. ............................................................... 1,046,765 4,053,897 Vijaya Bank, Ltd. ........................................................................ 1,580,742 1,971,216 Voltamp Transformers, Ltd. ............................................................... 724 7,285 Walchandnagar Industries, Ltd. ........................................................... 36,885 65,111 Welspun Corp., Ltd. ...................................................................... 1,091,234 2,396,894 *Wockhardt, Ltd. .......................................................................... 27,242 247,308 Zee Entertainment Enterprises, Ltd. ...................................................... 2,376,542 5,835,848 *Zee Learn, Ltd. .......................................................................... 297,068 117,130 Zuari Industries, Ltd. ................................................................... 127,958 1,569,646 Zylog Systems, Ltd. ...................................................................... 26,158 230,340 --------------- TOTAL INDIA .................................................................................. 1,297,811,613 --------------- INDONESIA -- (3.4%) PT Adhi Karya Tbk ........................................................................ 2,219,117 131,366 *PT Agis Tbk .............................................................................. 515,000 6,296 PT AKR Corporindo Tbk .................................................................... 21,704,400 7,342,431 PT Aneka Tambang Tbk ..................................................................... 57,718,500 11,552,793 PT Asahimas Flat Glass Tbk ............................................................... 5,277,000 4,480,301 PT Astra Graphia Tbk ..................................................................... 4,213,000 518,175 PT Astra International Tbk ............................................................... 217,696 1,678,606 *PT Bakrie & Brothers Tbk ................................................................. 1,021,016,750 5,930,492 PT Bakrie Sumatera Plantations Tbk ....................................................... 119,758,000 3,922,978 *PT Bakrie Telecom Tbk .................................................................... 279,478,500 9,256,108 *PT Bakrieland Development Tbk ............................................................ 382,536,520 4,934,453 PT Bank Bukopin Tbk ...................................................................... 33,061,333 2,505,462 PT Bank Danamon Indonesia Tbk ............................................................ 28,936,554 16,125,167 PT Bank Mandiri Tbk ...................................................................... 46,464,931 37,064,450 PT Bank Negara Indonesia Persero Tbk ..................................................... 94,034,441 42,142,811 *PT Bank Pan Indonesia Tbk ................................................................ 150,362,201 11,625,661 *PT Bank Permata Tbk ...................................................................... 304,000 50,290 PT Bank Tabungan Negara Tbk .............................................................. 21,993,362 3,540,291
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDONESIA -- (Continued) *PT Barito Pacific Tbk .................................................................... 12,084,500 $ 1,107,892 *PT Berlian Laju Tanker Tbk ............................................................... 128,161,466 2,745,360 *PT Bhakti Investama Tbk .................................................................. 269,404,200 7,500,397 *PT Bisi International Tbk ................................................................ 172,500 19,642 PT Budi Acid Jaya Tbk .................................................................... 15,362,000 403,235 PT Bumi Resources Tbk .................................................................... 275,669,000 72,003,897 *PT Bumi Serpong Damai Tbk ................................................................ 4,010,000 412,641 *PT Central Proteinaprima Tbk ............................................................. 178,071,500 1,066,116 *PT Charoen Pokphand Indonesia Tbk ........................................................ 77,150,330 22,974,571 PT Ciputra Development Tbk ............................................................... 83,963,500 4,603,650 PT Ciputra Surya Tbk ..................................................................... 16,227,000 1,535,776 PT Clipan Finance Indonesia Tbk .......................................................... 3,636,000 188,355 *PT Darma Henwa Tbk ....................................................................... 211,889,942 1,861,863 *PT Davomas Adabi Tbk ..................................................................... 139,739,500 782,420 PT Elnusa Tbk ............................................................................ 27,207,500 640,198 *PT Energi Mega Persada Tbk ............................................................... 351,867,782 6,406,956 PT Ever Shine Textile Tbk ................................................................ 19,342,215 211,940 PT Gajah Tunggal Tbk ..................................................................... 15,026,500 4,595,095 PT Global Mediacom Tbk ................................................................... 95,929,500 8,612,204 PT Gozco Plantations Tbk ................................................................. 23,062,500 790,901 *PT Great River International Tbk ......................................................... 1,788,000 -- PT Gudang Garam Tbk ...................................................................... 6,586,500 43,233,130 *PT Hero Supermarket Tbk .................................................................. 50,000 51,680 PT Holcim Indonesia Tbk .................................................................. 5,186,000 1,119,760 *PT Indah Kiat Pulp & Paper Corp. Tbk ..................................................... 30,017,000 3,430,764 PT Indika Energy Tbk ..................................................................... 16,849,000 5,352,202 PT Indofood Sukses Makmur Tbk ............................................................ 36,805,500 21,609,940 PT Indorama Synthetics Tbk ............................................................... 41,500 10,855 PT International Nickel Indonesia Tbk .................................................... 40,581,500 16,544,804 *PT Intiland Development Tbk .............................................................. 10,518,000 299,008 PT Japfa Comfeed Indonesia Tbk ........................................................... 4,542,750 2,587,752 PT Jaya Real Property Tbk ................................................................ 25,528,000 4,296,721 *PT Kawasan Industri Jababeka Tbk ......................................................... 183,569,000 3,271,773 PT Lautan Luas Tbk ....................................................................... 2,102,000 194,979 PT Lippo Karawaci Tbk .................................................................... 246,247,437 17,654,862 PT Matahari Putra Prima Tbk .............................................................. 35,387,900 3,931,579 PT Mayorah Indah Tbk ..................................................................... 8,681,072 13,782,368 PT Medco Energi Internasional Tbk ........................................................ 26,226,500 6,813,468 *PT Media Nusantara Citra Tbk ............................................................. 28,163,594 3,479,133 PT Mitra Adiperkasa Tbk .................................................................. 2,998,000 1,651,189 *PT Mitra International Resources Tbk ..................................................... 38,631,660 698,228 *PT Pabrik Kertas Tjiwi Kimia Tbk ......................................................... 200,500 45,980 *PT Panasia Indosyntec Tbk ................................................................ 403,200 9,314 *PT Panin Financial Tbk ................................................................... 187,039,000 2,529,746 PT Panin Insurance Tbk ................................................................... 30,688,500 1,571,297 PT Perusahaan Perkebunan London Sumatra Indonesia Tbk .................................... 24,575,884 6,044,440 *PT Polychem Indonesia Tbk ................................................................ 3,207,500 223,938 PT Ramayana Lestari Sentosa Tbk .......................................................... 17,333,000 1,300,587 PT Sampoerna Agro Tbk .................................................................... 7,109,941 2,405,250 PT Samudera Indonesia Tbk ................................................................ 415,500 160,168 PT Selamat Sempurna Tbk .................................................................. 15,274,000 2,245,720 *PT Sentul City Tbk ....................................................................... 128,083,500 4,058,346 PT Sinar Mas Agro Resources & Technology Tbk ............................................. 8,022,400 5,742,491 PT Summarecon Agung Tbk .................................................................. 41,668,857 5,453,020 *PT Sunson Textile Manufacturer Tbk ....................................................... 6,012,000 106,504 *PT Surya Dumai Industri Tbk .............................................................. 5,145,000 -- PT Surya Toto Indonesia Tbk .............................................................. 46,400 220,796 *PT Suryainti Permata Tbk ................................................................. 17,378,000 174,712 *PT Tiga Pilar Sejahtera Food Tbk ......................................................... 6,030,222 438,904 PT Tigaraksa Satria Tbk .................................................................. 124,200 12,978 PT Timah Tbk ............................................................................. 23,227,900 5,147,136
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- INDONESIA -- (Continued) *PT Trias Sentosa Tbk ..................................................................... 184,000 $ 9,636 PT Trimegah Securities Tbk ............................................................... 34,298,000 364,155 *PT Truba Alam Manunggal Engineering Tbk .................................................. 129,244,500 726,171 PT Tunas Baru Lampung Tbk ................................................................ 11,081,500 752,100 PT Tunas Ridean Tbk ...................................................................... 42,848,500 2,977,622 *PT Ultrajaya Milk Industry & Trading Co. Tbk ............................................. 13,717,500 1,656,869 PT Unggul Indah Cahaya Tbk ............................................................... 371,435 75,525 PT Wijaya Karya Tbk ...................................................................... 20,855,502 1,213,403 --------------- TOTAL INDONESIA .............................................................................. 496,952,243 --------------- ISRAEL -- (0.0%) Bank of Jerusalem, Ltd. .................................................................. 16,518 21,994 Delta-Galil Industries, Ltd. ............................................................. -- 3 *Electra Real Estate, Ltd. ................................................................ -- -- *Elron Electronic Industries, Ltd. ........................................................ 1 3 *Feuchtwanger Investments, Ltd. ........................................................... 10,500 35 Formula Systems (1985), Ltd. ............................................................. -- -- *Formula Vision Technologies, Ltd. ........................................................ -- -- *Israel Steel Mills, Ltd. ................................................................. 97,000 1,044 *Kardan Israel, Ltd. ...................................................................... -- 1 *Knafaim Holdings, Ltd. ................................................................... 69,163 348,009 *Koor Industries, Ltd. .................................................................... 1 10 Liberty Properties, Ltd. ................................................................. 2,533 29,523 Mivtach Shamir Holdings, Ltd. ............................................................ 41,934 1,213,483 *Naphtha Israel Petroleum Corp., Ltd. ..................................................... -- 1 --------------- TOTAL ISRAEL ................................................................................. 1,614,106 --------------- MALAYSIA -- (3.2%) *A&M Realty Berhad ........................................................................ 603,400 83,350 Adventa Berhad ........................................................................... 62,000 34,655 Aeon Co. Berhad .......................................................................... 37,500 85,201 Affin Holdings Berhad .................................................................... 9,611,900 9,182,581 AirAsia Berhad ........................................................................... 10,819,900 13,597,536 *Alam Maritim Resources Berhad ............................................................ 3,217,100 845,367 Alliance Financial Group Berhad .......................................................... 13,342,100 15,270,027 Amcorp Properties Berhad ................................................................. 1,047,267 152,713 AMMB Holdings Berhad ..................................................................... 21,831,262 42,322,027 Ann Joo Resources Berhad ................................................................. 2,857,200 1,999,458 APM Automotive Holdings Berhad ........................................................... 1,216,800 1,736,606 Apollo Food Holdings Berhad .............................................................. 109,000 111,080 Asas Dunia Berhad ........................................................................ 252,800 83,130 *Asia Pacific Land Berhad ................................................................. 5,644,300 777,983 Axiata Group Berhad ...................................................................... 1,074,850 1,698,861 Bandar Raya Developments Berhad .......................................................... 4,105,700 2,648,072 Batu Kawan Berhad ........................................................................ 2,242,250 11,572,445 Berjaya Assets Berhad .................................................................... 105,600 29,510 Berjaya Corp. Berhad ..................................................................... 28,289,180 9,499,154 Berjaya Land Berhad ...................................................................... 13,220,000 4,237,742 *Berjaya Media Berhad ..................................................................... 299,800 42,266 BIMB Holdings Berhad ..................................................................... 4,379,900 2,869,998 Bina Darulaman Berhad .................................................................... 57,800 21,601 Bolton Berhad ............................................................................ 1,288,000 345,285 Boustead Holdings Berhad ................................................................. 5,019,680 8,713,683 Cahya Mata Sarawak Berhad ................................................................ 1,786,600 1,163,701 *CB Industrial Product Holding Berhad ..................................................... 89,700 107,156 Chemical Co. of Malaysia Berhad .......................................................... 311,000 169,981 Chin Teck Plantations Berhad ............................................................. 304,700 815,879 Coastal Contracts Berhad ................................................................. 1,307,700 820,185 CSC Steel Holdings Berhad ................................................................ 2,344,100 1,072,662 Cycle & Carriage Bintang Berhad .......................................................... 241,300 264,432 *Datuk Keramik Holdings Berhad ............................................................ 127,000 --
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- MALAYSIA -- (Continued) Dijaya Corp. Berhad ...................................................................... 931,800 $ 423,156 DRB-Hicom Berhad ......................................................................... 10,607,100 7,192,197 Eastern & Oriental Berhad ................................................................ 9,332,015 4,263,295 ECM Libra Avenue Berhad .................................................................. 7,396,526 1,876,697 Esso Malaysia Berhad ..................................................................... 1,319,400 1,576,010 Evergreen Fibreboard Berhad .............................................................. 3,145,726 1,028,734 Faber Group Berhad ....................................................................... 1,646,500 915,717 Far East Holdings Berhad ................................................................. 388,800 882,584 *Fountain View Development Berhad ......................................................... 2,573,200 -- Gamuda Berhad ............................................................................ 1,742,500 1,915,942 Genting Malaysia Berhad .................................................................. 6,614,200 8,227,857 Genting Plantations Berhad ............................................................... 400,300 953,778 Glomac Berhad ............................................................................ 3,452,800 951,741 Goldis Berhad ............................................................................ 3,016,125 1,622,438 *Green Packet Berhad ...................................................................... 1,037,400 211,423 GuocoLand (Malaysia) Berhad .............................................................. 1,288,100 376,906 Hap Seng Consolidated Berhad ............................................................. 10,403,800 5,142,306 Hap Seng Plantations Holdings Berhad ..................................................... 2,305,800 2,012,596 Hong Leong Financial Group Berhad ........................................................ 1,932,651 7,480,420 Hong Leong Industries Berhad ............................................................. 1,225,800 1,598,876 *Hubline Berhad ........................................................................... 4,627,900 149,745 Hunza Properties Berhad .................................................................. 1,033,300 507,263 Hwang-DBS (Malaysia) Berhad .............................................................. 908,700 680,460 IGB Corp. Berhad ......................................................................... 12,180,290 7,859,830 IJM Corp. Berhad ......................................................................... 16,999,480 31,401,187 IJM Land Berhad .......................................................................... 3,932,100 2,948,174 IJM Plantations Berhad ................................................................... 299,500 257,535 *Insas Berhad ............................................................................. 4,573,808 748,585 Integrax Berhad .......................................................................... 910,200 338,731 *Jaks Resources Berhad .................................................................... 3,743,300 719,614 Jaya Tiasa Holdings Berhad ............................................................... 1,207,235 2,238,653 Jerneh Asia Berhad ....................................................................... 802,020 354,475 *K & N Kenanga Holdings Berhad ............................................................ 2,878,600 540,663 *Karambunai Corp. Berhad .................................................................. 11,446,000 532,409 Keck Seng (Malaysia) Berhad .............................................................. 2,517,800 3,132,089 Kian Joo Can Factory Berhad .............................................................. 3,837,380 2,384,506 *KIG Glass Industrial Berhad .............................................................. 260,000 2,542 Kim Loong Resources Berhad ............................................................... 339,300 224,435 Kinsteel Berhad .......................................................................... 7,612,800 1,426,155 KLCC Property Holdings Berhad ............................................................ 6,585,600 6,669,801 KNM Group Berhad ......................................................................... 12,307,325 5,713,717 *Knusford Berhad .......................................................................... 73,800 42,651 KrisAssets Holdings Berhad ............................................................... 250,377 346,652 KSL Holdings Berhad ...................................................................... 493,866 228,174 KUB Malaysia Berhad ...................................................................... 5,214,000 1,175,824 *Kulim Malaysia Berhad .................................................................... 9,703,300 11,302,450 Kumpulan Fima Berhad ..................................................................... 1,920,300 1,031,023 *Kumpulan Hartanah Selangor Berhad ........................................................ 181,000 16,892 Kumpulan Perangsang Selangor Berhad ...................................................... 1,343,900 394,956 *Kurnia Asia Berhad ....................................................................... 74,100 12,095 Kwantas Corp. Berhad ..................................................................... 246,000 148,973 *Landmarks Berhad ......................................................................... 4,118,808 1,544,470 *Leader Universal Holdings Berhad ......................................................... 5,376,733 1,662,892 *Lingui Development Berhad ................................................................ 1,332,114 669,097 *Lion Corp. Berhad ........................................................................ 6,925,907 469,795 Lion Diversified Holdings Berhad ......................................................... 4,064,800 518,205 Lion Forest Industries Berhad ............................................................ 177,500 90,420 Lion Industries Corp. Berhad ............................................................. 7,593,681 3,753,857 Mah Sing Group Berhad .................................................................... 250,700 165,892 *Malayan Flour Mills Berhad ............................................................... 90,450 214,990 *Malayan United Industries Berhad ......................................................... 200,244 10,769
