0001193125-12-297029.txt : 20120709 0001193125-12-297029.hdr.sgml : 20120709 20120709111801 ACCESSION NUMBER: 0001193125-12-297029 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20120430 FILED AS OF DATE: 20120709 DATE AS OF CHANGE: 20120709 EFFECTIVENESS DATE: 20120709 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND CENTRAL INDEX KEY: 0000896163 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 12952293 BUSINESS ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 BUSINESS PHONE: (512) 306-7400 MAIL ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 FORMER COMPANY: FORMER CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND INC DATE OF NAME CHANGE: 19981217 0000896163 S000001027 DIMENSIONAL EMERGING MARKETS VALUE FUND INC C000002781 DIMENSIONAL EMERGING MARKETS VALUE FUND INC N-CSRS 1 d328193dncsrs.txt DIMENSIONAL EMERGING MARKETS VALUE FUND ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7440 DIMENSIONAL EMERGING MARKETS VALUE FUND (Exact name of registrant as specified in charter) 6300 Bee Cave Road, Building One, Austin, TX 78746 (Address of principal executive offices) ( Zip code) Catherine L. Newell, Esquire, Vice President and Secretary Dimensional Emerging Markets Value Fund, 6300 Bee Cave Road, Building One, Austin, TX 78746 (Name and address of agent for service) Registrant's telephone number, including area code: 512-306-7400 Date of fiscal year end: October 31 Date of reporting period: November 1, 2011 - April 30, 2012 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] DIMENSIONAL SEMI-ANNUAL REPORT six months ended: April 30, 2012 (Unaudited) 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 May 2012 Dear Fellow Shareholder, At Dimensional, we believe the market force works for investors. This belief has been at the core of our investment philosophy for more than 30 years. Consistency is an important part of what makes Dimensional different. As we continue expanding to pursue business opportunities globally, having a consistent philosophy helps us stay focused on the things that have been key to Dimensional's success. Most important is our goal to always act in the best interests of our clients, and thereby earning and maintaining trust by striving to do what we say we are going to do. It is Dimensional's goal to deliver an opportunity for all our clients to have a good lifetime investment experience. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer [THIS PAGE INTENTIONALLY LEFT BLANK] SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS PAGE ---- LETTER TO SHAREHOLDERS DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................ 1 DFA INVESTMENT DIMENSIONS GROUP INC. Disclosure of Fund Expenses............................................ 3 Disclosure of Portfolio Holdings....................................... 8 Schedules of Investments/Summary Schedules of Portfolio Holdings....... Enhanced U.S. Large Company Portfolio.............................. 11 U.S. Large Cap Value Portfolio..................................... 15 U.S. Targeted Value Portfolio...................................... 16 U.S. Small Cap Value Portfolio..................................... 19 U.S. Core Equity 1 Portfolio....................................... 22 U.S. Core Equity 2 Portfolio....................................... 25 U.S. Vector Equity Portfolio....................................... 28 U.S. Small Cap Portfolio........................................... 31 U.S. Micro Cap Portfolio........................................... 34 DFA Real Estate Securities Portfolio............................... 37 Large Cap International Portfolio.................................. 39 International Core Equity Portfolio................................ 43 International Small Company Portfolio.............................. 48 Japanese Small Company Portfolio................................... 49 Asia Pacific Small Company Portfolio............................... 49 United Kingdom Small Company Portfolio............................. 50 Continental Small Company Portfolio................................ 50 DFA International Real Estate Securities Portfolio................. 51 DFA Global Real Estate Securities Portfolio........................ 54 DFA International Small Cap Value Portfolio........................ 55 International Vector Equity Portfolio.............................. 59 World ex U.S. Value Portfolio...................................... 64 Selectively Hedged Global Equity Portfolio......................... 65 Emerging Markets Portfolio......................................... 66 Emerging Markets Small Cap Portfolio............................... 66 Emerging Markets Value Portfolio................................... 67 Emerging Markets Core Equity Portfolio............................. 68 Statements of Assets and Liabilities................................... 72 Statements of Operations............................................... 79 Statements of Changes in Net Assets.................................... 86 Financial Highlights................................................... 95 Notes to Financial Statements.......................................... 112 i TABLE OF CONTENTS CONTINUED PAGE ---- DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO Consolidated Disclosure of Fund Expenses............................... 140 Consolidated Disclosure of Portfolio Holdings.......................... 141 Consolidated Schedule of Investments................................... 142 Consolidated Statement of Assets and Liabilities....................... 148 Consolidated Statement of Operations................................... 149 Consolidated Statements of Changes in Net Assets....................... 150 Consolidated Financial Highlights...................................... 151 Consolidated Notes to Financial Statements............................. 152 DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses............................................ 164 Disclosure of Portfolio Holdings....................................... 166 Schedule of Investments/Summary Schedule of Portfolio Holdings......... DFA International Value Portfolio.................................. 167 U.S. Large Company Portfolio....................................... 168 Statements of Assets and Liabilities................................... 171 Statements of Operations............................................... 172 Statements of Changes in Net Assets.................................... 173 Financial Highlights................................................... 174 Notes to Financial Statements.......................................... 176 THE DFA INVESTMENT TRUST COMPANY Disclosure of Fund Expenses............................................ 187 Disclosure of Portfolio Holdings....................................... 189 Schedules of Investments/Summary Schedules of Portfolio Holdings....... The U.S. Large Cap Value Series.................................... 191 The DFA International Value Series................................. 194 The Japanese Small Company Series.................................. 198 The Asia Pacific Small Company Series.............................. 201 The United Kingdom Small Company Series............................ 204 The Continental Small Company Series............................... 207 The Canadian Small Company Series.................................. 211 The Emerging Markets Series........................................ 214 The Emerging Markets Small Cap Series.............................. 218 Statements of Assets and Liabilities................................... 222 Statements of Operations............................................... 224 Statements of Changes in Net Assets.................................... 226 Financial Highlights................................................... 229 Notes to Financial Statements.......................................... 234 ii TABLE OF CONTENTS CONTINUED PAGE ---- DIMENSIONAL EMERGING MARKETS VALUE FUND Disclosure of Fund Expenses............................................ 244 Disclosure of Portfolio Holdings....................................... 245 Summary Schedule of Portfolio Holdings................................. 246 Statement of Assets and Liabilities.................................... 250 Statement of Operations................................................ 251 Statements of Changes in Net Assets.................................... 252 Financial Highlights................................................... 253 Notes to Financial Statements.......................................... 254 VOTING PROXIES ON FUND PORTFOLIO SECURITIES............................... 261 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS.......................... 262 This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii [THIS PAGE INTENTIONALLY LEFT BLANK] DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS ---------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GDR Global Depositary Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust SPDR Standard & Poor's Depository Receipts Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in local currency or the Euro, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of April 30, 2012. (g) Face Amount denominated in British Pounds. (c) Face Amount denominated in Canadian Dollars. (e) Face Amount denominated in Euro. (u) Face Amount denominated in United States Dollars. ^^ Security segregated as collateral for the Open Futures Contracts. <> Security segregated as collateral for Swap Agreements. (S) Affiliated Fund. 1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED FINANCIAL HIGHLIGHTS -------------------- (A) Computed using average shares outstanding. (B) Annualized (C) Non-Annualized (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (E) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations. 2 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED APRIL 30, 2012 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- ENHANCED U.S. LARGE COMPANY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,129.02 0.26% $1.38 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.57 0.26% $1.31
3 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE CAP VALUE PORTFOLIO** -------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,106.43 0.28% $1.47 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.47 0.28% $1.41 U.S. TARGETED VALUE PORTFOLIO ----------------------------- Actual Fund Return Class R1 Shares........................... $1,000.00 $1,115.74 0.48% $2.53 Class R2 Shares........................... $1,000.00 $1,114.67 0.63% $3.31 Institutional Class Shares................ $1,000.00 $1,116.29 0.38% $2.00 Hypothetical 5% Annual Return Class R1 Shares........................... $1,000.00 $1,022.48 0.48% $2.41 Class R2 Shares........................... $1,000.00 $1,021.73 0.63% $3.17 Institutional Class Shares................ $1,000.00 $1,022.97 0.38% $1.91 U.S. SMALL CAP VALUE PORTFOLIO ------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,119.29 0.53% $2.79 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.23 0.53% $2.66 U.S. CORE EQUITY 1 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,122.50 0.20% $1.06 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.87 0.20% $1.01 U.S. CORE EQUITY 2 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,120.16 0.22% $1.16 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.77 0.22% $1.11 U.S. VECTOR EQUITY PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,118.36 0.33% $1.74 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.22 0.33% $1.66 U.S. SMALL CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,113.36 0.38% $2.00 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.97 0.38% $1.91
4 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- U.S. MICRO CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,109.39 0.53% $2.78 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.23 0.53% $2.66 DFA REAL ESTATE SECURITIES PORTFOLIO ------------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,144.95 0.27% $1.44 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.52 0.27% $1.36 LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,036.76 0.30% $1.52 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.37 0.30% $1.51 INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,042.78 0.40% $2.03 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.87 0.40% $2.01 INTERNATIONAL SMALL COMPANY PORTFOLIO*** ---------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,063.32 0.56% $2.87 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.08 0.56% $2.82 JAPANESE SMALL COMPANY PORTFOLIO** ---------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,083.15 0.56% $2.90 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.08 0.56% $2.82 ASIA PACIFIC SMALL COMPANY PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,066.17 0.60% $3.08 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,021.88 0.60% $3.02
5 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- UNITED KINGDOM SMALL COMPANY PORTFOLIO** ---------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,147.16 0.60% $3.20 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,021.88 0.60% $3.02 CONTINENTAL SMALL COMPANY PORTFOLIO** ------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,021.25 0.60% $3.02 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,021.88 0.60% $3.02 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO -------------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,078.85 0.41% $2.12 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,022.82 0.41% $2.06 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO*** ---------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,118.00 0.37% $1.95 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.02 0.37% $1.86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,068.91 0.71% $3.65 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,021.33 0.71% $3.57 INTERNATIONAL VECTOR EQUITY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,046.76 0.54% $2.75 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,022.18 0.54% $2.72 WORLD EX U.S. VALUE PORTFOLIO*** -------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,017.06 0.60% $3.01 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,021.88 0.60% $3.02 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO**** ---------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,093.91 0.40% $1.93 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,022.87 0.40% $2.01
6 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- EMERGING MARKETS PORTFOLIO** ---------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,044.65 0.60% $3.05 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,021.88 0.60% $3.02 EMERGING MARKETS SMALL CAP PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,059.35 0.79% $4.04 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,020.93 0.79% $3.97 EMERGING MARKETS VALUE PORTFOLIO** ---------------------------------- Actual Fund Return Class R2 Shares........................... $1,000.00 $1,022.37 0.85% $4.27 Institutional Class Shares................ $1,000.00 $1,023.48 0.60% $3.02 Hypothetical 5% Annual Return Class R2 Shares........................... $1,000.00 $1,020.64 0.85% $4.27 Institutional Class Shares................ $1,000.00 $1,021.88 0.60% $3.02 EMERGING MARKETS CORE EQUITY PORTFOLIO -------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,043.37 0.65% $3.30 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,021.63 0.65% $3.27
-------- * 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 (182), then divided by the number of days in the year (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). *** The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). **** The Selectively Hedged Global Equity 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). The Portfolio commenced operations on November 14, 2011. Expenses are equal to the fund's annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (169), then divided by the number of days in the year (366) to reflect the period. The "Ending Account Value" is derived from the fund's share class actual return since inception. The "Hypothetical 5% Annual Return" information reflects the 182 day period for the six months ended April 30, 2012 to allow for comparability. 7 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on March 27, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. The categories of industry classification for the Affiliated Investment Companies are represented in the Disclosure of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Master Funds' holdings which reflect the investments by category or country. FEEDER FUNDS AFFILIATED INVESTMENT COMPANIES ------------------------------- U.S. Large Cap Value Portfolio.............. 100.0% Japanese Small Company Portfolio............ 100.0% Asia Pacific Small Company Portfolio........ 100.0% United Kingdom Small Company Portfolio...... 100.0% Continental Small Company Portfolio......... 100.0% Emerging Markets Portfolio.................. 100.0% Emerging Markets Small Cap Portfolio........ 100.0% Emerging Markets Value Portfolio............ 100.0% FUND OF FUNDS International Small Company Portfolio....... 100.0% DFA Global Real Estate Securities Portfolio. 100.0% World ex U.S. Value Portfolio............... 100.0% Selectively Hedged Global Equity Portfolio.. 100.0% 8 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FIXED INCOME PORTFOLIO ENHANCED U.S. LARGE COMPANY PORTFOLIO Corporate.......................... 26.7% Government......................... 11.5% Foreign Corporate.................. 27.4% Foreign Government................. 29.1% Supranational...................... 5.3% ----- 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary............. 16.4% Consumer Staples................... 4.4% Energy............................. 9.1% Financials......................... 24.4% Health Care........................ 7.0% Industrials........................ 15.6% Information Technology............. 13.1% Materials.......................... 8.6% Other.............................. -- Telecommunication Services......... 1.0% Utilities.......................... 0.4% ----- 100.0% U.S. CORE EQUITY 2 PORTFOLIO Consumer Discretionary............. 14.2% Consumer Staples................... 6.4% Energy............................. 11.4% Financials......................... 18.7% Health Care........................ 10.5% Industrials........................ 14.1% Information Technology............. 14.0% Materials.......................... 5.2% Other.............................. -- Real Estate Investment Trusts...... -- Telecommunication Services......... 3.1% Utilities.......................... 2.4% ----- 100.0% U.S. MICRO CAP PORTFOLIO Consumer Discretionary............. 18.0% Consumer Staples................... 4.2% Energy............................. 4.7% Financials......................... 15.6% Health Care........................ 11.5% Industrials........................ 17.5% Information Technology............. 19.7% Materials.......................... 5.7% Other.............................. -- Telecommunication Services......... 1.2% Utilities.......................... 1.9% ----- 100.0% U.S. SMALL CAP VALUE PORTFOLIO Consumer Discretionary............. 18.8% Consumer Staples................... 3.8% Energy............................. 9.1% Financials......................... 23.3% Health Care........................ 5.1% Industrials........................ 18.3% Information Technology............. 13.2% Materials.......................... 7.9% Other.............................. -- Telecommunication Services......... 0.4% Utilities.......................... 0.1% ----- 100.0% U.S. VECTOR EQUITY PORTFOLIO Consumer Discretionary............. 15.4% Consumer Staples................... 5.3% Energy............................. 10.0% Financials......................... 23.9% Health Care........................ 8.5% Industrials........................ 14.5% Information Technology............. 12.8% Materials.......................... 5.9% Other.............................. -- Telecommunication Services......... 2.3% Utilities.......................... 1.4% ----- 100.0% DFA REAL ESTATE SECURITIES PORTFOLIO Real Estate Investment Trusts...... 100.0% ----- 100.0% U.S. CORE EQUITY 1 PORTFOLIO Consumer Discretionary............. 13.9% Consumer Staples................... 8.0% Energy............................. 10.4% Financials......................... 15.8% Health Care........................ 10.6% Industrials........................ 13.0% Information Technology............. 17.4% Materials.......................... 5.0% Other.............................. -- Real Estate Investment Trusts...... 0.1% Telecommunication Services......... 2.5% Utilities.......................... 3.3% ----- 100.0% U.S. SMALL CAP PORTFOLIO Consumer Discretionary............. 18.2% Consumer Staples................... 4.5% Energy............................. 5.0% Financials......................... 15.3% Health Care........................ 10.3% Industrials........................ 18.5% Information Technology............. 18.9% Materials.......................... 5.3% Other.............................. -- Telecommunication Services......... 0.8% Utilities.......................... 3.2% ----- 100.0% LARGE CAP INTERNATIONAL PORTFOLIO Consumer Discretionary............. 10.4% Consumer Staples................... 10.4% Energy............................. 10.4% Financials......................... 22.8% Health Care........................ 8.7% Industrials........................ 12.3% Information Technology............. 4.4% Materials.......................... 11.8% Other.............................. -- Telecommunication Services......... 5.2% Utilities.......................... 3.6% ----- 100.0% 9 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED INTERNATIONAL CORE EQUITY PORTFOLIO Consumer Discretionary...................................... 13.1% Consumer Staples............................................ 7.0% Energy...................................................... 10.3% Financials.................................................. 23.7% Health Care................................................. 5.0% Industrials................................................. 16.7% Information Technology...................................... 5.6% Materials................................................... 12.3% Other....................................................... -- Telecommunication Services.................................. 3.3% Utilities................................................... 3.0% ----- 100.0% INTERNATIONAL VECTOR EQUITY PORTFOLIO Consumer Discretionary...................................... 14.7% Consumer Staples............................................ 5.9% Energy...................................................... 9.1% Financials.................................................. 23.0% Health Care................................................. 4.2% Industrials................................................. 18.6% Information Technology...................................... 6.4% Materials................................................... 13.5% Real Estate Investment Trusts............................... -- Telecommunication Services.................................. 2.7% Utilities................................................... 1.9% ----- 100.0% DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Consumer Discretionary...................................... 0.2% Financials.................................................. 0.2% Real Estate Investment Trusts............................... 99.6% ----- 100.0% EMERGING MARKETS CORE EQUITY PORTFOLIO Consumer Discretionary...................................... 10.3% Consumer Staples............................................ 7.9% Energy...................................................... 10.6% Financials.................................................. 24.0% Health Care................................................. 1.8% Industrials................................................. 11.1% Information Technology...................................... 11.1% Materials................................................... 14.2% Real Estate Investment Trusts............................... -- Telecommunication Services.................................. 5.3% Utilities................................................... 3.7% ----- 100.0% DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Consumer Discretionary...................................... 19.0% Consumer Staples............................................ 4.8% Energy...................................................... 6.5% Financials.................................................. 18.6% Health Care................................................. 2.0% Industrials................................................. 25.7% Information Technology...................................... 5.6% Materials................................................... 16.9% Other....................................................... -- Telecommunication Services.................................. 0.5% Utilities................................................... 0.4% ----- 100.0%
10 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
FACE AMOUNT^ VALUE+ ------- ----------- (000) BONDS -- (83.0%) AUSTRALIA -- (2.9%) BHP Billiton Finance USA, Ltd. (u) 4.800%, 04/15/13.................................... 600 $ 624,810 Westpac Banking Corp. (e) 6.500%, 06/24/13.................................... 3,500 4,909,331 ----------- TOTAL AUSTRALIA.......................................... 5,534,141 ----------- CANADA -- (10.6%) Bank of Nova Scotia (u) 2.250%, 01/22/13.................................... 1,300 1,315,257 British Columbia, Province of Canada 5.500%, 04/24/13.................................... 2,000 2,102,141 Canada Housing Trust 2.200%, 03/15/14.................................... 5,000 5,131,042 Canadian Imperial Bank of Commerce (u) 1.450%, 09/13/13.................................... 600 607,213 Canadian National Railway Co. (u) 4.400%, 03/15/13.................................... 600 619,955 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13.................................... 600 620,095 Encana Corp. (u) 4.750%, 10/15/13.................................... 800 839,962 Ontario, Province of Canada 5.500%, 04/17/13.................................... 4,000 4,198,767 Toronto-Dominion Bank (The) 4.854%, 02/13/13.................................... 4,000 4,154,558 TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13.................................... 685 710,784 ----------- TOTAL CANADA............................................. 20,299,774 ----------- DENMARK -- (3.6%) FIH Erhvervsbank A.S. (u) 2.450%, 08/17/12.................................... 2,800 2,813,742 Kommunekredit A.S. (u) 1.250%, 09/03/13.................................... 4,000 4,028,304 ----------- TOTAL DENMARK............................................ 6,842,046 ----------- FINLAND -- (0.3%) Nordea Bank Finland P.L.C. Floating Rate Note (r)(u)1.007%, 02/07/13................................... 500 500,560 ----------- FACE AMOUNT^ VALUE+ ------- ----------- (000) FRANCE -- (12.1%) Caisse D'amortissement de la Dette Sociale SA (u) 1.625%, 03/17/14.................................... 5,000 $ 5,036,640 French Treasury Note BTAN 2.500%, 01/12/14.................................... 3,500 4,786,998 Reseau Ferre de France 4.625%, 03/17/14.................................... 3,000 4,222,302 Societe Financement de L'economie Francaise SA 3.250%, 01/16/14.................................... 3,500 4,813,721 Total Capital SA (g) 5.500%, 01/29/13.................................... 2,500 4,180,806 ----------- TOTAL FRANCE............................................. 23,040,467 ----------- GERMANY -- (6.3%) Deutsche Bank AG (u) 2.375%, 01/11/13.................................... 600 605,360 Kreditanstalt fur Wiederaufbau (u) 4.000%, 10/15/13.................................... 3,000 3,152,700 Landeskreditbank Baden-Wuerttemberg Foerderbank 3.250%, 01/29/14.................................... 3,000 4,145,501 Landwirtschaftliche Rentenbank (u) 4.125%, 07/15/13.................................... 4,000 4,169,164 ----------- TOTAL GERMANY............................................ 12,072,725 ----------- NETHERLANDS -- (8.1%) Bank Nederlandse Gemeenten NV 3.750%, 03/14/14.................................... 3,000 4,185,847 Diageo Finance BV (u) 5.500%, 04/01/13.................................... 600 627,155 Koninklijke Philips Electronics NV (u) 7.250%, 08/15/13.................................... 1,000 1,080,768 Rabobank Nederland NV (u) 2.500%, 12/12/13.................................... 2,000 2,031,880 4.375%, 01/22/14.................................... 2,000 2,783,520 SNS Bank NV 3.500%, 03/10/14.................................... 3,500 4,856,246 ----------- TOTAL NETHERLANDS........................................ 15,565,416 -----------
11 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ---------- (000) NORWAY -- (1.5%) Eksportfinans ASA (u) 1.875%, 04/02/13..................................... 3,000 $2,940,051 ---------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (4.9%) Eurofima (c) 4.875%, 12/04/12..................................... 2,500 2,570,327 (u) 4.250%, 02/04/14..................................... 2,500 2,637,750 European Investment Bank (u) 5.250%, 05/15/13..................................... 4,000 4,193,464 ---------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.............. 9,401,541 ---------- SWEDEN -- (2.6%) Svenska Handelsbanken AB (e) 4.875%, 03/25/14..................................... 3,500 4,943,902 ---------- SWITZERLAND -- (0.3%) Credit Suisse New York AG (u) 5.000%, 05/15/13..................................... 600 622,753 ---------- UNITED KINGDOM -- (2.5%) Barclays Bank P.L.C. (u) 5.450%, 09/12/12..................................... 1,500 1,524,175 BP Capital Markets P.L.C. (u) 5.250%, 11/07/13..................................... 1,250 1,330,185 Diageo Capital P.L.C. (u) 7.375%, 01/15/14..................................... 800 889,609 Vodafone Group P.L.C. (u) 5.000%, 12/16/13..................................... 1,000 1,066,395 ---------- TOTAL UNITED KINGDOM...................................... 4,810,364 ---------- UNITED STATES -- (27.3%) Allstate Corp. (The) 7.500%, 06/15/13..................................... $ 489 525,331 American Express Bank FSB 5.550%, 10/17/12..................................... 600 613,435 American Express Credit Corp. 7.300%, 08/20/13..................................... 500 539,726 Anheuser-Busch Cos., Inc. 4.375%, 01/15/13..................................... 700 717,816 Apache Corp. 5.250%, 04/15/13..................................... 700 731,126 Assurant, Inc. 5.625%, 02/15/14..................................... 1,000 1,049,440 FACE AMOUNT VALUE+ ------- ---------- (000) UNITED STATES -- (Continued) AT&T, Inc. 4.950%, 01/15/13..................................... $ 600 $ 618,479 6.700%, 11/15/13..................................... 600 653,819 Avery Dennison Corp. 4.875%, 01/15/13..................................... 600 617,391 Bank of New York Mellon Corp. (The) 4.500%, 04/01/13..................................... 3,000 3,110,487 Baxter International, Inc. 1.800%, 03/15/13..................................... 800 809,944 BB&T Corp. 3.375%, 09/25/13..................................... 600 621,022 BlackRock, Inc. 2.250%, 12/10/12..................................... 600 606,524 Bristol-Myers Squibb Co. 5.250%, 08/15/13..................................... 345 366,109 Burlington Northern Santa Fe LLC 4.300%, 07/01/13..................................... 600 622,211 Campbell Soup Co. 4.875%, 10/01/13..................................... 251 266,010 Caterpillar Financial Services Corp. 2.000%, 04/05/13..................................... 650 659,470 CenterPoint Energy Resources Corp. 7.875%, 04/01/13..................................... 600 637,414 Cisco Systems, Inc. 1.625%, 03/14/14..................................... 1,000 1,021,745 Citigroup, Inc. 5.300%, 10/17/12..................................... 1,400 1,427,657 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13..................................... 948 952,488 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13..................................... 600 640,028 Computer Sciences Corp. 5.000%, 02/15/13..................................... 600 618,000 Consolidated Edison Co. of New York, Inc. 3.850%, 06/15/13..................................... 250 258,851 Daimler Finance North America LLC 6.500%, 11/15/13..................................... 1,500 1,625,409 Dell, Inc. 1.400%, 09/10/13..................................... 600 606,359 Dominion Resources, Inc. 5.000%, 03/15/13..................................... 600 622,078
12 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
FACE AMOUNT VALUE+ ------ ------------ (000) UNITED STATES -- (Continued) Dow Chemical Co. (The) 6.000%, 10/01/12........................................ $ 385 $ 393,015 eBay, Inc. 0.875%, 10/15/13........................................ 800 805,930 Enterprise Products Operating LLC 9.750%, 01/31/14........................................ 1,000 1,141,409 EOG Resources, Inc. 6.125%, 10/01/13........................................ 800 858,920 Fifth Third Bancorp 6.250%, 05/01/13........................................ 600 631,062 General Electric Capital Corp. 1.875%, 09/16/13........................................ 1,500 1,519,608 2.100%, 01/07/14........................................ 3,500 3,563,171 Georgia Power Co. 1.300%, 09/15/13........................................ 700 707,118 Goldman Sachs Group, Inc. (The) 5.450%, 11/01/12........................................ 1,360 1,389,968 Hewlett-Packard Co. 4.500%, 03/01/13........................................ 600 617,706 1.250%, 09/13/13........................................ 500 500,928 Historic TW, Inc. 9.125%, 01/15/13........................................ 600 633,852 HSBC Finance Corp. 6.375%, 11/27/12........................................ 600 618,160 John Deere Capital Corp. 4.500%, 04/03/13........................................ 700 726,077 JPMorgan Chase & Co. 5.375%, 10/01/12........................................ 800 815,687 Kimberly-Clark Corp. 5.000%, 08/15/13........................................ 600 634,635 Kroger Co. (The) 5.500%, 02/01/13........................................ 600 621,514 MetLife, Inc. 5.375%, 12/15/12........................................ 1,000 1,029,078 5.000%, 11/24/13........................................ 350 371,918 Nisource Finance Corp. 6.150%, 03/01/13........................................ 273 284,408 Paccar Financial Corp. 2.050%, 06/17/13........................................ 600 610,312 Philip Morris International, Inc. 4.875%, 05/16/13........................................ 600 627,664 Pitney Bowes, Inc. 4.625%, 10/01/12........................................ 600 608,939 Praxair, Inc. 2.125%, 06/14/13........................................ 815 827,569 Prudential Financial, Inc. 5.150%, 01/15/13........................................ 600 618,252 FACE AMOUNT VALUE+ ------ ------------ (000) UNITED STATES -- (Continued) Reynolds American, Inc. 7.250%, 06/01/13........................................ $ 600 $ 636,991 St. Jude Medical, Inc. 2.200%, 09/15/13........................................ 800 816,710 SunTrust Banks, Inc. 5.250%, 11/05/12........................................ 500 510,657 Target Corp. 4.000%, 06/15/13........................................ 977 1,013,440 TD Ameritrade Holding Corp. 2.950%, 12/01/12........................................ 700 708,179 Time Warner Cable, Inc. 6.200%, 07/01/13........................................ 1,000 1,061,766 Travelers Property Casualty Corp. 5.000%, 03/15/13........................................ 700 724,515 Union Bank NA 2.125%, 12/16/13........................................ 1,050 1,067,869 UnitedHealth Group, Inc. 5.500%, 11/15/12........................................ 250 256,653 4.875%, 04/01/13........................................ 600 623,261 Verizon Communications, Inc. 4.350%, 02/15/13........................................ 600 617,879 Wachovia Corp. 5.500%, 05/01/13........................................ 1,000 1,046,645 Wells Fargo Bank & Co. 4.375%, 01/31/13........................................ 500 514,076 ------------ TOTAL UNITED STATES........................................ 52,293,910 ------------ TOTAL BONDS................................................ 158,867,650 ------------ AGENCY OBLIGATIONS -- (10.9%) Federal Home Loan Bank 4.500%, 09/16/13........................................ 5,000 5,288,610 Federal Home Loan Bank Discount Note ^^1.000%, 07/12/12...................................... 3,600 3,599,496 Federal Home Loan Mortgage Corporation 0.625%, 12/23/13........................................ 3,000 3,013,770 Federal Home Loan Mortgage Corporation Discount Note ^^1.000%, 07/19/12...................................... 4,700 4,699,276 Federal National Mortgage Association Discount Note ^^1.000%, 07/18/12...................................... 4,300 4,299,346 ------------ TOTAL AGENCY OBLIGATIONS. ................................. 20,900,498 ------------
13 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