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- MALAYSIA -- (Continued) Malaysia Airports Holdings Berhad ........................................................ 161,600 $ 331,882 *Malaysian Airlines System Berhad ......................................................... 1,933,900 919,930 Malaysian Bulk Carriers Berhad ........................................................... 1,702,425 1,030,902 *Malaysian Pacific Industries Berhad ...................................................... 459,675 491,761 Malaysian Resources Corp. Berhad ......................................................... 75,000 48,966 MBM Resources Berhad ..................................................................... 881,733 898,711 Media Prima Berhad ....................................................................... 103,800 85,520 Mega First Corp. Berhad .................................................................. 1,101,700 553,965 Metro Kajang Holdings Berhad ............................................................. 780,008 381,803 *Metroplex Berhad ......................................................................... 817,000 -- MISC Berhad .............................................................................. 1,800,304 4,081,809 *MK Land Holdings Berhad .................................................................. 9,637,500 1,007,272 MMC Corp. Berhad ......................................................................... 11,266,280 9,849,633 MNRB Holdings Berhad ..................................................................... 1,250,800 1,189,491 *Mudajaya Group Berhad .................................................................... 912,900 691,786 Muhibbah Engineering Berhad .............................................................. 4,845,400 1,901,674 *MUI Properties Berhad .................................................................... 139,700 5,991 *Mulpha International Berhad .............................................................. 31,821,100 4,159,745 MWE Holdings Berhad ...................................................................... 270,000 104,937 Naim Holdings Berhad ..................................................................... 1,558,300 971,423 NCB Holdings Berhad ...................................................................... 2,450,600 2,980,945 Negri Sembilan Oil Palms Berhad .......................................................... 167,600 280,463 NV Multi Corp. Berhad .................................................................... 49,710 432 Oriental Holdings Berhad ................................................................. 3,653,779 5,282,917 Oriental Interest Berhad ................................................................. 139,100 61,551 OSK Holdings Berhad ...................................................................... 6,896,947 3,866,851 *OSK Ventures International Berhad ........................................................ 519,697 51,807 P.I.E. Industrial Berhad ................................................................. 323,600 372,910 Pacific & Orient Berhad .................................................................. 283,730 72,143 Panasonic Manufacturing Malaysia Berhad .................................................. 383,380 2,452,847 *Paracorp Berhad .......................................................................... 252,000 821 Paramount Corp. Berhad ................................................................... 960,700 539,028 PBA Holdings Berhad ...................................................................... 1,502,500 478,448 Pelikan International Corp. Berhad ....................................................... 4,130,320 1,132,247 *Perisai Petroleum Teknologi Berhad ....................................................... 853,700 180,115 *Permaju Industries Berhad ................................................................ 1,000,000 99,576 Perusahaan Sadur Timah Malaysia (Perstima) Berhad ........................................ 6,800 8,702 *Perwaja Holdings Berhad .................................................................. 211,300 56,211 *Pharmaniaga Berhad ....................................................................... 84,243 141,961 PJ Development Holdings Berhad ........................................................... 2,768,800 664,252 POS Malaysia Berhad ...................................................................... 2,309,917 2,093,057 PPB Group Berhad ......................................................................... 6,875,366 38,077,074 Press Metal Berhad ....................................................................... 2,260,181 1,413,680 *Prime Utilities Berhad ................................................................... 39,000 1,144 Protasco Berhad .......................................................................... 282,200 89,310 Proton Holdings Berhad ................................................................... 3,793,400 3,300,017 QSR Brands Berhad ........................................................................ 56,800 104,991 RCE Capital Berhad ....................................................................... 3,627,000 557,251 RHB Capital Berhad ....................................................................... 6,623,059 16,561,404 Salcon Berhad ............................................................................ 267,000 45,708 Sarawak Oil Palms Berhad ................................................................. 601,020 825,695 Scientex Berhad .......................................................................... 938,848 713,382 *Scomi Group Berhad ....................................................................... 14,819,000 1,441,144 *Scomi Marine Berhad ...................................................................... 709,000 85,800 Selangor Dredging Berhad ................................................................. 1,312,700 306,662 Selangor Properties Berhad ............................................................... 25,400 27,571 Shangri-La Hotels Malaysia Berhad ........................................................ 738,000 577,114 Shell Refining Co. Federation of Malaysia Berhad ......................................... 217,100 678,975 SHL Consolidated Berhad .................................................................. 1,008,700 450,865 Sino Hua-An International Berhad ......................................................... 3,861,100 324,602 Subur Tiasa Holdings Berhad .............................................................. 503,530 384,945
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- MALAYSIA -- (Continued) *Sunway Berhad ............................................................................ 8,333,745 $ 6,329,083 Supermax Corp. Berhad .................................................................... 1,073,200 1,288,525 Suria Capital Holdings Berhad ............................................................ 645,500 334,533 Ta Ann Holdings Berhad ................................................................... 344,252 556,143 TA Enterprise Berhad ..................................................................... 16,478,800 3,146,956 TA Global Berhad ......................................................................... 8,465,880 820,678 TAHPS Group Berhad ....................................................................... 27,000 37,711 Tan Chong Motor Holdings Berhad .......................................................... 4,689,700 6,842,632 *Tanjung Offshore Berhad .................................................................. 137,600 39,291 TDM Berhad ............................................................................... 1,644,800 1,593,135 *Tebrau Teguh Berhad ...................................................................... 5,473,966 1,287,244 TH Plantations Berhad .................................................................... 39,200 26,687 *Time Dotcom Berhad ....................................................................... 19,791,700 3,981,230 Tiong Nam Transport Holdings Berhad ...................................................... 113,500 37,616 Tradewinds (Malaysia) Berhad ............................................................. 1,915,600 5,515,620 Tradewinds Corp. Berhad .................................................................. 5,394,700 1,411,803 *Trinity Corp. Berhad ..................................................................... 15,950,050 307,211 TSH Resources Berhad ..................................................................... 414,600 425,819 UAC Berhad ............................................................................... 77,398 74,610 *UEM Land Holdings Berhad ................................................................. 3,391,545 2,411,189 UMW Holdings Berhad ...................................................................... 2,059,686 4,438,055 Unico-Desa Plantations Berhad ............................................................ 4,248,728 1,505,801 Unisem (Malaysia) Berhad ................................................................. 4,735,500 1,923,670 United Malacca Berhad .................................................................... 877,200 1,907,887 United Plantations Berhad ................................................................ 617,400 3,494,533 VS Industry Berhad ....................................................................... 1,337,193 590,022 Wah Seong Corp. Berhad ................................................................... 2,680,411 1,849,523 WCT Berhad ............................................................................... 2,956,100 2,490,130 Wing Tai Malaysia Berhad ................................................................. 1,861,100 965,963 WTK Holdings Berhad ...................................................................... 4,386,550 2,023,587 Yeo Hiap Seng Malaysia Berhad ............................................................ 335,520 189,446 YNH Property Berhad ...................................................................... 5,024,459 2,836,326 YTL Cement Berhad ........................................................................ 112,000 166,660 YTL Corp. Berhad ......................................................................... 43,018,230 20,735,380 *YTL Land & Development Berhad ............................................................ 588,200 236,634 *Zelan Berhad ............................................................................. 5,049,100 634,320 ............................................................................................. --------------- TOTAL MALAYSIA ............................................................................... 471,605,118 ............................................................................................. --------------- MEXICO -- (4.7%) #Alfa S.A.B. de C.V. Series A ............................................................. 4,281,493 49,429,768 #Alsea de Mexico S.A.B. de C.V. ........................................................... 2,361,638 2,443,685 Arca Continental S.A.B. de C.V. .......................................................... 4,505,329 21,382,311 #*Axtel S.A.B. de C.V. ..................................................................... 6,889,034 2,258,954 #Bolsa Mexicana de Valores S.A. de C.V. ................................................... 2,607,171 4,262,794 #*Carso Infraestructura y Construccion S.A.B. de C.V. ...................................... 176,375 105,743 #*Cemex S.A.B. de C.V. Sponsored ADR ....................................................... 9,271,933 40,518,347 #Cia Minera Autlan S.A.B. de C.V. Series B ................................................ 463,736 481,935 Coca-Cola Femsa S.A.B. de C.V. Series L .................................................. 52,700 473,932 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR ............................................. 284,134 25,444,200 #Consorcio ARA S.A.B. de C.V. Series * .................................................... 11,141,400 3,051,408 #*Controladora Comercial Mexicana S.A.B. de C.V. Series B .................................. 2,334,862 3,372,559 *Corp Actinver S.A.B. de C.V. ............................................................. 3,700 2,915 #*Corporacion GEO S.A.B. de C.V. Series B .................................................. 6,238,582 8,608,653 *Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B ........................ 1,561,686 700,749 #*Desarrolladora Homex S.A.B. de C.V. ...................................................... 1,806,700 4,527,934 #*Desarrolladora Homex S.A.B. de C.V. ADR .................................................. 115,455 1,727,207 *Dine S.A.B. de C.V. ...................................................................... 1,028,367 420,545 El Puerto de Liverpool S.A.B. de C.V. Series 1 ........................................... 20,000 135,064 El Puerto de Liverpool S.A.B. de C.V. Series C-1 ......................................... 312,425 2,133,314 *Empaques Ponderosa S.A. de C.V. Series B ................................................. 90,000 6,078 #*Empresas ICA S.A.B. de C.V. .............................................................. 3,380,772 4,523,086
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- MEXICO -- (Continued) #*Empresas ICA S.A.B. de C.V. Sponsored ADR ................................................ 1,118,155 $ 5,959,766 #*Financiera Independencia S.A.B. de C.V. .................................................. 36,976 17,757 Fomento Economico Mexicano S.A.B. de C.V. ................................................ 2,311,921 15,508,797 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR .................................. 2,134,064 143,088,991 #*Gruma S.A.B. de C.V. ADR ................................................................. 15,222 118,579 *Gruma S.A.B. de C.V. Series B ............................................................ 3,118,973 6,098,930 Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ...................................... 793,888 1,334,961 #Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. ADR ................................. 46,146 622,510 *Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR ...................................... 636,889 22,074,573 #Grupo Aeroportuario del Pacifico S.A.B. de C.V. Series B ................................. 750,300 2,614,537 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR ....................................... 243,007 13,997,203 Grupo Aeroportuario del Sureste S.A.B. de C.V. Series B .................................. 1,017,757 5,855,902 #Grupo Carso S.A.B. de C.V. Series A-1 .................................................... 10,488,893 27,042,723 *Grupo Cementos de Chihuahua S.A.B. de C.V. ............................................... 2,799,892 8,739,814 #*Grupo Comercial Chedraui S.A .de C.V. .................................................... 207,932 500,834 #*Grupo Famsa S.A.B. de C.V. Series A ...................................................... 2,048,304 1,835,128 #Grupo Financiero Banorte S.A.B. de C.V. Series O ......................................... 14,274,417 48,681,042 Grupo Financiero Inbursa S.A.B. de C.V. Series O ......................................... 16,708,066 35,843,296 Grupo Gigante S.A.B. de C.V. Series B .................................................... 471,076 759,971 Grupo Industrial Bimbo S.A.B. de C.V. Series A-1 ......................................... 47,900 98,481 Grupo Industrial Maseca S.A.B. de C.V. Series B .......................................... 2,726,900 3,026,251 *Grupo Industrial Saltillo S.A.B. de C.V. ................................................. 1,332,569 1,279,874 Grupo Kuo S.A.B. de C.V. Series B ........................................................ 2,038,967 2,677,416 Grupo Mexico S.A.B. de C.V. Series B ..................................................... 24,138,837 66,962,768 *Grupo Posadas S.A.B. de C.V. Series L .................................................... 356,000 418,855 *Grupo Qumma S.A. de C.V. Series B ........................................................ 5,301 72 #*Grupo Simec S.A. de C.V. Series B ........................................................ 1,526,364 3,407,318 #*Grupo Simec S.A. de C.V. Sponsored ADR ................................................... 19,072 123,968 Industrias Bachoco S.A.B. de C.V. Series B ............................................... 906,150 1,682,840 Industrias Bachoco S.A.B. de C.V. Sponsored ADR .......................................... 300 6,705 #*Industrias CH S.A.B. de C.V. Series B .................................................... 2,908,492 9,467,276 #*Inmuebles Carso S.A.B. de C.V. Series B-1 ................................................ 10,258,893 7,813,294 *Medica Sur S.A.B. de C.V. Series B ....................................................... 1,000 1,801 *Megacable Holdings S.A.B. de C.V. ........................................................ 69,694 146,375 #*Minera Frisco S.A.B. de C.V. Series A-1 .................................................. 10,110,293 39,752,334 #*Organizacion Soriana S.A.B. de C.V. Series B ............................................. 14,686,500 31,958,318 *Qualitas Cia de Seguros S.A. de C.V. ..................................................... 2,053,100 1,632,990 *Sare Holding S.A.B. de C.V. .............................................................. 1,159,700 111,384 *Savia S.A. de C.V. Series A .............................................................. 3,457,285 207,536 #*Urbi Desarrollos Urbanos S.A.B. de C.V. .................................................. 7,204,950 9,185,271 *Vitro S.A.B. de C.V. Series A ............................................................ 1,546,658 1,328,824 --------------- TOTAL MEXICo. ................................................................................ 697,996,446 --------------- PHILIPPINES -- (0.9%) A. Soriano Corp. ......................................................................... 20,195,000 1,554,446 Alaska Milk Corp. ........................................................................ 7,874,000 2,225,878 Alliance Global Group, Inc. .............................................................. 6,824,600 1,670,891 Alsons Consolidated Resources, Inc. ...................................................... 16,904,000 493,967 Ayala Corp. Series A ..................................................................... 101,640 725,652 Banco de Oro Unibank, Inc. ............................................................... 7,506,120 9,806,900 Cebu Holdings, Inc. ...................................................................... 7,590,250 448,514 China Banking Corp. ...................................................................... 10,642 98,722 *Digital Telecommunications Philippines., Inc. ............................................ 52,050,000 1,936,603 *DMCI Holdings, Inc. ...................................................................... 6,253,560 5,643,489 *Empire East Land Holdings, Inc. .......................................................... 37,000,000 522,254 *Export & Industry Bank, Inc. ............................................................. 14,950 91 Filinvest Land, Inc. ..................................................................... 168,982,031 4,501,375 *Filipina Water Bottling Corp. ............................................................ 5,471,786 -- First Philippines Holdings Corp. ......................................................... 3,810,100 4,634,110 *Global Estate Resorts, Inc. .............................................................. 612,000 30,316 JG Summit Holdings, Inc. ................................................................. 45,400 27,098
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- PHILIPPINES -- (Continued) Lopez Holdings Corp. ..................................................................... 25,974,100 $ 2,846,720 Macroasia Corp. .......................................................................... 1,418,000 103,944 Megaworld Corp. .......................................................................... 171,233,600 7,433,481 Metro Bank & Trust Co. ................................................................... 9,336,217 15,438,128 *Mondragon International Philippines, Inc. ................................................ 2,464,000 -- *Philippine National Bank ................................................................. 4,235,668 5,352,464 *Philippine National Construction Corp. ................................................... 398,900 45,845 *Philippine Realty & Holdings Corp. ....................................................... 4,822,000 61,337 Philippine Savings Bank .................................................................. 1,232,313 2,029,675 *Philippine Townships, Inc. ............................................................... 226,200 25,201 Phinma Corp. ............................................................................. 2,550,498 697,253 *Prime Orion Philippines, Inc. ............................................................ 10,310,000 132,109 Rizal Commercial Banking Corp. ........................................................... 4,497,648 3,294,061 Robinson's Land Corp. Series B ........................................................... 26,992,750 7,815,833 San Miguel Corp. ......................................................................... 3,407,296 9,085,205 Security Bank Corp. ...................................................................... 2,662,932 5,409,446 Shang Properties, Inc. ................................................................... 614,285 27,363 SM Development Corp. ..................................................................... 48,575,176 8,995,113 *Solid Group, Inc. ........................................................................ 9,532,000 248,702 Union Bank of Philippines ................................................................ 2,575,894 3,670,211 Universal Robina Corp. ................................................................... 16,503,345 18,110,898 Vista Land & Lifescapes, Inc. ............................................................ 46,059,868 3,216,981 --------------- TOTAL PHILIPPINES ............................................................................ 128,360,276 --------------- POLAND -- (1.6%) Agora SA ................................................................................. 575,665 2,662,251 Amica Wronki SA .......................................................................... 28,709 272,240 Asseco Poland SA ......................................................................... 846,860 13,237,288 ATM SA ................................................................................... 9,205 20,114 Bank Handlowy w Warszawie SA ............................................................. 106 2,494 Bank Millennium SA ....................................................................... 6,694,382 9,260,563 *Bioton SA ................................................................................ 35,824,890 903,105 *BOMI SA .................................................................................. 25,857 34,274 *Boryszew SA .............................................................................. 2,173,271 551,030 *Cersanit-Krasnystaw SA ................................................................... 127,857 181,114 *Ciech SA ................................................................................. 471,700 2,029,003 *ComArch SA ............................................................................... 3,061 48,795 Debica SA ................................................................................ 111,346 2,023,921 Dom Development SA ....................................................................... 42,315 384,124 *Dom Maklerski IDM SA ..................................................................... 2,163,902 1,089,193 *Echo Investment SA ....................................................................... 2,556,100 2,989,395 Emperia Holding SA ....................................................................... 19,149 678,256 Enea SA .................................................................................. 1,008,942 6,014,499 *Farmacol SA .............................................................................. 5,526 40,017 *Getin Holding SA ......................................................................... 1,451,341 3,877,673 Grupa Kety SA ............................................................................ 126,858 4,232,527 *Grupa Lotos SA ........................................................................... 970,047 8,708,378 Impexmetal SA ............................................................................ 5,864,978 6,819,422 KGHM Polska Miedz SA ..................................................................... 470,909 22,735,201 *Koelner SA ............................................................................... 133,110 552,383 *Kopex SA ................................................................................. 497,764 2,849,999 Kredyt Bank SA ........................................................................... 619,815 2,821,642 *LC Corp. SA .............................................................................. 1,860,881 628,831 *MNI SA ................................................................................... 78,700 45,739 Mostostal Warszawa SA .................................................................... 2,972 23,424 *Netia Holdings SA ........................................................................ 3,562,571 6,058,099 *Orbis SA ................................................................................. 541,449 6,914,283 PBG SA ................................................................................... 42,869 1,167,379 *Petrolinvest SA .......................................................................... 751,396 711,060 PGE SA ................................................................................... 6,927,349 42,614,480 Polimex-Mostostal SA ..................................................................... 4,525,815 2,296,895
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- POLAND -- (Continued) Polska Grupa Farmaceutyczna SA ........................................................... 3,774 $ 38,197 *Polski Koncern Naftowy Orlen SA .......................................................... 5,310,008 65,568,714 *Sygnity SA ............................................................................... 206,622 1,186,653 Synthos SA ............................................................................... 9,098,514 12,060,934 *Trakcja-Tiltra SA ........................................................................ 86,520 45,420 Zaklady Azotowe Pulawy SA ................................................................ 32,198 961,502 *Zaklady Azotowe w Tarnowie-Moscicach SA .................................................. 207,990 2,004,009 *Zaklady Chemiczne Police SA .............................................................. 953 3,413 --------------- TOTAL POLAND ................................................................................. 237,347,933 --------------- RUSSIA -- (5.2%) *AFI Development P.L.C. GDR. .............................................................. 156,273 90,326 Federal Hydrogenerating Co. ADR .......................................................... 1,643,345 6,167,991 Gazprom OAO Sponsored ADR ................................................................ 50,745,478 588,259,941 Lukoil OAO Sponsored ADR ................................................................. 2,457,775 142,357,217 Magnitogorsk Iron & Steel Works Sponsored GDR ............................................ 415,327 2,553,752 Surgutneftegas Sponsonsored ADR .......................................................... 4,474,899 38,374,073 --------------- TOTAL RUSSIA ................................................................................. 777,803,300 --------------- SOUTH AFRICA -- (7.9%) ABSA Group, Ltd. ......................................................................... 4,420,483 79,295,598 Adcorp Holdings, Ltd. .................................................................... 495,158 1,617,462 AECI, Ltd. ............................................................................... 1,453,010 13,931,982 Afgri, Ltd. .............................................................................. 4,685,517 3,068,473 African Bank Investments, Ltd. ........................................................... 3,883,766 16,810,243 African Oxygen, Ltd. ..................................................................... 222,800 466,777 African Rainbow Minerals, Ltd. ........................................................... 1,033,546 23,732,243 Allied Electronics Corp., Ltd. ........................................................... 544,171 1,623,374 ArcelorMittal South Africa, Ltd. ......................................................... 2,505,685 21,409,324 Argent Industrial, Ltd. .................................................................. 1,278,773 970,106 Aveng, Ltd. .............................................................................. 5,044,834 23,435,823 AVI, Ltd. ................................................................................ 2,991,919 13,095,463 Avusa, Ltd. .............................................................................. 473,355 1,368,111 Barloworld, Ltd. ......................................................................... 3,504,092 28,814,827 Basil Read Holdings, Ltd. ................................................................ 338,516 587,738 *Bell Equipment, Ltd. ..................................................................... 411,045 754,581 Bidvest Group, Ltd. ...................................................................... 1,900 37,632 Blue Label Telecoms, Ltd. ................................................................ 2,021,195 1,433,111 Brait SE ................................................................................. 1,772,965 4,230,984 Business Connexion Group, Ltd. ........................................................... 1,281,415 848,544 *Business Connexion Group, Ltd. Series A .................................................. 131,299 10,920 Cadiz Holdings, Ltd. ..................................................................... 6,673 2,196 Capitec Bank Holdings, Ltd. .............................................................. 69,952 1,601,268 Caxton & CTP Publishers & Printers, Ltd. ................................................. 3,015,054 5,694,355 Cipla Medpro South Africa, Ltd. .......................................................... 4,758,680 4,021,422 *Corpgro, Ltd. ............................................................................ 579,166 -- Data Tec, Ltd. ........................................................................... 2,554,297 12,900,985 Datacentrix Holdings, Ltd. ............................................................... 429,328 237,593 *Delta EMD, Ltd. .......................................................................... 234,340 218,268 Distell Group, Ltd. ...................................................................... 378,116 3,408,089 *Distribution & Warehousing Network, Ltd. ................................................. 221,543 122,803 #DRDGOLD, Ltd. ............................................................................ 3,287,199 2,186,254 ElementOne, Ltd. ......................................................................... 391,810 580,148 Eqstra Holdings, Ltd. .................................................................... 1,916,410 1,756,331 *Evraz Highveld Steel & Vanadium, Ltd. .................................................... 169,665 807,302 FirstRand, Ltd. .......................................................................... 4,353,231 10,779,106 Gijima Group, Ltd. ....................................................................... 396,488 33,346 Gold Fields, Ltd. ........................................................................ 515,937 8,947,144 Gold Fields, Ltd. Sponsored ADR .......................................................... 10,210,601 177,970,775 Grindrod, Ltd. ........................................................................... 5,301,572 10,039,572 Group Five, Ltd. ......................................................................... 902,577 2,598,252
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH AFRICA -- (Continued) Harmony Gold Mining Co., Ltd. ............................................................ 2,923,251 $ 38,233,469 #Harmony Gold Mining Co., Ltd. Sponsored ADR .............................................. 3,033,269 39,826,822 Hudaco Industries, Ltd. .................................................................. 123,172 1,227,252 *Hulamin, Ltd. ............................................................................ 1,390,917 1,294,869 Iliad Africa, Ltd. ....................................................................... 165,428 110,402 Illovo Sugar, Ltd. ....................................................................... 906,295 3,024,073 Impala Platinum Holdings, Ltd. ........................................................... 34,741 794,645 Imperial Holdings, Ltd. .................................................................. 1,354,335 20,045,187 Investec, Ltd. ........................................................................... 3,282,574 20,087,469 *JCI, Ltd. ................................................................................ 10,677,339 -- JD Group, Ltd. ........................................................................... 2,099,841 11,752,854 Lewis Group, Ltd. ........................................................................ 1,253,585 11,936,911 Liberty Holdings, Ltd. ................................................................... 1,463,065 14,948,950 *Life Healthcare Group Holdings, Ltd. ..................................................... 931,339 2,233,178 *m Cubed Holdings, Ltd. ................................................................... 1,850,526 -- Mediclinic International, Ltd. ........................................................... 2,567,629 11,241,053 Merafe Resources, Ltd. ................................................................... 20,726,386 2,493,036 Metair Investments, Ltd. ................................................................. 1,665,812 3,536,803 *Metorex, Ltd. ............................................................................ 5,271,552 5,400,387 MMI Holdings, Ltd. ....................................................................... 8,368,297 17,956,254 Mondi, Ltd. .............................................................................. 1,686,135 13,106,044 *Mpact, Ltd. .............................................................................. 2,003,035 3,470,699 Murray & Roberts Holdings, Ltd. .......................................................... 701,149 2,109,454 Mustek, Ltd. ............................................................................. 14,724 10,120 *Mvelaphanda Group, Ltd. .................................................................. 4,421,977 1,843,642 *Mvelaserve, Ltd. ......................................................................... 1,059,863 1,401,033 *Nampak, Ltd. ............................................................................. 5,771,296 16,158,295 Nedbank Group, Ltd. ...................................................................... 3,060,140 54,140,695 Northam Platinum, Ltd. ................................................................... 2,160,023 8,387,362 *Omnia Holdings, Ltd. ..................................................................... 668,829 6,665,655 Palabora Mining Co., Ltd. ................................................................ 149,286 2,183,515 Peregrine Holdings, Ltd. ................................................................. 1,440,815 1,936,320 *Petmin, Ltd. ............................................................................. 678,337 236,362 PSG Group, Ltd. .......................................................................... 671,524 4,191,400 Randgold & Exploration Co., Ltd. ......................................................... 256,811 73,273 #Raubex Group, Ltd. ....................................................................... 833,961 1,364,828 Redefine Properties, Ltd. ................................................................ 32,990 33,523 Reunert, Ltd. ............................................................................ 182,524 1,441,994 Sanlam, Ltd. ............................................................................. 28,905,406 107,867,260 *Sappi, Ltd. .............................................................................. 6,695,297 19,481,106 *Sappi, Ltd. Sponsored ADR ................................................................ 803,111 2,369,177 Sasol, Ltd. Sponsored ADR ................................................................ 704,259 31,860,677 *Sentula Mining, Ltd. ..................................................................... 2,055,781 557,577 Spur Corp., Ltd. ......................................................................... 66,167 113,099 Standard Bank Group, Ltd. ................................................................ 10,800,550 133,678,079 Stefanutti Stocks Holdings, Ltd. ......................................................... 185,069 266,134 #Steinhoff International Holdings, Ltd. ................................................... 16,661,875 50,383,723 *Super Group, Ltd. ........................................................................ 13,904,587 1,523,539 Telkom South Africa, Ltd. ................................................................ 3,776,475 14,518,919 Tongaat-Hulett, Ltd. ..................................................................... 200,498 2,309,219 Trencor, Ltd. ............................................................................ 1,523,605 6,399,765 Tsogo Sun Holdings, Ltd. ................................................................. 433,534 893,117 Value Group, Ltd. ........................................................................ 976,777 504,667 *Village Main Reef, Ltd. .................................................................. 2,726,843 528,822 *Wesizwe Platinum, Ltd. ................................................................... 14,355 2,696 *Wilson Bayly Holme-Ovcon, Ltd. ........................................................... 1,077 14,605 Zeder Investments, Ltd. .................................................................. 1,064,159 338,833 --------------- TOTAL SOUTH AFRICA ........................................................................... 1,179,957,367 --------------- SOUTH KOREA -- (13.7%) #Aekyung Petrochemical Co., Ltd. .......................................................... 56,444 1,476,989