FACE AMOUNT VALUE+ ---------- ------------ (000) COMMERCIAL PAPER -- (0.5%) Standard Chartered Bank 0.754%, 12/14/12.................................... $ 1,000 $ 994,819 ------------ SHARES VALUE+ ---------- ------------ EXCHANGE-TRADED FUND -- (3.2%) UNITED STATES -- (3.2%) SPDR Trust Series I.................................. 44,100 $ 6,163,857 ------------ TEMPORARY CASH INVESTMENTS -- (2.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares 4,469,365 4,469,365 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $189,059,866).................................. $191,396,189 ============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Bonds.............................. -- $158,867,650 -- $158,867,650 Agency Obligations................. -- 20,900,498 -- 20,900,498 Commercial Paper................... -- 994,819 -- 994,819 Exchange-Traded Fund............... $ 6,163,857 -- -- 6,163,857 Temporary Cash Investments......... 4,469,365 -- -- 4,469,365 Forward Currency Contracts**....... -- 35,659 -- 35,659 Futures Contracts**................ 7,821,901 -- -- 7,821,901 ----------- ------------ -- ------------ TOTAL.............................. $18,455,123 $180,798,626 -- $199,253,749 =========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 14 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.............................. $7,990,237,037 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $6,093,995,407)...................................... $7,990,237,037 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 15 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (86.7%) Consumer Discretionary -- (14.2%) *Cabela's, Inc............................. 326,469 $ 12,343,793 0.4% #Dillard's, Inc. Class A................... 240,649 15,536,299 0.5% #Foot Locker, Inc.......................... 404,082 12,360,868 0.4% #GameStop Corp. Class A.................... 635,798 14,470,762 0.5% #Lennar Corp. Class A...................... 638,026 17,698,841 0.6% *Mohawk Industries, Inc.................... 318,323 21,334,007 0.7% #Washington Post Co. Class B............... 27,260 10,308,914 0.4% Other Securities.......................... 372,298,825 12.8% ------------ --------------- Total Consumer Discretionary................. 476,352,309 16.3% ------------ --------------- Consumer Staples -- (3.8%) *Hain Celestial Group, Inc (The)........... 217,855 10,304,542 0.4% #*Ralcorp Holdings, Inc..................... 138,866 10,110,833 0.3% #*Smithfield Foods, Inc..................... 767,800 16,093,088 0.5% Other Securities.......................... 92,730,352 3.2% ------------ --------------- Total Consumer Staples....................... 129,238,815 4.4% ------------ --------------- Energy -- (7.9%) *Helix Energy Solutions Group, Inc......... 494,307 10,088,806 0.3% *Plains Exploration & Production Co........ 448,065 18,303,455 0.6% #*Rowan Cos., Inc........................... 582,465 20,112,516 0.7% Sunoco, Inc............................... 258,294 12,731,311 0.4% *Tesoro Corp............................... 728,585 16,939,601 0.6% Tidewater, Inc............................ 241,811 13,306,859 0.5% Other Securities.......................... 174,166,077 6.0% ------------ --------------- Total Energy................................. 265,648,625 9.1% ------------ --------------- Financials -- (21.2%) Allied World Assurance Co. Holdings AG.... 186,577 13,426,081 0.5% *American Capital, Ltd..................... 1,116,778 11,089,606 0.4% American Financial Group, Inc............. 457,000 17,786,440 0.6% Assurant, Inc............................. 429,284 17,317,317 0.6% Axis Capital Holdings, Ltd................ 571,529 19,443,417 0.7% Delphi Financial Group, Inc. Class A...... 226,679 10,295,760 0.3% Everest Re Group, Ltd..................... 180,323 17,870,009 0.6% Legg Mason, Inc........................... 617,560 16,099,789 0.5% *NASDAQ OMX Group, Inc. (The).............. 858,799 21,100,691 0.7% #Old Republic International Corp........... 1,070,624 10,652,709 0.4% PartnerRe, Ltd............................ 252,106 17,551,620 0.6% #Protective Life Corp...................... 348,760 10,204,718 0.3% Reinsurance Group of America, Inc......... 349,301 20,308,360 0.7% Validus Holdings, Ltd..................... 410,628 13,345,410 0.5% Other Securities.......................... 494,964,423 17.0% ------------ --------------- Total Financials............................. 711,456,350 24.4% ------------ --------------- Health Care -- (6.1%) Coventry Health Care, Inc................. 683,752 20,505,722 0.7% *Hologic, Inc.............................. 687,987 13,154,311 0.5% #Omnicare, Inc............................. 532,904 18,566,375 0.6% #Teleflex, Inc............................. 166,382 10,427,160 0.4% Other Securities.......................... 141,008,376 4.8% ------------ --------------- Total Health Care............................ 203,661,944 7.0% ------------ --------------- Industrials -- (13.5%) *Owens Corning, Inc........................ 433,423 14,888,080 0.5% *Quanta Services, Inc...................... 540,884 11,964,354 0.4%
16 U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- Industrials -- (Continued) Ryder System, Inc......................... 245,750 $ 11,972,940 0.4% Trinity Industries, Inc................... 355,475 10,522,060 0.4% URS Corp.................................. 283,746 11,721,547 0.4% Other Securities.......................... 394,002,846 13.5% -------------- --------------- Total Industrials............................ 455,071,827 15.6% -------------- --------------- Information Technology -- (11.3%) *Arrow Electronics, Inc.................... 445,717 18,742,400 0.6% *Avnet, Inc................................ 295,686 10,668,351 0.4% IAC/InterActiveCorp....................... 223,604 10,766,533 0.4% *Ingram Micro, Inc. Class A................ 638,499 12,425,191 0.4% *Tech Data Corp............................ 261,278 14,054,144 0.5% Other Securities.......................... 313,914,303 10.8% -------------- --------------- Total Information Technology................. 380,570,922 13.1% -------------- --------------- Materials -- (7.4%) #Ashland, Inc.............................. 346,677 22,835,614 0.8% Domtar Corp............................... 168,731 14,760,588 0.5% #MeadWestavco Corp......................... 338,632 10,775,270 0.4% Reliance Steel & Aluminum Co.............. 314,252 17,563,544 0.6% Rock-Tenn Co. Class A..................... 219,632 13,689,663 0.5% Vulcan Materials Co....................... 237,785 10,179,576 0.3% Other Securities.......................... 160,261,102 5.5% -------------- --------------- Total Materials.............................. 250,065,357 8.6% -------------- --------------- Other -- (0.0%) Other Securities.......................... -- 0.0% -------------- --------------- Telecommunication Services -- (0.9%) Other Securities.......................... 29,335,859 1.0% -------------- --------------- Utilities -- (0.4%) Other Securities.......................... 12,585,105 0.4% -------------- --------------- TOTAL COMMON STOCKS.......................... 2,913,987,113 99.9% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................... -- 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio--Institutional Shares......... 3,300,374 3,300,374 0.1% -------------- ---------------
SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (13.2%) (S)@DFA Short Term Investment Fund........... 442,939,829 442,939,829 15.2% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $1,747,960 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $1,753,379) to be repurchased at $1,697,051............... $ 1,697 1,697,041 0.1% ----------- ---- TOTAL SECURITIES LENDING COLLATERAL.......... 444,636,870 15.3% ----------- ----
17 U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,919,739,894)....... $3,361,924,357 115.3% ============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary..... $ 476,347,918 $ 4,391 -- $ 476,352,309 Consumer Staples........... 129,238,815 -- -- 129,238,815 Energy..................... 265,648,625 -- -- 265,648,625 Financials................. 711,456,350 -- -- 711,456,350 Health Care................ 203,661,944 -- -- 203,661,944 Industrials................ 454,960,025 111,802 -- 455,071,827 Information Technology..... 380,570,922 -- -- 380,570,922 Materials.................. 250,065,357 -- -- 250,065,357 Other...................... -- -- -- -- Telecommunication Services. 29,335,859 -- -- 29,335,859 Utilities.................. 12,585,105 -- -- 12,585,105 Rights/Warrants............... -- -- -- -- Temporary Cash Investments.... 3,300,374 -- -- 3,300,374 Securities Lending Collateral. -- 444,636,870 -- 444,636,870 -------------- ------------ ------- -------------- TOTAL......................... $2,917,171,294 $444,753,063 -- $3,361,924,357 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 18 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- COMMON STOCKS -- (87.7%) Consumer Discretionary -- (16.4%) *Cabela's, Inc............................. 1,287,489 $ 48,679,959 0.7% #Dillard's, Inc. Class A................... 1,250,547 80,735,314 1.1% #*Gaylord Entertainment Co.................. 1,272,691 40,064,313 0.6% #Group 1 Automotive, Inc................... 692,454 40,079,238 0.6% #Penske Automotive Group, Inc.............. 1,371,335 36,258,097 0.5% #Rent-A-Center, Inc........................ 1,578,683 54,006,745 0.7% #Scholastic Corp........................... 1,436,861 43,896,104 0.6% Other Securities.......................... 983,919,424 13.9% -------------- --------------- Total Consumer Discretionary................. 1,327,639,194 18.7% -------------- --------------- Consumer Staples -- (3.3%) #Fresh Del Monte Produce, Inc.............. 1,501,108 34,780,672 0.5% #*Hain Celestial Group, Inc (The)........... 1,084,318 51,288,241 0.7% #Universal Corp............................ 816,326 37,412,221 0.5% Other Securities.......................... 145,863,678 2.1% -------------- --------------- Total Consumer Staples....................... 269,344,812 3.8% -------------- --------------- Energy -- (8.0%) #Bristow Group, Inc........................ 1,224,212 59,802,756 0.8% #*Gulfmark Offshore, Inc. Class A........... 742,629 35,772,439 0.5% #*Helix Energy Solutions Group, Inc......... 3,592,362 73,320,108 1.0% #*Hornbeck Offshore Services, Inc........... 1,038,490 43,232,339 0.6% #*SEACOR Holdings, Inc...................... 408,801 37,989,877 0.5% *Superior Energy Services, Inc............. 1,217,614 32,778,169 0.5% #Western Refining, Inc..................... 2,030,451 38,680,092 0.6% Other Securities.......................... 326,008,623 4.6% -------------- --------------- Total Energy................................. 647,584,403 9.1% -------------- --------------- Financials -- (20.4%) #*CNO Financial Group, Inc.................. 8,629,001 62,732,837 0.9% Delphi Financial Group, Inc. Class A...... 1,345,752 61,124,056 0.9% #Kemper Corp............................... 1,500,447 44,998,406 0.6% #*MBIA, Inc................................. 4,030,666 40,629,113 0.6% Montpelier Re Holdings, Ltd............... 2,238,256 45,929,013 0.7% Provident Financial Services, Inc......... 2,308,593 33,936,317 0.5% #Susquehanna Bancshares, Inc............... 4,182,685 43,374,443 0.6% #Umpqua Holdings Corp...................... 3,448,430 45,657,213 0.6% #Webster Financial Corp.................... 1,879,422 42,719,262 0.6% #Wintrust Financial Corp................... 1,117,309 40,368,374 0.6% Other Securities.......................... 1,186,313,071 16.7% -------------- --------------- Total Financials............................. 1,647,782,105 23.3% -------------- --------------- Health Care -- (4.5%) #*LifePoint Hospitals, Inc.................. 1,881,774 73,426,821 1.0% #*ViroPharma, Inc........................... 1,980,889 43,084,336 0.6% Other Securities.......................... 243,937,457 3.5% -------------- --------------- Total Health Care............................ 360,448,614 5.1% -------------- --------------- Industrials -- (16.1%) #Alexander & Baldwin, Inc.................. 1,253,242 64,115,861 0.9% Amerco, Inc............................... 359,989 36,157,295 0.5% #*Avis Budget Group, Inc.................... 3,491,780 45,951,825 0.7% #*Esterline Technologies Corp............... 1,083,604 74,216,038 1.0% #GATX Corp................................. 1,606,468 68,869,283 1.0% #*JetBlue Airways Corp...................... 8,052,526 38,249,498 0.5% *Seaboard Corp............................. 18,588 36,997,927 0.5%
19 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (Continued) Trinity Industries, Inc.................... 1,640,354 $ 48,554,478 0.7% Other Securities........................... 882,565,328 12.5% -------------- --------------- Total Industrials............................. 1,295,677,533 18.3% -------------- --------------- Information Technology -- (11.5%) *Benchmark Electronics, Inc................. 2,338,129 37,129,489 0.5% #*CACI International, Inc. Class A........... 680,182 41,579,526 0.6% #*Coherent, Inc.............................. 739,561 38,900,909 0.5% #*Convergys Corp............................. 3,484,625 46,589,436 0.6% #*Fairchild Semiconductor International, Inc. 2,889,865 40,949,387 0.6% MKS Instruments, Inc....................... 1,579,401 43,670,438 0.6% #*SYNNEX Corp................................ 1,046,878 39,875,583 0.6% #*Vishay Intertechnology, Inc................ 3,102,896 34,814,493 0.5% Other Securities........................... 608,015,451 8.6% -------------- --------------- Total Information Technology.................. 931,524,712 13.1% -------------- --------------- Materials -- (7.0%) *Coeur d'Alene Mines Corp................... 1,657,693 35,723,284 0.5% #*Graphic Packaging Holding Co............... 6,116,772 32,724,730 0.5% #Kaiser Aluminum Corp....................... 621,616 32,678,353 0.4% #*Louisiana-Pacific Corp..................... 4,955,113 44,843,773 0.6% #Westlake Chemical Corp..................... 1,224,090 78,280,556 1.1% Other Securities........................... 338,371,243 4.8% -------------- --------------- Total Materials............................... 562,621,939 7.9% -------------- --------------- Other -- (0.0%) Other Securities........................... 14,214 0.0% -------------- --------------- Telecommunication Services -- (0.4%) Other Securities........................... 31,372,250 0.5% -------------- --------------- Utilities -- (0.1%) Other Securities........................... 6,201,664 0.1% -------------- --------------- TOTAL COMMON STOCKS........................... 7,080,211,440 99.9% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities........................... -- 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 14,324,339 14,324,339 0.2% -------------- ---------------
SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (12.1%) (S)@DFA Short Term Investment Fund..................... 977,104,752 977,104,752 13.8% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $1,247,022 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $1,250,887) to be repurchased at $1,210,702........................................ $ 1,211 1,210,695 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.................... 978,315,447 13.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,270,047,379)................................ $8,072,851,226 113.9% ============== =====
20 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary..... $1,327,261,644 $ 377,550 -- $1,327,639,194 Consumer Staples........... 269,344,812 -- -- 269,344,812 Energy..................... 647,238,360 346,043 -- 647,584,403 Financials................. 1,647,776,890 5,215 -- 1,647,782,105 Health Care................ 360,448,614 -- -- 360,448,614 Industrials................ 1,295,038,351 639,182 -- 1,295,677,533 Information Technology..... 931,524,712 -- -- 931,524,712 Materials.................. 562,621,939 -- -- 562,621,939 Other...................... -- 14,214 -- 14,214 Telecommunication Services. 31,372,250 -- -- 31,372,250 Utilities.................. 6,201,664 -- -- 6,201,664 Rights/Warrants............... -- -- -- -- Temporary Cash Investments.... 14,324,339 -- -- 14,324,339 Securities Lending Collateral. -- 978,315,447 -- 978,315,447 -------------- ------------ ------- -------------- TOTAL......................... $7,093,153,575 $979,697,651 -- $8,072,851,226 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 21 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (86.9%) Consumer Discretionary -- (12.1%) *Amazon.com, Inc........................... 65,218 $ 15,124,054 0.3% Comcast Corp. Class A..................... 575,594 17,457,766 0.4% Home Depot, Inc. (The).................... 277,331 14,362,972 0.3% McDonald's Corp........................... 190,201 18,535,087 0.4% Walt Disney Co. (The)..................... 447,208 19,279,137 0.4% Other Securities.......................... 551,108,398 12.0% ------------ --------------- Total Consumer Discretionary................. 635,867,414 13.8% ------------ --------------- Consumer Staples -- (6.9%) Altria Group, Inc......................... 366,617 11,808,734 0.3% Coca-Cola Co. (The)....................... 370,954 28,311,209 0.6% CVS Caremark Corp......................... 348,331 15,542,529 0.3% Kraft Foods, Inc. Class A................. 449,307 17,913,870 0.4% PepsiCo, Inc.............................. 289,004 19,074,264 0.4% Philip Morris International, Inc.......... 311,537 27,885,677 0.6% Procter & Gamble Co. (The)................ 444,296 28,274,997 0.6% Wal-Mart Stores, Inc...................... 499,081 29,400,862 0.6% Other Securities.......................... 186,414,948 4.1% ------------ --------------- Total Consumer Staples....................... 364,627,090 7.9% ------------ --------------- Energy -- (9.0%) Chevron Corp.............................. 528,762 56,344,879 1.2% ConocoPhillips............................ 343,340 24,593,444 0.5% Exxon Mobil Corp.......................... 896,367 77,392,327 1.7% #Occidental Petroleum Corp................. 194,433 17,736,178 0.4% Schlumberger, Ltd......................... 239,236 17,736,957 0.4% Other Securities.......................... 281,650,188 6.1% ------------ --------------- Total Energy................................. 475,453,973 10.3% ------------ --------------- Financials -- (13.8%) American Express Co....................... 193,008 11,621,012 0.3% Bank of America Corp...................... 2,683,465 21,762,901 0.5% *Berkshire Hathaway, Inc................... 333,844 26,857,750 0.6% Citigroup, Inc............................ 759,034 25,078,483 0.5% Goldman Sachs Group, Inc. (The)........... 128,129 14,754,054 0.3% JPMorgan Chase & Co....................... 1,045,296 44,926,822 1.0% MetLife, Inc.............................. 291,711 10,510,347 0.2% U.S. Bancorp.............................. 496,744 15,980,254 0.3% Wells Fargo & Co.......................... 1,323,776 44,253,832 1.0% Other Securities.......................... 510,184,729 11.1% ------------ --------------- Total Financials............................. 725,930,184 15.8% ------------ --------------- Health Care -- (9.2%) Abbott Laboratories....................... 280,566 17,411,926 0.4% Amgen, Inc................................ 198,736 14,132,117 0.3% #Johnson & Johnson......................... 499,936 32,540,834 0.7% Merck & Co., Inc.......................... 751,258 29,479,364 0.7% Pfizer, Inc............................... 1,988,764 45,602,359 1.0% UnitedHealth Group, Inc................... 245,508 13,785,274 0.3% Other Securities.......................... 332,636,669 7.2% ------------ --------------- Total Health Care............................ 485,588,543 10.6% ------------ --------------- Industrials -- (11.3%) #3M Co..................................... 119,041 10,637,504 0.2% Caterpillar, Inc.......................... 116,239 11,945,882 0.3% General Electric Co....................... 2,780,836 54,448,769 1.2%
22 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (Continued) Union Pacific Corp........................ 128,364 $ 14,433,248 0.3% United Technologies Corp.................. 155,274 12,676,569 0.3% Other Securities.......................... 493,364,202 10.7% -------------- --------------- Total Industrials............................ 597,506,174 13.0% -------------- --------------- Information Technology -- (15.1%) *Apple, Inc................................ 178,094 104,049,639 2.3% Cisco Sytems, Inc......................... 959,861 19,341,199 0.4% *Google, Inc............................... 48,777 29,521,304 0.6% Hewlett-Packard Co........................ 544,693 13,486,599 0.3% Intel Corp................................ 963,439 27,361,668 0.6% International Business Machines Corp...... 213,827 44,279,295 1.0% Microsoft Corp............................ 1,425,544 45,645,919 1.0% Oracle Corp............................... 738,644 21,708,747 0.5% #QUALCOMM, Inc............................. 312,503 19,950,192 0.4% #Visa, Inc................................. 114,676 14,102,854 0.3% Other Securities.......................... 456,504,551 9.9% -------------- --------------- Total Information Technology................. 795,951,967 17.3% -------------- --------------- Materials -- (4.3%) Other Securities.......................... 228,183,478 5.0% -------------- --------------- Other -- (0.0%) Other Securities.......................... -- 0.0% -------------- --------------- Real Estate Investment Trusts -- (0.1%) Other Securities.......................... 4,126,490 0.1% -------------- --------------- Telecommunication Services -- (2.2%) AT&T, Inc................................. 1,585,731 52,186,407 1.1% Verizon Communications, Inc............... 729,538 29,458,744 0.7% Other Securities.......................... 32,630,262 0.7% -------------- --------------- Total Telecommunication Services............. 114,275,413 2.5% -------------- --------------- Utilities -- (2.9%) Other Securities.......................... 153,318,088 3.3% -------------- --------------- TOTAL COMMON STOCKS.......................... 4,580,828,814 99.6% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................... 4,275 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio--Institutional Shares......... 19,568,889 19,568,889 0.4% -------------- ---------------
SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (12.7%) (S)@DFA Short Term Investment Fund........... 672,765,742 672,765,742 14.6% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $344,109 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $345,176) to be repurchased at $334,087................. $ 334 334,085 0.0% ----------- ---- TOTAL SECURITIES LENDING COLLATERAL.......... 673,099,827 14.6% ----------- ----
23 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,548,335,610)....... $5,273,501,805 114.6% ============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 635,839,678 $ 27,736 -- $ 635,867,414 Consumer Staples.............. 364,627,090 -- -- 364,627,090 Energy........................ 475,428,084 25,889 -- 475,453,973 Financials.................... 725,930,184 -- -- 725,930,184 Health Care................... 485,588,543 -- -- 485,588,543 Industrials................... 597,488,958 17,216 -- 597,506,174 Information Technology........ 795,951,967 -- -- 795,951,967 Materials..................... 228,183,478 -- -- 228,183,478 Other......................... -- -- -- -- Real Estate Investment Trusts. 4,126,490 -- -- 4,126,490 Telecommunication Services.... 114,275,413 -- -- 114,275,413 Utilities..................... 153,318,088 -- -- 153,318,088 Rights/Warrants.................. 4,275 -- -- 4,275 Temporary Cash Investments....... 19,568,889 -- -- 19,568,889 Securities Lending Collateral.... -- 673,099,827 -- 673,099,827 -------------- ------------ ------- -------------- TOTAL............................ $4,600,331,137 $673,170,668 -- $5,273,501,805 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 24 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- -------------- --------------- COMMON STOCKS -- (86.1%) Consumer Discretionary -- (12.2%) Comcast Corp. Class A........................ 1,024,762 $ 31,081,031 0.5% Home Depot, Inc. (The)....................... 301,629 15,621,366 0.2% Lowe's Cos., Inc............................. 606,612 19,090,080 0.3% #News Corp. Class A........................... 846,333 16,588,127 0.3% Time Warner, Inc............................. 505,637 18,941,162 0.3% Walt Disney Co. (The)........................ 830,524 35,803,890 0.5% Other Securities............................. 799,927,446 12.0% -------------- --------------- Total Consumer Discretionary.................... 937,053,102 14.1% -------------- --------------- Consumer Staples -- (5.5%) #Coca-Cola Co. (The).......................... 219,621 16,761,475 0.3% CVS Caremark Corp............................ 637,453 28,443,153 0.4% Kraft Foods, Inc. Class A.................... 806,654 32,161,295 0.5% Procter & Gamble Co. (The)................... 610,480 38,850,947 0.6% Wal-Mart Stores, Inc......................... 387,774 22,843,766 0.3% Other Securities............................. 284,627,081 4.3% -------------- --------------- Total Consumer Staples.......................... 423,687,717 6.4% -------------- --------------- Energy -- (9.8%) Anadarko Petroleum Corp...................... 239,394 17,526,035 0.3% Apache Corp.................................. 188,754 18,109,059 0.3% Chevron Corp................................. 984,196 104,875,926 1.6% ConocoPhillips............................... 632,838 45,330,186 0.7% Exxon Mobil Corp............................. 1,268,253 109,500,964 1.6% National Oilwell Varco, Inc.................. 194,038 14,700,319 0.2% Occidental Petroleum Corp.................... 321,686 29,344,197 0.4% Schlumberger, Ltd............................ 196,168 14,543,896 0.2% Other Securities............................. 402,494,380 6.1% -------------- --------------- Total Energy.................................... 756,424,962 11.4% -------------- --------------- Financials -- (16.1%) Bank of America Corp......................... 4,531,729 36,752,322 0.5% *Berkshire Hathaway, Inc...................... 223,481 17,979,046 0.3% Citigroup, Inc............................... 1,039,825 34,355,818 0.5% Goldman Sachs Group, Inc. (The).............. 215,233 24,784,080 0.4% JPMorgan Chase & Co.......................... 1,878,234 80,726,497 1.2% MetLife, Inc................................. 512,756 18,474,599 0.3% #PNC Financial Services Group, Inc............ 257,595 17,083,700 0.3% Prudential Financial, Inc.................... 231,600 14,021,064 0.2% Travelers Cos., Inc. (The)................... 235,445 15,143,822 0.2% #U.S. Bancorp................................. 900,099 28,956,185 0.4% Wells Fargo & Co............................. 2,459,604 82,224,562 1.2% Other Securities............................. 867,345,934 13.1% -------------- --------------- Total Financials................................ 1,237,847,629 18.6% -------------- --------------- Health Care -- (9.0%) Amgen, Inc................................... 275,807 19,612,636 0.3% Johnson & Johnson............................ 349,581 22,754,227 0.3% Merck & Co., Inc............................. 1,429,620 56,098,289 0.9% Pfizer, Inc.................................. 3,730,349 85,536,903 1.3% UnitedHealth Group, Inc...................... 453,978 25,490,865 0.4% WellPoint, Inc............................... 203,028 13,769,359 0.2% Other Securities............................. 471,891,849 7.1% -------------- --------------- Total Health Care............................... 695,154,128 10.5% -------------- ---------------
25 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (12.1%) General Electric Co.......................... 5,181,591 $ 101,455,552 1.5% Union Pacific Corp........................... 234,080 26,319,955 0.4% Other Securities............................. 805,886,206 12.2% -------------- --------------- Total Industrials............................... 933,661,713 14.1% -------------- --------------- Information Technology -- (12.1%) *Apple, Inc................................... 101,098 59,065,496 0.9% Cisco Sytems, Inc............................ 745,021 15,012,173 0.2% *Google, Inc.................................. 29,049 17,581,326 0.3% Hewlett-Packard Co........................... 862,907 21,365,577 0.3% Intel Corp................................... 1,282,072 36,410,845 0.6% International Business Machines Corp......... 104,155 21,568,417 0.3% Microsoft Corp............................... 906,013 29,010,536 0.4% Oracle Corp.................................. 517,147 15,198,950 0.2% #Visa, Inc.................................... 232,750 28,623,595 0.4% Other Securities............................. 682,524,355 10.3% -------------- --------------- Total Information Technology.................... 926,361,270 13.9% -------------- --------------- Materials -- (4.5%) Dow Chemical Co. (The)....................... 547,213 18,539,576 0.3% Other Securities............................. 325,430,724 4.9% -------------- --------------- Total Materials................................. 343,970,300 5.2% -------------- --------------- Other -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- Real Estate Investment Trusts -- (0.0%) Other Securities............................. 2,596,968 0.0% -------------- --------------- Telecommunication Services -- (2.7%) AT&T, Inc.................................... 2,908,187 95,708,434 1.4% Verizon Communications, Inc.................. 1,386,217 55,975,442 0.9% Other Securities............................. 53,889,499 0.8% -------------- --------------- Total Telecommunication Services................ 205,573,375 3.1% -------------- --------------- Utilities -- (2.1%) Other Securities............................. 158,689,843 2.4% -------------- --------------- TOTAL COMMON STOCKS............................. 6,621,021,007 99.7% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities............................. 10,027 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares..................... 21,758,872 21,758,872 0.3% -------------- ---------------
SHARES/ FACE AMOUNT -------------- (000) SECURITIES LENDING COLLATERAL -- (13.6%) (S)@DFA Short Term Investment Fund.............. 1,044,972,044 1,044,972,044 15.7% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $306,316 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $307,266) to be repurchased at $297,395.............. $ 297 297,393 0.0% ------------- ---- TOTAL SECURITIES LENDING COLLATERAL............. 1,045,269,437 15.7% ------------- ----
26 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $6,786,269,517)......................... $7,688,059,343 115.7% ============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- -------------- Common Stocks Consumer Discretionary.................... $ 936,988,381 $ 64,721 -- $ 937,053,102 Consumer Staples.......................... 423,687,717 -- -- 423,687,717 Energy.................................... 756,424,962 -- -- 756,424,962 Financials................................ 1,237,847,629 -- -- 1,237,847,629 Health Care............................... 695,154,128 -- -- 695,154,128 Industrials............................... 933,618,447 43,266 -- 933,661,713 Information Technology.................... 926,361,270 -- -- 926,361,270 Materials................................. 343,970,300 -- -- 343,970,300 Other..................................... -- -- -- -- Real Estate Investment Trusts............. 2,596,968 -- -- 2,596,968 Telecommunication Services................ 205,573,375 -- -- 205,573,375 Utilities................................. 158,689,843 -- -- 158,689,843 Rights/Warrants.............................. 10,027 -- -- 10,027 Temporary Cash Investments................... 21,758,872 -- -- 21,758,872 Securities Lending Collateral................ -- 1,045,269,437 -- 1,045,269,437 -------------- -------------- ------- -------------- TOTAL........................................ $6,642,681,919 $1,045,377,424 -- $7,688,059,343 ============== ============== ======= ==============
See accompanying Notes to Financial Statements. 27 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (85.8%) Consumer Discretionary -- (13.2%) Comcast Corp. Class A........................ 278,044 $ 8,433,075 0.4% #Dillard's, Inc. Class A...................... 62,205 4,015,955 0.2% *Liberty Interactive Corp. Class A............ 225,764 4,253,394 0.2% *Mohawk Industries, Inc....................... 61,901 4,148,605 0.2% Time Warner, Inc............................. 130,694 4,895,797 0.3% *Toll Brothers, Inc........................... 151,825 3,856,355 0.2% Walt Disney Co. (The)........................ 118,253 5,097,887 0.3% Other Securities............................. 266,688,863 13.5% ------------ --------------- Total Consumer Discretionary.................... 301,389,931 15.3% ------------ --------------- Consumer Staples -- (4.6%) Bunge, Ltd................................... 76,001 4,902,064 0.3% CVS Caremark Corp............................ 121,704 5,430,432 0.3% Fortune Brands, Inc.......................... 76,533 4,345,544 0.2% Kraft Foods, Inc. Class A.................... 113,165 4,511,889 0.2% #Procter & Gamble Co. (The)................... 91,517 5,824,142 0.3% Other Securities............................. 79,664,938 4.0% ------------ --------------- Total Consumer Staples.......................... 104,679,009 5.3% ------------ --------------- Energy -- (8.6%) Anadarko Petroleum Corp...................... 68,323 5,001,927 0.3% #Apache Corp.................................. 41,198 3,952,536 0.2% Chevron Corp................................. 141,904 15,121,290 0.8% ConocoPhillips............................... 164,346 11,772,104 0.6% *Denbury Resources, Inc....................... 215,040 4,094,362 0.2% Devon Energy Corp............................ 57,923 4,045,922 0.2% Exxon Mobil Corp............................. 154,985 13,381,405 0.7% Murphy Oil Corp.............................. 106,439 5,850,952 0.3% *Plains Exploration & Production Co........... 109,438 4,470,542 0.2% Other Securities............................. 128,941,948 6.5% ------------ --------------- Total Energy.................................... 196,632,988 10.0% ------------ --------------- Financials -- (20.5%) American Financial Group, Inc................ 127,737 4,971,524 0.3% Bank of America Corp......................... 1,252,365 10,156,680 0.5% Bank of New York Mellon Corp. (The).......... 163,628 3,869,802 0.2% *CIT Group, Inc............................... 104,979 3,973,455 0.2% Citigroup, Inc............................... 184,865 6,107,940 0.3% Goldman Sachs Group, Inc. (The).............. 43,159 4,969,759 0.3% JPMorgan Chase & Co.......................... 570,669 24,527,354 1.2% KeyCorp...................................... 499,016 4,012,089 0.2% M&T Bank Corp................................ 45,707 3,943,143 0.2% MetLife, Inc................................. 141,103 5,083,941 0.3% #PNC Financial Services Group, Inc............ 69,935 4,638,089 0.2% Principal Financial Group, Inc............... 157,281 4,351,965 0.2% Regions Financial Corp....................... 595,355 4,012,693 0.2% U.S. Bancorp................................. 130,334 4,192,845 0.2% Wells Fargo & Co............................. 351,390 11,746,968 0.6% Other Securities............................. 368,105,200 18.7% ------------ --------------- Total Financials................................ 468,663,447 23.8% ------------ --------------- Health Care -- (7.3%) *Boston Scientific Corp....................... 767,057 4,801,777 0.3% Merck & Co., Inc............................. 149,737 5,875,680 0.3% Pfizer, Inc.................................. 529,241 12,135,496 0.6%
28 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Health Care -- (Continued) Other Securities............................. $ 144,073,800 7.3% -------------- --------------- Total Health Care............................... 166,886,753 8.5% -------------- --------------- Industrials -- (12.5%) General Electric Co.......................... 792,866 15,524,316 0.8% *Owens Corning, Inc........................... 115,475 3,966,566 0.2% Other Securities............................. 265,186,758 13.4% -------------- --------------- Total Industrials............................... 284,677,640 14.4% -------------- --------------- Information Technology -- (11.0%) Fidelity National Information Services, Inc.. 140,139 4,718,480 0.3% Hewlett-Packard Co........................... 236,991 5,867,897 0.3% IAC/InterActiveCorp.......................... 115,491 5,560,892 0.3% Intel Corp................................... 165,630 4,703,892 0.2% #Visa, Inc.................................... 37,703 4,636,715 0.2% Xerox Corp................................... 731,469 5,690,829 0.3% Other Securities............................. 219,244,335 11.1% -------------- --------------- Total Information Technology.................... 250,423,040 12.7% -------------- --------------- Materials -- (5.0%) Reliance Steel & Aluminum Co................. 70,931 3,964,334 0.2% Other Securities............................. 111,239,286 5.7% -------------- --------------- Total Materials................................. 115,203,620 5.9% -------------- --------------- Other -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- Telecommunication Services -- (2.0%) AT&T, Inc.................................... 570,322 18,769,297 0.9% Verizon Communications, Inc.................. 200,794 8,108,062 0.4% Other Securities............................. 18,931,967 1.0% -------------- --------------- Total Telecommunication Services................ 45,809,326 2.3% -------------- --------------- Utilities -- (1.1%) Other Securities............................. 26,272,984 1.3% -------------- --------------- TOTAL COMMON STOCKS............................. 1,960,638,738 99.5% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities............................. 3,016 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.6%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares..................... 12,432,187 12,432,187 0.6% -------------- ---------------
SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (13.6%) (S)@DFA Short Term Investment Fund.............. 311,018,596 311,018,596 15.8% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $682,316 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $684,432) to be repurchased at $662,444.............. $ 662 662,440 0.0% ----------- ---- TOTAL SECURITIES LENDING COLLATERAL............. 311,681,036 15.8% ----------- ----
29 U.S. VECTOR EQUITY PORTFOLIO CONTINUED PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,067,821,364)........................ $2,284,754,977 115.9% ============== =============== Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary..... $ 301,363,904 $ 26,027 -- $ 301,389,931 Consumer Staples........... 104,679,009 -- -- 104,679,009 Energy..................... 196,565,678 67,310 -- 196,632,988 Financials................. 468,663,447 -- -- 468,663,447 Health Care................ 166,886,753 -- -- 166,886,753 Industrials................ 284,645,016 32,624 -- 284,677,640 Information Technology..... 250,423,040 -- -- 250,423,040 Materials.................. 115,203,620 -- -- 115,203,620 Other...................... -- -- -- -- Telecommunication Services. 45,809,326 -- -- 45,809,326 Utilities.................. 26,272,984 -- -- 26,272,984 Rights/Warrants............... 3,016 -- -- 3,016 Temporary Cash Investments.... 12,432,187 -- -- 12,432,187 Securities Lending Collateral. -- 311,681,036 -- 311,681,036 -------------- ------------ ------- -------------- TOTAL......................... $1,972,947,980 $311,806,997 -- $2,284,754,977 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 30 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (80.8%) Consumer Discretionary -- (14.7%) Aaron's, Inc.............................. 286,969 $ 7,796,948 0.2% #Brinker International, Inc................ 322,412 10,146,306 0.2% #Buckle, Inc............................... 171,844 7,935,756 0.2% #*Cabela's, Inc............................. 277,885 10,506,832 0.2% #*Carter's, Inc............................. 215,859 11,721,144 0.3% #*Coinstar, Inc............................. 124,263 7,802,474 0.2% #Dillard's, Inc. Class A................... 175,813 11,350,487 0.3% #Domino's Pizza, Inc....................... 270,452 10,225,790 0.2% *Express, Inc.............................. 336,736 7,953,704 0.2% #HSN, Inc.................................. 206,075 7,975,102 0.2% #Penske Automotive Group, Inc.............. 337,541 8,924,584 0.2% #*Pier 1 Imports, Inc....................... 641,193 11,015,696 0.3% Rent-A-Center, Inc........................ 228,132 7,804,396 0.2% #Six Flags Entertainment Corp.............. 182,712 8,753,732 0.2% #Wolverine World Wide, Inc................. 192,788 8,087,457 0.2% Other Securities.......................... 640,242,941 14.9% ------------ --------------- Total Consumer Discretionary................. 778,243,349 18.2% ------------ --------------- Consumer Staples -- (3.7%) #Casey's General Stores, Inc............... 144,677 8,152,549 0.2% #*Darling International, Inc................ 474,139 7,766,397 0.2% *Hain Celestial Group, Inc (The)........... 180,533 8,539,211 0.2% #Nu Skin Enterprises, Inc. Class A......... 252,750 13,471,575 0.3% PriceSmart, Inc........................... 115,776 9,556,151 0.2% #*United Natural Foods, Inc................. 164,064 8,086,715 0.2% Other Securities.......................... 137,783,170 3.2% ------------ --------------- Total Consumer Staples....................... 193,355,768 4.5% ------------ --------------- Energy -- (4.1%) *CVR Energy, Inc........................... 328,935 9,986,467 0.2% *Helix Energy Solutions Group, Inc......... 411,469 8,398,082 0.2% Other Securities.......................... 196,274,615 4.6% ------------ --------------- Total Energy................................. 214,659,164 5.0% ------------ --------------- Financials -- (12.3%) Delphi Financial Group, Inc. Class A...... 185,627 8,431,178 0.2% Fulton Financial Corp..................... 771,890 8,097,126 0.2% Other Securities.......................... 635,746,373 14.8% ------------ --------------- Total Financials............................. 652,274,677 15.2% ------------ --------------- Health Care -- (8.3%) #*Align Technology, Inc..................... 286,722 9,091,955 0.2% #*Medicines Co. (The)....................... 351,538 7,765,474 0.2% #Medicis Pharmaceutical Corp. Class A...... 202,645 7,795,753 0.2% *Myriad Genetics, Inc...................... 338,879 8,814,243 0.2% #*Thoratec Corp............................. 319,166 11,110,168 0.3% *WellCare Health Plans, Inc................ 179,775 10,998,634 0.2% Other Securities.......................... 385,627,713 9.0% ------------ --------------- Total Health Care............................ 441,203,940 10.3% ------------ --------------- Industrials -- (14.9%) #Actuant Corp. Class A..................... 293,042 7,991,255 0.2% #Alexander & Baldwin, Inc.................. 163,316 8,355,247 0.2% *Chart Industries, Inc..................... 117,013 8,943,304 0.2% #EMCOR Group, Inc.......................... 272,700 7,995,564 0.2% #*Hexcel Corp............................... 299,983 8,213,535 0.2%