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH KOREA -- (Continued) Amorepacific Group ....................................................................... 32,445 $ 7,097,176 Asia Cement Manufacturing Co., Ltd. ...................................................... 32,218 1,007,879 Asia Paper Manufacturing Co., Ltd. ....................................................... 27,000 207,249 *AUK Corp. ................................................................................ 206,660 502,385 Bing Grae Co., Ltd. ...................................................................... 23,653 1,201,169 #*BNG Steel Co., Ltd. ...................................................................... 125,040 1,580,333 Boo Kook Securities Co., Ltd. ............................................................ 27,705 421,326 #Boryung Pharmaceutical Co., Ltd. ......................................................... 65,200 1,044,914 *BS Financial Group, Inc. ................................................................. 1,268,451 13,960,610 BYC Co., Ltd. ............................................................................ 810 113,126 *Byuck San Corp. .......................................................................... 13,122 214,711 #*Chin Hung International, Inc. ............................................................ 865,633 130,964 #Chong Kun Dang Pharmaceutical Corp. ...................................................... 48,070 932,314 #Chosun Refractories Co., Ltd. ............................................................ 9,371 536,682 *Chungho Comnet Co., Ltd. ................................................................. 3,630 13,562 CJ Cheiljedang Corp. ..................................................................... 78,059 21,541,602 #CJ Corp. ................................................................................. 180,555 12,935,718 *CJ E&M Corp. ............................................................................. 26,232 859,106 #*Cosmochemical Co., Ltd. .................................................................. 89,760 1,527,603 Crown Confectionery Co., Ltd. ............................................................ 3,475 372,749 #Dae Dong Industrial Co., Ltd. ............................................................ 141,640 459,591 #Dae Han Flour Mills Co., Ltd. ............................................................ 12,235 1,569,165 #Dae Won Kang Up Co., Ltd. ................................................................ 318,816 1,426,124 #Daeduck Electronics Co., Ltd. ............................................................ 284,980 2,759,256 #Daeduck Industries Co., Ltd. ............................................................. 219,770 1,810,397 Daegu Department Store Co., Ltd. ......................................................... 83,931 1,028,696 #Daehan Steel Co., Ltd. ................................................................... 53,870 278,426 #Daehan Synthetic Fiber Co., Ltd. ......................................................... 5,144 370,688 Daekyo Co., Ltd. ......................................................................... 534,550 3,262,490 *Daelim Industrial Co., Ltd. .............................................................. 348,747 30,213,326 Daelim Trading Co., Ltd. ................................................................. 31,734 114,785 Daesang Corp. ............................................................................ 252,652 3,165,450 #Daesang Holdings Co., Ltd. ............................................................... 136,816 469,948 #Daesung Group Partners Co., Ltd. ......................................................... 5,187 285,642 #Daesung Holdings Co., Ltd. ............................................................... 87,450 564,108 #Daesung Industrial Co., Ltd. ............................................................. 2,994 84,304 #*Daewoo Engineering & Construction Co., Ltd. .............................................. 1,185,630 10,873,360 #Daewoo Securities Co., Ltd. .............................................................. 1,723,022 16,592,737 #Daewoo Shipbuilding & Marine Engineering Co., Ltd. ....................................... 158,302 3,892,745 Daewoong Co., Ltd. ....................................................................... 17,680 231,919 Dahaam E-Tec Co., Ltd. ................................................................... 9,365 151,869 Daishin Securities Co., Ltd. ............................................................. 490,655 4,492,054 #Daou Technology, Inc. .................................................................... 346,438 3,122,072 *DGB Financial Group, Inc. ................................................................ 1,035,752 13,038,026 Digital Power Communications Co., Ltd. ................................................... 62,160 92,125 #Dong Ah Tire Industrial Co., Ltd. ........................................................ 81,994 652,772 #Dong IL Rubber Belt Co., Ltd. ............................................................ 231,704 1,316,406 *Dong Yang Gang Chul Co., Ltd. ............................................................ 185,580 450,492 Dongbang Agro Co., Ltd. .................................................................. 53,610 301,808 *Dongbang Transport Logistics Co., Ltd. ................................................... 27,000 89,546 Dongbu Corp. ............................................................................. 60,900 261,259 #*Dongbu HiTek Co., Ltd. ................................................................... 314,984 2,294,412 Dongbu Securities Co., Ltd. .............................................................. 265,516 987,098 #Dongbu Steel Co., Ltd. ................................................................... 278,944 1,432,648 Dong-Il Corp. ............................................................................ 19,098 897,789 #Dongil Industries Co., Ltd. .............................................................. 15,340 799,783 #Dongkuk Steel Mill Co., Ltd. ............................................................. 455,989 10,560,504 #Dongwha Pharm Co., Ltd. .................................................................. 109,450 440,265 #Dongwon F&B Co., Ltd. .................................................................... 15,931 914,153 #*Dongwon Systems Corp. .................................................................... 189,880 166,292 Dongyang Express Bus Corp. ............................................................... 639 9,174
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH KOREA -- (Continued) #Doosan Construction & Engineering Co., Ltd. .............................................. 415,190 $ 1,453,860 Doosan Corp. ............................................................................. 43,510 5,501,808 *Eagon Industrial Co., Ltd. ............................................................... 23,010 100,935 *Eugene Investment & Securities Co., Ltd. ................................................. 638,529 1,924,781 *F&F Co., Ltd. ............................................................................ 10,620 71,104 #Fursys, Inc. ............................................................................. 30,774 769,601 #Gaon Cable Co., Ltd. ..................................................................... 8,497 116,996 #Global & Yuasa Battery Co., Ltd. ......................................................... 72,720 2,540,052 Green Cross Holdings Corp. ............................................................... 58,570 897,723 GS Engineering & Construction Corp. ...................................................... 146,898 12,775,002 GS Holdings Corp. ........................................................................ 419,610 24,170,247 Gwangju Shinsegae Co., Ltd. .............................................................. 5,680 915,221 Halla Engineering & Construction Corp. ................................................... 175,631 2,274,263 #Han Kuk Carbon Co., Ltd. ................................................................. 260,620 1,085,997 Han Yang Securities Co., Ltd. ............................................................ 90,530 504,493 Hana Financial Group, Inc. ............................................................... 2,545,984 90,951,178 Handok Pharmaceuticals Co., Ltd. ......................................................... 21,320 236,260 #Handsome Co., Ltd. ....................................................................... 229,060 5,582,998 Hanil Cement Co., Ltd. ................................................................... 42,802 1,633,595 *Hanil Construction Co., Ltd. ............................................................. 7,262 22,256 #*Hanjin Heavy Industries & Construction Co., Ltd. ......................................... 385,422 6,820,618 #Hanjin Heavy Industries & Construction Holdings Co., Ltd. ................................ 166,540 1,160,880 Hanjin Shipping Co., Ltd. ................................................................ 623,635 6,134,276 Hanjin Shipping Holdings Co., Ltd. ....................................................... 70,964 549,333 #Hanjin Transportation Co., Ltd. .......................................................... 104,410 2,310,038 *Hankook Cosmetics Co., Ltd. .............................................................. 28,860 43,633 #Hankook Cosmetics Manufacturing Co., Ltd. ................................................ 19,569 56,697 Hankuk Glass Industries, Inc. ............................................................ 29,050 656,534 Hankuk Paper Manufacturing Co., Ltd. ..................................................... 31,270 523,896 #*Hanmi Holdings Co., Ltd. ................................................................. 7,256 146,970 Hanmi Semiconductor Co., Ltd. ............................................................ 80,830 432,700 *Hansae Yes24 Holdings Co., Ltd. .......................................................... 52,710 188,476 #Hanshin Construction Co., Ltd. ........................................................... 27,520 195,278 #Hansol Chemical Co., Ltd. ................................................................ 51,607 758,028 Hansol CSN Co., Ltd. ..................................................................... 21,660 24,420 #Hansol Paper Co., Ltd. ................................................................... 489,994 3,660,878 Hanssem Co., Ltd. ........................................................................ 15,390 310,033 #*Hanwha Chemical Corp. .................................................................... 656,945 17,103,167 *Hanwha Corp. ............................................................................. 455,783 15,996,396 *Hanwha General Insurance Co., Ltd. ....................................................... 19,663 142,941 #Hanwha Securities Co., Ltd. .............................................................. 711,871 3,227,547 Hanwha Timeworld Co., Ltd. ............................................................... 12,290 215,630 #Hite Holdings Co., Ltd. .................................................................. 65,291 647,788 #*Hite Jinro Co., Ltd. ..................................................................... 49,443 1,127,851 *HMC Investment Securities Co., Ltd. ...................................................... 192,425 2,560,292 #HS R&A Co., Ltd. ......................................................................... 37,336 544,555 #Husteel Co., Ltd. ........................................................................ 49,320 874,493 *Hwa Sung Industrial Co., Ltd. ............................................................ 27,970 69,570 Hwacheon Machine Tool Co., Ltd. .......................................................... 12,737 589,628 Hyosung Corp. ............................................................................ 266,917 15,394,163 *Hyundai Cement Co., Ltd. ................................................................. 14,745 86,497 #Hyundai Development Co. .................................................................. 664,084 13,714,383 #Hyundai Elevator Co., Ltd. ............................................................... 4,003 649,616 Hyundai Greenfood Co., Ltd. .............................................................. 160,560 2,159,514 *Hyundai Hysco Co., Ltd. .................................................................. 107,031 4,143,107 Hyundai Merchant Marine Co., Ltd. ........................................................ 75,524 1,950,175 #Hyundai Mipo Dockyard Co., Ltd. .......................................................... 127,927 13,902,344 Hyundai Motor Co., Ltd. .................................................................. 695,176 140,000,418 #Hyundai Securities Co. ................................................................... 1,500,148 12,909,849 #Hyundai Steel Co. ........................................................................ 494,540 44,876,905 #Il Dong Pharmaceutical Co., Ltd. ......................................................... 129,860 856,858
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH KOREA -- (Continued) #Iljin Electric Co., Ltd. ................................................................. 286,540 $ 1,350,309 #Iljin Holdings Co., Ltd. ................................................................. 109,364 207,342 #Ilshin Spinning Co., Ltd. ................................................................ 14,083 1,088,488 #Ilsung Pharmaceutical Co., Ltd. .......................................................... 8,854 573,113 Industrial Bank of Korea, Ltd. ........................................................... 1,991,390 26,143,564 InziControls Co., Ltd. ................................................................... 1,930 10,587 IS Dongseo Co., Ltd. ..................................................................... 48,805 348,840 #ISU Chemical Co., Ltd. ................................................................... 117,960 2,864,494 IsuPetasys Co., Ltd. ..................................................................... 301,791 1,527,898 #Jahwa Electronics Co., Ltd. .............................................................. 118,270 1,047,543 #Jeil Pharmaceutical Co. .................................................................. 51,040 539,884 Jeonbuk Bank, Ltd. ....................................................................... 449,536 2,032,839 *Jinheung Savings Bank .................................................................... 142,030 289,918 #JW Pharmaceutical Corp. .................................................................. 76,764 1,176,356 KB Financial Group, Inc. ................................................................. 783,093 30,338,481 #*KB Financial Group, Inc. ADR ............................................................. 3,116,900 121,714,945 #KC Tech Co., Ltd. ........................................................................ 258,000 1,186,923 KCC Corp. ................................................................................ 59,236 14,358,452 #*Keangnam Enterprises, Ltd. ............................................................... 114,560 870,209 #Keyang Electric Machinery Co., Ltd. ...................................................... 393,920 1,000,219 #KG Chemical Corp. ........................................................................ 47,243 333,049 #KISCO Corp. .............................................................................. 49,461 1,067,275 #KISCO Holdings Co., Ltd. ................................................................. 11,673 393,078 #Kishin Corp. ............................................................................. 113,945 477,725 #KISWIRE, Ltd. ............................................................................ 57,603 2,283,866 Kolon Corp. .............................................................................. 50,445 1,130,244 *Kolon Engineering & Construction Co., Ltd. ............................................... 204,960 891,990 Kolon Industries, Inc. ................................................................... 2,277 145,577 #Korea Cast Iron Pipe Co., Ltd. ........................................................... 70,638 201,063 *Korea Circuit Co., Ltd. .................................................................. 8,950 42,655 *Korea Development Co., Ltd. .............................................................. 86,430 188,346 Korea Development Leasing Corp. .......................................................... 23,598 400,956 #Korea Electric Terminal Co., Ltd. ........................................................ 64,110 1,272,779 Korea Exchange Bank ...................................................................... 3,962,626 29,332,238 #*Korea Express Co., Ltd. .................................................................. 84,339 5,751,228 #Korea Flange Co., Ltd. ................................................................... 58,560 720,856 Korea Investment Holdings Co., Ltd. ...................................................... 457,046 15,181,857 *Korea Life Insurance Co., Ltd. ........................................................... 1,127,745 6,300,302 #*Korea Line Corp. ......................................................................... 111,043 751,509 Korea Petrochemical Industrial Co., Ltd. ................................................. 18,384 1,523,711 *Korea Savings Bank ....................................................................... 21,483 95,320 *Korea United Pharm, Inc. ................................................................. 52,990 277,144 *Korean Air Co., Ltd. ..................................................................... 213,462 9,478,469 #Korean Air Terminal Service Co., Ltd. .................................................... 19,190 560,488 #KPX Chemical Co., Ltd. ................................................................... 11,129 532,838 KPX Holdings Corp. ....................................................................... 5,734 199,924 *KTB Investment & Securities Co., Ltd. .................................................... 625,130 1,249,882 #Kukdo Chemical Co., Ltd. ................................................................. 33,642 1,285,142 #Kumho Electric Co., Ltd. ................................................................. 26,374 517,030 *Kumho Investment Bank. ................................................................... 720,490 252,819 *Kumho Tire Co., Inc. ..................................................................... 15,029 149,449 #Kunsul Chemical Industrial Co., Ltd. ..................................................... 25,470 308,066 #Kwang Dong Pharmaceutical Co., Ltd. ...................................................... 484,320 1,446,206 #Kyeryong Construction Industrial Co., Ltd. ............................................... 42,210 556,729 Kyobo Securities Co., Ltd. ............................................................... 207,082 906,962 Kyung Dong Navien Co., Ltd. .............................................................. 16,050 86,064 #Kyung Nong Corp. ......................................................................... 49,810 131,285 #Kyungbang Co., Ltd. ...................................................................... 7,623 641,799 #Kyung-In Synthetic Corp. ................................................................. 178,830 407,998 LG Corp. ................................................................................. 316,710 18,534,939 LG Display Co., Ltd. ..................................................................... 802,820 16,301,133