31 U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) #*Old Dominion Freight Line, Inc............... 191,772 $ 8,528,101 0.2% #*Teledyne Technologies, Inc................... 128,530 8,305,609 0.2% #Toro Co...................................... 118,416 8,462,007 0.2% #*United Rentals, Inc.......................... 165,341 7,718,118 0.2% Other Securities................................ 714,345,290 16.6% -------------- --------------- Total Industrials............................... 788,858,030 18.4% -------------- --------------- Information Technology -- (15.3%) #*Anixter International, Inc................... 128,352 8,802,380 0.2% #*CommVault Systems, Inc....................... 159,126 8,285,691 0.2% #*NeuStar, Inc................................. 253,413 9,211,563 0.2% #*SolarWinds, Inc.............................. 262,245 12,301,913 0.3% #*ViaSat, Inc.................................. 162,825 7,864,448 0.2% #*Wright Express Corp.......................... 136,186 8,691,391 0.2% Other Securities............................. 752,380,451 17.5% -------------- --------------- Total Information Technology.................... 807,537,837 18.8% -------------- --------------- Materials -- (4.3%) #NewMarket Corp............................... 40,110 8,953,354 0.2% Other Securities............................. 215,992,781 5.1% -------------- --------------- Total Materials................................. 224,946,135 5.3% -------------- --------------- Other -- (0.0%) Other Securities............................. 1,730 0.0% -------------- --------------- Telecommunication Services -- (0.6%) *AboveNet, Inc................................ 105,252 8,753,809 0.2% Other Securities............................. 25,410,251 0.6% -------------- --------------- Total Telecommunication Services................ 34,164,060 0.8% -------------- --------------- Utilities -- (2.6%) #IDACORP, Inc................................. 188,896 7,695,623 0.2% #Portland General Electric Co................. 300,360 7,758,299 0.2% Other Securities............................. 121,501,418 2.8% -------------- --------------- Total Utilities................................. 136,955,340 3.2% -------------- --------------- TOTAL COMMON STOCKS............................. 4,272,200,030 99.7% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities............................. 32,205 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares..................... 23,640,019 23,640,019 0.5% -------------- --------------- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (18.8%) (S)@DFA Short Term Investment Fund.............. 992,082,010 992,082,010 23.2% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $503,025 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $504,585) to be repurchased at $488,375.............. $ 488 488,372 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL............. 992,570,382 23.2% -------------- ---------------
32 U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,599,339,684)......................... $5,288,442,636 123.4% ============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary.......... $ 778,167,982 $ 75,367 -- $ 778,243,349 Consumer Staples................ 193,355,768 -- -- 193,355,768 Energy.......................... 214,437,386 221,778 -- 214,659,164 Financials...................... 652,274,677 -- -- 652,274,677 Health Care..................... 441,203,940 -- -- 441,203,940 Industrials..................... 788,540,212 317,818 -- 788,858,030 Information Technology.......... 807,537,837 -- -- 807,537,837 Materials....................... 224,946,135 -- -- 224,946,135 Other........................... -- 1,730 -- 1,730 Telecommunication Services...... 34,164,060 -- -- 34,164,060 Utilities....................... 136,955,340 -- -- 136,955,340 Rights/Warrants.................... 32,205 -- -- 32,205 Temporary Cash Investments......... 23,640,019 -- -- 23,640,019 Securities Lending Collateral...... -- 992,570,382 -- 992,570,382 -------------- ------------ ------- -------------- TOTAL.............................. $4,295,255,561 $993,187,075 -- $5,288,442,636 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 33 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (87.4%) Consumer Discretionary -- (15.8%) #*Asbury Automotive Group, Inc................. 295,080 $ 8,238,634 0.2% *Dorman Products, Inc......................... 158,055 7,551,868 0.2% #Finish Line, Inc. Class A (The).............. 400,378 8,912,414 0.3% *Genesco, Inc................................. 140,786 10,558,950 0.3% #*Hibbett Sporting Goods, Inc.................. 213,043 12,722,928 0.4% *Papa John's International, Inc............... 217,901 8,777,052 0.3% #*Select Comfort Corp.......................... 290,114 8,378,492 0.2% #Sturm Ruger & Co., Inc....................... 189,301 10,803,408 0.3% #*Zumiez, Inc.................................. 221,700 8,127,522 0.2% Other Securities............................. 554,355,284 15.6% ------------ --------------- Total Consumer Discretionary.................... 638,426,552 18.0% ------------ --------------- Consumer Staples -- (3.6%) Andersons, Inc. (The)........................ 164,550 8,293,320 0.2% #Cal-Maine Foods, Inc......................... 207,119 7,462,498 0.2% *Elizabeth Arden, Inc......................... 261,981 10,212,019 0.3% J & J Snack Foods Corp....................... 180,997 10,146,692 0.3% WD-40 Co..................................... 165,082 7,441,897 0.2% Other Securities............................. 104,279,906 3.0% ------------ --------------- Total Consumer Staples.......................... 147,836,332 4.2% ------------ --------------- Energy -- (4.1%) #*Clayton Williams Energy, Inc................. 110,880 8,154,115 0.2% Other Securities............................. 157,961,970 4.5% ------------ --------------- Total Energy.................................... 166,116,085 4.7% ------------ --------------- Financials -- (13.6%) #Bank of the Ozarks, Inc...................... 312,184 9,646,486 0.3% FBL Financial Group, Inc. Class A............ 289,468 8,429,308 0.2% Horace Mann Educators Corp................... 424,387 7,447,992 0.2% Infinity Property & Casualty Corp............ 141,994 7,583,900 0.2% #*World Acceptance Corp........................ 156,911 10,436,151 0.3% Other Securities............................. 507,862,698 14.3% ------------ --------------- Total Financials................................ 551,406,535 15.5% ------------ --------------- Health Care -- (10.1%) #*Air Methods Corp............................. 115,182 9,687,958 0.3% #*Akorn, Inc................................... 733,196 8,893,667 0.3% *Amsurg Corp.................................. 295,558 8,500,248 0.2% Analogic Corp................................ 126,116 8,602,372 0.2% #*Ariad Pharmaceuticals, Inc................... 788,909 12,859,217 0.4% CONMED Corp.................................. 265,831 7,600,108 0.2% *Cyberonics, Inc.............................. 225,257 8,627,343 0.2% Other Securities............................. 343,230,746 9.7% ------------ --------------- Total Health Care............................... 408,001,659 11.5% ------------ --------------- Industrials -- (15.3%) #*Colfax Corp.................................. 234,484 7,946,663 0.2% Kaman Corp................................... 236,632 8,135,408 0.2% Raven Industries, Inc........................ 178,996 10,777,349 0.3% #TAL International Group, Inc................. 210,541 8,697,449 0.2% #Titan International, Inc..................... 319,702 9,236,191 0.3% UniFirst Corp................................ 129,866 7,890,658 0.2% Other Securities............................. 566,108,056 16.0% ------------ --------------- Total Industrials............................... 618,791,774 17.4% ------------ ---------------
34 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Information Technology -- (17.2%) Cabot Microelectronics Corp.................. 230,045 $ 7,908,947 0.2% Forrester Research, Inc...................... 256,389 9,088,990 0.3% #*iGATE Corp................................... 521,424 10,146,911 0.3% *Insight Enterprises, Inc..................... 398,956 8,102,796 0.2% #*Liquidity Services, Inc...................... 144,598 7,711,411 0.2% #Littlefuse, Inc.............................. 117,934 7,390,924 0.2% *Loral Space & Communications, Inc............ 126,670 7,859,874 0.2% #*Manhattan Associates, Inc.................... 238,948 11,983,242 0.4% MTS Systems Corp............................. 170,976 8,201,719 0.2% *OSI Systems, Inc............................. 150,502 10,062,564 0.3% *ScanSource, Inc.............................. 236,107 7,782,087 0.2% #*Tyler Technologies, Inc...................... 364,519 14,562,534 0.4% Other Securities............................. 586,492,339 16.5% -------------- --------------- Total Information Technology.................... 697,294,338 19.6% -------------- --------------- Materials -- (5.0%) #AMCOL International Corp..................... 263,102 8,671,842 0.3% Buckeye Technologies, Inc.................... 257,175 8,335,042 0.2% Stepan Co.................................... 85,522 7,770,529 0.2% Other Securities............................. 178,190,488 5.0% -------------- --------------- Total Materials................................. 202,967,901 5.7% -------------- --------------- Other -- (0.0%) Other Securities............................. 9,955 0.0% -------------- --------------- Telecommunication Services -- (1.0%) Other Securities............................. 41,651,029 1.2% -------------- --------------- Utilities -- (1.7%) #CH Energy Group, Inc......................... 129,612 8,505,139 0.2% #MGE Energy, Inc.............................. 196,967 9,009,271 0.3% Other Securities............................. 52,040,223 1.5% -------------- --------------- Total Utilities................................. 69,554,633 2.0% -------------- --------------- TOTAL COMMON STOCKS............................. 3,542,056,793 99.8% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities............................. 49,302 0.0% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.6%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares..................... 23,805,550 23,805,550 0.6% -------------- --------------- SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (12.0%) (S)@DFA Short Term Investment Fund.............. 484,821,225 484,821,225 13.7% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $564,332 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $566,082) to be repurchased at $547,896.............. $ 548 547,893 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL............. 485,369,118 13.7% -------------- ---------------
35 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,526,507,966)......................... $4,051,280,763 114.1% ============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary.................... $ 638,243,286 $ 183,266 -- $ 638,426,552 Consumer Staples.......................... 147,836,332 -- -- 147,836,332 Energy.................................... 166,116,085 -- -- 166,116,085 Financials................................ 551,405,553 982 -- 551,406,535 Health Care............................... 408,001,659 -- -- 408,001,659 Industrials............................... 618,512,337 279,437 -- 618,791,774 Information Technology.................... 697,294,140 198 -- 697,294,338 Materials................................. 202,967,901 -- -- 202,967,901 Other..................................... -- 9,955 -- 9,955 Telecommunication Services................ 41,650,488 541 -- 41,651,029 Utilities................................. 69,554,633 -- -- 69,554,633 Rights/Warrants.............................. 49,302 -- -- 49,302 Temporary Cash Investments................... 23,805,550 -- -- 23,805,550 Securities Lending Collateral................ -- 485,369,118 -- 485,369,118 -------------- ------------ ------- -------------- TOTAL........................................ $3,565,437,266 $485,843,497 -- $4,051,280,763 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 36 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- COMMON STOCKS -- (84.7%) Real Estate Investment Trusts -- (84.7%) Alexander's, Inc.............................. 48,481 $ 18,889,652 0.5% #Alexandria Real Estate Equities, Inc.......... 528,995 39,632,305 1.1% #American Campus Communities, Inc.............. 645,000 28,670,250 0.8% #Apartment Investment & Management Co. Class A. 1,080,080 29,324,172 0.8% #AvalonBay Communities, Inc.................... 815,226 118,533,860 3.3% #BioMed Realty Trust, Inc...................... 1,288,125 25,530,637 0.7% Boston Properties, Inc........................ 1,288,587 139,489,543 3.9% #BRE Properties, Inc........................... 650,432 34,147,680 1.0% #Camden Property Trust......................... 655,413 44,351,798 1.2% #CBL & Associates Properties, Inc.............. 1,226,022 22,840,790 0.6% #DDR Corp...................................... 2,169,519 32,108,881 0.9% #Digital Realty Trust, Inc..................... 903,607 67,851,850 1.9% #Douglas Emmett, Inc........................... 1,126,607 26,182,347 0.7% #Duke Realty Corp.............................. 2,244,095 33,235,047 0.9% #Entertainment Properties Trust................ 399,914 19,191,873 0.5% #Equity Lifestyle Properties, Inc.............. 330,966 23,147,762 0.6% #Equity Residential............................ 2,602,656 159,907,185 4.4% #Essex Property Trust, Inc..................... 296,514 46,840,317 1.3% #Extra Space Storage, Inc...................... 775,858 23,547,290 0.7% #Federal Realty Investment Trust............... 570,549 57,431,462 1.6% #General Growth Properties, Inc................ 3,768,676 67,082,433 1.9% #HCP, Inc...................................... 3,410,847 141,379,608 3.9% Health Care REIT, Inc......................... 1,741,141 98,653,049 2.7% #Highwoods Properties, Inc..................... 655,670 22,771,419 0.6% Home Properties, Inc.......................... 401,711 24,524,457 0.7% #Hospitality Properties Trust.................. 1,129,465 31,150,645 0.9% #Host Hotels & Resorts, Inc.................... 6,263,417 104,223,259 2.9% #Kilroy Realty Corp............................ 523,151 24,823,515 0.7% Kimco Realty Corp............................. 3,688,342 71,590,718 2.0% #LaSalle Hotel Properties...................... 724,050 21,294,310 0.6% Liberty Property Trust........................ 1,048,979 38,235,285 1.1% #Macerich Co. (The)............................ 1,131,317 69,655,188 1.9% #Mack-Cali Realty Corp......................... 756,315 21,721,367 0.6% #Mid-America Apartment Communities, Inc........ 322,753 21,969,797 0.6% #National Retail Properties, Inc............... 867,021 23,739,035 0.7% #Piedmont Office Realty Trust, Inc. Class A.... 1,446,270 25,656,830 0.7% #Post Properties, Inc.......................... 454,363 22,127,478 0.6% ProLogis, Inc................................. 3,840,930 137,428,475 3.8% Public Storage................................ 1,324,670 189,772,224 5.3% #Realty Income Corp............................ 1,118,294 43,993,686 1.2% #Regency Centers Corp.......................... 759,307 34,138,443 1.0% #Senior Housing Properties Trust............... 1,367,388 30,191,927 0.8% #Simon Property Group, Inc..................... 2,680,150 417,031,340 11.6% #SL Green Realty Corp.......................... 754,302 62,184,657 1.7% #Tanger Factory Outlet Centers, Inc............ 763,527 23,913,666 0.7% #Taubman Centers, Inc.......................... 507,618 39,177,957 1.1% #UDR, Inc...................................... 1,843,656 48,543,462 1.4% #Ventas, Inc................................... 2,398,518 141,008,873 3.9% #Vornado Realty Trust.......................... 1,508,390 129,480,198 3.6% #Weingarten Realty Investors................... 1,049,531 27,875,544 0.8% Other Securities.............................. 420,273,334 11.7% -------------- --------------- TOTAL COMMON STOCKS.............................. 3,566,466,880 99.1% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.7%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares...................... 30,065,272 30,065,272 0.9% -------------- ---------------
37 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS* ------------ -------------- -------------- (000) SECURITIES LENDING COLLATERAL -- (14.6%) (S)@DFA Short Term Investment Fund.............. 615,643,335 $ 615,643,335 17.1% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $581,277 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $583,079) to be repurchased at $564,347.............. $ 564 564,344 0.0% -------------- -------------- TOTAL SECURITIES LENDING COLLATERAL............. 616,207,679 17.1% -------------- -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,085,720,573)......................... $4,212,739,831 117.1% ============== ==============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Real Estate Investment Trusts.......... $3,566,466,880 -- -- $3,566,466,880 Temporary Cash Investments................ 30,065,272 -- -- 30,065,272 Securities Lending Collateral............. -- $616,207,679 -- 616,207,679 -------------- ------------ ------- -------------- TOTAL..................................... $3,596,532,152 $616,207,679 -- $4,212,739,831 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 38 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (83.8%) AUSTRALIA -- (6.5%) Australia & New Zealand Banking Group, Ltd... 456,726 $ 11,314,584 0.6% #BHP Billiton, Ltd............................ 333,112 12,360,858 0.6% #BHP Billiton, Ltd. Sponsored ADR............. 94,000 6,984,200 0.4% #Commonwealth Bank of Australia NL............ 258,775 13,959,083 0.7% #National Australia Bank, Ltd................. 399,549 10,443,925 0.5% Westpac Banking Corp......................... 428,372 10,095,099 0.5% Other Securities............................. 85,764,130 4.4% ------------ --------------- TOTAL AUSTRALIA................................. 150,921,879 7.7% ------------ --------------- AUSTRIA -- (0.2%) Other Securities............................. 5,184,556 0.3% ------------ --------------- BELGIUM -- (0.7%) #Anheuser-Busch InBev NV...................... 101,785 7,336,184 0.4% Other Securities............................. 9,256,328 0.4% ------------ --------------- TOTAL BELGIUM................................... 16,592,512 0.8% ------------ --------------- CANADA -- (9.4%) #Bank of Montreal............................. 114,316 6,789,411 0.4% Bank of Nova Scotia.......................... 182,327 10,114,410 0.5% Barrick Gold Corp............................ 166,000 6,714,947 0.3% #Royal Bank of Canada......................... 231,780 13,395,070 0.7% Suncor Energy, Inc........................... 277,879 9,178,713 0.5% #Toronto Dominion Bank........................ 160,784 13,588,962 0.7% Other Securities............................. 157,197,706 8.0% ------------ --------------- TOTAL CANADA.................................... 216,979,219 11.1% ------------ --------------- DENMARK -- (0.9%) Other Securities............................. 21,590,680 1.1% ------------ --------------- FINLAND -- (0.6%) Other Securities............................. 15,041,944 0.8% ------------ --------------- FRANCE -- (6.8%) BNP Paribas SA............................... 168,361 6,794,936 0.3% #LVMH Moet Hennessy Louis Vuitton SA.......... 42,051 6,976,066 0.4% Sanofi SA.................................... 145,482 11,112,155 0.6% Total SA..................................... 221,099 10,613,528 0.5% Total SA Sponsored ADR....................... 144,707 6,961,854 0.4% Other Securities............................. 113,834,819 5.8% ------------ --------------- TOTAL FRANCE.................................... 156,293,358 8.0% ------------ --------------- GERMANY -- (6.2%) #BASF SE...................................... 141,010 11,609,762 0.6% #Bayer AG..................................... 99,729 7,027,277 0.4% Daimler AG................................... 163,887 9,068,099 0.5% SAP AG....................................... 102,924 6,825,239 0.3% Siemens AG................................... 72,344 6,714,982 0.3% Other Securities............................. 101,800,389 5.2% ------------ --------------- TOTAL GERMANY................................... 143,045,748 7.3% ------------ --------------- GREECE -- (0.1%) Other Securities............................. 1,196,440 0.1% ------------ --------------- HONG KONG -- (2.2%) Other Securities............................. 50,447,891 2.6% ------------ ---------------
39 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- IRELAND -- (0.2%) Other Securities............................. $ 5,529,947 0.3% ------------ --------------- ISRAEL -- (0.4%) Other Securities............................. 9,839,423 0.5% ------------ --------------- ITALY -- (1.6%) Other Securities............................. 36,235,246 1.8% ------------ --------------- JAPAN -- (15.9%) #Mitsubishi UFJ Financial Group, Inc. ADR..... 1,455,897 6,930,070 0.4% Sumitomo Mitsui Financial Group, Inc......... 236,140 7,556,192 0.4% Toyota Motor Corp............................ 295,300 12,100,735 0.6% #Toyota Motor Corp. Sponsored ADR............. 81,534 6,667,851 0.3% Other Securities............................. 335,854,691 17.2% ------------ --------------- TOTAL JAPAN..................................... 369,109,539 18.9% ------------ --------------- NETHERLANDS -- (1.9%) Unilever NV.................................. 266,590 9,131,834 0.5% Other Securities............................. 33,969,423 1.7% ------------ --------------- TOTAL NETHERLANDS............................... 43,101,257 2.2% ------------ --------------- NEW ZEALAND -- (0.1%) Other Securities............................. 2,124,086 0.1% ------------ --------------- NORWAY -- (0.9%) Other Securities............................. 20,705,191 1.1% ------------ --------------- PORTUGAL -- (0.2%) Other Securities............................. 3,745,151 0.2% ------------ --------------- SINGAPORE -- (1.4%) Other Securities............................. 31,547,557 1.6% ------------ --------------- SPAIN -- (2.0%) Other Securities............................. 45,786,247 2.3% ------------ --------------- SWEDEN -- (2.4%) Other Securities............................. 56,476,053 2.9% ------------ --------------- SWITZERLAND -- (6.1%) Nestle SA.................................... 518,109 31,754,526 1.6% Novartis AG.................................. 245,458 13,553,271 0.7% Novartis AG ADR.............................. 147,100 8,115,507 0.4% Roche Holding AG Genusschein................. 110,635 20,219,714 1.0% *UBS AG....................................... 612,736 7,651,964 0.4% Other Securities............................. 60,446,363 3.1% ------------ --------------- TOTAL SWITZERLAND............................... 141,741,345 7.2% ------------ --------------- UNITED KINGDOM -- (17.1%) Anglo American P.L.C......................... 234,651 9,068,045 0.5% BG Group P.L.C............................... 495,973 11,702,594 0.6% #BHP Billiton P.L.C. ADR...................... 113,263 7,289,607 0.4% BP P.L.C. Sponsored ADR...................... 517,641 22,470,796 1.1% British American Tobacco P.L.C............... 282,921 14,510,905 0.7% GlaxoSmithKline P.L.C........................ 513,282 11,857,598 0.6% GlaxoSmithKline P.L.C. Sponsored AD.......... 154,591 7,146,742 0.4% HSBC Holdings P.L.C.......................... 1,512,952 13,657,702 0.7% #HSBC Holdings P.L.C. Sponsored ADR........... 339,416 15,331,421 0.8% Rio Tinto P.L.C.............................. 150,148 8,416,525 0.4% Royal Dutch Shell P.L.C. ADR................. 267,024 19,588,881 1.0% SABmiller P.L.C.............................. 159,746 6,713,889 0.3%
40 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- UNITED KINGDOM -- (Continued) Standard Chartered P.L.C..................... 430,925 $ 10,534,257 0.5% Tesco P.L.C.................................. 1,379,841 7,109,883 0.4% Vodafone Group P.L.C......................... 3,189,133 8,827,408 0.5% Vodafone Group P.L.C. Sponsored ADR.......... 680,782 18,946,163 1.0% Xstrata P.L.C................................ 353,374 6,786,735 0.3% Other Securities............................. 195,960,562 10.0% -------------- --------------- TOTAL UNITED KINGDOM............................ 395,919,713 20.2% -------------- --------------- TOTAL COMMON STOCKS............................. 1,939,154,982 99.1% -------------- --------------- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities............................. 1,177,119 0.1% -------------- --------------- UNITED KINGDOM -- (0.0%) Other Securities............................. 53,405 0.0% -------------- --------------- TOTAL PREFERRED STOCKS.......................... 1,230,524 0.1% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities............................. 4 0.0% -------------- --------------- FRANCE -- (0.0%) Other Securities............................. 15 0.0% -------------- --------------- NORWAY -- (0.0%) Other Securities............................. 3 0.0% -------------- --------------- SPAIN -- (0.0%) Other Securities............................. 2 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS........................... 24 0.0% -------------- ---------------
SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (16.2%) (S)@DFA Short Term Investment Fund.............. 374,000,000 374,000,000 19.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $835,721) to be repurchased at $819,339................................... $ 819 819,334 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............. 374,819,334 19.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,173,606,545)......................... $2,315,204,864 118.4% ============== =====
41 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia....................... $ 9,251,552 $ 141,670,327 -- $ 150,921,879 Austria......................... 52,320 5,132,236 -- 5,184,556 Belgium......................... 2,653,908 13,938,604 -- 16,592,512 Canada.......................... 216,979,219 -- -- 216,979,219 Denmark......................... 3,900,588 17,690,092 -- 21,590,680 Finland......................... 1,042,310 13,999,634 -- 15,041,944 France.......................... 14,168,008 142,125,350 -- 156,293,358 Germany......................... 23,887,029 119,158,719 -- 143,045,748 Greece.......................... -- 1,196,440 -- 1,196,440 Hong Kong....................... -- 50,447,891 -- 50,447,891 Ireland......................... 2,019,734 3,510,213 -- 5,529,947 Israel.......................... 6,259,251 3,580,172 -- 9,839,423 Italy........................... 5,672,778 30,562,468 -- 36,235,246 Japan........................... 33,945,104 335,164,435 -- 369,109,539 Netherlands..................... 3,291,364 39,809,893 -- 43,101,257 New Zealand..................... -- 2,124,086 -- 2,124,086 Norway.......................... 1,282,811 19,422,380 -- 20,705,191 Portugal........................ 108,808 3,636,343 -- 3,745,151 Singapore....................... -- 31,547,557 -- 31,547,557 Spain........................... 16,282,483 29,503,764 -- 45,786,247 Sweden.......................... 659,580 55,816,473 -- 56,476,053 Switzerland..................... 16,053,216 125,688,129 -- 141,741,345 United Kingdom.................. 132,875,152 263,044,561 -- 395,919,713 Preferred Stocks Germany......................... -- 1,177,119 -- 1,177,119 United Kingdom.................. -- 53,405 -- 53,405 Rights/Warrants Belgium......................... -- 4 -- 4 France.......................... -- 15 -- 15 Norway.......................... -- 3 -- 3 Spain........................... -- 2 -- 2 Securities Lending Collateral...... -- 374,819,334 -- 374,819,334 ------------ -------------- ------- -------------- TOTAL.............................. $490,385,215 $1,824,819,649 -- $2,315,204,864 ============ ============== ======= ==============
See accompanying Notes to Financial Statements. 42 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- COMMON STOCKS -- (84.8%) AUSTRALIA -- (6.0%) Australia & New Zealand Banking Group, Ltd..... 803,552 $ 19,906,589 0.3% #Commonwealth Bank of Australia NL.............. 291,226 15,709,586 0.3% #National Australia Bank, Ltd................... 935,297 24,447,996 0.4% Wesfarmers, Ltd................................ 435,744 13,683,153 0.2% Westpac Banking Corp........................... 652,008 15,365,350 0.3% Other Securities............................... 324,853,928 5.5% ------------ --------------- TOTAL AUSTRALIA................................... 413,966,602 7.0% ------------ --------------- AUSTRIA -- (0.4%) Other Securities............................... 28,142,378 0.5% ------------ --------------- BELGIUM -- (0.9%) Other Securities............................... 59,136,219 1.0% ------------ --------------- CANADA -- (9.6%) #Bank of Montreal............................... 266,573 15,832,199 0.3% #Bank of Nova Scotia............................ 264,875 14,693,678 0.2% Canadian National Resources, Ltd............... 378,150 13,137,731 0.2% #Royal Bank of Canada........................... 326,040 18,842,561 0.3% Suncor Energy, Inc............................. 654,429 21,616,661 0.4% #Toronto Dominion Bank.......................... 350,772 29,646,155 0.5% Other Securities............................... 550,244,622 9.3% ------------ --------------- TOTAL CANADA...................................... 664,013,607 11.2% ------------ --------------- CHINA -- (0.0%) Other Securities............................... 177,538 0.0% ------------ --------------- DENMARK -- (0.8%) Other Securities............................... 56,390,298 0.9% ------------ --------------- FINLAND -- (1.3%) Other Securities............................... 86,625,407 1.5% ------------ --------------- FRANCE -- (5.9%) BNP Paribas SA................................. 412,437 16,645,677 0.3% GDF Suez SA.................................... 531,910 12,246,800 0.2% Sanofi SA ADR.................................. 562,231 21,465,980 0.4% #Total SA Sponsored ADR......................... 497,184 23,919,522 0.4% Other Securities............................... 332,549,935 5.6% ------------ --------------- TOTAL FRANCE...................................... 406,827,914 6.9% ------------ --------------- GERMANY -- (5.3%) Bayerische Motoren Werke AG.................... 146,243 13,909,458 0.2% Daimler AG..................................... 406,057 22,467,707 0.4% Deutsche Bank AG............................... 331,650 14,397,919 0.3% #E.ON AG........................................ 592,057 13,405,193 0.2% #Munchener Rueckversicherungs-Gesellschaft AG... 84,700 12,302,677 0.2% Siemens AG Sponsored ADR....................... 133,713 12,417,926 0.2% Other Securities............................... 274,964,716 4.6% ------------ --------------- TOTAL GERMANY..................................... 363,865,596 6.1% ------------ --------------- GREECE -- (0.3%) Other Securities............................... 19,023,158 0.3% ------------ --------------- HONG KONG -- (2.1%) Other Securities............................... 143,741,558 2.4% ------------ ---------------
43 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- IRELAND -- (0.5%) Other Securities............................. $ 35,090,814 0.6% -------------- --------------- ISRAEL -- (0.6%) Other Securities............................. 39,191,586 0.7% -------------- --------------- ITALY -- (1.8%) Other Securities............................. 126,012,335 2.1% -------------- --------------- JAPAN -- (17.3%) Honda Motor Co., Ltd. Sponsored ADR.......... 407,432 14,683,849 0.2% Mitsubishi UFJ Financial Group, Inc.......... 3,578,700 17,183,174 0.3% Mizuho Financial Group, Inc.................. 9,729,760 15,339,037 0.3% Sumitomo Mitsui Financial Group, Inc......... 572,770 18,327,942 0.3% #Toyota Motor Corp. Sponsored ADR............. 346,941 28,372,835 0.5% Other Securities............................. 1,097,539,198 18.5% -------------- --------------- TOTAL JAPAN..................................... 1,191,446,035 20.1% -------------- --------------- NETHERLANDS -- (2.1%) Other Securities............................. 145,890,264 2.5% -------------- --------------- NEW ZEALAND -- (0.2%) Other Securities............................. 15,676,378 0.3% -------------- --------------- NORWAY -- (1.0%) Other Securities............................. 71,534,822 1.2% -------------- --------------- PORTUGAL -- (0.3%) Other Securities............................. 19,341,371 0.3% -------------- --------------- SINGAPORE -- (1.5%) Other Securities............................. 102,478,966 1.7% -------------- --------------- SPAIN -- (1.7%) Banco Santander SA Sponsored ADR............. 2,229,277 14,111,323 0.2% Other Securities............................. 106,176,410 1.8% -------------- --------------- TOTAL SPAIN..................................... 120,287,733 2.0% -------------- --------------- SWEDEN -- (2.7%) Other Securities............................. 185,291,511 3.1% -------------- --------------- SWITZERLAND -- (5.2%) Holcim, Ltd.................................. 194,314 12,119,793 0.2% Nestle SA.................................... 587,284 35,994,212 0.6% Novartis AG ADR.............................. 627,200 34,602,624 0.6% Roche Holding AG Genusschein................. 82,873 15,145,916 0.3% *Swiss Re, Ltd................................ 260,756 16,373,671 0.3% *UBS AG....................................... 1,371,785 17,131,114 0.3% Zurich Insurance Group AG.................... 94,275 23,097,651 0.4% Other Securities............................. 204,468,901 3.4% -------------- --------------- TOTAL SWITZERLAND............................... 358,933,882 6.1% -------------- --------------- UNITED KINGDOM -- (17.3%) Anglo American P.L.C......................... 573,863 22,176,831 0.4% #AstraZeneca P.L.C. Sponsored ADR............. 314,863 13,822,486 0.2% #Barclays P.L.C. Sponsored ADR................ 1,247,292 17,761,438 0.3% BG Group P.L.C............................... 694,696 16,391,507 0.3% BP P.L.C. Sponsored ADR...................... 1,352,289 58,702,866 1.0% #HSBC Holdings P.L.C. Sponsored ADR........... 1,541,503 69,629,691 1.2% Imperial Tobacco Group P.L.C................. 308,273 12,327,992 0.2% Prudential P.L.C. ADR........................ 637,394 15,622,527 0.3% #Rio Tinto P.L.C. Sponsored ADR............... 289,758 16,246,731 0.3%
44 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- UNITED KINGDOM -- (Continued) *Rolls-Royce Holdings P.L.C................... 906,583 $ 12,121,422 0.2% #Royal Dutch Shell P.L.C. ADR................. 1,317,840 96,676,742 1.6% SABmiller P.L.C.............................. 323,061 13,577,779 0.2% Standard Chartered P.L.C..................... 1,032,766 25,246,672 0.4% Tesco P.L.C.................................. 2,348,104 12,099,035 0.2% Vodafone Group P.L.C. Sponsored ADR.......... 2,064,129 57,444,710 1.0% Xstrata P.L.C................................ 827,448 15,891,577 0.3% Other Securities............................. 718,627,706 12.1% -------------- --------------- TOTAL UNITED KINGDOM............................ 1,194,367,712 20.2% -------------- --------------- UNITED STATES -- (0.0%) Other Securities............................. 13,450 0.0% -------------- --------------- TOTAL COMMON STOCKS............................. 5,847,467,134 98.7% -------------- --------------- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities............................. 3,406,846 0.1% -------------- --------------- SWEDEN -- (0.0%) Other Securities............................. 46,938 0.0% -------------- --------------- UNITED KINGDOM -- (0.0%) Other Securities............................. 155,957 0.0% -------------- --------------- TOTAL PREFERRED STOCKS.......................... 3,609,741 0.1% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities............................. 7,080 0.0% -------------- --------------- BELGIUM -- (0.0%) Other Securities............................. 1,596 0.0% -------------- --------------- CANADA -- (0.0%) Other Securities............................. 586 0.0% -------------- --------------- DENMARK -- (0.0%) Other Securities............................. 21,901 0.0% -------------- --------------- GERMANY -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- HONG KONG -- (0.0%) Other Securities............................. 13,950 0.0% -------------- --------------- SINGAPORE -- (0.0%) Other Securities............................. 62,101 0.0% -------------- --------------- SPAIN -- (0.0%) Other Securities............................. 4 0.0% -------------- --------------- SWITZERLAND -- (0.0%) Other Securities............................. 196 0.0% -------------- --------------- UNITED KINGDOM -- (0.0%) Other Securities............................. 21,796 0.0% -------------- --------------- UNITED STATES -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS........................... 129,210 0.0% -------------- ---------------