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH KOREA -- (Continued) #LG Display Co., Ltd. ADR ................................................................. 3,906,218 $ 39,296,553 #LG Electronics, Inc. ..................................................................... 1,144,074 75,740,020 *LG Hausys, Ltd. .......................................................................... 59,033 4,222,683 *LG Innotek Co., Ltd. ..................................................................... 68,854 4,542,368 LG Uplus Corp. ........................................................................... 2,723,421 16,219,100 Livart Furniture Co., Ltd. ............................................................... 19,740 137,046 Lotte Chilsung Beverage Co., Ltd. ........................................................ 7,749 8,699,562 Lotte Confectionary Co., Ltd. ............................................................ 7,449 11,647,765 Lotte Midopa Co., Ltd. ................................................................... 108,460 1,495,322 #Lotte Sam Kang Co., Ltd. ................................................................. 9,253 2,768,334 #Lotte Shopping Co., Ltd. ................................................................. 125,487 45,037,638 LS Corp. ................................................................................. 15,317 1,090,178 Meritz Securities Co., Ltd. .............................................................. 2,079,734 1,311,546 Mi Chang Oil Industrial Co., Ltd. ........................................................ 3,725 156,881 Mirae Asset Securities Co., Ltd. ......................................................... 218,499 6,954,403 #Moorim P&P Co., Ltd. ..................................................................... 273,808 1,397,959 #Moorim Paper Co., Ltd. ................................................................... 264,210 664,639 #Motonic Corp. ............................................................................ 128,720 902,160 *Namkwang Engineering & Construction Co., Ltd. ............................................ 112,386 129,046 Namyang Dairy Products Co., Ltd. ......................................................... 4,576 3,224,293 *National Plastic Co. ..................................................................... 174,380 391,228 #Nexen Corp. .............................................................................. 12,406 829,435 NH Investment & Securities Co., Ltd. ..................................................... 321,408 1,438,099 *NICE Holdings Co., Ltd. .................................................................. 451 22,044 NK Co., Ltd. ............................................................................. 87,300 333,824 #Nong Shim Holdings Co., Ltd. ............................................................. 21,224 950,273 NongShim Co., Ltd. ....................................................................... 36,780 7,207,288 Noroo Holdings Co., Ltd. ................................................................. 32,578 207,662 #Noroo Paint Co., Ltd. .................................................................... 37,899 99,677 #Ottogi Corp. ............................................................................. 15,919 1,866,792 Pacific Pharmaceutical Co., Ltd. ......................................................... 3,390 65,468 *Pang Rim Co., Ltd. ....................................................................... 8,580 78,937 #*PaperCorea, Inc. ......................................................................... 273,870 124,834 #Poongsan Corp. ........................................................................... 165,110 5,022,625 Poongsan Holdings Corp. .................................................................. 43,558 1,150,859 POSCo. ................................................................................... 366,870 127,116,197 #*POSCO ADR ................................................................................ 1,529,671 131,429,332 #POSCO Coated & Color Steel Co., Ltd. ..................................................... 23,830 402,799 Pulmuone Co., Ltd. ....................................................................... 6,875 209,298 *Pumyang Construction Co., Ltd. ........................................................... 15,645 21,247 Pusan City Gas Co., Ltd. ................................................................. 71,620 1,229,128 #S&T Daewoo Co., Ltd. ..................................................................... 98,570 2,963,322 #S&T Dynamics Co., Ltd. ................................................................... 284,864 3,811,719 #S&T Holdings Co., Ltd. ................................................................... 68,743 719,310 #Saeron Automotive Corp. .................................................................. 82,395 301,353 *Sajodaerim Corp. ......................................................................... 11,840 182,728 #Sam Jin Pharmaceutical Co., Ltd. ......................................................... 58,423 451,608 Sam Kwang Glass Industrial Co., Ltd. ..................................................... 13,257 812,506 *Sam Lip General Foods Co., Ltd. .......................................................... 25,580 272,426 Sam Yung Trading Co., Ltd. ............................................................... 20,062 103,509 #Sambu Construction Co., Ltd. ............................................................. 40,667 204,546 Samhwa Crown & Closure Co., Ltd. ......................................................... 469 7,879 Samhwa Paints Industrial Co., Ltd. ....................................................... 48,610 147,193 #Samick Musical Instruments Co., Ltd. ..................................................... 798,890 1,214,266 Samsung C&T Corp. ........................................................................ 1,105,770 68,369,291 #Samsung SDI Co., Ltd. .................................................................... 384,336 46,296,900 Samwhan Corp. ............................................................................ 54,610 265,614 Samyang Corp. ............................................................................ 70,786 5,167,467 Samyang Genex Co., Ltd. .................................................................. 18,118 1,116,400 Samyang Tongsang Co., Ltd. ............................................................... 8,060 165,944 #Samyoung Electronics Co., Ltd. ........................................................... 113,080 913,771
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH KOREA -- (Continued) *SAVEZONE I&C Corp. ....................................................................... 27,710 $ 56,841 *SBS Media Holdings Co., Ltd. ............................................................. 497,090 2,029,592 #Seah Besteel Corp. ....................................................................... 90,629 4,593,740 SeAH Holdings Corp. ...................................................................... 13,089 1,501,435 #SeAH Steel Corp. ......................................................................... 25,174 1,862,719 #Sebang Co., Ltd. ......................................................................... 112,230 1,455,306 Sejong Industrial Co., Ltd. .............................................................. 7,960 111,517 Seowon Co., Ltd. ......................................................................... 156,260 616,175 *Sewon Cellontech Co., Ltd. ............................................................... 10,410 38,106 Shin Young Wacoal, Inc. .................................................................. 273 23,966 *Shinhan Engineering & Construction Co., Ltd. ............................................. 8,460 43,916 Shinhan Financial Group Co., Ltd. ........................................................ 3,676,399 146,457,204 #Shinhan Financial Group Co., Ltd. ADR .................................................... 818,794 65,176,002 Shinpoong Pharmaceutical Co., Ltd. ....................................................... 152,230 554,978 Shinsegae Engineering & Construction Co., Ltd. ........................................... 2,630 34,159 Shinsegae Information & Communication Co., Ltd. .......................................... 3,571 147,526 *Shinsung Solar Energy Co., Ltd. .......................................................... 48,300 170,844 Shinsung Tongsang Co., Ltd. .............................................................. 342,500 245,944 Shinyoung Securities Co., Ltd. ........................................................... 32,020 782,131 #Silla Trading Co., Ltd. .................................................................. 60,833 639,835 #Sindo Ricoh Co., Ltd. .................................................................... 43,674 1,956,054 SJM Co., Ltd. ............................................................................ 51,214 199,941 SJM Holdings Co., Ltd. ................................................................... 31,331 82,458 SK Chemicals Co., Ltd. ................................................................... 41,345 2,645,049 SK Gas Co., Ltd. ......................................................................... 32,793 2,159,683 SK Holdings Co., Ltd. .................................................................... 349,657 46,548,698 SK Innovation Co., Ltd. .................................................................. 28,928 4,353,128 *SK Networks Co., Ltd. .................................................................... 1,151,136 11,535,294 *SK Securities Co., Ltd. .................................................................. 578,210 719,165 #*Ssangyong Cement Industrial Co., Ltd. .................................................... 262,036 1,051,298 STX Corp. ................................................................................ 355,023 4,494,730 #STX Engine Co., Ltd. ..................................................................... 224,640 3,882,499 *STX Metal Co, Ltd. ....................................................................... 3,740 22,917 STX Offshore & Shipbuilding Co., Ltd. .................................................... 288,010 4,013,139 #STX Pan Ocean Co., Ltd. .................................................................. 1,268,470 8,334,956 Suheung Capsule Co., Ltd. ................................................................ 66,370 884,533 Sung Bo Chemicals Co., Ltd. .............................................................. 2,570 50,637 *Sungshin Cement Co., Ltd. ................................................................ 66,250 174,644 *Sunjin Co., Ltd. ......................................................................... 34,369 239,340 *Sunjin Holdings Co., Ltd. ................................................................ 3,672 69,485 #Tae Kyung Industrial Co., Ltd. ........................................................... 116,020 319,746 #TaeKwang Industrial Co., Ltd. ............................................................ 3,934 5,234,340 #Taeyoung Engineering & Construction Co., Ltd. ............................................ 445,570 2,363,580 *Taihan Electric Wire Co., Ltd. ........................................................... 763,827 2,795,320 #Tailim Packaging Industries Co., Ltd. .................................................... 374,220 424,644 *TCC Steel ................................................................................ 33,810 164,103 #*Teems, Inc. .............................................................................. 3,590 35,261 Telcoware Co., Ltd. ...................................................................... 36,000 237,226 *Tong Kook Corp. .......................................................................... 607 856 #*Tong Yang Moolsan Co., Ltd. .............................................................. 56,730 1,023,818 Tong Yang Securities, Inc. ............................................................... 1,050,719 4,406,482 #TS Corp. ................................................................................. 48,876 978,295 #Unid Co., Ltd. ........................................................................... 36,450 1,844,375 #Union Steel Manufacturing Co., Ltd. ...................................................... 38,477 637,092 *Whanin Pharmaceutical Co., Ltd. .......................................................... 2,880 15,883 Wiscom Co., Ltd. ......................................................................... 32,980 117,313 #*Woongjin Holdings Co., Ltd. .............................................................. 405,344 2,462,364 *Woori Finance Holdings Co., Ltd. ......................................................... 4,400,497 42,097,072 #Woori Finance Holdings Co., Ltd. ADR ..................................................... 8,505 245,794 Woori Financial Co., Ltd. ................................................................ 95,550 1,234,459 Woori Investment & Securities Co., Ltd. .................................................. 1,085,820 11,890,703
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- SOUTH KOREA -- (Continued) YESCO Co., Ltd. .......................................................................... 19,870 $ 435,018 Yoosung Enterprise Co., Ltd. ............................................................. 36,225 79,022 #Youlchon Chemical Co., Ltd. .............................................................. 124,710 934,206 Young Poong Corp. ........................................................................ 4,715 4,887,220 *Young Poong Mining & Construction Corp. .................................................. 18,030 895 Youngone Holdings Co., Ltd. .............................................................. 45,802 1,753,890 Yuhwa Securities Co., Ltd. ............................................................... 28,680 330,192 *Zinus, Inc. .............................................................................. 1,866 6,314 --------------- TOTAL SOUTH KOREA ............................................................................ 2,038,064,371 --------------- TAIWAN -- (11.4%) #*A.G.V. Products Corp. .................................................................... 5,811,701 1,964,542 *Ability Enterprise Co., Ltd. ............................................................. 77,000 70,977 *Abocom Systems, Inc. ..................................................................... 146,752 43,230 AcBel Polytech, Inc. ..................................................................... 2,982,219 1,375,852 Accton Technology Corp. .................................................................. 7,112,156 3,747,225 #Acer, Inc. ............................................................................... 26,577,364 30,346,843 #ACHEM Technology Corp. ................................................................... 2,168,500 973,192 #Action Electronics Co., Ltd. ............................................................. 2,904,084 872,331 Advanced Semiconductor Engineering, Inc. ................................................. 1,165,486 1,029,905 #Allis Electric Co., Ltd. ................................................................. 1,471,000 439,151 #Alpha Networks, Inc. ..................................................................... 2,992,237 2,016,514 *Altek Corp. .............................................................................. 2,259,808 2,088,696 Ambassador Hotel (The) ................................................................... 274,000 329,666 #Ampoc Far East Co., Ltd. ................................................................. 1,220,000 904,356 #AmTRAN Technology Co., Ltd. .............................................................. 7,257,956 4,240,285 APCB, Inc. ............................................................................... 1,001,000 726,897 #Apex Science & Engineering Corp. ......................................................... 690,713 205,378 *Arima Communications Corp. ............................................................... 2,682,000 1,873,629 #*Arima Optoelectronics Corp. .............................................................. 1,409,500 237,996 #Asia Cement Corp. ........................................................................ 21,443,293 25,829,613 #*Asia Optical Co, Inc. .................................................................... 2,713,290 3,024,917 Asia Polymer Corp. ....................................................................... 2,610,732 3,534,239 Asia Vital Components Co., Ltd. .......................................................... 1,426,782 981,618 #Asustek Computer, Inc. ................................................................... 5,140,973 35,740,999 #AU Optronics Corp. ....................................................................... 7,613,812 3,281,678 AU Optronics Corp. Sponsored ADR ......................................................... 7,879,945 33,726,165 #Audix Corp. .............................................................................. 1,355,164 1,273,347 Aurora Systems Corp. ..................................................................... 572,281 703,571 *Avermedia Technologies, Inc. ............................................................. 323,000 278,782 #Avision, Inc. ............................................................................ 2,362,555 977,617 #Bank of Kaohsiung ........................................................................ 4,852,397 1,564,685 *Basso Industry Corp., Ltd. ............................................................... 380,000 252,071 #BES Engineering Corp. .................................................................... 16,644,443 4,632,936 #Biostar Microtech International Corp. .................................................... 1,005,055 523,198 *Bright Led Electronics Corp. ............................................................. 218,000 128,261 C Sun Manufacturing, Ltd. ................................................................ 879,837 605,842 #Cameo Communications, Inc. ............................................................... 2,280,197 719,608 #Capital Securities Corp. ................................................................. 12,970,447 4,981,827 #*Carnival Industrial Corp. ................................................................ 4,127,000 1,231,853 #Catcher Technology Co., Ltd. ............................................................. 716,326 3,991,015 #Cathay Chemical Works, Inc. .............................................................. 959,000 350,014 #Cathay Real Estate Development Co., Ltd. ................................................. 10,662,421 4,348,737 Central Reinsurance Co., Ltd. ............................................................ 2,477,781 1,186,895 #Chain Qui Development Co., Ltd. .......................................................... 1,235,173 840,973 #Champion Building Materials Co., Ltd. .................................................... 3,783,828 2,179,262 Chang Hwa Commercial Bank ................................................................ 48,266,790 31,065,808 *Chang-Ho Fibre Corp. ..................................................................... 192,000 65,558 #Charoen Pokphand Enterprises Co., Ltd. ................................................... 2,214,000 1,113,854 #Cheng Loong Corp. ........................................................................ 10,768,659 4,217,217 Cheng Uei Precision Industry Co., Ltd. ................................................... 3,202,705 7,196,200
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) #Chia Hsin Cement Corp. ................................................................... 5,902,749 $ 2,909,446 *Chia Hsin Food & Synthetic Fiber Co., Ltd. ............................................... 514,966 -- #Chien Kuo Construction Co., Ltd. ......................................................... 2,062,248 1,060,159 *Chien Shing Stainless Steel Co., Ltd. .................................................... 2,208,000 362,594 #Chilisin Electronics Corp. ............................................................... 354,300 167,194 #*Chimei Innolux Corp. ..................................................................... 58,628,389 23,550,225 China Airlines, Ltd. ..................................................................... 23,173,252 11,659,121 China Chemical & Pharmaceutical Co. ...................................................... 1,119,264 727,482 China Development Financial Holding Corp. ................................................ 110,216,960 34,878,294 China Electric Manufacturing Co., Ltd. ................................................... 973,200 659,216 #*China General Plastics Corp. ............................................................. 4,859,000 1,362,867 China Glaze Co., Ltd. .................................................................... 1,785,363 908,194 *China Man-Made Fiber Co., Ltd. ........................................................... 13,302,813 4,709,104 China Metal Products Co., Ltd. ........................................................... 2,371,547 1,900,633 #*China Motor Co., Ltd. .................................................................... 7,075,749 6,763,902 China Petrochemical Development Corp. .................................................... 18,037,338 20,946,930 *China Rebar Co., Ltd. .................................................................... 439,188 -- #China Steel Structure Co., Ltd. .......................................................... 1,551,219 1,443,343 #China Synthetic Rubber Corp. ............................................................. 4,958,711 4,292,106 *China United Trust & Investment Corp. .................................................... 493,999 -- #*China Wire & Cable Co., Ltd. ............................................................. 2,900,000 906,822 Chinatrust Financial Holdings Co., Ltd. .................................................. 68,019,043 44,579,470 Chinese Maritime Transport, Ltd. ......................................................... 285,000 429,264 Chin-Poon Industrial Co., Ltd. ........................................................... 4,534,815 2,880,522 #*Chun Yu Works & Co., Ltd. ................................................................ 2,106,000 673,910 #Chun Yuan Steel Industrial Co., Ltd. ..................................................... 4,871,144 2,023,568 #Chung Hsin Electric & Machinery Co., Ltd. ................................................ 4,290,000 2,231,753 #Chung Hung Steel Corp. ................................................................... 7,574,046 2,603,483 #Chung Hwa Pulp Corp. ..................................................................... 8,255,011 3,015,075 *Chung Shing Textile Co., Ltd. ............................................................ 600 9 #*Chungwa Picture Tubes Co., Ltd. .......................................................... 36,465,412 2,220,222 Chuwa Wool Industry Co., Ltd. ............................................................ 120,189 91,445 #*Chyang Sheng Dyeing & Finishing Co., Ltd. ................................................ 328,000 110,642 #*CMC Magnetics Corp. ...................................................................... 32,331,830 6,428,750 #Collins Co., Ltd. ........................................................................ 2,112,224 1,041,267 Compal Communications, Inc. .............................................................. 648,000 925,667 #Compal Electronics, Inc. ................................................................. 36,715,332 33,696,568 #*Compeq Manufacturing Co., Ltd. ........................................................... 14,123,000 5,557,977 *Compex International Co., Ltd. ........................................................... 46,400 310 #Continental Holdings Corp. ............................................................... 5,888,848 2,086,303 *Cosmos Bank Taiwan ....................................................................... 747,756 143,772 #Coxon Precise Industrial Co., Ltd. ....................................................... 857,000 1,154,846 CSBC Corp. Taiwan ........................................................................ 1,294,256 1,075,994 #DA CIN Construction Co., Ltd. ............................................................ 1,624,579 959,476 #Darfon Electronics Corp. ................................................................. 3,372,950 2,039,317 #Delpha Construction Co., Ltd. ............................................................ 2,948,329 995,504 #Depo Auto Parts Industrial Co., Ltd. ..................................................... 317,000 597,993 *Der Pao Construction Co., Ltd. ........................................................... 1,139,000 31,218 Diamond Flower Electric Instrument Co., Ltd. ............................................. 275,280 221,704 #D-Link Corp. ............................................................................. 7,407,939 5,956,873 Dynamic Electronics Co., Ltd. ............................................................ 2,927,804 1,173,843 E.Sun Financial Holding Co., Ltd. ........................................................ 35,594,271 17,739,283 *Eastern Media International Corp. ........................................................ 10,250,399 1,579,220 Eclat Textile Co., Ltd. .................................................................. 840,558 1,296,773 Edom Technology Co., Ltd. ................................................................ 943,800 289,300 Elite Material Co., Ltd. ................................................................. 472,905 369,377 *Elite Semiconductor Memory Technology, Inc. .............................................. 424,000 424,673 #*Elitegroup Computer Systems Co., Ltd. .................................................... 9,280,066 2,278,910 EnTie Commercial Bank .................................................................... 983,232 386,574 #Epistar Corp. ............................................................................ 5,985,000 11,081,080 Eva Airways Corp. ........................................................................ 14,759,738 10,677,245