45 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** -------------- -------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (15.1%) (S)@DFA Short Term Investment Fund.............. 1,041,000,000 $1,041,000,000 17.6% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $378,065) to be repurchased at $370,654................................... $ 371 370,652 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL............. 1,041,370,652 17.6% -------------- --------------- TOTAL INVESTMENTS -- (100.0%)................... (Cost $7,199,779,163)......................... $6,892,576,737 116.4% ============== ===============
46 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- --------- -------------- Common Stocks Australia...................................... $ 22,070,516 $ 391,896,086 -- $ 413,966,602 Austria........................................ 91,560 28,050,818 -- 28,142,378 Belgium........................................ 9,413,744 49,722,475 -- 59,136,219 Canada......................................... 663,423,530 590,077 -- 664,013,607 China.......................................... -- 177,538 -- 177,538 Denmark........................................ 3,345,848 53,044,450 -- 56,390,298 Finland........................................ 2,759,357 83,866,050 -- 86,625,407 France......................................... 70,185,708 336,642,206 -- 406,827,914 Germany........................................ 53,932,445 309,933,151 -- 363,865,596 Greece......................................... 1,635,193 17,387,965 -- 19,023,158 Hong Kong...................................... 266,290 143,475,268 -- 143,741,558 Ireland........................................ 9,630,127 25,460,687 -- 35,090,814 Israel......................................... 14,543,918 24,647,668 -- 39,191,586 Italy.......................................... 14,487,941 111,524,394 -- 126,012,335 Japan.......................................... 87,002,574 1,104,443,461 -- 1,191,446,035 Netherlands.................................... 25,371,081 120,519,183 -- 145,890,264 New Zealand.................................... 711,879 14,964,499 -- 15,676,378 Norway......................................... 9,051,641 62,483,181 -- 71,534,822 Portugal....................................... 205,473 19,135,898 -- 19,341,371 Singapore...................................... -- 102,478,966 -- 102,478,966 Spain.......................................... 28,621,650 91,666,083 -- 120,287,733 Sweden......................................... 7,466,084 177,825,427 -- 185,291,511 Switzerland.................................... 61,561,055 297,372,827 -- 358,933,882 United Kingdom................................. 427,586,753 766,780,959 -- 1,194,367,712 United States.................................. 13,450 -- -- 13,450 Preferred Stocks Germany........................................ -- 3,406,846 -- 3,406,846 Sweden......................................... -- 46,938 -- 46,938 United Kingdom................................. -- 155,957 -- 155,957 Rights/Warrants Australia...................................... -- 7,080 -- 7,080 Belgium........................................ -- 1,596 -- 1,596 Canada......................................... -- 586 -- 586 Denmark........................................ -- 21,901 -- 21,901 Germany........................................ -- -- -- -- Hong Kong...................................... -- 13,950 -- 13,950 Singapore...................................... -- 62,101 -- 62,101 Spain.......................................... -- 4 -- 4 Switzerland.................................... -- 196 -- 196 United Kingdom................................. -- 21,796 -- 21,796 United States.................................. -- -- -- -- Securities Lending Collateral..................... -- 1,041,370,652 -- 1,041,370,652 -------------- -------------- ------ -------------- TOTAL............................................. $1,513,377,817 $5,379,198,920 -- $6,892,576,737 ============== ============== ====== ==============
See accompanying Notes to Financial Statements. 47 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
VALUE+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company.... $1,987,831,116 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....... 1,402,660,503 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company. 1,295,919,946 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company... 770,233,996 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....... 740,073,888 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,009,154,841)................................................................ 6,196,719,449 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $6,009,154,841)................................................................ $6,196,719,449 ==============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------- ------- -------------- Affiliated Investment Companies.. $6,196,719,449 -- -- $6,196,719,449 -------------- ------ ---- -------------- TOTAL............................ $6,196,719,449 -- -- $6,196,719,449 ============== ====== ==== ==============
See accompanying Notes to Financial Statements. 48 SCHEDULES OF INVESTMENTS APRIL 30, 2012 (UNAUDITED) JAPANESE SMALL COMPANY PORTFOLIO
VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company. $322,208,865 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $364,847,808)............................................................ $322,208,865 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). ASIA PACIFIC SMALL COMPANY PORTFOLIO
VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company. $202,844,062 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $192,687,771)................................................................ $202,844,062 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 49 SCHEDULES OF INVESTMENTS APRIL 30, 2012 (UNAUDITED) UNITED KINDGOM SMALL COMPANY PORTFOLIO
VALUE+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company. $30,296,364 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $24,966,792)................................................................... $30,296,364 ===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). CONTINENTAL SMALL COMPANY PORTFOLIO
VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company. $120,533,638 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $122,331,854)............................................................... $120,533,638 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 50 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (87.1%) AUSTRALIA -- (23.4%) CFS Retail Property Trust.................... 9,691,577 $ 19,385,742 1.6% #Commonwealth Property Office Fund............ 12,028,614 13,019,738 1.0% Dexus Property Group......................... 24,257,926 23,535,617 1.9% Goodman Group................................ 7,484,209 27,981,964 2.3% GPT Group.................................... 8,754,543 29,804,772 2.4% *Investa Office Fund.......................... 3,187,223 9,046,851 0.7% Stockland Trust Group........................ 11,843,453 38,046,283 3.1% Westfield Group.............................. 10,248,851 97,992,835 7.9% Westfield Retail Trust....................... 14,561,346 41,091,035 3.3% Other Securities............................. 26,107,677 2.1% ------------ --------------- TOTAL AUSTRALIA................................. 326,012,514 26.3% ------------ --------------- BELGIUM -- (1.4%) #Cofinimmo SA................................. 71,308 8,608,223 0.7% Other Securities............................. 11,157,941 0.9% ------------ --------------- TOTAL BELGIUM................................... 19,766,164 1.6% ------------ --------------- CANADA -- (6.9%) Boardwalk REIT............................... 109,825 6,538,248 0.5% #Calloway REIT................................ 248,954 6,925,400 0.5% #Canadian REIT................................ 159,293 6,238,848 0.5% #Chartwell Seniors Housing REIT............... 660,637 6,232,866 0.5% H&R REIT..................................... 633,619 15,650,457 1.3% #RioCan REIT.................................. 640,255 17,590,242 1.4% Other Securities............................. 36,741,968 3.0% ------------ --------------- TOTAL CANADA.................................... 95,918,029 7.7% ------------ --------------- CHINA -- (0.1%) Other Securities............................. 1,779,568 0.1% ------------ --------------- FRANCE -- (10.9%) #Fonciere des Regions SA...................... 149,345 11,571,718 0.9% #Gecina SA.................................... 118,125 10,957,894 0.9% ICADE SA..................................... 120,742 10,186,547 0.8% Klepierre SA................................. 565,039 17,912,894 1.4% Societe Immobiliere de Location pour l'Industrie et le Commerce SA.............. 59,608 6,288,694 0.5% #Unibail-Rodamco SE........................... 463,432 86,716,122 7.0% Other Securities............................. 8,019,892 0.7% ------------ --------------- TOTAL FRANCE.................................... 151,653,761 12.2% ------------ --------------- GERMANY -- (0.3%) Other Securities............................. 3,804,510 0.3% ------------ --------------- GREECE -- (0.0%) Other Securities............................. 294,607 0.0% ------------ --------------- HONG KONG -- (4.1%) Link REIT (The).............................. 11,426,105 47,390,038 3.8% Other Securities............................. 9,597,501 0.8% ------------ --------------- TOTAL HONG KONG................................. 56,987,539 4.6% ------------ --------------- ISRAEL -- (0.0%) Other Securities............................. 629,250 0.1% ------------ --------------- ITALY -- (0.2%) Other Securities............................. 3,020,168 0.2% ------------ ---------------
51 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- JAPAN -- (14.1%) Advance Residence Investment Corp............ 5,402 $ 10,443,511 0.9% Frontier Real Estate Investment Corp......... 859 7,269,379 0.6% Japan Logistics Fund, Inc.................... 709 6,220,453 0.5% Japan Prime Realty Investment Corp........... 3,333 9,571,734 0.8% Japan Real Estate Investment Corp............ 2,684 23,777,170 1.9% Japan Retail Fund Investment Corp............ 9,347 14,903,137 1.2% MORI TRUST Sogo REIT, Inc.................... 834 7,374,361 0.6% Nippon Building Fund, Inc.................... 3,044 28,924,593 2.3% Nomura Real Estate Office Fund, Inc.......... 1,351 7,844,021 0.6% ORIX JREIT, Inc.............................. 1,360 6,047,163 0.5% United Urban Investment Corp................. 10,327 12,167,793 1.0% Other Securities............................. 61,823,787 5.0% -------------- --------------- TOTAL JAPAN..................................... 196,367,102 15.9% -------------- --------------- MALAYSIA -- (0.1%) Other Securities............................. 2,013,627 0.2% -------------- --------------- NETHERLANDS -- (2.7%) #Corio NV..................................... 324,182 14,522,431 1.2% Eurocommercial Properties NV................. 203,901 7,153,453 0.6% #Wereldhave NV................................ 113,863 8,012,615 0.6% Other Securities............................. 7,846,795 0.6% -------------- --------------- TOTAL NETHERLANDS............................... 37,535,294 3.0% -------------- --------------- NEW ZEALAND -- (0.7%) Other Securities............................. 9,331,501 0.8% -------------- --------------- SINGAPORE -- (6.8%) Ascendas REIT................................ 8,946,000 15,007,653 1.2% CapitaCommercial Trust....................... 10,019,000 10,419,954 0.8% CapitaMall Trust............................. 11,163,300 16,207,559 1.3% CDL Hospitality Trusts....................... 3,850,000 5,872,011 0.5% Suntec REIT.................................. 10,137,000 10,697,822 0.9% Other Securities............................. 36,752,643 3.0% -------------- --------------- TOTAL SINGAPORE................................. 94,957,642 7.7% -------------- --------------- SOUTH AFRICA -- (1.4%) Other Securities............................. 19,870,564 1.6% -------------- --------------- TAIWAN -- (0.6%) Other Securities............................. 8,095,303 0.7% -------------- --------------- TURKEY -- (0.6%) Other Securities............................. 8,557,351 0.7% -------------- --------------- UNITED KINGDOM -- (12.8%) British Land Co. P.L.C....................... 4,251,774 33,776,465 2.7% Capital Shopping Centres Group P.L.C......... 2,824,346 14,901,138 1.2% Derwent London P.L.C......................... 463,201 13,097,653 1.1% Great Portland Estates P.L.C................. 1,581,009 9,240,995 0.7% Hammerson P.L.C.............................. 3,630,503 24,612,364 2.0% Land Securities Group P.L.C.................. 3,988,053 47,096,234 3.8% Segro P.L.C.................................. 3,742,802 13,431,660 1.1% Shaftesbury P.L.C............................ 1,159,169 9,623,414 0.8% Other Securities............................. 12,581,546 1.0% -------------- --------------- TOTAL UNITED KINGDOM............................ 178,361,469 14.4% -------------- --------------- TOTAL COMMON STOCKS............................. 1,214,955,963 98.1% -------------- ---------------
52 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 -- (12.9%) (S)@DFA Short Term Investment Fund.............. 180,000,000 180,000,000 14.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $495,493) to be repurchased at $485,780................................... $ 486 485,777 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL............. 180,485,777 14.5% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,374,453,565)......................... $1,395,441,740 112.6% ============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- -------------- ------- -------------- Common Stocks Australia.................. -- $ 326,012,514 -- $ 326,012,514 Belgium.................... -- 19,766,164 -- 19,766,164 Canada..................... $95,918,029 -- -- 95,918,029 China...................... -- 1,779,568 -- 1,779,568 France..................... -- 151,653,761 -- 151,653,761 Germany.................... -- 3,804,510 -- 3,804,510 Greece..................... -- 294,607 -- 294,607 Hong Kong.................. -- 56,987,539 -- 56,987,539 Israel..................... -- 629,250 -- 629,250 Italy...................... -- 3,020,168 -- 3,020,168 Japan...................... -- 196,367,102 -- 196,367,102 Malaysia................... -- 2,013,627 -- 2,013,627 Netherlands................ -- 37,535,294 -- 37,535,294 New Zealand................ -- 9,331,501 -- 9,331,501 Singapore.................. -- 94,957,642 -- 94,957,642 South Africa............... -- 19,870,564 -- 19,870,564 Taiwan..................... -- 8,095,303 -- 8,095,303 Turkey..................... -- 8,557,351 -- 8,557,351 United Kingdom............. -- 178,361,469 -- 178,361,469 Rights/Warrants Netherlands................ -- -- -- -- Securities Lending Collateral. -- 180,485,777 -- 180,485,777 ----------- -------------- ------ -------------- TOTAL......................... $95,918,029 $1,299,523,711 -- $1,395,441,740 =========== ============== ====== ==============
See accompanying Notes to Financial Statements. 53 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
SHARES VALUE+ ---------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc........................... 26,423,928 $ 694,156,589 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc.......... 86,577,486 432,887,430 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $868,353,338).................................... 1,127,044,019 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio-Institutional Shares (Cost $2,144,261)...................................... 2,144,261 2,144,261 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $870,497,599).................................... $1,129,188,280 ==============
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------- ------- -------------- Affiliated Investment Companies......... $1,127,044,019 -- -- $1,127,044,019 Temporary Cash Investments.............. 2,144,261 -- -- 2,144,261 -------------- ------- ------- -------------- TOTAL................................... $1,129,188,280 -- -- $1,129,188,280 ============== ======= ======= ==============
See accompanying Notes to Financial Statements. 54 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (88.7%) AUSTRALIA -- (5.9%) #Beach Energy, Ltd............................ 23,748,219 $ 34,412,826 0.4% Goodman Fielder, Ltd......................... 37,803,693 25,854,769 0.3% GrainCorp, Ltd............................... 2,965,452 28,392,122 0.3% Primary Health Care, Ltd..................... 10,019,264 29,426,570 0.4% Other Securities............................. 416,165,166 5.1% ------------ --------------- TOTAL AUSTRALIA................................. 534,251,453 6.5% ------------ --------------- AUSTRIA -- (0.8%) #Wienerberger AG.............................. 2,509,358 29,320,060 0.3% Other Securities............................. 38,784,528 0.5% ------------ --------------- TOTAL AUSTRIA................................... 68,104,588 0.8% ------------ --------------- BELGIUM -- (0.9%) Other Securities............................. 79,168,575 1.0% ------------ --------------- CANADA -- (10.3%) *Canfor Corp.................................. 2,740,809 30,020,300 0.4% *Celestica, Inc............................... 4,577,603 41,010,059 0.5% Groupe Aeroplan, Inc......................... 3,335,633 42,883,575 0.5% HudBay Minerals, Inc......................... 3,722,539 39,190,571 0.5% Laurentian Bank of Canada.................... 707,853 31,550,101 0.4% *Petrobank Energy & Resources, Ltd............ 2,233,989 32,022,356 0.4% RONA, Inc.................................... 3,110,210 33,373,717 0.4% Sherritt International Corp.................. 6,804,683 38,919,329 0.5% #West Fraser Timber Co., Ltd.................. 758,023 33,325,848 0.4% Other Securities............................. 612,213,007 7.5% ------------ --------------- TOTAL CANADA.................................... 934,508,863 11.5% ------------ --------------- CHINA -- (0.0%) Other Securities............................. 157,853 0.0% ------------ --------------- DENMARK -- (0.6%) Other Securities............................. 56,966,289 0.7% ------------ --------------- FINLAND -- (2.4%) #Huhtamaki Oyj................................ 1,928,287 30,602,569 0.4% #*Outokumpu Oyj............................... 24,037,488 39,106,313 0.5% #Pohjola Bank P.L.C. Series A................. 3,275,771 35,253,899 0.4% Other Securities............................. 112,952,434 1.4% ------------ --------------- TOTAL FINLAND................................... 217,915,215 2.7% ------------ --------------- FRANCE -- (3.4%) Arkema SA.................................... 368,577 32,688,683 0.4% Havas SA..................................... 6,856,139 38,806,544 0.5% Nexans SA.................................... 580,149 29,076,437 0.4% Other Securities............................. 208,376,584 2.5% ------------ --------------- TOTAL FRANCE.................................... 308,948,248 3.8% ------------ --------------- GERMANY -- (4.7%) Aurubis AG................................... 1,045,010 58,162,017 0.7% Bilfinger Berger SE.......................... 692,750 63,380,996 0.8% Kloeckner & Co. SE........................... 2,394,335 32,587,274 0.4% Other Securities............................. 273,785,538 3.3% ------------ --------------- TOTAL GERMANY................................... 427,915,825 5.2% ------------ ---------------
55 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- GREECE -- (0.3%) Other Securities............................. $ 25,516,734 0.3% -------------- --------------- HONG KONG -- (2.0%) Other Securities............................. 177,621,688 2.2% -------------- --------------- IRELAND -- (0.3%) Other Securities............................. 23,790,746 0.3% -------------- --------------- ISRAEL -- (0.6%) Other Securities............................. 58,495,228 0.7% -------------- --------------- ITALY -- (2.2%) #Banca Popolare di Milano Scarl............... 66,155,704 32,571,828 0.4% Other Securities............................. 167,636,909 2.1% -------------- --------------- TOTAL ITALY..................................... 200,208,737 2.5% -------------- --------------- JAPAN -- (22.9%) Aoyama Trading Co., Ltd...................... 1,338,399 27,613,514 0.4% Other Securities............................. 2,050,175,684 25.1% -------------- --------------- TOTAL JAPAN..................................... 2,077,789,198 25.5% -------------- --------------- MALAYSIA -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- NETHERLANDS -- (1.4%) Other Securities............................. 126,213,592 1.5% -------------- --------------- NEW ZEALAND -- (0.4%) Other Securities............................. 36,622,800 0.5% -------------- --------------- NORWAY -- (1.1%) Other Securities............................. 102,112,119 1.3% -------------- --------------- PORTUGAL -- (0.2%) Other Securities............................. 17,486,839 0.2% -------------- --------------- SINGAPORE -- (1.3%) Other Securities............................. 116,790,255 1.4% -------------- --------------- SPAIN -- (1.2%) Other Securities............................. 111,302,764 1.4% -------------- --------------- SWEDEN -- (3.1%) #Holmen AB Series B........................... 1,273,311 33,821,382 0.4% #Trelleborg AB Series B....................... 6,786,568 77,816,853 1.0% Other Securities............................. 167,025,501 2.0% -------------- --------------- TOTAL SWEDEN.................................... 278,663,736 3.4% -------------- --------------- SWITZERLAND -- (4.2%) *Clariant AG.................................. 3,169,797 40,355,292 0.5% Helvetia Holding AG.......................... 115,700 41,498,975 0.5% Other Securities............................. 297,012,159 3.6% -------------- --------------- TOTAL SWITZERLAND............................... 378,866,426 4.6% -------------- --------------- UNITED KINGDOM -- (18.5%) Amlin P.L.C.................................. 10,862,369 58,177,283 0.7% Ashtead Group P.L.C.......................... 12,335,561 49,462,360 0.6% *Barratt Developments P.L.C................... 21,303,926 46,238,674 0.6% Beazley P.L.C................................ 12,306,390 28,328,525 0.3% Bellway P.L.C................................ 3,448,205 44,061,764 0.5% Bodycote P.L.C............................... 5,302,073 36,617,802 0.4%
56 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** -------------- -------------- --------------- UNITED KINGDOM -- (Continued) Bovis Homes Group P.L.C...................... 3,849,825 $ 28,887,236 0.4% Catlin Group, Ltd............................ 8,969,846 61,454,052 0.8% Cookson Group P.L.C.......................... 5,906,182 69,575,227 0.9% DS Smith P.L.C............................... 17,847,031 48,615,592 0.6% easyJet P.L.C................................ 3,830,175 30,837,399 0.4% Greene King P.L.C............................ 4,908,532 40,675,830 0.5% Hiscox, Ltd.................................. 10,648,017 68,865,861 0.8% Inchcape P.L.C............................... 8,233,803 48,917,752 0.6% Logica P.L.C................................. 28,942,748 36,624,014 0.4% Meggitt P.L.C................................ 7,033,226 46,639,872 0.6% Millennium & Copthorne Hotels P.L.C.......... 4,813,561 37,961,009 0.5% Mondi P.L.C.................................. 7,958,099 73,997,842 0.9% Persimmon P.L.C.............................. 7,337,098 74,832,923 0.9% *Taylor Wimpey P.L.C.......................... 69,658,557 56,816,421 0.7% Travis Perkins P.L.C......................... 5,109,001 87,163,637 1.1% Other Securities............................. 596,969,019 7.3% -------------- --------------- TOTAL UNITED KINGDOM............................ 1,671,720,094 20.5% -------------- --------------- UNITED STATES -- (0.0%) Other Securities............................. 10,350 0.0% -------------- --------------- TOTAL COMMON STOCKS............................. 8,031,148,215 98.5% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities............................. 8,636 0.0% -------------- --------------- BELGIUM -- (0.0%) Other Securities............................. 12,215 0.0% -------------- --------------- DENMARK -- (0.0%) Other Securities............................. 127,213 0.0% -------------- --------------- GERMANY -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- HONG KONG -- (0.0%) Other Securities............................. 93,981 0.0% -------------- --------------- UNITED KINGDOM -- (0.0%) Other Securities............................. -- 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS........................... 242,045 0.0% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ -------------- -------------- (000) SECURITIES LENDING COLLATERAL -- (11.3%) (S)@DFA Short Term Investment Fund.............. 1,022,000,000 1,022,000,000 12.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $510,716) to be repurchased at $500,705... $ 501 500,702 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL............. 1,022,500,702 12.5% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $9,721,383,550)......................... $9,053,890,962 111.0% ============== ===============
57 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia.................. -- $ 534,251,453 -- $ 534,251,453 Austria.................... -- 68,104,588 -- 68,104,588 Belgium.................... -- 79,168,575 -- 79,168,575 Canada..................... $930,771,950 3,736,913 -- 934,508,863 China...................... -- 157,853 -- 157,853 Denmark.................... -- 56,966,289 -- 56,966,289 Finland.................... -- 217,915,215 -- 217,915,215 France..................... -- 308,948,248 -- 308,948,248 Germany.................... -- 427,915,825 -- 427,915,825 Greece..................... 347,581 25,169,153 -- 25,516,734 Hong Kong.................. -- 177,621,688 -- 177,621,688 Ireland.................... -- 23,790,746 -- 23,790,746 Israel..................... -- 58,495,228 -- 58,495,228 Italy...................... -- 200,208,737 -- 200,208,737 Japan...................... -- 2,077,789,198 -- 2,077,789,198 Malaysia................... -- -- -- -- Netherlands................ -- 126,213,592 -- 126,213,592 New Zealand................ -- 36,622,800 -- 36,622,800 Norway..................... -- 102,112,119 -- 102,112,119 Portugal................... -- 17,486,839 -- 17,486,839 Singapore.................. -- 116,790,255 -- 116,790,255 Spain...................... -- 111,302,764 -- 111,302,764 Sweden..................... -- 278,663,736 -- 278,663,736 Switzerland................ -- 378,866,426 -- 378,866,426 United Kingdom............. -- 1,671,720,094 -- 1,671,720,094 United States.............. 10,350 -- -- 10,350 Rights/Warrants Australia.................. -- 8,636 -- 8,636 Belgium.................... -- 12,215 -- 12,215 Denmark.................... -- 127,213 -- 127,213 Germany.................... -- -- -- -- Hong Kong.................. -- 93,981 -- 93,981 United Kingdom............. -- -- -- -- Securities Lending Collateral. -- 1,022,500,702 -- 1,022,500,702 ------------ -------------- ------- -------------- TOTAL......................... $931,129,881 $8,122,761,081 -- $9,053,890,962 ============ ============== ======= ==============
See accompanying Notes to Financial Statements. 58 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- COMMON STOCKS -- (88.1%) AUSTRALIA -- (6.1%) Macquarie Group, Ltd......................... 29,586 $ 891,736 0.2% National Australia Bank, Ltd................. 74,261 1,941,130 0.4% Origin Energy, Ltd........................... 66,269 910,465 0.2% Suncorp Group, Ltd........................... 115,486 973,816 0.2% Other Securities............................. 31,766,741 5.9% ----------- --------------- TOTAL AUSTRALIA................................. 36,483,888 6.9% ----------- --------------- AUSTRIA -- (0.5%) Other Securities............................. 2,908,509 0.5% ----------- --------------- BELGIUM -- (1.0%) Other Securities............................. 5,885,384 1.1% ----------- --------------- CANADA -- (9.9%) #Bank of Montreal............................. 15,400 914,631 0.2% Magna International, Inc..................... 20,960 918,518 0.2% #Sun Life Financial, Inc...................... 35,778 877,201 0.2% Suncor Energy, Inc........................... 36,072 1,191,506 0.2% Toronto Dominion Bank........................ 21,129 1,785,757 0.3% Viterra, Inc................................. 59,388 956,484 0.2% Other Securities............................. 52,843,458 9.9% ----------- --------------- TOTAL CANADA.................................... 59,487,555 11.2% ----------- --------------- CHINA -- (0.0%) Other Securities............................. 33,507 0.0% ----------- --------------- DENMARK -- (1.0%) Other Securities............................. 5,952,213 1.1% ----------- --------------- FINLAND -- (1.5%) #*Nokia Oyj.................................... 301,254 1,091,051 0.2% Other Securities............................. 8,099,033 1.5% ----------- --------------- TOTAL FINLAND................................... 9,190,084 1.7% ----------- --------------- FRANCE -- (5.2%) Cie Generale des Etablissements Michelin SA Series B................................... 14,416 1,077,344 0.2% Sanofi SA.................................... 20,001 1,527,709 0.3% Societe Generale SA.......................... 39,711 940,126 0.2% Vivendi SA................................... 51,678 955,862 0.2% Other Securities............................. 26,933,300 5.0% ----------- --------------- TOTAL FRANCE.................................... 31,434,341 5.9% ----------- --------------- GERMANY -- (5.0%) Allianz SE................................... 10,175 1,134,931 0.2% Daimler AG................................... 23,045 1,275,112 0.3% Deutsche Bank AG............................. 29,192 1,266,641 0.2% #E.ON AG...................................... 43,404 982,742 0.2% *RWE AG....................................... 21,427 921,080 0.2% Other Securities............................. 24,145,749 4.5% ----------- --------------- TOTAL GERMANY................................... 29,726,255 5.6% ----------- --------------- GREECE -- (0.4%) Other Securities............................. 2,459,594 0.5% ----------- --------------- HONG KONG -- (2.2%) Other Securities............................. 13,316,953 2.5% ----------- ---------------
59 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- IRELAND -- (0.7%) CRH P.L.C. Sponsored ADR..................... 47,203 $ 959,637 0.2% Other Securities............................. 3,554,223 0.6% ------------ --------------- TOTAL IRELAND................................... 4,513,860 0.8% ------------ --------------- ISRAEL -- (0.5%) Other Securities............................. 3,031,018 0.6% ------------ --------------- ITALY -- (2.0%) Other Securities............................. 12,279,906 2.3% ------------ --------------- JAPAN -- (19.6%) Mitsubishi UFJ Financial Group, Inc.......... 282,300 1,355,467 0.2% Mizuho Financial Group, Inc.................. 577,660 910,685 0.2% Sumitomo Mitsui Financial Group, Inc......... 33,941 1,086,071 0.2% #Toyota Motor Corp. Sponsored ADR............. 11,600 948,648 0.2% Other Securities............................. 112,896,551 21.2% ------------ --------------- TOTAL JAPAN..................................... 117,197,422 22.0% ------------ --------------- NETHERLANDS -- (2.0%) Akzo Nobel NV................................ 23,201 1,244,284 0.2% Other Securities............................. 10,653,530 2.0% ------------ --------------- TOTAL NETHERLANDS............................... 11,897,814 2.2% ------------ --------------- NEW ZEALAND -- (0.3%) Other Securities............................. 1,609,911 0.3% ------------ --------------- NORWAY -- (1.2%) Other Securities............................. 7,183,387 1.4% ------------ --------------- PORTUGAL -- (0.4%) Other Securities............................. 2,138,515 0.4% ------------ --------------- SINGAPORE -- (1.5%) Other Securities............................. 8,756,837 1.6% ------------ --------------- SPAIN -- (1.5%) Banco Santander SA........................... 191,020 1,199,340 0.2% Other Securities............................. 7,628,479 1.5% ------------ --------------- TOTAL SPAIN..................................... 8,827,819 1.7% ------------ --------------- SWEDEN -- (2.8%) Other Securities............................. 17,035,000 3.2% ------------ --------------- SWITZERLAND -- (5.2%) Holcim, Ltd.................................. 24,022 1,498,305 0.3% Nestle SA.................................... 29,483 1,806,992 0.3% Novartis AG ADR.............................. 25,578 1,411,138 0.3% *Swiss Re, Ltd................................ 31,448 1,974,717 0.4% Zurich Insurance Group AG.................... 7,485 1,833,847 0.3% Other Securities............................. 22,428,837 4.2% ------------ --------------- TOTAL SWITZERLAND............................... 30,953,836 5.8% ------------ --------------- UNITED KINGDOM -- (17.6%) Anglo American P.L.C......................... 48,414 1,870,950 0.3% Aviva P.L.C.................................. 194,827 975,108 0.2% BP P.L.C. Sponsored ADR...................... 80,492 3,494,158 0.6% HSBC Holdings P.L.C. Sponsored ADR........... 92,259 4,167,339 0.8% International Power P.L.C.................... 155,255 1,050,217 0.2% Kingfisher P.L.C............................. 232,192 1,095,009 0.2% Legal & General Group P.L.C.................. 594,171 1,134,514 0.2%
60 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- UNITED KINGDOM -- (Continued) Old Mutual P.L.C............................. 440,180 $ 1,059,327 0.2% Resolution, Ltd.............................. 241,340 876,718 0.1% Rexam P.L.C.................................. 142,831 997,032 0.2% Royal Dutch Shell P.L.C. ADR................. 88,550 6,496,028 1.2% RSA Insurance Group P.L.C.................... 658,760 1,123,240 0.2% Standard Chartered P.L.C..................... 60,540 1,479,942 0.3% Standard Life P.L.C.......................... 268,835 975,604 0.2% Travis Perkins P.L.C......................... 58,572 999,285 0.2% Vodafone Group P.L.C. Sponsored ADR.......... 165,738 4,612,489 0.9% WPP P.L.C. Sponsored ADR..................... 13,042 884,508 0.2% Xstrata P.L.C................................ 77,287 1,484,338 0.3% Other Securities............................. 70,740,653 13.3% ------------ --------------- TOTAL UNITED KINGDOM............................ 105,516,459 19.8% ------------ --------------- TOTAL COMMON STOCKS............................. 527,820,067 99.1% ------------ --------------- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities............................. 123,473 0.0% ------------ --------------- SWEDEN -- (0.0%) Other Securities............................. 2,232 0.0% ------------ --------------- UNITED KINGDOM -- (0.0%) Other Securities............................. 8,652 0.0% ------------ --------------- TOTAL PREFERRED STOCKS.......................... 134,357 0.0% ------------ --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities............................. 1,316 0.0% ------------ --------------- BELGIUM -- (0.0%) Other Securities............................. 141 0.0% ------------ --------------- CANADA -- (0.0%) Other Securities............................. 434 0.0% ------------ --------------- DENMARK -- (0.0%) Other Securities............................. 1,338 0.0% ------------ --------------- HONG KONG -- (0.0%) Other Securities............................. 1,342 0.0% ------------ --------------- SINGAPORE -- (0.0%) Other Securities............................. 1,551 0.0% ------------ --------------- SPAIN -- (0.0%) Other Securities............................. 6 0.0% ------------ --------------- UNITED KINGDOM -- (0.0%) Other Securities............................. 4,084 0.0% ------------ --------------- TOTAL RIGHTS/WARRANTS........................... 10,212 0.0% ------------ ---------------
61 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------------ ------------ --------------- (000) SECURITIES LENDING COLLATERAL -- (11.9%) (S)@DFA Short Term Investment Fund.............. 69,000,000 $ 69,000,000 13.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $2,364,456) to be repurchased at $2,318,108................................... $ 2,318 2,318,094 0.4% ------------ --------------- TOTAL SECURITIES LENDING COLLATERAL............. 71,318,094 13.4% ------------ --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $545,581,894)........................... $599,282,730 112.5% ============ ===============
62 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Common Stocks Australia.................................... $ 643,952 $ 35,839,936 -- $ 36,483,888 Austria...................................... -- 2,908,509 -- 2,908,509 Belgium...................................... 642,105 5,243,279 -- 5,885,384 Canada....................................... 59,389,654 97,901 -- 59,487,555 China........................................ -- 33,507 -- 33,507 Denmark...................................... -- 5,952,213 -- 5,952,213 Finland...................................... -- 9,190,084 -- 9,190,084 France....................................... 1,650,716 29,783,625 -- 31,434,341 Germany...................................... 2,553,107 27,173,148 -- 29,726,255 Greece....................................... 66,365 2,393,229 -- 2,459,594 Hong Kong.................................... 35,960 13,280,993 -- 13,316,953 Ireland...................................... 1,103,284 3,410,576 -- 4,513,860 Israel....................................... 737,123 2,293,895 -- 3,031,018 Italy........................................ 948,341 11,331,565 -- 12,279,906 Japan........................................ 2,914,691 114,282,731 -- 117,197,422 Netherlands.................................. 1,783,174 10,114,640 -- 11,897,814 New Zealand.................................. 31,393 1,578,518 -- 1,609,911 Norway....................................... 450,805 6,732,582 -- 7,183,387 Portugal..................................... -- 2,138,515 -- 2,138,515 Singapore.................................... -- 8,756,837 -- 8,756,837 Spain........................................ 717,263 8,110,556 -- 8,827,819 Sweden....................................... 8,996 17,026,004 -- 17,035,000 Switzerland.................................. 2,264,078 28,689,758 -- 30,953,836 United Kingdom............................... 22,562,101 82,954,358 -- 105,516,459 Preferred Stocks Germany...................................... -- 123,473 -- 123,473 Sweden....................................... -- 2,232 -- 2,232 United Kingdom............................... -- 8,652 -- 8,652 Rights/Warrants Australia.................................... -- 1,316 -- 1,316 Belgium...................................... -- 141 -- 141 Canada....................................... -- 434 -- 434 Denmark...................................... -- 1,338 -- 1,338 Hong Kong.................................... -- 1,342 -- 1,342 Singapore.................................... -- 1,551 -- 1,551 Spain........................................ -- 6 -- 6 United Kingdom............................... -- 4,084 -- 4,084 Securities Lending Collateral................... -- 71,318,094 -- 71,318,094 ----------- ------------ ------- ------------ TOTAL........................................... $98,503,108 $500,779,622 -- $599,282,730 =========== ============ ======= ============