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) *Ever Fortune Industrial Co., Ltd. ........................................................ 409,000 $ 4,511 *Everest Textile Co., Ltd. ................................................................ 3,815,002 799,440 Evergreen International Storage & Transport Corp. ........................................ 5,811,000 3,465,719 Evergreen Marine Corp., Ltd. ............................................................. 18,391,998 10,083,730 Everlight Chemical Industrial Corp. ...................................................... 684,000 425,353 *Everlight Electronics Co., Ltd. .......................................................... 409,000 756,374 #*Everspring Industry Co., Ltd. ............................................................ 1,325,180 315,714 Excel Cell Electronics Co., Ltd. ......................................................... 141,000 55,423 *Excelsior Medical Co., Ltd. .............................................................. 140,000 286,473 Far Eastern Department Stores Co., Ltd. .................................................. 6,181,540 9,451,073 #Far Eastern International Bank ........................................................... 18,175,955 7,564,268 *Farglory F T Z Investment Holding Co., Ltd. .............................................. 401,000 250,205 Farglory Land Development Co., Ltd. ...................................................... 225,000 379,863 Federal Corp. ............................................................................ 4,489,640 2,353,499 #First Copper Technology Co., Ltd. ........................................................ 3,260,750 1,018,967 First Financial Holding Co., Ltd. ........................................................ 72,788,356 48,316,420 First Hotel .............................................................................. 782,059 574,646 #First Insurance Co., Ltd. ................................................................ 3,139,064 1,518,649 #Forhouse Corp. ........................................................................... 4,595,635 2,596,194 Formosa Chemicals & Fiber Co., Ltd. ...................................................... 2,986,660 8,643,592 #Formosa Epitaxy, Inc. .................................................................... 4,308,000 2,700,595 #Formosa Oilseed Processing Co., Ltd. ..................................................... 1,079,593 486,826 #Formosa Taffeta Co., Ltd. ................................................................ 8,525,511 7,876,911 Formosan Rubber Group, Inc. .............................................................. 4,110,000 2,946,710 #Formosan Union Chemical Corp. ............................................................ 1,870,758 1,168,497 *Fortune Electric Co., Ltd. ............................................................... 82,000 43,395 #Founding Construction & Development Co., Ltd. ............................................ 1,113,626 732,093 #*Froch Enterprise Co., Ltd. ............................................................... 1,149,000 493,917 FSP Technology, Inc. ..................................................................... 703,283 581,463 #Fu I Industrial Co., Ltd. ................................................................ 290,944 114,350 Fubon Financial Holding Co., Ltd. ........................................................ 48,047,063 56,332,130 #Fullerton Technology Co., Ltd. ........................................................... 1,355,200 1,245,208 #Fwusow Industry Co., Ltd. ................................................................ 2,172,502 1,254,635 #G Shank Enterprise Co., Ltd. ............................................................. 1,280,880 726,196 #Gamma Optical Co., Ltd. .................................................................. 278,600 70,965 #Gemtek Technology Corp. .................................................................. 2,484,962 2,347,396 Getac Technology Corp. ................................................................... 4,391,065 2,409,427 #*Giantplus Technology Co., Ltd. ........................................................... 3,247,100 1,013,796 Giga Storage Corp. ....................................................................... 1,248,600 826,185 #Giga-Byte Technology Co., Ltd. ........................................................... 6,624,287 5,366,181 #Gintech Energy Corp. ..................................................................... 2,630,944 3,277,543 #Global Brands Manufacture, Ltd. .......................................................... 1,939,290 944,750 *Globe Union Industrial Corp. ............................................................. 821,000 501,394 #Gold Circuit Electronics, Ltd. ........................................................... 6,956,965 1,932,019 Goldsun Development & Construction Co., Ltd. ............................................. 16,355,261 7,448,460 Good Will Instrument Co., Ltd. ........................................................... 423,021 311,937 Grand Pacific Petrochemical Corp. ........................................................ 9,569,000 4,725,359 Great China Metal Industry Co., Ltd. ..................................................... 1,549,000 1,715,693 Great Wall Enterprise Co., Ltd. .......................................................... 2,983,799 3,038,619 Greatek Co., Ltd. ........................................................................ 2,870,842 1,951,370 #Green Energy Technology, Inc. ............................................................ 2,629,287 2,608,673 #GTM Corp. ................................................................................ 2,184,000 1,110,837 #*Hannstar Board Corp. ..................................................................... 2,978,635 1,331,951 #*HannStar Display Corp. ................................................................... 56,387,000 3,245,922 *HannsTouch Solution, Inc. ................................................................ 3,369,000 843,442 #Harvatek Corp. ........................................................................... 1,443,940 824,145 *Helix Technology, Inc. ................................................................... 29,585 -- #Hey Song Corp. ........................................................................... 4,889,000 4,858,661 Hitron Technologies, Inc. ................................................................ 1,554,525 895,637 #*Ho Tung Holding Corp. .................................................................... 8,132,883 4,561,720 #*Hocheng Corp. ............................................................................ 3,786,300 1,120,659
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) #Hold-Key Electric Wire & Cable Co., Ltd. ................................................. 1,844,124 $ 690,449 #Holy Stone Enterprise Co., Ltd. .......................................................... 2,449,643 2,265,570 *Hong Ho Precision Textile Co., Ltd. ...................................................... 97,000 49,647 #Hong Tai Electric Industrial Co., Ltd. ................................................... 2,687,000 860,641 Hong Yi Fiber Industry Co., Ltd. ......................................................... 256,040 87,094 Hsin Kuang Steel Co., Ltd. ............................................................... 3,336,124 2,391,130 Hsing Ta Cement Co., Ltd. ................................................................ 2,071,980 743,590 Hua Eng Wire & Cable Co., Ltd. ........................................................... 5,446,035 1,563,062 Hua Nan Financial Holding Co., Ltd. ...................................................... 21,982,727 14,320,879 *Hualon Corp. ............................................................................. 257,040 9,279 #Hung Ching Development & Construction Co., Ltd. .......................................... 1,838,468 889,059 Hung Poo Construction Corp. .............................................................. 1,385,655 1,168,921 Hung Sheng Construction Co., Ltd. ........................................................ 6,866,892 3,181,257 #*Hwa Fong Rubber Co., Ltd. ................................................................ 2,929,960 744,386 #*Ichia Technologies, Inc. ................................................................. 4,595,260 2,706,153 #I-Chiun Precision Industry Co., Ltd. ..................................................... 1,340,000 670,819 #*Inotera Memories, Inc. ................................................................... 28,462,728 4,205,929 Inventec Corp. ........................................................................... 26,034,417 9,356,240 ITE Technology, Inc. ..................................................................... 1,702,000 1,742,879 #Jui Li Enterprise Co., Ltd. .............................................................. 686,760 185,907 #K Laser Technology, Inc. ................................................................. 1,056,601 376,771 Kang Na Hsiung Enterprise Co., Ltd. ...................................................... 1,579,078 836,301 *Kao Hsing Chang Iron & Steel Corp. ....................................................... 1,589,000 239,036 #Kaulin Manufacturing Co., Ltd. ........................................................... 2,006,656 1,566,778 Kee Tai Properties Co., Ltd. ............................................................. 1,108,485 562,574 Kerry TJ Logistics Co., Ltd. ............................................................. 1,437,000 1,514,561 #King Yuan Electronics Co., Ltd. .......................................................... 14,588,805 5,616,285 #Kingdom Construction Co., Ltd. ........................................................... 3,267,000 2,132,664 *King's Town Bank ......................................................................... 10,259,012 6,368,995 King's Town Construction Co., Ltd. ....................................................... 46,200 33,393 Kinko Optical Co., Ltd. .................................................................. 428,131 566,250 #Kinpo Electronics, Inc. .................................................................. 14,250,375 3,647,872 Knowledge-Yield-Excellence Systems Corp. ................................................. 2,025,000 892,386 KS Terminals, Inc. ....................................................................... 281,880 189,145 *Kuoyang Construction Co., Ltd. ........................................................... 1,656,029 714,493 #Kwong Fong Industries Corp. .............................................................. 4,042,900 1,361,065 #L&K Engineering Co., Ltd. ................................................................ 1,195,000 1,009,266 #Lan Fa Textile Co., Ltd. ................................................................. 3,087,713 1,160,917 *Lead Data Co., Ltd. ...................................................................... 1,765,457 162,624 Leader Electronics, Inc. ................................................................. 617,056 207,848 Lealea Enterprise Co., Ltd. .............................................................. 7,799,794 2,970,663 *Ledtech Electronics Corp. ................................................................ 99,000 48,850 #Lee Chi Enterprises Co., Ltd. ............................................................ 2,190,900 835,971 #Lelon Electronics Corp. .................................................................. 1,324,000 755,830 *Leofoo Development Co., Ltd. ............................................................. 2,330,803 1,534,111 #Li Peng Enterprise Co., Ltd. ............................................................. 5,785,183 1,967,275 Lian Hwa Foods Corp. ..................................................................... 161,240 213,809 #Lien Chang Electronic Enterprise Co., Ltd. ............................................... 694,273 186,165 Lien Hwa Industrial Corp. ................................................................ 5,918,990 3,647,644 #Lingsen Precision Industries, Ltd. ....................................................... 4,987,480 2,546,107 #LITE-ON IT Corp. ......................................................................... 3,969,339 3,711,395 Lite-On Semiconductor Corp. .............................................................. 3,171,190 1,652,677 Lite-On Technology Corp. ................................................................. 26,100,040 24,628,999 Long Bon International Co., Ltd. ......................................................... 2,611,301 940,689 #Long Chen Paper Co., Ltd. ................................................................ 6,574,369 2,043,512 *Lotes Co., Ltd. .......................................................................... 53,000 150,904 #*Lucky Cement Corp. ....................................................................... 3,099,000 631,635 #Macronix International Co., Ltd. ......................................................... 49,709,028 18,783,645 #Marketech International Corp. ............................................................ 1,771,000 1,146,198 #Masterlink Securities Corp. .............................................................. 13,513,000 4,853,718 #Maxtek Technology Co., Ltd. .............................................................. 262,000 182,882
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) #Mayer Steel Pipe Corp. ................................................................... 1,458,456 $ 754,116 #Maywufa Co., Ltd. ........................................................................ 252,070 112,466 #Mega Financial Holding Co., Ltd. ......................................................... 95,728,765 73,586,438 *Megamedia Corp. .......................................................................... 782 6 #Meiloon Co., Ltd. ........................................................................ 1,741,352 686,267 Mercuries & Associates, Ltd. ............................................................. 3,983,052 4,232,746 *Mercuries Data Systems, Ltd. ............................................................. 1,537,800 702,863 Merry Electronics Co., Ltd. .............................................................. 604,000 721,865 *Microelectronics Technology, Inc. ........................................................ 5,297,911 1,209,158 #Micro-Star International Co., Ltd. ....................................................... 11,822,985 5,270,210 #Mitac International Corp. ................................................................ 13,700,450 4,875,866 *Mobiletron Electronics Co., Ltd. ......................................................... 153,000 96,689 #*Mosel Vitelic, Inc. ...................................................................... 8,983,170 1,309,208 Nantex Industry Co., Ltd. ................................................................ 2,063,108 1,804,408 *Nanya Technology Corp. ................................................................... 4,221,000 416,147 #*Neo Solar Power Corp. .................................................................... 3,685,000 2,941,398 #*New Asia Construction & Development Co., Ltd. ............................................ 1,626,660 517,758 Nichidenbo Corp. ......................................................................... 82,249 71,394 Nien Hsing Textile Co., Ltd. ............................................................. 3,701,447 2,632,936 *Ocean Plastics Co., Ltd. ................................................................. 7,776 4,940 *Optimax Technology Corp. ................................................................. 1,382,597 60,824 Opto Tech Corp. .......................................................................... 3,340,000 1,345,658 *Orient Semiconductor Electronics, Ltd. ................................................... 4,143,276 667,910 *Oriental Union Chemical Corp. ............................................................ 2,573,225 3,360,179 *Pacific Construction Co., Ltd. ........................................................... 3,341,256 506,891 Pan Jit International, Inc. .............................................................. 3,807,837 2,075,227 Pan-International Industrial Corp. ....................................................... 2,799,967 2,807,230 #Paragon Technologies Co., Ltd. ........................................................... 824,000 896,891 #Pegatron Corp. ........................................................................... 13,414,998 14,489,036 Phihong Technology Co., Ltd. ............................................................. 277,320 363,561 *Picvue Electronics, Ltd. ................................................................. 241,600 -- #Plotech Co., Ltd. ........................................................................ 894,282 529,483 *Potrans Electrical Corp. ................................................................. 1,139,000 165,988 #Pou Chen Corp. ........................................................................... 24,382,550 18,743,063 *Power Quotient International Co., Ltd. ................................................... 1,592,000 551,968 *Powercom Co., Ltd. ....................................................................... 199,000 155,716 *Powertech Industrial Co., Ltd. ........................................................... 41,000 30,573 President Securities Corp. ............................................................... 9,268,992 4,742,961 Prince Housing & Development Corp. ....................................................... 4,403,432 3,204,663 *Procomp Informatics, Ltd. ................................................................ 391,440 -- *Prodisc Technology, Inc. ................................................................. 6,185,157 35,145 #Promate Electronic Co., Ltd. ............................................................. 653,000 398,855 #Qisda Corp. .............................................................................. 17,708,171 4,838,680 #*Quintain Steel Co., Ltd. ................................................................. 3,878,250 1,039,818 *Radiant Opto-Electronics Corp. ........................................................... 3,700,839 10,878,119 #Radium Life Tech Corp. ................................................................... 2,989,313 2,689,005 #Ralec Electronic Corp. ................................................................... 477,087 615,990 Realtek Semiconductor Corp. .............................................................. 1,397,840 2,328,426 #Rechi Precision Co., Ltd. ................................................................ 3,783,190 2,939,246 #*Ritek Corp. .............................................................................. 34,475,622 6,611,763 *Sainfoin Technology Corp. ................................................................ 835,498 -- Sampo Corp. .............................................................................. 6,565,925 1,770,334 Sanyang Industrial Co., Ltd. ............................................................. 9,369,624 5,567,063 Sanyo Electric Taiwan Co., Ltd. .......................................................... 368,000 333,704 *SDI Corp. ................................................................................ 30,000 21,364 Shan-Loong Transportation Co., Ltd. ...................................................... 66,000 38,316 Sheng Yu Steel Co., Ltd. ................................................................. 1,754,000 1,116,394 *ShenMao Technology, Inc. ................................................................. 17,000 22,145 Shih Wei Navigation Co., Ltd. ............................................................ 141,000 143,039 #Shihlin Electric & Engineering Corp. ..................................................... 3,452,000 3,586,455 #*Shin Kong Financial Holding Co., Ltd. .................................................... 72,097,151 22,455,954