See accompanying Notes to Financial Statements. 63 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
SHARES VALUE+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company.................................. $37,566,698 Investment in Dimensional Emerging Markets Value Fund....... 13,106,167 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.................... 295,144 4,548,169 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $52,768,648)..................................... 55,221,034 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $52,768,648)..................................... $55,221,034 ===========
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------- ------- ----------- Affiliated Investment Companies. $55,221,034 -- -- $55,221,034 ----------- ------ ------ ----------- TOTAL........................... $55,221,034 -- -- $55,221,034 =========== ====== ====== ===========
See accompanying Notes to Financial Statements. 64 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
SHARES VALUE+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc........................... 826,478 $ 9,752,440 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc........................... 913,221 9,314,854 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc........................... 239,593 4,648,104 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $22,131,298)..................................... 23,715,398 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $22,131,298)..................................... $23,715,398 ===========
Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ----------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- -------- ------- ----------- Affiliated Investment Companies.. $23,715,398 -- -- $23,715,398 Futures Contracts**.............. 13,329 -- -- 13,329 Forward Currency Contracts**..... -- $(43,553) -- (43,553) ----------- -------- ------ ----------- TOTAL............................ $23,728,727 $(43,553) -- $23,685,174 =========== ======== ====== ===========
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 65 SCHEDULES OF INVESTMENTS APRIL 30, 2012 (UNAUDITED) EMERGING MARKETS PORTFOLIO
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company.................................................. $2,678,054,159 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,634,525,456)....................................... $2,678,054,159 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS SMALL CAP PORTFOLIO
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company....................................... $2,519,116,564 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,164,178,287)....................................... $2,519,116,564 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 66 EMERGING MARKETS VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
VALUE+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund $15,982,616,960 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $15,630,502,041)................................. $15,982,616,960 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 67 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- COMMON STOCKS -- (85.9%) BRAZIL -- (7.3%) Banco do Brasil SA........................ 1,680,221 $ 20,846,852 0.3% Banco Santander Brasil SA ADR............. 2,270,163 18,320,215 0.2% BM&F Bovespa SA........................... 5,604,289 31,312,162 0.4% Petroleo Brasileiro SA ADR................ 2,485,189 58,501,349 0.8% #Vale SA Sponsored ADR..................... 2,091,228 46,425,262 0.6% Other Securities.......................... 431,149,212 5.6% -------------- --------------- TOTAL BRAZIL................................. 606,555,052 7.9% -------------- --------------- CHILE -- (1.8%) Other Securities.......................... 145,278,723 1.9% -------------- --------------- CHINA -- (13.9%) Bank of China, Ltd. Series H.............. 97,695,702 40,682,614 0.5% China Construction Bank Corp. Series H.... 85,815,302 66,706,722 0.9% China Mobile, Ltd. Sponsored ADR.......... 1,161,571 64,281,339 0.8% China Petroleum & Chemical Corp. ADR...... 176,059 18,568,943 0.3% #CNOOC, Ltd. ADR........................... 148,376 31,403,780 0.4% Industrial & Commercial Bank of China, Ltd. Series H........................... 85,932,725 56,986,397 0.8% #PetroChina Co., Ltd. ADR.................. 224,129 33,354,878 0.4% Tencent Holdings, Ltd..................... 781,600 24,471,480 0.3% Other Securities.......................... 810,127,713 10.6% -------------- --------------- TOTAL CHINA.................................. 1,146,583,866 15.0% -------------- --------------- COLOMBIA -- (0.3%) Other Securities.......................... 29,311,100 0.4% -------------- --------------- CZECH REPUBLIC -- (0.3%) Other Securities.......................... 27,947,574 0.4% -------------- --------------- EGYPT -- (0.1%) Other Securities.......................... 6,810,322 0.1% -------------- --------------- HUNGARY -- (0.3%) Other Securities.......................... 26,458,814 0.3% -------------- --------------- INDIA -- (7.1%) ICICI Bank, Ltd. Sponsored ADR............ 621,658 21,067,990 0.3% Reliance Industries, Ltd.................. 2,258,103 31,850,693 0.4% Other Securities.......................... 531,793,028 7.0% -------------- --------------- TOTAL INDIA.................................. 584,711,711 7.7% -------------- --------------- INDONESIA -- (3.3%) Other Securities.......................... 273,178,534 3.6% -------------- --------------- ISRAEL -- (0.0%) Other Securities.......................... 241,791 0.0% -------------- --------------- MALAYSIA -- (3.6%) CIMB Group Holdings Berhad................ 8,262,914 20,192,137 0.2% Other Securities.......................... 280,962,976 3.7% -------------- --------------- TOTAL MALAYSIA............................... 301,155,113 3.9% -------------- --------------- MEXICO -- (4.5%) America Movil S.A.B. de C.V. Series L ADR. 2,026,039 53,993,939 0.7% #*Cemex S.A.B. de C.V. Sponsored ADR........ 4,005,330 28,958,534 0.4% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR........................... 343,303 27,896,802 0.3% #Grupo Financiero Banorte S.A.B. de C.V. Series O 5,154,663 24,930,525 0.3% Grupo Mexico S.A.B. de C.V. Series B...... 7,270,966 22,405,780 0.3%
68 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- MEXICO -- (Continued) Grupo Televisa S.A.B. Sponsored ADR....... 972,430 $ 21,364,287 0.3% Other Securities.......................... 190,781,134 2.5% -------------- --------------- TOTAL MEXICO................................. 370,331,001 4.8% -------------- --------------- PERU -- (0.2%) Other Securities.......................... 18,457,930 0.2% -------------- --------------- PHILIPPINES -- (1.4%) Other Securities.......................... 114,638,797 1.5% -------------- --------------- POLAND -- (1.4%) Other Securities.......................... 117,580,369 1.5% -------------- --------------- RUSSIA -- (3.4%) Gazprom OAO Sponsored ADR................. 8,860,775 102,626,046 1.3% Lukoil OAO Sponsored ADR.................. 835,067 51,374,347 0.7% *Sberbank of Russia Sponsored ADR.......... 1,615,003 20,918,053 0.3% Other Securities.......................... 106,318,700 1.4% -------------- --------------- TOTAL RUSSIA................................. 281,237,146 3.7% -------------- --------------- SOUTH AFRICA -- (7.9%) #AngloGold Ashanti, Ltd. Sponsored ADR..... 735,741 25,294,776 0.3% Gold Fields, Ltd. Sponsored ADR........... 1,864,480 23,995,858 0.3% Impala Platinum Holdings, Ltd............. 1,338,071 25,533,486 0.3% MTN Group, Ltd............................ 2,660,122 45,699,107 0.6% Naspers, Ltd. Series N.................... 443,094 26,686,465 0.3% Sanlam, Ltd............................... 4,860,089 20,877,420 0.3% #Sasol, Ltd. Sponsored ADR................. 741,346 35,162,041 0.5% Standard Bank Group, Ltd.................. 2,085,623 30,612,709 0.4% Other Securities.......................... 417,200,923 5.5% -------------- --------------- TOTAL SOUTH AFRICA........................... 651,062,785 8.5% -------------- --------------- SOUTH KOREA -- (13.7%) Hana Financial Group, Inc................. 621,672 21,193,512 0.3% Hyundai Mobis............................. 72,830 19,690,823 0.2% Hyundai Motor Co., Ltd.................... 249,816 58,974,134 0.8% #POSCO ADR................................. 378,227 31,487,398 0.4% #Samsung C&T Corp.......................... 277,640 18,782,254 0.2% #Samsung Electronics Co., Ltd.............. 129,754 158,813,880 2.1% Other Securities.......................... 823,072,368 10.8% -------------- --------------- TOTAL SOUTH KOREA............................ 1,132,014,369 14.8% -------------- --------------- TAIWAN -- (11.0%) #China Steel Corp.......................... 19,631,584 19,489,853 0.3% #Hon Hai Precision Industry Co., Ltd....... 11,515,887 34,576,269 0.5% Taiwan Semiconductor Manufacturing Co., Ltd..................................... 20,659,652 61,062,422 0.8% United Microelectronics Corp.............. 36,228,441 18,950,129 0.2% Other Securities.......................... 773,062,348 10.1% -------------- --------------- TOTAL TAIWAN................................. 907,141,021 11.9% -------------- --------------- THAILAND -- (2.7%) PTT PCL (Foreign)......................... 1,802,280 20,572,367 0.3% Other Securities.......................... 200,838,416 2.6% -------------- --------------- TOTAL THAILAND............................... 221,410,783 2.9% -------------- --------------- TURKEY -- (1.7%) Other Securities.......................... 141,787,097 1.9% -------------- --------------- TOTAL COMMON STOCKS.......................... 7,103,893,898 92.9% -------------- ---------------
69 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- PREFERRED STOCKS -- (5.5%) BRAZIL -- (5.4%) Banco Bradesco SA Sponsored ADR........... 4,070,110 $ 65,243,863 0.8% Cia de Bebidas das Americas SA ADR........ 517,982 21,744,884 0.3% #Gerdau SA Sponsored ADR................... 2,457,891 23,079,596 0.3% Itau Unibanco Holding SA ADR.............. 3,496,568 54,861,152 0.7% Petroleo Brasileiro SA ADR................ 3,411,821 75,605,953 1.0% #Vale SA Sponsored ADR..................... 2,927,368 63,318,970 0.8% Other Securities.......................... 141,827,302 1.9% -------------- --------------- TOTAL BRAZIL................................. 445,681,720 5.8% -------------- --------------- CHILE -- (0.1%) Other Securities.......................... 6,393,586 0.1% -------------- --------------- INDIA -- (0.0%) Other Securities.......................... 42,195 0.0% -------------- --------------- MALAYSIA -- (0.0%) Other Securities.......................... 100,005 0.0% -------------- --------------- TOTAL PREFERRED STOCKS....................... 452,217,506 5.9% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities.......................... 6,584 0.0% -------------- --------------- INDIA -- (0.0%) Other Securities.......................... 19,760 0.0% -------------- --------------- MALAYSIA -- (0.0%) Other Securities.......................... 5,263 0.0% -------------- --------------- POLAND -- (0.0%) Other Securities.......................... 3,942 0.0% -------------- --------------- SOUTH KOREA -- (0.0%) Other Securities.......................... 26,344 0.0% -------------- --------------- THAILAND -- (0.0%) Other Securities.......................... 127,966 0.0% -------------- --------------- TURKEY -- (0.0%) Other Securities.......................... 351,124 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS........................ 540,983 0.0% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (8.6%) (S)@DFA Short Term Investment Fund........... 715,000,000 715,000,000 9.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $661,413) to be repurchased at $648,448 $ 648 648,444 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL.......... 715,648,444 9.4% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,520,939,546)...................... $8,272,300,831 108.2% ============== ===============
70 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- -------------- Common Stocks Brazil..................... $ 606,524,045 $ 31,007 -- $ 606,555,052 Chile...................... 145,278,723 -- -- 145,278,723 China...................... 197,856,831 948,727,035 -- 1,146,583,866 Colombia................... 29,311,100 -- -- 29,311,100 Czech Republic............. -- 27,947,574 -- 27,947,574 Egypt...................... -- 6,810,322 -- 6,810,322 Hungary.................... 453,661 26,005,153 -- 26,458,814 India...................... 44,797,529 539,914,182 -- 584,711,711 Indonesia.................. 8,023,835 265,154,699 -- 273,178,534 Israel..................... -- 241,791 -- 241,791 Malaysia................... -- 301,155,113 -- 301,155,113 Mexico..................... 370,331,001 -- -- 370,331,001 Peru....................... 18,457,930 -- -- 18,457,930 Philippines................ 2,325,576 112,313,221 -- 114,638,797 Poland..................... -- 117,580,369 -- 117,580,369 Russia..................... 10,978,472 270,258,674 -- 281,237,146 South Africa............... 94,407,569 556,655,216 -- 651,062,785 South Korea................ 75,146,331 1,056,868,038 -- 1,132,014,369 Taiwan..................... 23,019,885 884,121,136 -- 907,141,021 Thailand................... 221,404,510 6,273 -- 221,410,783 Turkey..................... 3,009,487 138,777,610 -- 141,787,097 Preferred Stocks Brazil..................... 445,676,278 5,442 -- 445,681,720 Chile...................... 6,393,586 -- -- 6,393,586 India...................... -- 42,195 -- 42,195 Malaysia................... -- 100,005 -- 100,005 Rights/Warrants Brazil..................... 4,202 2,382 -- 6,584 India...................... -- 19,760 -- 19,760 Malaysia................... -- 5,263 -- 5,263 Poland..................... -- 3,942 -- 3,942 South Korea................ -- 26,344 -- 26,344 Thailand................... -- 127,966 -- 127,966 Turkey..................... -- 351,124 -- 351,124 Securities Lending Collateral -- 715,648,444 -- 715,648,444 -------------- -------------- ------ -------------- TOTAL......................... $2,303,400,551 $5,968,900,280 -- $8,272,300,831 ============== ============== ====== ==============
See accompanying Notes to Financial Statements. 71 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (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........................................... -- $ 7,990,237 -- -- Investments at Value (including $0, $0, $432,437 and $946,865 of securities on loan, respectively)................................... $ 186,927 -- $ 2,913,987 $ 7,080,211 Temporary Cash Investments at Value & Cost........ 4,469 -- 3,300 14,324 Collateral Received from Securities on Loan at Value & Cost.................................... -- -- 1,697 1,211 Affiliated Collateral Received from Securities on Loan at Value & Cost............................ -- -- 442,940 977,105 Foreign Currencies at Value....................... 5,247 -- -- -- Receivables: Investment Securities/Affiliated Investment Company Sold................................. 1,345 -- -- 13,522 Dividends and Interest......................... 1,774 -- 826 2,697 Securities Lending Income...................... -- -- 220 521 Fund Shares Sold............................... 47 4,553 1,614 1,713 Unrealized Gain on Forward Currency Contracts..... 191 -- -- -- Prepaid Expenses and Other Assets................. 21 25 14 46 ------------ -------------- ------------ -------------- Total Assets............................... 200,021 7,994,815 3,364,598 8,091,350 ------------ -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............... -- -- 444,637 978,316 Investment Securities/Affiliated Investment Company Purchased............................ 9,416 1,481 26 16,033 Fund Shares Redeemed........................... 108 3,072 2,900 3,738 Due to Advisor................................. 31 994 848 2,939 Futures Margin Variation....................... 642 -- -- -- Unrealized Loss on Forward Currency Contracts..... 155 -- -- -- Accrued Expenses and Other Liabilities............ 18 311 131 349 ------------ -------------- ------------ -------------- Total Liabilities.......................... 10,370 5,858 448,542 1,001,375 ------------ -------------- ------------ -------------- NET ASSETS........................................ $ 189,651 $ 7,988,957 $ 2,916,056 $ 7,089,975 ============ ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $48,897 and $0 and shares outstanding of 0; 0; 2,895,514 and 0, respectively................... N/A N/A $ 16.89 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED....................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Class R2 Shares -- based on net assets of $0; $0; $12,516 and $0 and shares outstanding of 0; 0; 742,094 and 0, respectively..................... N/A N/A $ 16.87 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED....................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Institutional Class Shares -- based on net assets of $189,651; $7,988,957; $2,854,643 and $7,089,975 and shares outstanding of 20,851,310; 378,220,704; 169,047,451 and 274,400,360, respectively ...................... $ 9.10 $ 21.12 $ 16.89 $ 25.84 ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED....................... 300,000,000 2,000,000,000 700,000,000 1,700,000,000 ============ ============== ============ ============== Investments in Affiliated Investment Company at Cost............................................ $ -- $ 6,093,995 $ -- $ -- ------------ -------------- ------------ -------------- Investments at Cost............................... $ 184,591 $ -- $ 2,471,803 $ 6,277,407 ============ ============== ============ ============== Foreign Currencies at Cost........................ $ 5,270 $ -- $ -- $ -- ============ ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................... $ 237,698 $ 7,550,565 $ 2,370,072 $ 6,091,356 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 754 19,055 3,779 5,159 Accumulated Net Realized Gain (Loss).............. (58,976) (1,476,905) 100,021 190,656 Net Unrealized Foreign Exchange Gain (Loss)....... 40 -- -- -- Net Unrealized Appreciation (Depreciation)........ 10,135 1,896,242 442,184 802,804 ------------ -------------- ------------ -------------- NET ASSETS........................................ $ 189,651 $ 7,988,957 $ 2,916,056 $ 7,089,975 ============ ============== ============ ==============
See accompanying Notes to Financial Statements. 72 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (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 $656,401, $1,018,892, $303,510 and $965,402 of securities on loan, respectively).......................... $ 4,580,833 $ 6,621,031 $ 1,960,642 $ 4,272,232 Temporary Cash Investments at Value & Cost........ 19,569 21,759 12,432 23,640 Collateral Received from Securities on Loan at Value & Cost.................................... 334 297 662 488 Affiliated Collateral Received from Securities on Loan at Value & Cost............................ 672,766 1,044,972 311,019 992,082 Receivables: Investment Securities Sold..................... 196 176 54 7,889 Dividends and Interest......................... 3,475 5,117 1,215 1,168 Securities Lending Income...................... 270 434 174 644 Fund Shares Sold............................... 8,018 12,676 1,602 3,184 Prepaid Expenses and Other Assets................. 7 4 6 22 -------------- -------------- -------------- -------------- Total Assets............................... 5,285,468 7,706,466 2,287,806 5,301,349 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............... 673,100 1,045,269 311,681 992,570 Investment Securities Purchased................ 6,896 14,014 2,681 21,179 Fund Shares Redeemed........................... 3,274 3,521 989 1,920 Due to Advisor................................. 645 1,095 508 1,240 Accrued Expenses and Other Liabilities............ 171 290 105 204 -------------- -------------- -------------- -------------- Total Liabilities.......................... 684,086 1,064,189 315,964 1,017,113 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 4,601,382 $ 6,642,277 $ 1,971,842 $ 4,284,236 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $4,601,382; $6,642,277; $1,971,842 and $4,284,236 and shares outstanding of 383,292,932; 563,141,132; 172,612,522 and 187,994,083, respectively....................... $ 12.00 $ 11.80 $ 11.42 $ 22.79 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost............................... $ 3,855,667 $ 5,719,241 $ 1,743,708 $ 3,583,129 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital................................... $ 3,899,965 $ 5,691,492 $ 1,753,588 $ 3,465,517 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 11,205 16,734 4,973 9,849 Accumulated Net Realized Gain (Loss).............. (34,954) 32,261 (3,653) 119,767 Net Unrealized Appreciation (Depreciation)........ 725,166 901,790 216,934 689,103 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 4,601,382 $ 6,642,277 $ 1,971,842 $ 4,284,236 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 73 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (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 $470,190, $601,091, $355,292 and $980,660 of securities on loan, respectively).......................... $ 3,542,106 $ 3,566,467 $ 1,940,386 $ 5,851,206 Temporary Cash Investments at Value & Cost........ 23,806 30,065 -- -- Collateral Received from Securities on Loan at Value & Cost.................................... 548 564 819 371 Affiliated Collateral Received from Securities on Loan at Value & Cost............................ 484,821 615,643 374,000 1,041,000 Foreign Currencies at Value....................... -- -- 4,781 8,585 Cash.............................................. -- -- 5,550 40,279 Receivables: Investment Securities Sold..................... 7,077 -- 11 631 Dividends, Interest and Tax Reclaims........... 1,167 2,818 11,384 33,113 Securities Lending Income...................... 422 80 585 1,955 Fund Shares Sold............................... 921 3,751 940 12,977 Unrealized Gain on Foreign Currency Contracts..... -- -- 7 10 Prepaid Expenses and Other Assets................. 29 14 14 10 -------------- ------------ ------------ -------------- Total Assets............................... 4,060,897 4,219,402 2,338,477 6,990,137 -------------- ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............... 485,369 616,207 374,819 1,041,371 Investment Securities Purchased................ 20,221 -- 5,747 21,066 Fund Shares Redeemed........................... 4,366 3,542 1,367 2,256 Due to Advisor................................. 1,470 454 403 1,698 Accrued Expenses and Other Liabilities............ 199 166 121 369 -------------- ------------ ------------ -------------- Total Liabilities.......................... 511,625 620,369 382,457 1,066,760 -------------- ------------ ------------ -------------- NET ASSETS........................................ $ 3,549,272 $ 3,599,033 $ 1,956,020 $ 5,923,377 ============== ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,549,272; $3,599,033; $1,956,020 and $5,923,377 and shares outstanding of 242,627,512; 136,986,387; 106,659,165 and 580,956,645, respectively....................... $ 14.63 $ 26.27 $ 18.34 $ 10.20 ============== ============ ============ ============== NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000 ============== ============ ============ ============== Investments at Cost............................... $ 3,017,333 $ 2,439,448 $ 1,798,788 $ 6,158,408 ============== ============ ============ ============== Foreign Currencies at Cost........................ $ -- $ -- $ 4,759 $ 8,300 ============== ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................... $ 2,908,059 $ 2,721,886 $ 2,010,247 $ 6,261,861 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 8,356 14,891 15,573 41,482 Accumulated Net Realized Gain (Loss).............. 108,084 (264,763) (211,604) (73,610) Net Unrealized Foreign Exchange Gain (Loss)....... -- -- 184 561 Net Unrealized Appreciation (Depreciation)........ 524,773 1,127,019 141,620 (306,917) -------------- ------------ ------------ -------------- NET ASSETS........................................ $ 3,549,272 $ 3,599,033 $ 1,956,020 $ 5,923,377 ============== ============ ============ ==============
See accompanying Notes to Financial Statements. 74 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASIA UNITED INTERNATIONAL JAPANESE PACIFIC KINGDOM SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- ------------ ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value........................................... $ 6,196,719 $ 322,209 $ 202,844 $ 30,296 Temporary Cash Investments at Value & Cost........ 6,391 -- -- -- Receivables: Interest....................................... 2 -- -- -- Fund Shares Sold............................... 2,192 -- 242 30 Prepaid Expenses and Other Assets................. 9 7 3 6 -------------- ------------ ------------ ------------ Total Assets............................... 6,205,313 322,216 203,089 30,332 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Affiliated Investment Companies Purchased...... -- -- 229 30 Fund Shares Redeemed........................... 2,360 -- 13 -- Due to Advisor................................. 2,047 106 67 10 Accrued Expenses and Other Liabilities............ 238 14 11 4 -------------- ------------ ------------ ------------ Total Liabilities.......................... 4,645 120 320 44 -------------- ------------ ------------ ------------ NET ASSETS........................................ $ 6,200,668 $ 322,096 $ 202,769 $ 30,288 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $6,200,668; $322,096; $202,769 and $30,288 and shares outstanding of 396,450,180; 19,640,431; 8,613,802 and 1,148,140, respectively.................................... $ 15.64 $ 16.40 $ 23.54 $ 26.38 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 100,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost............................................ $ 6,009,154 $ 364,848 $ 192,688 $ 24,967 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital................................... $ 5,942,610 $ 441,612 $ 215,389 $ 26,838 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 5,342 2,507 (2,246) 90 Accumulated Net Realized Gain (Loss).............. 64,541 (79,521) (20,527) (1,976) Net Unrealized Foreign Exchange Gain (Loss)....... 610 137 (3) 7 Net Unrealized Appreciation (Depreciation)........ 187,565 (42,639) 10,156 5,329 -------------- ------------ ------------ ------------ NET ASSETS........................................ $ 6,200,668 $ 322,096 $ 202,769 $ 30,288 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 75 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (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........................................... $ 120,534 -- $ 1,127,044 -- Investments at Value (including $0, $171,422, $0 and $958,751 of securities on loan, respectively)................................... -- $ 1,214,956 -- $ 8,031,390 Temporary Cash Investments at Value & Cost........ -- -- 2,144 -- Collateral Received from Securities on Loan at Value & Cost.................................... -- 486 -- 501 Affiliated Collateral Received from Securities on Loan at Value & Cost............................ -- 180,000 -- 1,022,000 Foreign Currencies at Value....................... -- 5,734 -- 56,708 Cash.............................................. -- 11,026 -- 36,348 Receivables: Investment Securities/Affiliated Investment Companies Sold............................... -- 3,934 -- 8,052 Dividends, Interest and Tax Reclaims........... -- 10,717 -- 47,405 Securities Lending Income...................... -- 210 -- 2,686 Fund Shares Sold............................... 7 1,156 1,631 5,748 Unrealized Gain on Foreign Currency Contracts..... -- 6 -- 86 Prepaid Expenses and Other Assets................. 4 13 17 20 ------------ ------------ ------------ -------------- Total Assets............................... 120,545 1,428,238 1,130,836 9,210,944 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............... -- 180,486 -- 1,022,501 Investment Securities/Affiliated Investment Companies Purchased.......................... 7 7,445 1,010 21,620 Fund Shares Redeemed........................... -- 1,109 239 3,109 Due to Advisor................................. 40 349 36 4,371 Unrealized Loss on Foreign Currency Contracts..... -- -- -- 1 Accrued Expenses and Other Liabilities............ 13 65 26 728 ------------ ------------ ------------ -------------- Total Liabilities.......................... 60 189,454 1,311 1,052,330 ------------ ------------ ------------ -------------- NET ASSETS........................................ $ 120,485 $ 1,238,784 $ 1,129,525 $ 8,158,614 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Cass Shares -- based on net assets of $120,485; $1,238,784; $1,129,525 and $8,158,614 and shares outstanding of 8,082,429; 247,579,071; 127,072,502 and 529,545,862, respectively.................................... $ 14.91 $ 5.00 $ 8.89 $ 15.41 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED....................... 100,000,000 700,000,000 500,000,000 2,300,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost............................................ $ 122,332 $ -- $ 868,353 $ -- ------------ ------------ ------------ -------------- Investments at Cost............................... $ -- $ 1,193,968 $ -- $ 8,698,883 ============ ============ ============ ============== Foreign Currencies at Cost........................ $ -- $ 5,705 $ -- $ 51,269 ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................... $ 147,780 $ 1,504,270 $ 901,921 $ 8,608,728 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 1,008 (75,062) (218) 41,638 Accumulated Net Realized Gain (Loss).............. (26,542) (211,697) (30,869) 169,243 Net Unrealized Foreign Exchange Gain (Loss)....... 37 256 -- 1,059 Net Unrealized Appreciation (Depreciation)........ (1,798) 21,017 258,691 (662,054) ------------ ------------ ------------ -------------- NET ASSETS........................................ $ 120,485 $ 1,238,784 $ 1,129,525 $ 8,158,614 ============ ============ ============ ==============
See accompanying Notes to Financial Statements. 76 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL SELECTIVELY VECTOR WORLD EX HEDGED GLOBAL EMERGING EQUITY U.S. VALUE EQUITY MARKETS PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------ ------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value.......... -- $ 55,221 $ 23,715 $ 2,678,054 Investments at Value (including $66,982, $0, $0 and $0 of securities on loan, respectively).............................. $ 527,965 -- -- -- Temporary Cash Investments at Value & Cost....................... -- 53 903 -- Segregated Cash for Futures Contracts............................ -- -- 42 -- Collateral Received from Securities on Loan at Value & Cost...... 2,318 -- -- -- Affiliated Collateral Received from Securities on Loan at Value & Cost................................................... 69,000 -- -- -- Foreign Currencies at Value...................................... 2,992 -- -- -- Cash............................................................. 1,345 -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.... 35 -- -- -- Dividends, Interest and Tax Reclaims.......................... 3,075 -- -- -- Securities Lending Income..................................... 168 -- -- -- Fund Shares Sold.............................................. 539 40 78 2,972 From Advisor.................................................. -- -- 7 -- Unrealized Gain on Foreign Currency Contracts.................... 12 -- -- -- Prepaid Expenses and Other Assets................................ 5 4 1 29 Deferred Offering Costs.......................................... -- -- 33 -- ------------ ------------ ------------ ------------ Total Assets.............................................. 607,454 55,318 24,779 2,681,055 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.............................. 71,318 -- -- -- Investment Securities/Affiliated Investment Companies Purchased................................................... 2,972 -- -- 2,079 Fund Shares Redeemed.......................................... 333 -- -- 893 Due to Advisor................................................ 197 12 -- 889 Futures Margin Variation...................................... -- -- 3 -- Unrealized Loss on Foreign Currency Contracts.................... -- -- 44 -- Accrued Expenses and Other Liabilities........................... 7 6 3 118 ------------ ------------ ------------ ------------ Total Liabilities......................................... 74,827 18 50 3,979 ------------ ------------ ------------ ------------ NET ASSETS....................................................... $ 532,627 $ 55,300 $ 24,729 $ 2,677,076 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $532,627; $55,300; $24,729 and $2,677,076 and shares outstanding of 56,093,365; 5,511,691; 2,277,951 and 100,946,220, respectively. $ 9.50 $ 10.03 $ 10.86 $ 26.52 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED...................................... 500,000,000 100,000,000 100,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost........... $ -- $ 52,769 $ -- $ 1,634,526 ------------ ------------ ------------ ------------ Investments at Cost.............................................. $ 474,264 $ -- $ 22,131 $ -- ============ ============ ============ ============ Foreign Currencies at Cost....................................... $ 2,977 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 474,053 $ 58,757 $ 23,002 $ 1,607,016 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 3,333 360 25 8,233 Accumulated Net Realized Gain (Loss)............................. 1,471 (6,258) 149 18,383 Net Unrealized Foreign Exchange Gain (Loss)...................... 54 (11) (44) (84) Net Unrealized Appreciation (Depreciation)....................... 53,716 2,452 1,597 1,043,528 ------------ ------------ ------------ ------------ NET ASSETS....................................................... $ 532,627 $ 55,300 $ 24,729 $ 2,677,076 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 77 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (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....... $ 2,519,117 $ 15,982,617 -- Investments at Value (including $0, $0 and $848,508 of securities on loan, respectively)......................... -- -- $ 7,556,652 Collateral Received from Securities on Loan at Value & Cost. -- -- 648 Affiliated Collateral Received from Securities on Loan at Value & Cost.............................................. -- -- 715,000 Foreign Currencies at Value................................. -- -- 8,050 Cash........................................................ -- -- 88,200 Receivables: Investment Securities/Affiliated Investment Companies Sold................................................... -- -- 107 Dividends, Interest and Tax Reclaims..................... -- -- 19,711 Securities Lending Income................................ -- -- 1,560 Fund Shares Sold......................................... 979 99,766 11,399 Unrealized Gain on Foreign Currency Contracts............... -- -- 2 Prepaid Expenses and Other Assets........................... 23 -- 43 ------------ -------------- -------------- Total Assets......................................... 2,520,119 16,082,383 8,401,372 ------------ -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned......................... -- -- 715,648 Investment Securities/Affiliated Investment Company Purchased.............................................. 653 96,381 37,004 Fund Shares Redeemed..................................... 326 3,385 1,846 Due to Advisor........................................... 902 5,335 3,468 Accrued Expenses and Other Liabilities...................... 64 438 530 ------------ -------------- -------------- Total Liabilities.................................... 1,945 105,539 758,496 ------------ -------------- -------------- NET ASSETS.................................................. $ 2,518,174 $ 15,976,844 $ 7,642,876 ============ ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $103,576 and $0 and shares outstanding of 0; 3,570,750 and 0, respectively.............................................. N/A $ 29.01 N/A ============ ============== ============== NUMBER OF SHARES AUTHORIZED................................. N/A 100,000,000 N/A ============ ============== ============== Institutional Class Shares -- based on net assets of $2,518,174; $15,873,268 and $7,642,876 and shares outstanding of 123,445,877; 546,696,881 and 393,908,451, respectively.............................................. $ 20.40 $ 29.03 $ 19.40 ============ ============== ============== NUMBER OF SHARES AUTHORIZED................................. 500,000,000 1,500,000,000 1,000,000,000 ============ ============== ============== Investments in Affiliated Investment Company at Cost........ $ 2,164,179 $ 15,630,502 $ -- ------------ -------------- -------------- Investments at Cost......................................... $ -- $ -- $ 6,805,291 ============ ============== ============== Foreign Currencies at Cost.................................. $ -- $ -- $ 8,061 ============ ============== ============== NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 2,122,544 $ 15,471,978 $ 6,898,180 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................... 74 9,288 19,968 Accumulated Net Realized Gain (Loss)........................ 40,731 143,283 (26,439) Net Unrealized Foreign Exchange Gain (Loss)................. (113) 180 (183) Net Unrealized Appreciation (Depreciation).................. 354,938 352,115 751,350 ------------ -------------- -------------- NET ASSETS.................................................. $ 2,518,174 $ 15,976,844 $ 7,642,876 ============ ============== ==============
-------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 78 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
ENHANCED U.S. U.S. U.S. LARGE LARGE CAP SMALL CAP COMPANY VALUE U.S. TARGETED VALUE PORTFOLIO PORTFOLIO* VALUE PORTFOLIO PORTFOLIO ---------- ---------- --------------- ---------- INVESTMENT INCOME Dividends.......................................... $ 61 $ 81,667 $ 16,863 $ 38,673 Interest........................................... 870 10 11 15 Income from Securities Lending..................... -- 4,367 1,226 3,696 Expenses Allocated from Affiliated Investment Company.......................................... -- (4,464) -- -- ---------- ---------- --------------- ---------- Total Investment Income..................... 931 81,580 18,100 42,384 ---------- ---------- --------------- ---------- EXPENSES Investment Advisory Services Fees.................. 45 -- 1,377 6,814 Administrative Services Fees....................... 134 5,736 3,442 10,222 Accounting & Transfer Agent Fees................... 20 47 153 361 S&P 500(R) Fees.................................... 5 -- -- -- Shareholder Servicing Fees -- Class R1 Shares................................ -- -- 24 -- Class R2 Shares................................ -- -- 14 -- Custodian Fees..................................... 6 -- 31 60 Filing Fees........................................ 17 76 84 63 Shareholders' Reports.............................. 3 106 57 93 Directors'/Trustees' Fees & Expenses............... 1 29 10 28 Professional Fees.................................. 2 47 35 93 Other.............................................. 1 32 24 60 ---------- ---------- --------------- ---------- Total Expenses.............................. 234 6,073 5,251 17,794 ---------- ---------- --------------- ---------- NET INVESTMENT INCOME (LOSS)....................... 697 75,507 12,849 24,590 ---------- ---------- --------------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold..................... 127 174,166 97,002 199,092 Futures........................................ 21,975 -- 3,336 628 Foreign Currency Transactions.................. (585) -- -- -- Change in Unrealized Appreciation (Depreciation) of:............................... Investment Securities.......................... 769 525,053 189,172 539,736 Futures........................................ (1,590) -- -- (536) Translation of Foreign Currency Denominated Amounts.......................... 346 -- -- -- ---------- ---------- --------------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)............ 21,042 699,219 289,510 738,920 ---------- ---------- --------------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 21,739 $ 774,726 $ 302,359 $ 763,510 ========== ========== =============== ==========
-------- * 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. 79 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
U.S. U.S. U.S. U.S. CORE CORE VECTOR SMALL EQUITY 1 EQUITY 2 EQUITY CAP PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------- --------- --------- --------- INVESTMENT INCOME Dividends............................. $ 37,642 $ 55,833 $ 15,691 $ 26,825 Interest.............................. 16 14 6 9 Income from Securities Lending........ 1,584 2,769 1,185 3,719 -------- -------- -------- -------- Total Investment Income........ 39,242 58,616 16,882 30,553 -------- -------- -------- -------- EXPENSES Investment Advisory Services Fees..... 3,525 6,196 2,929 606 Administrative Services Fees.......... -- -- -- 6,465 Accounting & Transfer Agent Fees...... 221 326 110 218 Custodian Fees........................ 47 50 24 47 Filing Fees........................... 115 116 59 66 Shareholders' Reports................. 29 57 27 53 Directors'/Trustees' Fees & Expenses.. 14 23 7 15 Professional Fees..................... 48 78 25 52 Other................................. 23 40 14 28 -------- -------- -------- -------- Total Expenses................. 4,022 6,886 3,195 7,550 -------- -------- -------- -------- NET INVESTMENT INCOME (LOSS).......... 35,220 51,730 13,687 23,003 -------- -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies........................... 36 105 18 -- Net Realized Gain (Loss) on: Investment Securities Sold........ 14,736 50,158 34,151 144,019 Futures........................... -- -- (850) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities............. 431,153 602,868 170,239 268,274 -------- -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 445,925 653,131 203,558 412,293 -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. $481,145 $704,861 $217,245 $435,296 ======== ======== ======== ========
See accompanying Notes to Financial Statements. 80 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
U.S. DFA MICRO REAL ESTATE LARGE CAP INTERNATIONAL CAP SECURITIES INTERNATIONAL CORE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------- ----------- ------------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $3, $0, $2,735 and $7,129, respectively)........... $ 23,531 $ 42,705 $ 32,721 $ 90,643 Interest.............................. 6 16 -- 1 Income from Securities Lending........ 2,938 567 1,477 5,830 -------- -------- -------- -------- Total Investment Income........ 26,475 43,288 34,198 96,474 -------- -------- -------- -------- EXPENSES Investment Advisory Services Fees................................ 1,696 4,062 2,301 9,625 Administrative Services Fees.......... 6,785 -- -- -- Accounting & Transfer Agent Fees...... 185 175 108 294 Custodian Fees........................ 34 16 207 626 Filing Fees........................... 40 57 39 150 Shareholders' Reports................. 49 63 42 68 Directors'/Trustees' Fees & Expenses............................ 14 12 7 21 Professional Fees..................... 45 38 23 70 Other................................. 28 21 17 57 -------- -------- -------- -------- Total Expenses................. 8,876 4,444 2,744 10,911 -------- -------- -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).................... -- (73) -- -- Fees Paid Indirectly.................. -- -- (4) (10) -------- -------- -------- -------- Net Expenses.......................... 8,876 4,371 2,740 10,901 -------- -------- -------- -------- NET INVESTMENT INCOME (LOSS).......... 17,599 38,917 31,458 85,573 -------- -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities.......................... -- 8,786 -- -- Net Realized Gain (Loss) on: Investment Securities Sold........ 147,503 (1,870) (10,627) (19,641) Futures........................... -- (46) -- -- Foreign Currency Transactions*................... -- -- (250) (398) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 187,622 404,906 49,373 160,136 Translation of Foreign Currency Denominated Amounts......................... -- -- 214 662 -------- -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 335,125 411,776 38,710 140,759 -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $352,724 $450,693 $ 70,168 $226,332 ======== ======== ======== ========
-------- * Net of foreign capital taxes withheld of $0, $0, $1, and $0, respectively. See accompanying Notes to Financial Statements. 81 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (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 $6,614, $262, $75, and $0, respectively)........... $ 77,079 $ 3,496 $ 2,817 $ 473 Interest............................... 2 -- -- -- Income from Securities Lending......... 8,164 193 306 4 Expenses Allocated from Affiliated Investment Companies............................ (4,239) (163) (141) (20) -------- ------- ------- ------ Total Net Investment Income Received From Affiliated Investment Companies..................... 81,006 3,526 2,982 457 -------- ------- ------- ------ FUND INVESTMENT INCOME Interest............................... 12 -- -- -- -------- ------- ------- ------ Total Fund Investment Income........................ 12 -- -- -- -------- ------- ------- ------ FUND EXPENSES Administrative Services Fees........... 11,754 481 345 63 Accounting & Transfer Agent Fees....... 38 8 8 7 Filing Fees............................ 90 17 18 12 Shareholders' Reports.................. 85 1 2 1 Directors'/Trustees' Fees & Expenses............................. 24 1 1 -- Audit Fees............................. 7 1 1 1 Legal Fees............................. 34 -- -- -- Other.................................. 24 1 1 -- -------- ------- ------- ------ Total Expenses.................. 12,056 510 376 84 -------- ------- ------- ------ Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)..................... -- -- -- (10) -------- ------- ------- ------ Net Expenses........................... 12,056 510 376 74 -------- ------- ------- ------ NET INVESTMENT INCOME (LOSS)........... 68,962 3,016 2,606 383 -------- ------- ------- ------ REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold......... 73,420 (4,809) 6,945 67 Foreign Currency Transactions**................... (134) (19) (1) (2) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 223,293 20,155 4,323 3,897 Futures............................ -- -- -- -- Translation of Foreign Currency Denominated Amounts.......................... 501 151 (19) 1 -------- ------- ------- ------ NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 297,080 15,478 11,248 3,963 -------- ------- ------- ------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $366,042 $18,494 $13,854 $4,346 ======== ======= ======= ======
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's Master Fund (Affiliated Investment Companies). ** Net of foreign capital gain taxes withheld of $3, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 82 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (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 $215, $0, $0 and $0, respectively)......................................................... $1,474 -- -- -- Income Distributions Received from Affiliated Investment Company........ -- -- $ 24,545 -- Income from Securities Lending.......................................... 282 -- -- -- Expenses Allocated from Affiliated Investment Company................... (89) -- -- -- ------ -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company............................................. 1,667 -- 24,545 -- ------ -------- -------- -------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $2,553, $0 and $7,858, respectively)......................................................... -- $ 33,894 -- $ 99,613 Interest................................................................ -- -- 2 -- Income from Securities Lending.......................................... -- 541 -- 10,389 ------ -------- -------- -------- Total Fund Investment Income..................................... -- 34,435 2 110,002 ------ -------- -------- -------- FUND EXPENSES Investment Advisory Services Fees....................................... -- 1,907 1,522 24,688 Administrative Services Fees............................................ 229 -- -- -- Accounting & Transfer Agent Fees........................................ 7 68 11 403 Custodian Fees.......................................................... -- 140 -- 1,107 Filing Fees............................................................. 14 27 22 108 Shareholders' Reports................................................... 2 30 13 116 Directors'/Trustees' Fees & Expenses.................................... -- 4 3 31 Audit Fees.............................................................. 1 9 3 62 Legal Fees.............................................................. -- 6 4 50 Other................................................................... 1 12 3 82 ------ -------- -------- -------- Total Expenses................................................... 254 2,203 1,581 26,647 ------ -------- -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- -- (1,355) -- Fees Paid Indirectly.................................................... -- (3) -- (16) ------ -------- -------- -------- Net Expenses............................................................ 254 2,200 226 26,631 ------ -------- -------- -------- NET INVESTMENT INCOME (LOSS)............................................ 1,413 32,235 24,321 83,371 ------ -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.......................................... (436) (32,108) (2,736) 178,349 Foreign Currency Transactions**..................................... (7) 176 -- (5,662) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... 1,405 87,053 90,971 246,273 Translation of Foreign Currency Denominated Amounts................. (13) 264 -- 1,206 ------ -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................. 949 55,385 88,235 420,166 ------ -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $2,362 $ 87,620 $112,556 $503,537 ====== ======== ======== ========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $0, and $10, respectively. See accompanying Notes to Financial Statements. 83 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
INTERNATIONAL SELECTIVELY EMERGING VECTOR EQUITY WORLD EX U.S. HEDGED GLOBAL MARKETS PORTFOLIO VALUE PORTFOLIO*** EQUITY PORTFOLIO(a) PORTFOLIO* ------------- ------------------ ------------------- ---------- INVESTMENT INCOME Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $59, $0 and $2,179, respectively).......... -- $ 732 -- $ 21,326 Income Distributions Received from Affiliated Investment Companies................ -- 37 $ 168 -- Income from Securities Lending................... -- 43 -- 2,261 Expenses Allocated from Affiliated Investment Companies........................... -- (55) -- (2,300) ------------- ------------------ ------------------- ---------- Total Investment Income................... -- 757 168 21,287 ------------- ------------------ ------------------- ---------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $571, $0, $0 and $0, respectively)............. $ 7,588 -- -- -- Interest......................................... -- -- 1 -- Income from Securities Lending................... 502 -- -- -- ------------- ------------------ ------------------- ---------- Total Fund Investment Income.............. 8,090 -- 1 -- ------------- ------------------ ------------------- ---------- FUND EXPENSES Investment Advisory Services Fees................ 1,065 127 30 -- Administrative Services Fees..................... -- -- -- 4,965 Accounting & Transfer Agent Fees................. 37 6 6 20 Custodian Fees................................... 139 -- -- -- Filing Fees...................................... 17 20 -- 33 Shareholders' Reports............................ 6 -- -- 52 Directors'/Trustees' Fees & Expenses............. 2 -- -- 10 Professional Fees................................ 6 3 3 17 Organizational & Offering Costs.................. -- -- 28 -- Other............................................ 5 1 -- 10 ------------- ------------------ ------------------- ---------- Total Expenses............................ 1,277 157 67 5,107 ------------- ------------------ ------------------- ---------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................... -- (66) (63) -- Fees Paid Indirectly............................. (2) -- -- -- ------------- ------------------ ------------------- ---------- Net Expenses..................................... 1,275 91 4 5,107 ------------- ------------------ ------------------- ---------- NET INVESTMENT INCOME (LOSS)..................... 6,815 666 165 16,180 ------------- ------------------ ------------------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies................ -- 80 -- -- Net Realized Gain (Loss) on:..................... Investment Securities Sold................... 2,342 (222) -- 19,769 Futures...................................... -- -- 43 -- Foreign Currency Transactions**.............. (64) (6) 106 (445) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 18,027 970 1,584 80,559 Futures...................................... -- -- 13 -- Translation of Foreign Currency Denominated Amounts........................ 50 5 (44) (33) ------------- ------------------ ------------------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS).......... 20,355 827 1,702 99,850 ------------- ------------------ ------------------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 27,170 $ 1,493 $ 1,867 $ 116,030 ============= ================== =================== ==========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $1, $0, $0, and $13, respectively. *** Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Funds (Affiliated Investment Companies). (a) The Portfolio commenced operations on November 14, 2011. See accompanying Notes to Financial Statements. 84 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
EMERGING EMERGING EMERGING MARKETS MARKETS MARKETS SMALL CAP VALUE CORE EQUITY PORTFOLIO* PORTFOLIO* PORTFOLIO ---------- ---------- ----------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1,502, $11,363 and $6,009, respectively)...... $ 18,098 $ 111,479 $ 56,294 Interest......................................... -- 1 -- Income from Securities Lending................... 2,495 12,516 7,856 Expenses Allocated from Affiliated Investment Company............................. (3,354) (14,150) -- ---------- ---------- ----------- Total Investment Income................... 17,239 109,846 64,150 ---------- ---------- ----------- EXPENSES Investment Advisory Services Fees................ -- -- 17,802 Administrative Services Fees..................... 4,647 29,820 -- Accounting & Transfer Agent Fees................. 18 88 342 Shareholder Servicing Fees -- Class R2 Shares.... -- 119 -- Custodian Fees................................... -- -- 2,576 Filing Fees...................................... 42 204 110 Shareholders' Reports............................ 26 123 80 Directors'/Trustees' Fees & Expenses............. 8 54 20 Professional Fees................................ 13 87 96 Other............................................ 7 48 42 ---------- ---------- ----------- Total Expenses............................ 4,761 30,543 21,068 ---------- ---------- ----------- Fees Paid Indirectly............................. -- -- (51) ---------- ---------- ----------- Net Expenses..................................... 4,761 30,543 21,017 ---------- ---------- ----------- NET INVESTMENT INCOME (LOSS)..................... 12,478 79,303 43,133 ---------- ---------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold................... 56,146 160,100 6,759 Futures...................................... (812) -- 2,698 Foreign Currency Transactions**.............. (1,261) (2,843) (1,095) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 56,008 117,619 231,237 Translation of Foreign Currency Denominated Amounts........................ (85) (14) (265) ---------- ---------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS).......... 109,996 274,862 239,334 ---------- ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 122,474 $ 354,165 $ 282,467 ========== ========== ===========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $86, $310 and $541, respectively. See accompanying Notes to Financial Statements. 85 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 --------------------- ------------------------ ----------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- -------- ----------- ----------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........................ $ 697 $ 1,430 $ 75,507 $ 120,343 $ 12,849 $ 18,734 Net Realized Gain (Loss) on: Investment Securities Sold...................... 127 380 174,166 301,933 97,002 20,083 Futures......................................... 21,975 12,791 -- (9,927) 3,336 1,751 Foreign Currency Transactions................... (585) 412 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities........................... 769 (472) 525,053 (67,687) 189,172 53,386 Futures......................................... (1,590) (995) -- -- -- -- Translation of Foreign Currency Denominated Amounts........................... 346 (174) -- -- -- -- ----------- -------- ----------- ----------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................. 21,739 13,372 774,726 344,662 302,359 93,954 ----------- -------- ----------- ----------- ----------- ---------- Distributions From: Net Investment Income: Class R1 Shares................................. -- -- -- -- (163) (275) Class R2 Shares................................. -- -- -- -- (35) (43) Institutional Class Shares...................... (1,846) (270) (77,128) (117,051) (10,257) (17,989) Net Long-Term Gains:................................ Class R1 Shares................................. -- -- -- -- (356) (87) Class R2 Shares................................. -- -- -- -- (86) (14) Institutional Class Shares...................... -- -- -- -- (19,426) (4,668) ----------- -------- ----------- ----------- ----------- ---------- Total Distributions.......................... (1,846) (270) (77,128) (117,051) (30,323) (23,076) ----------- -------- ----------- ----------- ----------- ---------- Capital Share Transactions (1): Shares Issued....................................... 11,969 42,165 754,785 2,027,913 462,506 924,360 Shares Issued in Lieu of Cash Distributions......... 1,756 259 71,711 109,293 28,351 21,388 Shares Redeemed..................................... (15,095) (42,128) (875,481) (1,945,509) (390,816) (743,912) ----------- -------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions......................... (1,370) 296 (48,985) 191,697 100,041 201,836 ----------- -------- ----------- ----------- ----------- ---------- Total Increase (Decrease) in Net Assets..................................... 18,523 13,398 648,613 419,308 372,077 272,714 NET ASSETS Beginning of Period................................. 171,128 157,730 7,340,344 6,921,036 2,543,979 2,271,265 ----------- -------- ----------- ----------- ----------- ---------- End of Period....................................... $ 189,651 $171,128 $ 7,988,957 $ 7,340,344 $ 2,916,056 $2,543,979 =========== ======== =========== =========== =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued....................................... 1,408 5,163 37,430 100,905 29,116 56,950 Shares Issued in Lieu of Cash Distributions......... 222 33 3,709 5,526 1,911 1,349 Shares Redeemed..................................... (1,780) (5,148) (43,394) (98,393) (24,372) (46,106) Shares Reduced by Reverse Stock Split (Note G)................................................ -- -- -- -- -- (9) ----------- -------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........................ (150) 48 (2,255) 8,038 6,655 12,184 =========== ======== =========== =========== =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 754 $ 1,903 $ 19,055 $ 20,676 $ 3,779 $ 1,385
See accompanying Notes to Financial Statements. 86 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 ------------------------ ------------------------ ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 24,590 $ 44,197 $ 35,220 $ 51,991 $ 51,730 $ 80,421 Capital Gain Distributions Received from Affiliated Investment Company................... -- -- 36 -- 105 -- Net Realized Gain (Loss) on: Investment Securities Sold......... 199,092 215,171 14,736 31,974 50,158 69,078 Futures............................ 628 (825) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities.............. 539,736 112,710 431,153 116,761 602,868 192,966 Futures............................ (536) 536 -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 763,510 371,789 481,145 200,726 704,861 342,465 ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares......... (20,289) (41,924) (32,374) (49,822) (42,597) (78,869) Net Long-Term Gains:................... Institutional Class Shares......... (89,379) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions............. (109,668) (41,924) (32,374) (49,822) (42,597) (78,869) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued.......................... 566,458 1,194,011 766,720 1,193,672 669,419 1,575,775 Shares Issued in Lieu of Cash Distributions........................ 103,444 39,640 29,484 45,486 41,410 76,923 Shares Redeemed........................ (774,632) (1,577,930) (375,004) (556,060) (550,722) (1,086,755) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................. (104,730) (344,279) 421,200 683,098 160,107 565,943 ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets........................ 549,112 (14,414) 869,971 834,002 822,371 829,539 NET ASSETS Beginning of Period.................... 6,540,863 6,555,277 3,731,411 2,897,409 5,819,906 4,990,367 ----------- ----------- ----------- ----------- ----------- ----------- End of Period.......................... $ 7,089,975 $ 6,540,863 $ 4,601,382 $ 3,731,411 $ 6,642,277 $ 5,819,906 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 22,857 48,190 67,996 108,434 60,128 144,791 Shares Issued in Lieu of Cash Distributions........................ 4,641 1,639 2,709 4,215 3,865 7,192 Shares Redeemed........................ (31,457) (62,955) (33,454) (51,146) (49,629) (99,493) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... (3,959) (13,126) 37,251 61,503 14,364 52,490 =========== =========== =========== =========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 5,159 $ 858 $ 11,205 $ 8,359 $ 16,734 $ 7,601
See accompanying Notes to Financial Statements. 87 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 ------------------------ ------------------------ ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 13,687 $ 20,309 $ 23,003 $ 33,067 $ 17,599 $ 23,621 Capital Gain Distributions Received from Affiliated Investment Company................... 18 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold......... 34,151 46,999 144,019 211,228 147,503 234,404 Futures............................ (850) -- -- 929 -- -- In-Kind Redemptions................ -- -- -- 126,527* -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities.............. 170,239 18,243 268,274 (60,488) 187,622 32,818 ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 217,245 85,551 435,296 311,263 352,724 290,843 ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares......... (12,271) (19,719) (14,637) (32,796) (12,442) (23,667) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions............. (12,271) (19,719) (14,637) (32,796) (12,442) (23,667) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued.......................... 195,779 551,321 438,321 1,118,116 219,424 509,041 Shares Issued in Lieu of Cash Distributions........................ 12,076 19,400 13,557 30,271 11,737 22,542 Shares Redeemed........................ (292,882) (343,081) (358,624) (1,047,988)* (279,890) (719,326) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................. (85,027) 227,640 93,254 100,399 (48,729) (187,743) ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets........................ 119,947 293,472 513,913 378,866 291,553 79,433 NET ASSETS Beginning of Period.................... 1,851,895 1,558,423 3,770,323 3,391,457 3,257,719 3,178,286 ----------- ----------- ----------- ----------- ----------- ----------- End of Period.......................... $ 1,971,842 $ 1,851,895 $ 4,284,236 $ 3,770,323 $ 3,549,272 $ 3,257,719 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 18,026 51,309 20,287 52,474 15,722 37,458 Shares Issued in Lieu of Cash Distributions........................ 1,192 1,845 674 1,457 916 1,695 Shares Redeemed........................ (26,732) (31,749) (16,466) (48,404) (20,140) (52,370) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... (7,514) 21,405 4,495 5,527 (3,502) (13,217) =========== =========== =========== =========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 4,973 $ 3,557 $ 9,849 $ 1,483 $ 8,356 $ 3,199
-------- * See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 88 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 ------------------------ ------------------------ ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 38,917 $ 51,146 $ 31,458 $ 55,392 $ 85,573 $ 161,011 Capital Gain Distributions Received from Investment Securities........................... 8,786 13,117 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold......... (1,870) (39,946) (10,627) (12,846) (19,641) 28,431 Futures............................ (46) -- -- -- -- -- Foreign Currency Transactions*.................... -- -- (250) 187 (398) (191) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 404,906 277,359 49,373 (133,116) 160,136 (525,986) Translation of Foreign Currency Denominated Amounts.......................... -- -- 214 (205) 662 (476) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 450,693 301,676 70,168 (90,588) 226,332 (337,211) ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares......... (38,555) (40,246) (21,610) (54,107) (57,457) (161,285) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions............. (38,555) (40,246) (21,610) (54,107) (57,457) (161,285) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued.......................... 392,881 685,272 397,760 463,836 930,584 1,663,723 Shares Issued in Lieu of Cash Distributions........................ 37,296 38,998 20,547 51,857 55,386 154,934 Shares Redeemed........................ (341,929) (576,605) (214,994) (283,535) (627,352) (791,266) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................. 88,248 147,665 203,313 232,158 358,618 1,027,391 ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets........................ 500,386 409,095 251,871 87,463 527,493 528,895 NET ASSETS Beginning of Period.................... 3,098,647 2,689,552 1,704,149 1,616,686 5,395,884 4,866,989 ----------- ----------- ----------- ----------- ----------- ----------- End of Period.......................... $ 3,599,033 $ 3,098,647 $ 1,956,020 $ 1,704,149 $ 5,923,377 $ 5,395,884 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 16,384 30,656 22,489 23,919 95,327 153,758 Shares Issued in Lieu of Cash Distributions........................ 1,712 1,817 1,204 2,658 5,892 14,162 Shares Redeemed........................ (14,384) (25,853) (12,190) (14,657) (65,758) (73,947) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 3,712 6,620 11,503 11,920 35,461 93,973 =========== =========== =========== =========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 14,891 $ 14,529 $ 15,573 $ 5,275 $ 41,482 $ 13,366
-------- * Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 89 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 ---------------------- -------------------- -------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- ---------- ----------- -------- ----------- -------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 68,962 $ 146,577 $ 3,016 $ 2,693 $ 2,606 $ 4,845 Net Realized Gain (Loss) on: Investment Securities Sold......... 73,420 205,897 (4,809) (5,587) 6,945 8,959 Futures............................ -- (271) -- -- -- -- Foreign Currency Transactions*.................... (134) (103) (19) 14 (1) 85 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 223,293 (571,803) 20,155 13,164 4,323 (21,184) Futures............................ -- -- -- -- -- -- Translation of Foreign Currency Denominated Amounts.......................... 501 (340) 151 (61) (19) 18 ----------- ---------- ----------- -------- ----------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 366,042 (220,043) 18,494 10,223 13,854 (7,277) ----------- ---------- ----------- -------- ----------- -------- Distributions From: Net Investment Income: Institutional Class Shares......... (69,996) (179,486) (1,550) (2,305) (5,899) (6,964) Net Long-Term Gains: Institutional Class Shares......... (108,621) -- -- -- -- -- ----------- ---------- ----------- -------- ----------- -------- Total Distributions............. (178,617) (179,486) (1,550) (2,305) (5,899) (6,964) ----------- ---------- ----------- -------- ----------- -------- Capital Share Transactions (1): Shares Issued.......................... 581,758 1,380,524 159,880 74,211 66,937 54,555 Shares Issued in Lieu of Cash Distributions........................ 172,326 171,227 1,392 2,020 5,363 6,350 Shares Redeemed........................ (574,856) (829,801) (19,240) (35,962) (16,748) (38,913) ----------- ---------- ----------- -------- ----------- -------- Net Increase (Decrease) from Capital Share Transactions.................. 179,228 721,950 142,032 40,269 55,552 21,992 ----------- ---------- ----------- -------- ----------- -------- Total Increase (Decrease) in Net Assets........................ 366,653 322,421 158,976 48,187 63,507 7,751 NET ASSETS Beginning of Period.................... 5,834,015 5,511,594 163,120 114,933 139,262 131,511 ----------- ---------- ----------- -------- ----------- -------- End of Period.......................... $6,200,668 $5,834,015 $322,096 $163,120 $202,769 $139,262 =========== ========== =========== ======== =========== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 39,295 81,929 10,052 4,725 3,067 2,200 Shares Issued in Lieu of Cash Distributions........................ 12,621 10,276 91 133 259 249 Shares Redeemed........................ (39,131) (50,113) (1,206) (2,288) (757) (1,533) ----------- ---------- ----------- -------- ----------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 12,785 42,092 8,937 2,570 2,569 916 =========== ========== =========== ======== =========== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESSOF NET INVESTMENT INCOME) $ 5,342 $ 6,376 $ 2,507 $ 1,041 $ (2,246) $ 1,047
-------- * Net of foreign capital gain taxes withheld of $3, $0, $0, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 90 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 --------------------- --------------------- ----------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- -------- ----------- -------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations:............................... Net Investment Income (Loss)........... $ 383 $ 1,146 $ 1,413 $ 3,026 $ 32,235 $ 58,347 Net Realized Gain (Loss) on: Investment Securities Sold......... 67 1,011 (436) 3,433 (32,108) (74,845) Futures............................ -- -- -- (16) -- -- Foreign Currency Transactions..................... (2) 1 (7) (34) 176 223 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 3,897 (2,107) 1,405 (21,048) 87,053 3,153 Translation of Foreign Currency Denominated Amounts.......................... 1 2 (13) 3 264 (99) ----------- -------- ----------- -------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 4,346 53 2,362 (14,636) 87,620 (13,221) ----------- -------- ----------- -------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares......... (572) (1,071) (432) (3,562) (54,030) (107,338) ----------- -------- ----------- -------- ----------- ---------- Total Distributions............. (572) (1,071) (432) (3,562) (54,030) (107,338) ----------- -------- ----------- -------- ----------- ---------- Capital Share Transactions (1): Shares Issued.......................... 1,030 3,802 9,052 18,358 225,264 322,549 Shares Issued in Lieu of Cash Distributions........................ 430 818 325 2,856 53,300 106,188 Shares Redeemed........................ (8,815) (3,484) (8,274) (13,670) (133,526) (206,576) ----------- -------- ----------- -------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions.................. (7,355) 1,136 1,103 7,544 145,038 222,161 ----------- -------- ----------- -------- ----------- ---------- Total Increase (Decrease) in Net Assets........................ (3,581) 118 3,033 (10,654) 178,628 101,602 NET ASSETS Beginning of Period.................... 33,869 33,751 117,452 128,106 1,060,156 958,554 ----------- -------- ----------- -------- ----------- ---------- End of Period.......................... $30,288 $33,869 $120,485 $117,452 $1,238,784 $1,060,156 =========== ======== =========== ======== =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 43 158 638 1,086 48,140 62,870 Shares Issued in Lieu of Cash Distributions........................ 20 33 25 164 12,309 21,940 Shares Redeemed........................ (360) (138) (595) (801) (29,077) (40,236) ----------- -------- ----------- -------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... (297) 53 68 449 31,372 44,574 =========== ======== =========== ======== =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 90 $ 279 $ 1,008 $ 27 $ (75,062) $ (53,267)
See accompanying Notes to Financial Statements. 91 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 ------------------------ ------------------------ ----------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS ENDED ENDED ENDED ENDED ENDED YEAR ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- --------- ----------- ----------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 24,321 $ 37,948 $ 83,371 $ 168,945 $ 6,815 $ 11,568 Net Realized Gain (Loss) on: Investment Securities Sold......... (2,736) (4,706) 178,349 146,129 2,342 6,572 Foreign Currency Transactions*.................... -- -- (5,662) 115 (64) 126 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 90,971 1,312 246,273 (659,162) 18,027 (47,642) Translation of Foreign Currency Denominated Amounts.......................... -- -- 1,206 (833) 50 (27) ----------- --------- ----------- ----------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 112,556 34,554 503,537 (344,806) 27,170 (29,403) ----------- --------- ----------- ----------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares......... (25,716) (41,423) (63,607) (182,741) (4,264) (11,774) Net Short-Term Gains: Institutional Class Shares......... -- -- (11,429) -- -- -- Net Long-Term Gains: Institutional Class Shares......... -- -- (126,221) (138,537) (6,473) (2,419) ----------- --------- ----------- ----------- ----------- ---------- Total Distributions............. (25,716) (41,423) (201,257) (321,278) (10,737) (14,193) ----------- --------- ----------- ----------- ----------- ---------- Capital Share Transactions (1): Shares Issued.......................... 229,364 372,793 866,491 1,422,232 157,966 139,795 Shares Issued in Lieu of Cash Distributions........................ 25,115 40,672 190,535 303,336 10,257 13,500 Shares Redeemed........................ (81,142) (232,709) (659,836) (1,255,658) (62,609) (62,242) ----------- --------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions.................. 173,337 180,756 397,190 469,910 105,614 91,053 ----------- --------- ----------- ----------- ----------- ---------- Total Increase (Decrease) in Net Assets........................ 260,177 173,887 699,470 (196,174) 122,047 47,457 NET ASSETS Beginning of Period.................... 869,348 695,461 7,459,144 7,655,318 410,580 363,123 ----------- --------- ----------- ----------- ----------- ---------- End of Period.......................... $ 1,129,525 $ 869,348 $ 8,158,614 $ 7,459,144 $ 532,627 $ 410,580 =========== ========= =========== =========== =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 27,938 45,423 58,880 86,184 17,910 13,326 Shares Issued in Lieu of Cash Distributions........................ 3,385 5,345 14,145 18,285 1,211 1,293 Shares Redeemed........................ (10,143) (28,834) (45,919) (75,870) (6,988) (5,988) ----------- --------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 21,180 21,934 27,106 28,599 12,133 8,631 =========== ========= =========== =========== =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ (218) $ 1,177 $ 41,638 $ 21,874 $ 3,333 $ 782