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) #Shin Zu Shing Co., Ltd. .................................................................. 1,107,067 $ 2,174,022 Shinkong Insurance Co., Ltd. ............................................................. 2,179,412 1,254,664 #Shinkong Synthetic Fibers Co., Ltd. ...................................................... 18,314,762 5,729,916 #*Shuttle, Inc. ............................................................................ 1,069,015 341,786 #Sigurd Microelectronics Corp. ............................................................ 5,365,047 3,786,721 Silicon Integrated Systems Corp. ......................................................... 8,043,165 3,128,132 Siliconware Precision Industries Co. ..................................................... 2,962,000 3,040,698 *Siliconware Precision Industries Co. Sponsored ADR ....................................... 1,964 10,213 #Sinbon Electronics Co., Ltd. ............................................................. 2,010,000 1,353,757 Sincere Navigation Corp. ................................................................. 2,255,740 2,051,564 Sinkang Industries, Ltd. ................................................................. 999,262 375,277 #Sinon Corp. .............................................................................. 4,629,877 1,827,851 SinoPac Holdings Co., Ltd. ............................................................... 69,263,344 22,423,604 *Sitronix Technology Corp. ................................................................ 621,000 726,147 #Siward Crystal Technology Co., Ltd. ...................................................... 1,251,875 441,580 #Solomon Technology Corp. ................................................................. 1,375,950 456,759 #*Solytech Enterprise Corp. ................................................................ 494,000 164,274 South East Soda Manufacturing Co., Ltd. .................................................. 927,500 992,422 #Southeast Cement Co., Ltd. ............................................................... 3,279,700 1,157,873 #Spirox Corp. ............................................................................. 1,115,661 584,201 Springsoft, Inc. ......................................................................... 2,057,000 2,258,255 Standard Chemical & Pharmaceutical Co., Ltd. ............................................. 166,181 136,636 Star Comgistic Capital Co., Ltd. ......................................................... 275,460 214,367 #Stark Technology, Inc. ................................................................... 1,342,200 1,222,560 Sunonwealth Electric Machine Industry Co., Ltd. .......................................... 486,421 432,147 #Sunplus Technology Co., Ltd. ............................................................. 7,048,620 2,825,734 Sunrex Technology Corp. .................................................................. 160,000 112,941 Sunspring Metal Corp. .................................................................... 48,000 46,723 *Super Dragon Technology Co., Ltd. ........................................................ 24,150 26,970 #Supreme Electronics Co., Ltd. ............................................................ 2,569,681 1,512,133 Sweeten Construction Co., Ltd. ........................................................... 1,090,825 568,510 Sysware Systex Corp. ..................................................................... 828,801 979,332 *Ta Chen Stainless Pipe Co., Ltd. ......................................................... 5,124,074 2,631,252 #*Ta Chong Bank, Ltd. ...................................................................... 20,391,524 5,870,267 Ta Ya Electric Wire & Cable Co., Ltd. .................................................... 6,297,329 1,684,833 #Tah Hsin Industrial Corp. ................................................................ 1,518,000 1,487,024 *TAI Roun Products Co., Ltd. .............................................................. 63,000 22,659 TA-I Technology Co., Ltd. ................................................................ 859,813 607,343 *Taichung Commercial Bank ................................................................. 17,325,341 5,830,329 #Tainan Enterprises Co., Ltd. ............................................................. 1,211,183 1,472,434 #Tainan Spinning Co., Ltd. ................................................................ 12,629,942 5,579,586 Taishin Financial Holdings Co., Ltd. ..................................................... 61,851,773 26,189,159 #Taisun Enterprise Co., Ltd. .............................................................. 2,573,505 1,387,307 #Taita Chemical Co., Ltd. ................................................................. 3,633,728 1,568,634 #*Taiwan Business Bank ..................................................................... 36,751,833 12,001,676 Taiwan Cement Corp. ...................................................................... 35,502,440 44,338,322 Taiwan Cogeneration Corp. ................................................................ 3,677,333 2,366,839 Taiwan Cooperative Bank .................................................................. 52,378,005 34,375,799 Taiwan Fire & Marine Insurance Co., Ltd. ................................................. 1,094,000 825,202 *Taiwan Flourescent Lamp Co., Ltd. ........................................................ 756,000 75,302 #Taiwan Fu Hsing Industrial Co., Ltd. ..................................................... 799,000 462,260 #Taiwan Glass Industrial Corp. ............................................................ 9,126,091 11,228,226 *Taiwan Kolin Co., Ltd. ................................................................... 5,797,000 -- #*Taiwan Land Development Corp. ............................................................ 5,743,215 2,269,930 Taiwan Mask Corp. ........................................................................ 2,494,250 885,460 Taiwan Navigation Co., Ltd. .............................................................. 137,000 132,969 Taiwan Paiho Co., Ltd. ................................................................... 1,712,850 1,287,870 #Taiwan Pulp & Paper Corp. ................................................................ 6,208,660 2,305,241 Taiwan Sakura Corp. ...................................................................... 1,365,472 789,841 Taiwan Sogo Shinkong Security Co., Ltd. .................................................. 1,503,205 1,289,450 *Taiwan Styrene Monomer Corp. ............................................................. 7,124,856 1,810,461
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) #Taiwan Tea Corp. ......................................................................... 6,641,092 $ 3,501,736 #Taiyen Biotech Co., Ltd. ................................................................. 2,185,000 1,881,472 #*Tatung Co., Ltd. ......................................................................... 23,805,982 8,381,823 *Teapo Electronic Corp. ................................................................... 994,840 165,812 #Teco Electric & Machinery Co., Ltd. ...................................................... 22,479,725 13,114,781 *Tecom, Ltd. .............................................................................. 736,753 59,463 Test-Rite International Co., Ltd. ........................................................ 1,786,331 1,301,152 *Thinking Electronic Industrial Co., Ltd. ................................................. 296,000 279,411 Ton Yi Industrial Corp. .................................................................. 9,151,600 4,657,345 #Tong Yang Industry Co., Ltd. ............................................................. 2,436,623 2,340,956 Tong-Tai Machine & Tool Co., Ltd. ........................................................ 919,640 842,043 Topco Scientific Co., Ltd. ............................................................... 1,312,719 1,901,857 #Topoint Technology Co., Ltd. ............................................................. 1,050,682 748,975 #*Tung Ho Spinning, Weaving & Dyeing Co., Ltd. ............................................. 2,432,000 1,073,679 Tung Ho Steel Enterprise Corp. ........................................................... 4,930,274 4,419,083 #*TYC Brother Industrial Co., Ltd. ......................................................... 2,312,790 1,016,408 #*Tycoons Group Enterprise Co., Ltd. ....................................................... 5,561,938 1,308,729 Tyntek Corp. ............................................................................. 1,278,000 449,407 #*Tze Shin International Co., Ltd. ......................................................... 1,161,418 404,270 Unimicron Technology Corp. ............................................................... 8,727,363 11,331,978 *Union Bank of Taiwan ..................................................................... 8,083,282 2,731,145 #Unitech Electronics Co., Ltd. ............................................................ 1,308,739 573,937 #Unitech Printed Circuit Board Corp. ...................................................... 8,168,281 3,802,538 United Integration Service Co., Ltd. ..................................................... 1,309,000 1,313,788 #United Microelectronics Corp. ............................................................ 166,249,681 72,995,607 Unity Opto Technology Co., Ltd. .......................................................... 1,107,629 884,337 #Universal Cement Corp. ................................................................... 5,217,551 2,609,718 #Universal Microelectronics Co., Ltd. ..................................................... 892,491 271,952 #Universal, Inc. .......................................................................... 143,837 88,256 #UPC Technology Corp. ..................................................................... 7,474,415 3,754,844 USI Corp. ................................................................................ 6,545,892 6,987,322 #U-Tech Media Corp. ....................................................................... 1,946,799 391,791 #Ve Wong Corp. ............................................................................ 1,469,806 1,070,689 Wah Lee Industrial Corp. ................................................................. 49,000 65,474 #Walsin Lihwa Corp. ....................................................................... 42,011,412 14,092,595 #Walsin Technology Corp., Ltd. ............................................................ 8,060,230 2,504,492 #Walton Advanced Engineering, Inc. ........................................................ 3,722,853 1,423,394 Wan Hai Lines Co., Ltd. .................................................................. 5,023,000 2,607,293 Wan Hwa Enterprise Co., Ltd. ............................................................. 696,690 334,015 *Waterland Financial Holdings Co., Ltd. ................................................... 28,804,896 10,575,020 *WEI Chih Steel Industrial Co., Ltd. ...................................................... 1,914,898 356,713 Weikeng Industrial Co., Ltd. ............................................................. 1,502,550 1,099,326 #Well Shin Technology Co., Ltd. ........................................................... 359,080 422,505 #Wellypower Optronics Corp. ............................................................... 1,895,000 1,098,026 Weltrend Semiconductor, Inc. ............................................................. 471,000 276,754 #*Winbond Electronics Corp. ................................................................ 37,158,885 6,940,260 Wintek Corp. ............................................................................. 16,179,507 12,365,851 Wistron Corp. ............................................................................ 2,163,000 2,503,239 WPG Holdings, Ltd. ....................................................................... 1,513,092 1,827,065 WT Microelectronics Co., Ltd. ............................................................ 2,471,965 3,380,207 #*WUS Printed Circuit Co., Ltd. ............................................................ 5,434,928 2,724,743 Yageo Corp. .............................................................................. 30,712,840 9,251,556 Yang Ming Marine Transport Corp. ......................................................... 22,418,676 9,237,963 *Yem Chio Co., Ltd. ....................................................................... 627,212 543,236 #Yeung Cyang Industrial Co., Ltd. ......................................................... 2,597,667 1,627,037 #Yi Jinn Industrial Co., Ltd. ............................................................. 4,037,810 1,119,399 Yieh Phui Enterprise Co., Ltd. ........................................................... 11,434,485 3,815,161 #*Young Fast Optoelectronics Co., Ltd. ..................................................... 809,000 2,333,663 *Yuanta Financial Holding Co., Ltd. ....................................................... 74,266,654 42,335,492 Yuen Foong Yu Paper Manufacturing Co., Ltd. .............................................. 12,687,847 5,157,034 Yulon Motor Co., Ltd. .................................................................... 11,058,572 23,267,898
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TAIWAN -- (Continued) Yung Chi Paint & Varnish Manufacturing Co., Ltd. ......................................... 119,687 $ 170,614 Yung Tay Engineering Co., Ltd. ........................................................... 3,118,000 5,040,357 #Zenitron Corp. ........................................................................... 2,341,000 1,536,418 Zig Sheng Industrial Co., Ltd. ........................................................... 5,350,400 2,610,833 Zippy Technology Corp. ................................................................... 343,000 250,160 #Zyxel Communication Corp. ................................................................ 4,976,000 3,287,412 --------------- TOTAL TAIWAN ................................................................................. 1,699,627,880 --------------- THAILAND -- (2.2%) Aapico Hitech PCL (Foreign) .............................................................. 539,800 151,846 Asia Plus Securities PCL (Foreign) ....................................................... 3,280,400 190,957 Asian Property Development PCL (Foreign) ................................................. 9,477,200 1,399,235 Ayudhya Insurance PCL (Foreign) .......................................................... 228,500 130,041 Bangchak Petroleum PCL (Foreign) ......................................................... 7,266,900 4,112,002 Bangkok Bank PCL (Foreign) ............................................................... 6,088,200 31,084,468 Bangkok Bank PCL (Foreign) NVDR .......................................................... 4,793,500 23,304,984 Bangkok Expressway PCL (Foreign) ......................................................... 4,557,400 2,430,613 Bangkok First Investment & Trust PCL (Foreign) ........................................... 132,300 28,181 Bangkok Insurance PCL (Foreign) .......................................................... 135,820 896,633 *Bangkokland PCL (Foreign) ................................................................ 89,137,003 1,391,407 Bank of Ayudhya PCL (Foreign) ............................................................ 16,762,600 11,120,554 Bank of Ayudhya PCL (Foreign) NVDR ....................................................... 6,025,700 3,919,154 Cal-Comp Electronics (Thailand) PCL (Foreign) ............................................ 18,405,400 1,412,577 Capital Nomura Securities PCL (Foreign) .................................................. 413,400 403,317 Central Plaza Hotel PCL (Foreign) ........................................................ 8,083,900 2,155,707 Charoong Thai Wire & Cable PCL (Foreign) ................................................. 7,300 1,662 Delta Electronics (Thailand) PCL (Foreign) ............................................... 4,830,100 2,921,621 Eastern Water Resources Development & Management PCL (Foreign) ........................... 9,535,200 1,736,492 *Erawan Group PCL (Foreign) ............................................................... 4,288,950 306,852 Esso Thailand PCL (Foreign) .............................................................. 12,800,800 3,788,204 *G J Steel PCL (Foreign) .................................................................. 214,856,100 1,048,079 *G Steel PCL (Foreign) .................................................................... 67,319,100 810,018 Hana Microelectronics PCL (Foreign) ...................................................... 3,277,700 1,769,425 Hermraj Land & Development PCL (Foreign) ................................................. 64,383,100 4,313,144 ICC International PCL (Foreign) .......................................................... 2,710,500 3,900,476 IRPC PCL (Foreign) ....................................................................... 100,784,500 12,585,772 Italian-Thai Development PCL (Foreign) NVDR .............................................. 22,041,800 2,666,520 Jasmine International PCL (Foreign) ...................................................... 25,048,600 1,384,801 Kang Yong Electric PCL (Foreign) ......................................................... 4,000 20,878 Kasikornbank PCL (Foreign) ............................................................... 1,193,700 4,871,849 Kasikornbank PCL (Foreign) NVDR .......................................................... 164,500 663,350 KGI Securities Thailand PLC (Foreign) .................................................... 7,771,200 404,355 Kiatnakin Finance PCL (Foreign) .......................................................... 3,406,200 3,073,888 Krung Thai Bank PCL (Foreign) ............................................................ 54,147,700 26,765,692 *Krungthai Card PCL (Foreign) ............................................................. 415,800 136,572 Laguna Resorts & Hotels PCL (Foreign) .................................................... 1,342,400 2,106,367 Loxley PCL (Foreign) ..................................................................... 4,919,700 447,973 MBK PCL (Foreign) ........................................................................ 905,500 2,591,350 Padaeng Industry PCL (Foreign) NVDR ...................................................... 1,412,500 578,780 Polyplex PCL (Foreign) ................................................................... 1,071,300 533,037 Precious Shipping PCL (Foreign) .......................................................... 5,065,000 2,388,374 *PTT Global Chemical PCL (Foreign) ........................................................ 17,631,641 37,556,829 PTT PCL (Foreign) ........................................................................ 2,794,500 27,808,683 Quality Houses PCL (Foreign) ............................................................. 31,732,400 1,393,130 *Regional Container Lines PCL (Foreign) ................................................... 4,874,500 951,122 Rojana Industrial Park PCL (Foreign) ..................................................... 401,700 84,912 Saha Pathana Inter-Holding PCL (Foreign) ................................................. 2,932,100 2,145,439 Saha Pathanapibul PCL (Foreign) .......................................................... 1,594,833 1,484,621 Saha-Union PCL (Foreign) ................................................................. 2,976,400 2,589,226 *Sahaviriya Steel Industries PCL (Foreign) ................................................ 82,680,840 1,828,389 Samart Corporation PCL (Foreign) ......................................................... 800,000 187,317