-------- * Net of foreign capital gain taxes withheld of $0, $0, $10, $0, $1, and $0, respectively. See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SELECTIVELY WORLD EX U.S. HEDGED GLOBAL EQUITY EMERGING MARKETS VALUE PORTFOLIO PORTFOLIO PORTFOLIO --------------------- -------------------- ----------------------- PERIOD SIX MONTHS YEAR NOV. 14, SIX MONTHS YEAR ENDED ENDED 2011(a) TO ENDED ENDED APRIL 30, OCT. 31, APRIL 30, APRIL 30, OCT. 31, 2012 2011 2012 2012 2011 ----------- -------- -------------------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 666 $ 1,131 $ 165 $ 16,180 $ 49,480 Capital Gain Distributions Received from Affiliated Investment Companies................. 80 48 -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold......... (222) (6,148) -- 19,769 94,878 Futures............................ -- -- 43 -- -- Foreign Currency Transactions*.................... (6) (4) 106 (445) (1,059) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 970 (1,774) 1,584 80,559 (309,714) Futures............................ -- -- 13 -- -- Translation of Foreign Currency Denominated Amounts.......................... 5 (13) (44) (33) (109) Change in Deferred Thailand Capital Gains Tax.................... -- 3 -- -- 4,215 ----------- -------- -------------------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 1,493 (6,757) 1,867 116,030 (162,309) ----------- -------- -------------------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares......... (474) (1,006) (140) (14,060) (42,779) Net Short-Term Gains: Institutional Class Shares......... (7) (19) -- -- (77) Net Long-Term Gains: Institutional Class Shares......... -- (195) -- (90,351) (136,141) ----------- -------- -------------------- ----------- ---------- Total Distributions............. (481) (1,220) (140) (104,411) (178,997) ----------- -------- -------------------- ----------- ---------- Capital Share Transactions (1): Shares Issued.......................... 11,564 32,244 22,877 492,070 668,299 Shares Issued in Lieu of Cash Distributions........................ 472 1,211 140 96,716 164,271 Shares Redeemed........................ (4,913) (7,929) (15) (236,364) (550,727) ----------- -------- -------------------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions.................. 7,123 25,526 23,002 352,422 281,843 ----------- -------- -------------------- ----------- ---------- Total Increase (Decrease) in Net Assets........................ 8,135 17,549 24,729 364,041 (59,463) NET ASSETS Beginning of Period.................... 47,165 29,616 -- 2,313,035 2,372,498 ----------- -------- -------------------- ----------- ---------- End of Period.......................... $55,300 $47,165 $24,729 $2,677,076 $2,313,035 =========== ======== ==================== =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................... 1,213 2,801 2,265 19,410 22,995 Shares Issued in Lieu of Cash Distributions........................ 52 108 15 4,096 5,590 Shares Redeemed........................ (488) (782) (2) (9,268) (18,667) ----------- -------- -------------------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 777 2,127 2,278 14,238 9,918 =========== ======== ==================== =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 360 $ 168 $ 25 $ 8,233 $ 6,113
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $1, $0, $13 and $851, respectively. See accompanying Notes to Financial Statements. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS SMALL CAP EMERGING MARKETS CORE EQUITY PORTFOLIO VALUE PORTFOLIO PORTFOLIO ---------------------- ------------------------ ---------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- ---------- ----------- ----------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................... $ 12,478 $ 36,127 $ 79,303 $ 259,300 $ 43,133 $ 100,756 Net Realized Gain (Loss) on: Investment Securities Sold.................. 56,146 27,050 160,100 193,129 6,759 20,186 Futures..................................... (812) -- -- -- 2,698 -- Foreign Currency Transactions*.............. (1,261) (1,258) (2,843) (3,612) (1,095) (4,049) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 56,008 (354,184) 117,619 (2,865,375) 231,237 (717,993) Translation of Foreign Currency Denominated Amounts....................... (85) (31) (14) (5) (265) 25 Change in Deferred Thailand Capital Gains Tax........................................... -- 3,533 -- 16,079 -- 5,965 ---------- ---------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 122,474 (288,763) 354,165 (2,400,484) 282,467 (595,110) ---------- ---------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................. -- -- (632) (532) -- -- Institutional Class Shares.................. (13,800) (33,950) (103,253) (223,890) (38,445) (86,292) Net Short-Term Gains: Class R2 Shares............................. -- -- -- (224) -- -- Institutional Class Shares.................. -- -- -- (67,767) -- -- Net Long-Term Gains: Class R2 Shares............................. -- -- (1,207) (1,580) -- -- Institutional Class Shares.................. (37,112) (58,359) (187,999) (477,706) -- -- ---------- ---------- ----------- ----------- ---------- ---------- Total Distributions...................... (50,912) (92,309) (293,091) (771,699) (38,445) (86,292) ---------- ---------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................... 668,954 694,159 3,200,747 6,491,870 2,569,664 2,524,065 Shares Issued in Lieu of Cash Distributions................................. 45,238 74,466 269,854 711,366 34,616 77,358 Shares Redeemed................................. (100,325) (387,846) (1,363,201) (1,805,221) (572,899) (732,430) ---------- ---------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions............. 613,867 380,779 2,107,400 5,398,015 2,031,381 1,868,993 ---------- ---------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................. 685,429 (293) 2,168,474 2,225,832 2,275,403 1,187,591 NET ASSETS Beginning of Period............................. 1,832,745 1,833,038 13,808,370 11,582,538 5,367,473 4,179,882 ---------- ---------- ----------- ----------- ---------- ---------- End of Period................................... $2,518,174 $1,832,745 $15,976,844 $13,808,370 $7,642,876 $5,367,473 ========== ========== =========== =========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................... 33,808 31,956 111,865 190,904 136,831 122,538 Shares Issued in Lieu of Cash Distributions................................. 2,550 3,241 10,435 20,921 2,000 3,743 Shares Redeemed................................. (5,236) (18,437) (47,841) (55,156) (31,427) (35,958) Shares Reduced by Conversion of Shares (Note G)...................................... -- -- -- (19,608) -- -- ---------- ---------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. 31,122 16,760 74,459 137,061 107,404 90,323 ========== ========== =========== =========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME).......................................... $ 74 $ 1,396 $ 9,288 $ 33,870 $ 19,968 $ 15,280
-------- * Net of foreign capital gain taxes withheld of $86, $637, $310, $1,682, $541 and $2,994, respectively. See accompanying Notes to Financial Statements. 94 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO -------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- -------- -------- -------- --------- -------- -------- (UNAUDITED) Net Asset Value, Beginning of Period ........................... $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 $ 9.82 ----------- -------- -------- -------- --------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.03 0.07 0.07 0.05 0.39 0.30 0.12 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.01 0.56 1.05 0.61 (3.74) 0.45 1.19 ----------- -------- -------- -------- --------- -------- -------- Total From Investment Operations. 1.04 0.63 1.12 0.66 (3.35) 0.75 1.31 ----------- -------- -------- -------- --------- -------- -------- Less Distributions ------------------ Net Investment Income............. (0.09) (0.01) (0.07) (0.59) (0.36) (0.36) (0.18) Net Realized Gains................ -- -- -- (0.06) (0.73) (0.43) -- ----------- -------- -------- -------- --------- -------- -------- Total Distributions.............. (0.09) (0.01) (0.07) (0.65) (1.09) (0.79) (0.18) ----------- -------- -------- -------- --------- -------- -------- Net Asset Value, End of Period...... $ 9.10 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 =========== ======== ======== ======== ========= ======== ======== Total Return........................ 12.90%(C) 8.41% 17.40% 12.23% (33.89)%(C) 7.13% 13.52% ----------- -------- -------- -------- --------- -------- -------- Net Assets, End of Period (thousands)....................... $189,651 $171,128 $157,730 $165,231 $200,331 $337,050 $347,216 Ratio of Expenses to Average Net Assets............................ 0.26%(B) 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................ 0.79%(B) 0.86% 0.98% 0.86% 4.74%(B) 2.67% 1.19% Portfolio Turnover Rate............. 40%(C) 140% 78% 46%* N/A N/A N/A
U.S. LARGE CAP VALUE PORTFOLIO ----------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, 2012 2011 2010 2009 2008 2007 ----------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period................. $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40 ----------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)................ 0.20 0.33 0.33 0.31 0.36 0.33 Net Gains (Losses) on Securities (Realized and Unrealized).......... 1.83 0.70 2.76 1.28 (8.83) (0.43) ----------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............. 2.03 1.03 3.09 1.59 (8.47) (0.10) ----------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income..... (0.20) (0.32) (0.32) (0.34) (0.35) (0.32) Net Realized Gains........ -- -- -- (0.02) (1.04) (0.54) ----------- ---------- ---------- ---------- ---------- ---------- Total Distributions...... (0.20) (0.32) (0.32) (0.36) (1.39) (0.86) ----------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.................... $ 21.12 $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 =========== ========== ========== ========== ========== ========== Total Return................ 10.64%(C) 5.53% 19.72% 11.76% (36.63)%(C) (0.49)% ----------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............... $7,988,957 $7,340,344 $6,921,036 $5,863,652 $5,330,448 $7,535,552 Ratio of Expenses to Average Net Assets........ 0.28%(B)(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D) Ratio of Net Investment Income to Average Net Assets................ 1.99%(B) 1.63% 1.86% 2.26% 1.86%(B) 1.28% Portfolio Turnover Rate..... N/A N/A N/A N/A N/A N/A
----------- YEAR ENDED NOV. 30, 2006 ---------- Net Asset Value, Beginning of Period................. $ 21.93 ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)................ 0.38 Net Gains (Losses) on Securities (Realized and Unrealized).......... 3.50 ---------- Total From Investment Operations............. 3.88 ---------- Less Distributions ------------------ Net Investment Income..... (0.35) Net Realized Gains........ (0.06) ---------- Total Distributions...... (0.41) ---------- Net Asset Value, End of Period.................... $ 25.40 ========== Total Return................ 17.97% ---------- Net Assets, End of Period (thousands)............... $6,410,086 Ratio of Expenses to Average Net Assets........ 0.28%(D) Ratio of Net Investment Income to Average Net Assets................ 1.64% Portfolio Turnover Rate..... N/A
-------- * For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in securities rather than through the Series. ** Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+ --------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR JAN. 31, ENDED ENDED ENDED ENDED 2008(a) APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO OCT. 31, 2012 2011 2010 2009 2008 ----------- -------- -------- -------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period............ $ 15.32 $ 14.75 $ 11.73 $ 10.92 $ 14.69 ----------- -------- -------- -------- ----------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A).............. 0.07 0.10 0.07 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 1.68 0.60 3.07 0.87 (3.76) ----------- -------- -------- -------- ----------- Total From Investment Operations......... 1.75 0.70 3.14 0.99 (3.63) ----------- -------- -------- -------- ----------- Less Distributions ------------------ Net Investment Income........................ (0.06) (0.10) (0.12) (0.18) (0.14) Net Realized Gains........................... (0.12) (0.03) -- -- -- ----------- -------- -------- -------- ----------- Total Distributions...................... (0.18) (0.13) (0.12) (0.18) (0.14) ----------- -------- -------- -------- ----------- Net Asset Value, End of Period.................. $ 16.89 $ 15.32 $ 14.75 $ 11.73 $ 10.92 =========== ======== ======== ======== =========== Total Return.................................... 11.57%(C) 4.69% 26.93% 9.36% (24.96)%(C) ----------- -------- -------- -------- ----------- Net Assets, End of Period (thousands)........... $48,897 $45,132 $41,316 $31,393 $25,599 Ratio of Expenses to Average Net Assets......... 0.48%(B) 0.48% 0.49% 0.52% 0.50%(B)(E) Ratio of Net Investment Income to Average Net Assets........................................ 0.84%(B) 0.61% 0.59% 1.12% 1.24%(B)(E) Portfolio Turnover Rate......................... 11%(C) 23% 20% 17% 20%(C) U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+ --------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR JUNE 30, ENDED ENDED ENDED ENDED 2008(a) APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO OCT. 31, 2012 2011 2010 2009 2008 ----------- -------- -------- -------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period............ $ 15.31 $ 14.76 $ 11.74 $ 10.91 $ 13.94 ----------- -------- -------- -------- ----------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A).............. 0.06 0.07 0.05 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 1.67 0.60 3.07 0.88 (3.02) ----------- -------- -------- -------- ----------- Total From Investment Operations......... 1.73 0.67 3.12 0.98 (2.97) ----------- -------- -------- -------- ----------- Less Distributions ------------------ Net Investment Income........................ (0.05) (0.09) (0.10) (0.15) (0.06) Net Realized Gains........................... (0.12) (0.03) -- -- -- ----------- -------- -------- -------- ----------- Total Distributions...................... (0.17) (0.12) (0.10) (0.15) (0.06) ----------- -------- -------- -------- ----------- Net Asset Value, End of Period.................. $ 16.87 $ 15.31 $ 14.76 $ 11.74 $ 10.91 =========== ======== ======== ======== =========== Total Return.................................... 11.47%(C) 4.50% 26.66% 9.23% (21.40)%(C) ----------- -------- -------- -------- ----------- Net Assets, End of Period (thousands)........... $12,516 $10,918 $ 5,967 $ 2,930 $ 1,715 Ratio of Expenses to Average Net Assets......... 0.63%(B) 0.63% 0.64% 0.67% 0.66%(B)(E) Ratio of Net Investment Income to Average Net Assets........................................ 0.70%(B) 0.42% 0.44% 0.91% 1.35%(B)(E) Portfolio Turnover Rate......................... 11%(C) 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. 96 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ---------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 - ----------- ---------- ---------- ---------- -------- -------- -------- (UNAUDITED) Net Asset Value, Beginning of Period.... $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33 ----------- ---------- ---------- ---------- -------- -------- -------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)............. 0.08 0.12 0.09 0.12 0.18 0.20 0.21 Net Gains (Losses) on Securities (Realized and Unrealized)....... 1.67 0.59 3.06 0.88 (4.68) (1.32) 2.84 ----------- ---------- ---------- ---------- -------- -------- -------- Total From Investment Operations.......... 1.75 0.71 3.15 1.00 (4.50) (1.12) 3.05 ----------- ---------- ---------- ---------- -------- -------- -------- Less Distributions ------------------ Net Investment Income.. (0.06) (0.12) (0.09) (0.14) (0.15) (0.20) (0.25) Net Realized Gains..... (0.12) (0.03) -- -- (0.40) (1.48) (1.44) ----------- ---------- ---------- ---------- -------- -------- -------- Total Distributions... (0.18) (0.15) (0.09) (0.14) (0.55) (1.68) (1.69) ----------- ---------- ---------- ---------- -------- -------- -------- Net Asset Value, End of Period................. $ 16.89 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 =========== ========== ========== ========== ======== ======== ======== Total Return............. 11.63%(C) 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% 19.48% ----------- ---------- ---------- ---------- -------- -------- -------- Net Assets, End of Period (thousands)..... $2,854,643 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 $215,338 Ratio of Expenses to Average Net Assets..... 0.38%(B) 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** 0.46%(D) Ratio of Net Investment Income to Average Net Assets................. 0.94%(B) 0.71% 0.69% 1.19% 1.39%(B) 1.12% 1.19% Portfolio Turnover Rate.. 11%(C) 23% 20% 17% 20%(C) 9%(C)* N/A
U.S. SMALL CAP VALUE PORTFOLIO ------------------------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period........... $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ----------- Net Investment Income (Loss)(A)....... 0.09 0.16 0.09 0.04 0.18 0.30 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)..... 2.65 1.00 4.79 1.54 (7.86) (2.72) 5.06 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.... 2.74 1.16 4.88 1.58 (7.68) (2.42) 5.34 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------- Net Investment Income.......... (0.07) (0.15) (0.08) (0.21) (0.22) (0.28) (0.23) Net Realized Gains........... (0.33) -- -- -- (2.27) (2.40) (2.26) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions. (0.40) (0.15) (0.08) (0.21) (2.49) (2.68) (2.49) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 25.84 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 =========== ========== ========== ========== ========== ========== ========== Total Return....... 11.93%(C) 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% 20.29% ----------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)...... $7,089,975 $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........... 0.53%(B) 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........... 0.73%(B) 0.62% 0.43% 0.27% 0.86%(B) 0.98% 0.94% Portfolio Turnover Rate............. 7%(C) 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. 97 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO --------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- -------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22 ---------- ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.10 0.17 0.15 0.15 0.17 0.19 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.21 0.59 1.61 0.73 (4.03) 0.35 1.28 ---------- ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations. 1.31 0.76 1.76 0.88 (3.86) 0.54 1.45 ---------- ---------- ---------- ---------- ---------- ---------- -------- Less Distributions ------------------ Net Investment Income............. (0.09) (0.16) (0.12) (0.15) (0.16) (0.18) (0.17) Net Realized Gains................ -- -- -- -- -- (0.03) -- ---------- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.............. (0.09) (0.16) (0.12) (0.15) (0.16) (0.21) (0.17) ---------- ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period...... $ 12.00 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 ========== ========== ========== ========== ========== ========== ======== Total Return........................ 12.25%(C) 7.47% 20.80% 11.64% (32.85)%(C) 4.68% 14.35% ---------- ---------- ---------- ---------- ---------- ---------- -------- Net Assets, End of Period (thousands)....................... $4,601,382 $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%(B) 0.20% 0.20% 0.22% 0.20%(B) 0.20% 0.23% Ratio of Net Investment Income to Average Net Assets................ 1.71%(B) 1.49% 1.53% 2.02% 1.78%(B) 1.53% 1.52% Portfolio Turnover Rate............. 2%(C) 5% 4% 7% 5%(C) 10% 6%
U.S. CORE EQUITY 2 PORTFOLIO ----------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.09 0.16 0.14 0.14 0.17 0.19 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.18 0.54 1.64 0.66 (4.04) 0.13 1.40 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations. 1.27 0.70 1.78 0.80 (3.87) 0.32 1.57 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.08) (0.15) (0.11) (0.14) (0.17) (0.17) (0.16) Net Realized Gains................ -- -- -- -- -- (0.03) -- ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.08) (0.15) (0.11) (0.14) (0.17) (0.20) (0.16) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...... $ 11.80 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 =========== ========== ========== ========== ========== ========== ========== Total Return........................ 12.02%(C) 6.98% 21.41% 10.66% (33.16)%(C) 2.78% 15.50% ----------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....................... $6,642,277 $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%(B) 0.22% 0.23% 0.24% 0.23%(B) 0.23% 0.26% Ratio of Net Investment Income to Average Net Assets................ 1.68%(B) 1.42% 1.47% 1.89% 1.77%(B) 1.55% 1.55% Portfolio Turnover Rate............. 3%(C) 9% 7% 4% 8%(C) 7% 5%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO --------------------------------------------------------------------------------------- PERIOD PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR DEC. 30, ENDED ENDED ENDED ENDED 2007 TO ENDED 2005(a) TO APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- -------- -------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period........ $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 $ 10.00 ----------- ---------- ---------- ---------- -------- -------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)............... 0.08 0.12 0.10 0.11 0.15 0.16 0.13 Net Gains (Losses) on Securities (Realized and Unrealized)............. 1.13 0.46 1.79 0.57 (3.89) (0.25) 1.73 ----------- ---------- ---------- ---------- -------- -------- ---------- Total From Investment Operations.......... 1.21 0.58 1.89 0.68 (3.74) (0.09) 1.86 ----------- ---------- ---------- ---------- -------- -------- ---------- Less Distributions ------------------ Net Investment Income..... (0.07) (0.12) (0.10) (0.13) (0.16) (0.14) (0.07) Net Realized Gains........ -- -- -- -- -- (0.18) -- ----------- ---------- ---------- ---------- -------- -------- ---------- Total Distributions....... (0.07) (0.12) (0.10) (0.13) (0.16) (0.32) (0.07) ----------- ---------- ---------- ---------- -------- -------- ---------- Net Asset Value, End of Period..................... $ 11.42 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 =========== ========== ========== ========== ======== ======== ========== Total Return................. 11.84%(C) 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% 18.65%(C) ----------- ---------- ---------- ---------- -------- -------- ---------- Net Assets, End of Period (thousands)......... $1,971,842 $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742 $403,312 Ratio of Expenses to Average Net Assets......... 0.33%(B) 0.33% 0.33% 0.35% 0.34%(B) 0.34% 0.36%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.33%(B) 0.33% 0.33% 0.35% 0.34%(B) 0.33% 0.39%(B)(E) Ratio of Net Investment Income to Average Net Assets..................... 1.41%(B) 1.11% 1.13% 1.60% 1.66%(B) 1.29% 1.24%(B)(E) Portfolio Turnover Rate...... 6%(C) 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. 99 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO ------------------------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 - ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period.... $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)............. 0.12 0.18 0.13 0.06 0.14 0.21 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)....... 2.20 1.49 4.17 1.65 (6.08) (0.66) 2.84 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.......... 2.32 1.67 4.30 1.71 (5.94) (0.45) 3.01 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.. (0.08) (0.18) (0.13) (0.17) (0.17) (0.21) (0.13) Net Realized Gains..... -- -- -- -- (1.18) (1.16) (1.17) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions... (0.08) (0.18) (0.13) (0.17) (1.35) (1.37) (1.30) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period................. $ 22.79 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 ========== ========== ========== ========== ========== ========== ========== Total Return............. 11.34%(C) 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% 15.49% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..... $4,284,236 $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..... 0.38%(B) 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................. 1.15%(B) 0.84% 0.76% 0.50% 0.86%(B) 0.95% 0.82% Portfolio Turnover Rate.. 8%(C) 23% 19% 17%* N/A N/A N/A
U.S. MICRO CAP PORTFOLIO ------------------------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period ... $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)............. 0.07 0.09 0.06 0.03 0.10 0.14 0.10 Net Gains (Losses) on Securities (Realized and Unrealized)....... 1.37 0.99 2.68 0.54 (4.32) (0.69) 2.04 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.......... 1.44 1.08 2.74 0.57 (4.22) (0.55) 2.14 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.. (0.05) (0.09) (0.06) (0.19) (0.13) (0.13) (0.08) Net Realized Gains..... -- -- -- -- (1.26) (1.35) (1.14) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions... (0.05) (0.09) (0.06) (0.19) (1.39) (1.48) (1.22) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period................. $ 14.63 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 ========== ========== ========== ========== ========== ========== ========== Total Return............. 10.94%(C) 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% 14.52% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..... $3,549,272 $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..... 0.53%(B) 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................. 1.04%(B) 0.69% 0.58% 0.38% 0.91%(B) 0.89% 0.64% Portfolio Turnover Rate.. 8%(C) 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. 100 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO ------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.29 0.40 0.58 0.58 0.64 0.62 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)........ 3.02 1.93 5.92 (0.62) (9.28) (5.64) 8.84 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations. 3.31 2.33 6.50 (0.04) (8.64) (5.02) 9.48 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.29) (0.32) (0.55) (0.83) (0.30) (0.70) (1.02) Net Realized Gains................ -- -- -- -- (2.10) (0.88) (0.41) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.29) (0.32) (0.55) (0.83) (2.40) (1.58) (1.43) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...... $ 26.27 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 ========== ========== ========== ========== ========== ========== ========== Total Return........................ 14.50%(C) 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% 38.23% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....................... $3,599,033 $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............................ 0.27%(B) 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).... 0.28%(B) 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33% Ratio of Net Investment Income to Average Net Assets................ 2.43%(B) 1.76% 3.13% 4.54% 3.01%(B) 1.99% 2.25% Portfolio Turnover Rate............. 0%(C) 3% 2% 2% 13%(C) 17% 10%
LARGE CAP INTERNATIONAL PORTFOLIO ------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.30 0.63 0.48 0.48 0.68 0.68 0.55 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.34 (1.53) 1.43 3.16 (12.06) 3.57 4.68 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations. 0.64 (0.90) 1.91 3.64 (11.38) 4.25 5.23 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.21) (0.61) (0.51) (0.43) (0.64) (0.67) (0.63) Net Realized Gains................ -- -- -- -- (0.35) -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.21) (0.61) (0.51) (0.43) (0.99) (0.67) (0.63) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...... $ 18.34 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 ========== ========== ========== ========== ========== ========== ========== Total Return........................ 3.68%(C) (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% 28.00% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....................... $1,956,020 $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%(B) 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).... 0.30%(B) 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets................ 3.44%(B) 3.19% 2.65% 3.14% 3.18%(B) 2.62% 2.56% Portfolio Turnover Rate............. 2%(C) 3% 7% 12% 12%(C) 5% 4%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- -------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07 ---------- ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.15 0.33 0.23 0.23 0.37 0.35 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.26 (0.89) 0.96 2.32 (6.76) 1.54 2.71 ---------- ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations. 0.41 (0.56) 1.19 2.55 (6.39) 1.89 2.99 ---------- ---------- ---------- ---------- ---------- ---------- -------- Less Distributions ------------------ Net Investment Income............. (0.10) (0.33) (0.20) (0.22) (0.35) (0.32) (0.24) Net Realized Gains................ -- -- -- -- (0.15) (0.04) -- ---------- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.............. (0.10) (0.33) (0.20) (0.22) (0.50) (0.36) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period...... $ 10.20 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 ========== ========== ========== ========== ========== ========== ======== Total Return........................ 4.28%(C) (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% 30.06% ---------- ---------- ---------- ---------- ---------- ---------- -------- Net Assets, End of Period (thousands)....................... $5,923,377 $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%(B) 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%(B) 0.40% 0.40% 0.41% 0.41%(B) 0.41% 0.46% Ratio of Net Investment Income to Average Net Assets................ 3.13%(B) 2.96% 2.31% 2.84% 3.39%(B) 2.49% 2.35% Portfolio Turnover Rate............. 4%(C) 3% 2% 5% 4%(C) 4% 2%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO ------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.18 0.40 0.28 0.28 0.44 0.43 0.36 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.71 (0.83) 2.13 3.91 (9.55) 2.07 4.02 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations. 0.89 (0.43) 2.41 4.19 (9.11) 2.50 4.38 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.18) (0.50) (0.26) (0.27) (0.45) (0.46) (0.36) Net Realized Gains................ (0.28) -- -- -- (1.17) (0.67) (0.78) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.46) (0.50) (0.26) (0.27) (1.62) (1.13) (1.14) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...... $ 15.64 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 ========== ========== ========== ========== ========== ========== ========== Total Return........................ 6.33%(C) (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% 28.51% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....................... $6,200,668 $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)........................ 0.56%(B) 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)......................... 0.56%(B) 0.55% 0.56% 0.57% 0.55%(B) 0.55% 0.56% Ratio of Net Investment Income to Average Net Assets................ 2.36%(B) 2.37% 1.94% 2.48% 2.90%(B) 2.03% 2.04%
JAPANESE SMALL COMPANY PORTFOLIO ------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- -------- -------- -------- -------- -------- -------- (UNAUDITED) Net Asset Value, Beginning of Period........... $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97 -------- -------- -------- -------- -------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A).............. 0.20 0.27 0.22 0.22 0.29 0.27 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)............................. 1.09 1.08 (0.18) 2.39 (4.78) (0.52) (0.73) -------- -------- -------- -------- -------- -------- -------- Total From Investment Operations............ 1.29 1.35 0.04 2.61 (4.49) (0.25) (0.51) -------- -------- -------- -------- -------- -------- -------- Less Distributions ------------------ Net Investment Income........................ (0.13) (0.24) (0.23) (0.26) (0.29) (0.23) (0.23) Net Realized Gains........................... -- -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Total Distributions......................... (0.13) (0.24) (0.23) (0.26) (0.29) (0.23) (0.23) -------- -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period................. $ 16.40 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 ======== ======== ======== ======== ======== ======== ======== Total Return................................... 8.32%(C) 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% (2.94)% -------- -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands).......... $322,096 $163,120 $114,933 $114,058 $133,373 $199,080 $168,957 Ratio of Expenses to Average Net Assets (D).... 0.56%(B) 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%(B) 0.56% 0.57% 0.59% 0.58%(B) 0.56% 0.58% Ratio of Net Investment Income to Average Net Assets....................................... 2.52%(B) 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. 103 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO -------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- -------- -------- -------- -------- -------- -------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28 ----------- -------- -------- -------- -------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.34 0.85 0.69 0.50 0.83 0.79 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.05 (2.16) 4.99 8.95 (17.04) 8.43 4.92 ----------- -------- -------- -------- -------- -------- -------- Total From Investment Operations. 1.39 (1.31) 5.68 9.45 (16.21) 9.22 5.56 ----------- -------- -------- -------- -------- -------- -------- Less Distributions ------------------ Net Investment Income............. (0.89) (1.29) (0.63) (0.53) (0.85) (0.75) (0.58) Net Realized Gains................ -- -- -- -- -- -- -- Return of Capital................. -- -- -- -- -- -- -- ----------- -------- -------- -------- -------- -------- -------- Total Distributions.............. (0.89) (1.29) (0.63) (0.53) (0.85) (0.75) (0.58) ----------- -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period...... $ 23.54 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 =========== ======== ======== ======== ======== ======== ======== Total Return........................ 6.62%(C) (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% 37.52% ----------- -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands) $202,769 $139,262 $131,511 $101,853 $64,044 $146,307 $71,537 Ratio of Expenses to Average Net Assets(D)......................... 0.60%(B) 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%(B) 0.60% 0.61% 0.65% 0.61%(B) 0.59% 0.64% Ratio of Net Investment Income to Average Net Assets................ 3.04%(B) 3.34% 3.14% 3.53% 3.85%(B) 3.13% 3.68%
UNITED KINGDOM SMALL COMPANY PORTFOLIO ------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- -------- -------- -------- -------- -------- -------- (UNAUDITED) Net Asset Value, Beginning of Period............................ $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65 ------- ------- ------- ------- ------- ------- ------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.28 0.82 0.50 0.55 0.77 0.78 0.61 Net Gains (Losses) on Securities (Realized and Unrealized)........ 3.07 (0.85) 4.41 5.44 (15.84) (0.08) 9.61 ------- ------- ------- ------- ------- ------- ------- Total From Investment Operations. 3.35 (0.03) 4.91 5.99 (15.07) 0.70 10.22 ------- ------- ------- ------- ------- ------- ------- Less Distributions ------------------ Net Investment Income............. (0.41) (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.............. (0.41) (0.77) (0.50) (0.43) (1.95) (2.38) (1.90) ------- ------- ------- ------- ------- ------- ------- Net Asset Value, End of Period...... $ 26.38 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 ======= ======= ======= ======= ======= ======= ======= Total Return........................ 14.72%(C) (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% 44.15% ------- ------- ------- ------- ------- ------- ------- Net Assets, End of Period (thousands) $30,288 $33,869 $33,751 $27,863 $25,883 $37,139 $31,808 Ratio of Expenses to Average Net Assets(D)......................... 0.60%(B) 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)...................... 0.66%(B) 0.62% 0.64% 0.70% 0.65%(B) 0.62% 0.67% Ratio of Net Investment Income to Average Net Assets................ 2.42%(B) 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. 104 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- -------- -------- -------- -------- -------- -------- (UNAUDITED) Net Asset Value, Beginning of Period.... $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78 ----------- -------- -------- -------- -------- -------- -------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)............. 0.18 0.39 0.27 0.28 0.52 0.40 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.12 (2.20) 1.89 4.29 (11.32) 3.00 6.28 ----------- -------- -------- -------- -------- -------- -------- Total From Investment Operations.......... 0.30 (1.81) 2.16 4.57 (10.80) 3.40 6.59 ----------- -------- -------- -------- -------- -------- -------- Less Distributions ------------------ Net Investment Income.. (0.05) (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... (0.05) (0.46) (0.25) (0.28) (1.42) (0.92) (1.90) ----------- -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period................. $ 14.91 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 =========== ======== ======== ======== ======== ======== ======== Total Return............. 2.13%(C) (11.09)% 14.85% 43.12% (49.89)%(C) 16.99% 46.33% ----------- -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)..... $120,485 $117,452 $128,106 $110,926 $93,988 $170,909 $90,261 Ratio of Expenses to Average Net Assets..... 0.60%(B)(D) 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)............ 0.60%(B)(D) 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 2.48%(B) 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 N/A