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- THAILAND -- (Continued) Sansiri PCL (Foreign) .................................................................... 46,586,864 $ 1,621,071 SC Asset Corp. PCL (Foreign) ............................................................. 1,694,800 523,597 *Shinawatra Satellite PCL (Foreign) ....................................................... 5,868,900 1,584,126 Siam Commercial Bank PCL (Foreign) ....................................................... 944,800 3,610,211 Somboon Advance Technology PCL (Foreign) ................................................. 624,800 353,545 Sri Trang Agro Industry PCL (Foreign) .................................................... 4,641,300 2,867,795 Supalai PCL (Foreign) .................................................................... 495,566 201,450 *Tata Steel (Thailand) PCL (Foreign) ...................................................... 35,972,800 982,672 *Thai Airways International PCL (Foreign) ................................................. 9,467,711 5,973,125 Thai Carbon Black PCL (Foreign) .......................................................... 139,600 108,956 Thai Oil PCL (Foreign) ................................................................... 9,483,600 17,964,868 Thai Plastic & Chemicals PCL (Foreign) ................................................... 3,787,100 2,857,259 Thai Rayon PCL (Foreign) ................................................................. 165,000 435,976 Thai Stanley Electric PCL (Foreign) ...................................................... 147,700 682,062 *Thai Stanley Electric PCL (Foreign) NVDR ................................................. 6,000 27,707 Thai Wacoal PCL (Foreign) ................................................................ 93,300 132,744 Thanachart Capital PCL (Foreign) ......................................................... 7,732,200 6,210,905 Thoresen Thai Agencies PCL (Foreign) ..................................................... 3,887,100 1,883,505 Ticon Industrial Connection PCL (Foreign) ................................................ 1,613,000 550,780 Tisco Financial Group PCL (Foreign) ...................................................... 1,352,100 1,516,990 TMB Bank PCL (Foreign) ................................................................... 79,911,700 3,560,294 Total Access Communication PCL (Foreign) (B1XFLM7) ....................................... 1,264,380 3,009,224 Total Access Communication PCL (Foreign) (B231MK7) ....................................... 36,700 89,512 *Total Access Communication PCL (Foreign) NVDR ............................................ 8,353,600 20,102,972 TPI Polene PCL (Foreign) ................................................................. 10,203,724 4,280,587 *Tycoons Worldwide Group PCL (Foreign) .................................................... 1,243,300 295,157 Univentures PCL (Foreign) ................................................................ 3,481,400 237,754 Vanachai Group PCL (Foreign) ............................................................. 5,869,000 645,113 Vinythai PCL (Foreign) ................................................................... 5,239,317 2,436,495 --------------- TOTAL THAILAND ............................................................................... 326,723,327 --------------- TURKEY -- (1.8%) Adana Cimento Sanayii T.A.S. Series A .................................................... 594,250 1,343,157 Adana Cimento Sanayii T.A.S. Series C .................................................... 299,447 112,866 *Advansa Sasa Polyester Sanayi A.S. ....................................................... 1,061,884 945,122 Akcansa Cimento Sanayi ve Ticaret A.S. ................................................... 301,763 1,142,187 *Akenerji Elektrik Uretim A.S. ............................................................ 13,804 21,859 Aksa Akrilik Kimya Sanayii A.S. .......................................................... 1,444,767 3,711,228 *Aksigorta A.S. ........................................................................... 1,273,009 1,051,089 Alarko Holding A.S. ...................................................................... 1,013,092 1,806,504 *Albaraka Turk Katilim Bankasi A.S. ....................................................... 280,251 295,588 Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. ..................................... 62,010 650,338 Anadolu Anonim Turk Sigorta Sirketi A.S. ................................................. 3,100,852 1,483,355 Anadolu Cam Sanayii A.S. ................................................................. 1,486,817 2,680,907 Arcelik A.S. ............................................................................. 1,576,149 6,039,372 *Asya Katilim Bankasi A.S. ................................................................ 5,794,395 6,201,085 *Ayen Enerji A.S. ......................................................................... 593,912 521,852 Aygaz A.S. ............................................................................... 1,118,602 6,082,599 Bati Anabolu Cimento A.S. ................................................................ 276,594 1,015,503 Bolu Cimento Sanayii A.S. ................................................................ 997,004 884,836 *Borusan Mannesmann Boru Sanayi ve Ticaret A.S. ........................................... 98,391 1,505,280 Cimsa Cimento Sanayi ve Ticaret A.S. ..................................................... 562,388 2,430,726 *Deva Holding A.S. ........................................................................ 620,118 774,077 *Dogan Gazetecilik A.S. ................................................................... 572,836 649,733 *Dogan Sirketler Grubu Holdings A.S. ...................................................... 13,119,972 4,807,175 *Dogan Yayin Holding A.S. ................................................................. 2,670,107 994,017 *Dogus Otomotiv Servis ve Ticaret A.S. .................................................... 784,916 1,686,867 Eczacibasi Yatirim Holding Ortakligi A.S. ................................................ 444,200 1,217,139 EGE Seramik Sanayi ve Ticaret A.S. ....................................................... 897,041 973,347 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. ............... 2,374,545 2,907,859 Enka Insaat ve Sanayi A.S -- 1
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- TURKEY -- (Continued) Eregli Demir ve Celik Fabrikalari T.A.S. ................................................. 9,603,111 $ 19,804,158 Gentas Genel Metal Sanayi ve Ticaret A.S. ................................................ 600,898 566,115 *Global Yatirim Holding A.S. .............................................................. 3,131,327 1,940,692 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. ..................................... 3,045 101,981 Goodyear Lastikleri T.A.S. ............................................................... 123,686 3,703,590 *GSD Holding A.S. ......................................................................... 2,782,270 1,111,946 *Gunes Sigorta A.S. ....................................................................... 480,743 516,259 Haci Omer Sabanci Holding A.S. ........................................................... -- 1 *Hurriyet Gazetecilik ve Matbaacilik A.S. ................................................. 2,245,783 1,164,685 *Ihlas EV Aletleri A.S. ................................................................... -- -- *Ihlas Holding A.S. ....................................................................... 6,486,892 3,144,493 *Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. .............................................. 741,246 1,392,954 *Is Finansal Kiralama A.S. ................................................................ 1,382,146 792,063 Is Yatirim Menkul Degerler A.S. .......................................................... 391,075 323,228 *Isiklar Yatirim Holding A.S. ............................................................. 1,527,068 799,347 Ittifak Holding A.S. ..................................................................... 92,228 360,109 *Izmir Demir Celik Sanayi A.S. ............................................................ 1,579,364 3,245,657 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A .............................. 2,360,622 1,612,879 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B .............................. 1,171,069 982,700 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D .............................. 7,255,064 3,353,930 Koc Holding A.S. Series B ................................................................ 7,898,158 28,074,613 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. ...................... 1,190,352 2,925,188 *Koza Anadolu Metal Madencilik Isletmeleri A.S. ........................................... 1,404,798 3,231,536 *Marshall Boya ve Vernik A.S. ............................................................. 1 22 *Marti Otel Isletmeleri A.S. .............................................................. -- -- *Menderes Tekstil Sanayi ve Ticaret A.S. .................................................. 619,367 296,855 Net Turizm Ticaret ve Sanayi A.S. ........................................................ 2,364,089 1,134,216 Netas Telekomunikasyon A.S. .............................................................. 50,899 4,294,950 *Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. ................................... 145,574 313,326 *Petkim Petrokimya Holding A.S. ........................................................... 4,417,470 6,034,896 Pinar Entegre Et ve Un Sanayi A.S. ....................................................... 270,197 923,845 Pinar SUT Mamulleri Sanayii A.S. ......................................................... 194,424 1,685,042 *Raks Elektronik Sanayi ve Ticaret A.S. ................................................... 5,859 2,617 *Sabah Yayincilik A.S. .................................................................... 31,938 68,629 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. ...................................... 683,167 1,609,578 Sekerbank T.A.S. ......................................................................... 4,910,715 2,761,925 Selcuk Ecza Deposu Ticaret ve Sanayi A.S. ................................................ 1,175,867 1,112,408 Soda Sanayii A.S. ........................................................................ 646,809 1,248,639 *Tekfen Holding A.S. ...................................................................... 1,568,707 5,369,043 *Tekstil Bankasi A.S. ..................................................................... 795,952 318,119 Tofas Turk Otomobil Fabrikasi A.S. ....................................................... 1 3 Trakya Cam Sanayii A.S. .................................................................. 2,389,567 3,829,818 Turcas Petrol A.S. ....................................................................... 774,166 1,268,016 *Turk Hava Yollari A.S. ................................................................... 5,755,552 8,305,332 Turkiye Garanti Bankasi A.S. ............................................................. -- 1 Turkiye Is Bankasi A.S. .................................................................. 19,868,145 46,178,521 Turkiye Sinai Kalkinma Bankasi A.S. ...................................................... 4,187,333 4,681,081 Turkiye Sise ve Cam Fabrikalari A.S. ..................................................... 5,247,071 10,017,809 Turkiye Vakiflar Bankasi T.A.O. .......................................................... 9,344,387 15,878,672 Ulker Biskuvi Sanayi A.S. ................................................................ 1,364,998 4,329,499 *Uzel Makina Sanayii A.S. ................................................................. 275,043 121,315 Vestel Beyaz Esya Sanayi ve Ticaret A.S. ................................................. 734,575 846,555 *Vestel Elektronik Sanayi ve Ticaret A.S. ................................................. 1,113,983 1,311,971 *Yapi ve Kredi Bankasi A.S. ............................................................... 958,661 1,791,996 --------------- TOTAL TURKEY ................................................................................. 258,818,491 --------------- TOTAL COMMON STOCKS .......................................................................... 13,161,482,054 --------------- PREFERRED STOCKS -- (4.9%) BRAZIL -- (4.9%) Alpargatas SA ............................................................................ 683,200 4,536,494 Banco Alfa de Investimento SA ............................................................ 61,726 200,978
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- BRAZIL -- (Continued) Banco Cruzeiro do Sul SA ................................................................. 5,100 $ 40,994 Banco Daycoval SA ........................................................................ 564,248 3,109,058 Banco do Estado do Rio Grande do Sul SA .................................................. 1,273,933 13,445,360 Banco Industrial e Comercial SA .......................................................... 1,218,000 5,547,811 *Banco Panamericano SA .................................................................... 1,150,400 5,112,591 #Braskem SA Preferred A Sponsored ADR ..................................................... 406,359 7,330,716 *Braskem SA Preferred Series A ............................................................ 1,479,200 13,328,610 Cia Brasileira de Distribuicao Grupo Pao de Acucar SA .................................... 71,221 2,756,581 #Cia Brasileira de Distribuicao Grupo Pao de Acucar SA Sponsored ADR Series A ............. 90,768 3,557,198 Cia de Tecidos Norte de Minas - Coteminas SA ............................................. 901,775 1,911,909 Cia Ferro Ligas da Bahia - Ferbasa ....................................................... 733,234 4,416,017 Confab Industrial SA ..................................................................... 2,986,607 9,202,406 Eucatex SA Industria e Comercio SA ....................................................... 89,888 356,547 Financeira Alfa SA Credito Financiamento e Investimentos ................................. 36,400 72,298 *Forjas Taurus SA ......................................................................... 916,590 955,643 Gerdau SA ................................................................................ 2,445,084 22,060,373 #Gerdau SA Sponsored ADR .................................................................. 6,582,102 59,370,560 Inepar SA Industria e Construcoes ........................................................ 1,129,808 1,961,049 *Klabin SA ................................................................................ 8,324,943 30,596,960 Mangels Industrial SA .................................................................... 3,600 11,742 Marcopolo SA ............................................................................. 2,237,260 10,112,204 Metalurgica Gerdau SA .................................................................... 2,409,500 27,142,575 Parana Banco SA .......................................................................... 116,200 669,376 *Petroleo Brasileiro SA ................................................................... 2,656,900 33,241,234 #Petroleo Brasileiro SA ADR ............................................................... 14,314,698 362,018,712 Suzano Papel e Celullose SA .............................................................. 2,981,974 14,989,333 Telemar Norte Leste SA Preferred Series A ................................................ 566,358 15,445,078 #Ultrapar Participacoes SA Sponsored ADR .................................................. 559,978 9,945,209 *Unipar Participacoes SA Preferred Series B ............................................... 8,924,136 1,819,290 Universo Online SA ....................................................................... 455,300 5,001,577 Usinas Siderurgicas de Minas Gerais SA Perferred Series A ................................ 8,735,599 61,108,742 *Vale SA Series B ......................................................................... 239,144 -- Whirlpool SA ............................................................................. 71,500 141,597 --------------- TOTAL BRAZIL ................................................................................. 731,516,822 --------------- INDIA -- (0.0%) *JSW ISPAT Steel, Ltd. .................................................................... 1,309,928 124,022 --------------- MALAYSIA -- (0.0%) *Malayan United Industries Berhad Series A2 ............................................... 1,526,067 82,073 *TA Global Berhad ......................................................................... 8,465,880 741,130 --------------- TOTAL MALAYSIA ............................................................................... 823,203 --------------- TOTAL PREFERRED STOCKS ....................................................................... 732,464,047 --------------- RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) #*Xiwang Sugar Holdings Co., Ltd. Warrants 02/22/12 ........................................ 1,031,456 -- --------------- MALAYSIA -- (0.0%) *Sunway Berhad Warrants 08/17/16 .......................................................... 909 167 --------------- SOUTH KOREA -- (0.0%) *Hanjin Shipping Co., Ltd. Rights 11/03/11 ................................................ 255,305 829,361 *Woori Investment & Securities Co., Ltd. Rights 11/22/11 .................................. 386,064 836,089 --------------- TOTAL SOUTH KOREA ............................................................................ 1,665,450 --------------- THAILAND -- (0.0%) *Erawan Group PCL (Foreign) Warrants 12/17/13 ............................................. 428,895 5,300
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- --------------- THAILAND -- (Continued) *Rojana Industrial Park PCL (Foreign) Warrants 12/30/16 ................................... 107,500 $ 9,439 --------------- TOTAL THAILAND ............................................................................... 14,739 --------------- TOTAL RIGHTS/WARRANTS ........................................................................ 1,680,356 ---------------
SHARES/ FACE AMOUNT VALUE+ ------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (6.6%) (s)@DFA Short Term Investment Fund ........................................................... 975,164,009 975,164,009 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at $615,910) to be repurchased at $603,835 ............ $ 604 603,833 --------------- TOTAL SECURITIES LENDING COLLATERAL .......................................................... 975,767,842 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $14,542,174,907) .................................................................... $14,871,394,299 ===============
39 Report of Independent Registered Public Accounting Firm To the Board of Directors and Shareholders of Dimensional Emerging Markets Value Fund: We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of Dimensional Emerging Markets Value Fund (hereafter referred to as the "Fund") as of October 31, 2011, and for the year then ended and have issued our unqualified report thereon dated December 22, 2011 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audit included an audit of the Fund's investment portfolio (the "Portfolio") as of October 31, 2011 appearing in Item 6 of this Form N-CSR. This Portfolio is the responsibility of the Fund's management. Our responsibility is to express an opinion on this Portfolio based on our audit. In our opinion, the Portfolio referred to above, when read in conjunction with the financial statements of the Fund referred to above, presents fairly, in all material respects, the information set forth therein. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 22, 2011 (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 Report, the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Code of Ethics is filed herewith. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3) This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Emerging Markets Value Fund By: /s/ David G. Booth --------------------------------------- David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: January 5, 2012 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: January 5, 2012 By: /s/ David R. Martin --------------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 5, 2012