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO -------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, PERIOD ENDED ENDED ENDED ENDED 2007 TO MARCH 1, 2007(a) APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO 2012 2011 2010 2009 2008 NOV. 30, 2007 ----------- ---------- -------- -------- -------- ---------------- (UNAUDITED) Net Asset Value, Beginning of Period.... $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00 ----------- ---------- -------- -------- -------- ---------------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)....... 0.14 0.30 0.31 0.26 0.34 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)............ 0.21 (0.33) 0.58 0.91 (5.08) (0.76) ----------- ---------- -------- -------- -------- ---------------- Total From Investment Operations..... 0.35 (0.03) 0.89 1.17 (4.74) (0.53) ----------- ---------- -------- -------- -------- ---------------- Less Distributions ------------------ Net Investment Income................. (0.25) (0.65) (0.55) (0.11) (0.43) (0.12) Net Realized Gains.................... -- -- -- -- -- -- Return of Capital..................... -- -- -- -- -- -- ----------- ---------- -------- -------- -------- ---------------- Total Distributions.................. (0.25) (0.65) (0.55) (0.11) (0.43) (0.12) ----------- ---------- -------- -------- -------- ---------------- Net Asset Value, End of Period.......... $ 5.00 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 =========== ========== ======== ======== ======== ================ Total Return............................ 7.89%(C) (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C) ----------- ---------- -------- -------- -------- ---------------- Net Assets, End of Period (thousands)... $1,238,784 $1,060,156 $958,554 $742,329 $394,480 $336,840 Ratio of Expenses to Average Net Assets. 0.41%(B) 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................... 0.41%(B) 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Net Investment Income (Loss) to Average Net Assets 5.95%(B) 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E) Portfolio Turnover Rate................. 4%(C) 7% 6% 5% 1%(C) 2%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO ------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR JUNE 4, ENDED ENDED ENDED ENDED 2008(a) TO APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 2008 ----------- -------- -------- -------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period ............. $ 8.21 $ 8.28 $ 6.75 $ 6.04 $ 10.00 ----------- -------- -------- -------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................. 0.21 0.41 0.40 0.19 -- Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.71 0.06 1.60 0.62 (3.96) ----------- -------- -------- -------- ---------- Total From Investment Operations............... 0.92 0.47 2.00 0.81 (3.96) ----------- -------- -------- -------- ---------- Less Distributions ------------------ Net Investment Income........................... (0.24) (0.54) (0.47) (0.10) -- Net Realized Gains.............................. -- -- -- -- -- ----------- -------- -------- -------- ---------- Total Distributions............................ (0.24) (0.54) (0.47) (0.10) -- ----------- -------- -------- -------- ---------- Net Asset Value, End of Period.................... $ 8.89 $ 8.21 $ 8.28 $ 6.75 $ 6.04 =========== ======== ======== ======== ========== Total Return...................................... 11.80%(C) 6.17% 31.38% 13.81% (39.60)%(C) ----------- -------- -------- -------- ---------- Net Assets, End of Period (thousands)............. $1,129,525 $869,348 $695,461 $432,502 $90,672 Ratio of Expenses to Average Net Assets........... 0.37%(B)(D) 0.41%(D) 0.41%(D) 0.47%(D) 0.54%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................... 0.66%(B)(D) 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 5.13%(B) 5.01% 5.59% 3.40% (0.04)%(B)(E) Portfolio Turnover Rate........................... N/A N/A N/A N/A N/A
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO -------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period ........................... $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)... 0.16 0.34 0.24 0.26 0.52 0.46 0.36 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.81 (0.98) 1.22 4.14 (9.60) 1.66 4.95 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations. 0.97 (0.64) 1.46 4.40 (9.08) 2.12 5.31 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.13) (0.38) (0.22) (0.24) (0.58) (0.53) (0.38) Net Realized Gains................ (0.28) (0.29) -- (0.06) (1.57) (1.25) (0.79) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.41) (0.67) (0.22) (0.30) (2.15) (1.78) (1.17) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...... $ 15.41 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 =========== ========== ========== ========== ========== ========== ========== Total Return........................ 6.89%(C) (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% 31.73% ----------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)....................... $8,158,614 $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............................ 0.71%(B) 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).... 0.71%(B) 0.70% 0.70% 0.71% 0.69%(B) 0.69% 0.70% Ratio of Net Investment Income to Average Net Assets................ 2.21%(B) 2.05% 1.57% 2.19% 3.22%(B) 2.03% 1.85% Portfolio Turnover Rate............. 11%(C) 16% 18% 22% 16%(C) 18% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO ----------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR AUGUST 14, ENDED ENDED ENDED ENDED 2008(a) TO APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 2008 ----------- -------- -------- -------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period.............. $ 9.34 $ 10.28 $ 9.22 $ 6.74 $ 10.00 ----------- -------- -------- -------- ----------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................. 0.13 0.29 0.18 0.17 0.06 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.28 (0.87) 1.05 2.46 (3.32) ----------- -------- -------- -------- ----------- Total From Investment Operations............... 0.41 (0.58) 1.23 2.63 (3.26) ----------- -------- -------- -------- ----------- Less Distributions ------------------ Net Investment Income........................... (0.10) (0.29) (0.17) (0.15) -- Net Realized Gains.............................. (0.15) (0.07) -- -- -- ----------- -------- -------- -------- ----------- Total Distributions............................ (0.25) (0.36) (0.17) (0.15) -- ----------- -------- -------- -------- ----------- Net Asset Value, End of Period.................... $ 9.50 $ 9.34 $ 10.28 $ 9.22 $ 6.74 =========== ======== ======== ======== =========== Total Return...................................... 4.68%(C) (5.99)% 13.62% 39.52% (32.60)%(C) ----------- -------- -------- -------- ----------- Net Assets, End of Period (thousands)............. $532,627 $410,580 $363,123 $262,544 $66,774 Ratio of Expenses to Average Net Assets........... 0.54%(B) 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%(B) 0.54% 0.53% 0.59% 1.15%(B)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 2.90%(B) 2.73% 1.91% 2.31% 3.01%(B)(E) Portfolio Turnover Rate........................... 3%(C) 10% 5% 8% 0%(C)
WORLD EX U.S. VALUE PORTFOLIO ---------------------------------------------------------- SIX MONTHS YEAR PERIOD ENDED ENDED AUG. 23, 2010(a) APRIL 30, OCT. 31, TO 2012 2011 OCT. 31, 2010 ----------- -------- ---------------- (UNAUDITED) Net Asset Value, Beginning of Period.............. $ 9.96 $ 11.35 $ 10.00 ----------- -------- ---------------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................. 0.12 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.04 (1.35) 1.33 ----------- -------- ---------------- Total From Investment Operations............... 0.16 (1.05) 1.35 ----------- -------- ---------------- Less Distributions ------------------ Net Investment Income........................... (0.09) (0.26) -- Net Realized Gains.............................. -- (0.08) -- ----------- -------- ---------------- Total Distributions............................ (0.09) (0.34) -- ----------- -------- ---------------- Net Asset Value, End of Period.................... $ 10.03 $ 9.96 $ 11.35 =========== ======== ================ Total Return...................................... 1.71%(C) (9.59)% 13.50%(C) ----------- -------- ---------------- Net Assets, End of Period (thousands)............. $55,300 $47,165 $29,616 Ratio of Expenses to Average Net Assets........... 0.60%(B)(D) 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)........................... 0.85%(B)(D) 0.91%(D) 1.37%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 2.49%(B) 2.64% 0.76%(B)(E) Portfolio Turnover Rate........................... N/A N/A N/A
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO ----------------------- PERIOD NOV. 14, 2011(a) TO APRIL 30, 2012 ----------------------- (UNAUDITED) Net Asset Value, Beginning of Period..................................................................... $ 10.00 ------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)....................................................................... 0.08 Net Gains (Losses) on Securities (Realized and Unrealized)............................................ 0.85 ------- Total From Investment Operations.................................................................. 0.93 ------- Less Distributions ------------------ Net Investment Income................................................................................. (0.07) Net Realized Gains.................................................................................... -- ------- Total Distributions............................................................................... (0.07) ------- Net Asset Value, End of Period........................................................................... $ 10.86 ======= Total Return............................................................................................. 9.39%(C) ------- Net Assets, End of Period (thousands).................................................................... $24,729 Ratio of Expenses to Average Net Assets(D)............................................................... 0.40%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)(D)............................................................................. 1.04%(B)(E) Ratio of Net Investment Income to Average Net Assets..................................................... 1.68%(B)(E) Portfolio Turnover Rate.................................................................................. N/A
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO ------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period.......................... $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)...................... 0.17 0.61 0.48 0.42 0.70 0.64 0.48 Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.87 (2.53) 6.07 8.42 (16.85) 9.88 5.61 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 1.04 (1.92) 6.55 8.84 (16.15) 10.52 6.09 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............ (0.16) (0.53) (0.46) (0.41) (0.69) (0.53) (0.58) Net Realized Gains............... (1.04) (1.77) (0.42) (0.25) (1.34) (0.16) -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (1.20) (2.30) (0.88) (0.66) (2.03) (0.69) (0.58) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.... $ 26.52 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 ========== ========== ========== ========== ========== ========== ========== Total Return...................... 4.47%(C) (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% 31.31% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $2,677,076 $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)....................... 0.60%(B) 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.61% Ratio of Net Investment Income to Average Net Assets.............. 1.31%(B) 2.07% 1.76% 2.15% 2.59%(B) 2.12% 2.13%
EMERGING MARKETS SMALL CAP PORTFOLIO --------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- -------- (UNAUDITED) Net Asset Value, Beginning of Period.. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37 ---------- ---------- ---------- ---------- -------- ---------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)...... 0.12 0.42 0.34 0.26 0.44 0.31 0.30 Net Gains (Losses) on Securities (Realized and Unrealized).......... 0.98 (3.67) 6.79 8.14 (12.95) 6.86 4.86 ---------- ---------- ---------- ---------- -------- ---------- -------- Total From Investment Operations....................... 1.10 (3.25) 7.13 8.40 (12.51) 7.17 5.16 ---------- ---------- ---------- ---------- -------- ---------- -------- Less Distributions ------------------ Net Investment Income................ (0.15) (0.40) (0.32) (0.28) (0.41) (0.26) (0.26) Net Realized Gains................... (0.40) (0.76) -- -- (1.49) (1.13) (0.31) ---------- ---------- ---------- ---------- -------- ---------- -------- Total Distributions................ (0.55) (1.16) (0.32) (0.28) (1.90) (1.39) (0.57) ---------- ---------- ---------- ---------- -------- ---------- -------- Net Asset Value, End of Period........ $ 20.40 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 ========== ========== ========== ========== ======== ========== ======== Total Return.......................... 5.94%(C) (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% 39.95% ---------- ---------- ---------- ---------- -------- ---------- -------- Net Assets, End of Period (thousands). $2,518,174 $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%(B) 0.79% 0.78% 0.80% 0.77%(B) 0.78% 0.81% Ratio of Net Investment Income to Average Net Assets.................. 1.22%(B) 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. 109 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES + ------------------------------------------------------------ SIX MONTHS YEAR YEAR YEAR PERIOD ENDED ENDED ENDED ENDED JAN. 29, 2008(a) APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO 2012 2011 2010 2009 OCT. 31, 2008 ----------- -------- -------- -------- ---------------- (UNAUDITED) Net Asset Value, Beginning of Period........................ $ 29.02 $ 36.35 $ 46.84 $ 85.43 $187.35 -------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)............................ 0.12 0.20 0.56 0.56 3.93 Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 (5.45) 9.18 21.36 (92.36) -------- ------- ------- ------- ------- Total from Investment Operations......................... 0.58 (5.25) 9.74 21.92 (88.43) -------- ------- ------- ------- ------- Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.45) (7.12) (6.00) (13.49) Net Realized Gains......................................... (0.39) (1.63) (13.11) (54.52) -- -------- ------- ------- ------- ------- Total Distributions...................................... (0.59) (2.08) (20.23) (60.52) (13.49) -------- ------- ------- ------- ------- Net Asset Value, End of Period.............................. $ 29.01 $ 29.02 $ 36.35 $ 46.83 $ 85.43 ======== ======= ======= ======= ======= Total Return................................................ 2.24%(C) (15.24)% 29.71% 78.29% (50.51)%(C) -------- ------- ------- ------- ------- Net Assets, End of Period (thousands)....................... $103,576 $78,157 $39,668 $ 5,082 $ 1,799 Ratio of Expenses to Average Net Assets (D)................. 0.85%(B) 0.86% 0.86% 0.90% 0.92%(B)(E) Ratio of Net Investment Income to Average Net Assets........ 0.83%(B) 1.56% 1.39% 1.39% 3.35%(B)(E)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ---------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 2006 ----------- ----------- ----------- ---------- ------------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period.... $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86 ----------- ----------- ----------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss)(A)............. 0.15 0.64 0.45 0.38 0.98 0.78 0.60 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.46 (5.72) 8.01 12.41 (25.48) 14.82 8.65 ----------- ----------- ----------- ---------- ---------- ---------- ---------- Total from Investment Operations.......... 0.61 (5.08) 8.46 12.79 (24.50) 15.60 9.25 ----------- ----------- ----------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.. (0.21) (0.54) (0.39) (0.34) (1.00) (0.63) (0.60) Net Realized Gains..... (0.39) (1.63) (0.70) (2.91) (0.99) (0.38) (0.25) ----------- ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions... (0.60) (2.17) (1.09) (3.25) (1.99) (1.01) (0.85) ----------- ----------- ----------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period................. $ 29.03 $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 =========== =========== =========== ========== ========== ========== ========== Total Return............. 2.35%(C) (14.84)% 30.04% 78.59% (55.65)%(C) 50.98% 41.55% ----------- ----------- ----------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..... $15,873,268 $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). 0.60%(B) 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.63% Ratio of Net Investment Income to Average Net Assets................. 1.07%(B) 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) See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO ----------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- -------- (UNAUDITED) Net Asset Value, Beginning of Period............................. $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54 ----------- ---------- ---------- ---------- ---------- ---------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)....................... 0.13 0.43 0.30 0.25 0.43 0.35 0.27 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.67 (2.65) 4.81 6.56 (11.27) 6.10 3.54 ----------- ---------- ---------- ---------- ---------- ---------- -------- Total From Investment Operations.................. 0.80 (2.22) 5.11 6.81 (10.84) 6.45 3.81 ----------- ---------- ---------- ---------- ---------- ---------- -------- Less Distributions ------------------ Net Investment Income............. (0.13) (0.36) (0.29) (0.20) (0.40) (0.32) (0.22) Net Realized Gains................ -- -- -- -- (0.08) (0.06) -- ----------- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions........... (0.13) (0.36) (0.29) (0.20) (0.48) (0.38) (0.22) ----------- ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period....... $ 19.40 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 =========== ========== ========== ========== ========== ========== ======== Total Return......................... 4.34%(C) (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% 33.39% ----------- ---------- ---------- ---------- ---------- ---------- -------- Net Assets, End of Period (thousands)........................ $7,642,876 $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466 $822,136 Ratio of Expenses to Average Net Assets............................. 0.65%(B) 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).......... 0.66%(B) 0.68% 0.65% 0.67% 0.65%(B) 0.65% 0.72% Ratio of Net Investment Income to Average Net Assets................. 1.34%(B) 2.04% 1.63% 2.03% 2.62%(B) 1.87% 2.02% Portfolio Turnover Rate.............. 1%(C) 1% 4% 6% 3%(C) 2% 6%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of sixty-six operational portfolios, of which twenty-seven (the "Portfolios") are included in this section of the report and the remaining thirty-nine are presented in separate reports. Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company and one invests in the Dimensional Emerging Markets Value Fund. International Small Company Portfolio invests in five portfolios within The DFA Investment Trust Company. DFA Global Real Estate Securities Portfolio invests in two portfolios of the DFA Investment Dimensions Group Inc. and World ex U.S. Value Portfolio invests in portfolios within The DFA Investment Trust Company, DFA Investment Dimensions Group Inc. and Dimensional Emerging Markets Value Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios of the DFA Investment Dimensions Group Inc.
PERCENTAGE OWNERSHIP FEEDER FUNDS MASTER FUNDS AT 04/30/12 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78% Japanese Small Company Portfolio The Japanese Small Company Series 19% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 21% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% 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 99% FUND OF FUNDS ------------- International Small Company Portfolio The Japanese Small Company Series 81% The Asia Pacific Small Company Series 79% The United Kingdom Small Company Series 98% The Continental Small Company Series 94% The Canadian Small Company Series 100% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 19% DFA International Real Estate Securities Portfolio 35% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series 1% Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio -- International Core Equity Portfolio -- Emerging Markets Core Equity Portfolio -- Amounts designated as -- are less than 1%.
Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company Portfolio, DFA Global Real Estate Securities 112 Portfolio, World ex U.S. Value Portfolio and Selectively Hedged Global Equity Portfolio also invest in short-term temporary cash investments. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. Prior to March 30, 2007, U.S. Targeted Value Portfolio invested substantially all of its assets in shares of The U.S. Targeted Value Series. At the close of business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata share of cash and securities from The U.S. Targeted Value Series in a complete liquidation of its interest 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 fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments) 113 Securities held by Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio (the "Domestic Equity Portfolios") and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio and Emerging Markets Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of 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 evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over the counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over the counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are generally classified as Level 2 in the hierarchy. 114 Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy. Master Fund shares held by DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, and Selectively Hedged Global Equity Portfolio are valued at their respective daily net asset value. The Feeder Funds, International Small Company Portfolio, and World ex U.S. Value Portfolio's investments reflect proportionate interest in the net assets of their corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. A summary of inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. Valuation hierarchy tables have been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolios did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2012. 2. Foreign Currency Translation: Securities and other assets and liabilities of Enhanced U.S. Large Company Portfolio and the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio also enter into forward currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked to market daily based on daily forward exchange rates. The International Equity Portfolios do not isolate the effect of fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, Enhanced U.S. Large Company Portfolio does isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and Enhanced U.S. Large Company Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director 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 115 deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2012, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities 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 Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio and Emerging Markets Core Equity Portfolio are subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. INVESTMENT ADVISOR AND ADMINISTRATOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors/Trustees, and other administrative services. For the six months ended April 30, 2012, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio*................. 0.05% U.S. Targeted Value Portfolio*......................... 0.10% U.S. Small Cap Value Portfolio*........................ 0.20%
116 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**................. 0.25% Large Cap International Portfolio...................... 0.25% International Core Equity Portfolio.................... 0.35% DFA International Real Estate Securities Portfolio..... 0.35% DFA Global Real Estate Securities Portfolio**.......... 0.32% DFA International Small Cap Value Portfolio............ 0.65% International Vector Equity Portfolio.................. 0.45% World ex U.S. Value Portfolio.......................... 0.47% Selectively Hedged Global Equity Portfolio............. 0.30% Emerging Markets Core Equity Portfolio................. 0.55%
** Effective February 28, 2012, the DFA Real Estate Securities Portfolio and DFA Global Real Estate Securities Portfolio reduced their investment advisory fees from 0.30% to 0.17% and 0.35% to 0.27% of average daily net assets, respectively. For the six months ended April 30, 2012, 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 objectives and strategies, pursuant to an investment management agreement between the Fund, on behalf of the Portfolios, and Dimensional, which previously was the manager of the Series' assets. The investment advisory fee paid by the Portfolios are identical to the advisory fee that was charged to the Series. Pursuant to 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, 117 as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2013, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the six months ended April 30, 2012, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
PREVIOUSLY RECOVERY WAIVED FEES/ OF PREVIOUSLY EXPENSES ASSUMED EXPENSE WAIVED FEES/ SUBJECT TO FUTURE INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT 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% -- -- DFA Real Estate Securities Portfolio (2).......... 0.18% -- $ 73 International Core Equity Portfolio (2)........... 0.49% -- -- International Small Company Portfolio (3)......... 0.45% -- -- Japanese Small Company Portfolio (4).............. 0.47% -- -- Asia Pacific Small Company Portfolio (4).......... 0.47% -- -- United Kingdom Small Company Portfolio (4)........ 0.47% -- 40 Continental Small Company Portfolio (4)........... 0.47% -- -- DFA International Real Estate Securities Portfolio (2)................................... 0.65% -- -- DFA Global Real Estate Securities Portfolio (5)... 0.32% -- 6,048 International Vector Equity Portfolio (2)......... 0.60% -- -- World ex U.S. Value Portfolio (9)................. 0.60% -- 225 Selectively Hedged Global Equity Portfolio (10)... 0.40% -- 63 Emerging Markets Core Equity Portfolio (2)........ 0.85% -- -- CLASS R1 SHARES --------------- U.S. Targeted Value Portfolio (6)................. 0.62% -- -- CLASS R2 SHARES --------------- U.S. Targeted Value Portfolio (7)................. 0.77% -- -- Emerging Markets Value Portfolio (8).............. 0.96% -- --
(1) The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolios Expenses") to the extent necessary to limit the Portfolio Expenses of the Institutional Class Shares to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio's Institutional Class Shares are less than the Expense Limitation Amount listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized 118 basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio are less than the Expense Limitation Amount listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (3) The Advisor has contractually agreed to waive its administration fee and to assume the other direct expenses of the Portfolio (excluding expenses incurred through its investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the rate listed above as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. (4) The Advisor has contractually agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver and Expense Assumption Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund(s). At any time that the direct expenses of a Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's direct expenses to exceed the Expense Limitation Amount, as listed above. (5) Effective February 28, 2012, the Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Prior to February 28, 2012, the Advisor contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to 0.55% of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio were less than 0.55% of average net assets on an annualized basis, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery did not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount then in effect. The Advisor voluntarily agreed to waive all or a portion of its advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly and indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.35% of the Portfolio's average net assets on an annualized basis. (6) The Advisor has contractually agreed to waive all or a portion of its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R1 Shares to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Class R1 Shares' Portfolio Expenses are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover 119 any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (7) The Advisor has contractually agreed to waive all or a portion of its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R2 Shares to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Class R2 Shares' Portfolio Expenses are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (8) The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding management fees and custodian fees, and excluding any applicable 12b-1 fees) to the extent necessary to limit the expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") of the Class R2 shares to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (9) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.47% to the extent necessary to offset the proportionate share of the advisory fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the advisory fee that remains payable by the Portfolio (i.e. the advisory fee remaining after the proportionate share of the Master Funds' advisory services fees have been offset (the "Remaining Management Fee")) to the extent necessary to reduce the Portfolio's ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed the rate listed above as a percentage of average net assets on an annualized basis the ("Expense Limitation Amount"). The maximum amount that may be waived to limit Portfolio Expenses pursuant to this paragraph is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio's Expense Limitation Amount, the Advisor retains the right to seek reimbursement for the amount of any Remaining Management Fees previously waived to the extent that such reimbursement will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount. (10) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver and Expense Assumption Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for a class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. EARNED INCOME CREDIT: In addition, the Portfolios have entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolios' custody expenses. Custody expense in 120 the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2012, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- Large Cap International Portfolio...................... $ 4 International Core Equity Portfolio.................... 10 DFA International Real Estate Securities Portfolio..... 3 DFA International Small Cap Value Portfolio............ 16 International Vector Equity Portfolio.................. 2 Emerging Markets Core Equity Portfolio................. 51
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2012, the total related amounts paid by the Fund to the CCO were $116 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At April 30, 2012, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): Enhanced U.S. Large Company Portfolio.............. $ 6 U.S. Large Cap Value Portfolio..................... 197 U.S. Targeted Value Portfolio...................... 50 U.S. Small Cap Value Portfolio..................... 193 U.S. Core Equity 1 Portfolio....................... 68 U.S. Core Equity 2 Portfolio....................... 123 U.S. Vector Equity Portfolio....................... 39 U.S. Small Cap Portfolio........................... 86 U.S. Micro Cap Portfolio........................... 98 DFA Real Estate Securities Portfolio............... 65 Large Cap International Portfolio.................. 45 International Core Equity Portfolio................ 114 International Small Company Portfolio.............. 136 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. 21 DFA Global Real Estate Securities Portfolio........ 12 DFA International Small Cap Value Portfolio........ 212 International Vector Equity Portfolio.............. 8 World ex U.S. Value Portfolio...................... -- Selectively Hedged Global Equity Portfolio......... -- Emerging Markets Portfolio......................... 63 Emerging Markets Small Cap Portfolio............... 35 Emerging Markets Value Portfolio................... 231
121 Emerging Markets Core Equity Portfolio. $83
E. PURCHASES AND SALES OF SECURITIES: For the six months ended April 30, 2012, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES ----------------- ------------------- PURCHASES SALES PURCHASES SALES --------- ------- ---------- -------- Enhanced U.S. Large Company Portfolio.................. $ 11,338 $ 9,400 $ 78,576 $ 52,135 U.S. Targeted Value Portfolio.......................... -- -- 380,691 293,215 U.S. Small Cap Value Portfolio......................... -- -- 469,373 656,309 U.S. Core Equity 1 Portfolio........................... -- -- 487,711 81,545 U.S. Core Equity 2 Portfolio........................... -- -- 315,131 178,895 U.S. Vector Equity Portfolio........................... -- -- 107,375 202,014 U.S. Small Cap Portfolio............................... -- -- 394,333 313,276 U.S. Micro Cap Portfolio............................... -- -- 282,131 335,392 DFA Real Estate Securities Portfolio................... -- -- 92,386 1,751 Large Cap International Portfolio...................... -- -- 247,371 38,958 International Core Equity Portfolio.................... -- -- 557,168 206,529 DFA International Real Estate Securities Portfolio..... -- -- 146,541 40,631 DFA International Small Cap Value Portfolio............ -- -- 1,191,768 830,652 International Vector Equity Portfolio.................. -- -- 112,628 13,389 Emerging Markets Core Equity Portfolio................. -- -- 1,998,157 37,340
For the six months ended April 30, 2012, the Fund of Funds made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO --------------------------------------------------------------------------- BALANCE AT BALANCE AT DISTRIBUTIONS OF 10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS AFFILIATED INVESTMENT COMPANIES ---------- ---------- ---------- -------- ---------------- ---------------- DFA Real Estate Securities Portfolio.... $ 520,990 $ 694,157 $ 107,185 $ 9,377 $ 6,565 -- DFA International Real Estate Securities Portfolio.................. 346,939 432,887 78,635 5,564 17,980 --
WORLD EX U.S. VALUE PORTFOLIO --------------------------------------------------------------------------- BALANCE AT BALANCE AT DISTRIBUTIONS OF 10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS AFFILIATED INVESTMENT COMPANY ---------- ---------- ---------- -------- --------------- ----------------- DFA International Small Cap Value Portfolio............................. $ 3,724 $ 4,548 $ 821 $ 221 $ 37 $ 80
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO ------------------------------------------------------------------------- BALANCE AT BALANCE AT DISTRIBUTIONS OF 10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS AFFILIATED INVESTMENT COMPANY ---------- ------------ ---------- ----- --------------- ---------------- U.S. Core Equity 2 Portfolio............ -- $ 9,752 $ 8,882 -- $ 57 -- International Core Equity Portfolio..... -- 9,315 8,793 -- 85 -- Emerging Markets Core Equity Portfolio -- 4,648 4,456 -- 26 --
122 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
123 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
124
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
125
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
Selectively Hedged Global Equity Portfolio commenced operations on November 14, 2011 and did not pay any distributions for the year ended October 31, 2011. At October 31, 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
126
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED CAPITAL EARNINGS SHORT-TERM LONG-TERM LOSS (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- 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) 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
127 U.S. Core Equity 1 Portfolio................ $ 31,942 U.S. Core Equity 2 Portfolio................ 69,082 U.S. Vector Equity Portfolio................ 47,040 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 April 30, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---------- ------------ -------------- -------------- Enhanced U.S. Large Company Portfolio.............. $ 189,060 $ 2,486 $ (150) $ 2,336 U.S. Large Cap Value Portfolio..................... 6,094,232 2,174,006 (278,001) 1,896,005 U.S. Targeted Value Portfolio...................... 2,920,043 619,370 (177,489) 441,881 U.S. Small Cap Value Portfolio..................... 7,278,572 1,881,354 (1,087,075) 794,279 U.S. Core Equity 1 Portfolio....................... 4,548,895 1,003,673 (279,066) 724,607 U.S. Core Equity 2 Portfolio....................... 6,788,683 1,522,556 (623,180) 899,376 U.S. Vector Equity Portfolio....................... 2,068,511 448,063 (231,819) 216,244 U.S. Small Cap Portfolio........................... 4,620,853 1,138,992 (471,403) 667,589 U.S. Micro Cap Portfolio........................... 3,531,151 1,128,765 (608,635) 520,130 DFA Real Estate Securities Portfolio............... 3,144,305 1,264,958 (196,524) 1,068,434 Large Cap International Portfolio.................. 2,192,394 419,825 (297,014) 122,811 International Core Equity Portfolio................ 7,201,468 871,740 (1,180,631) (308,891) International Small Company Portfolio.............. 6,025,003 1,307,951 (1,129,844) 178,107 Japanese Small Company Portfolio................... 365,090 82,337 (125,218) (42,881) Asia Pacific Small Company Portfolio............... 193,383 77,832 (68,371) 9,461 United Kingdom Small Company Portfolio............. 25,072 28,622 (23,398) 5,224 Continental Small Company Portfolio................ 122,410 76,595 (78,471) (1,876) DFA International Real Estate Securities Portfolio. 1,407,991 136,741 (149,290) (12,549) DFA Global Real Estate Securities Portfolio........ 900,274 258,691 (29,777) 228,914 DFA International Small Cap Value Portfolio........ 9,724,266 1,375,745 (2,046,120) (670,375) International Vector Equity Portfolio.............. 546,413 104,499 (51,629) 52,870 World ex U.S. Value Portfolio...................... 52,944 2,330 -- 2,330 Selectively Hedged Global Equity Portfolio......... 23,034 1,600 (16) 1,584 Emerging Markets Portfolio......................... 1,636,404 1,168,071 (126,421) 1,041,650 Emerging Markets Small Cap Portfolio............... 2,177,557 556,186 (214,626) 341,560
128
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ----------- ------------ -------------- -------------- Emerging Markets Value Portfolio....... $15,644,124 $2,645,192 $(2,306,699) $338,493 Emerging Markets Core Equity Portfolio. 7,522,371 1,390,331 (640,402) 749,929
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Portfolio's tax postions and has concluded that no additional 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 six months. Each of the Portfolios' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in a RIC/RIC master-feeder structure, each with a RIC feeder ("the Portfolios"), having 100% investment in their respective master fund, have each made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S) 301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, each master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owners, the respective portfolios (the RIC feeders), with the respective portfolios deemed the surviving entities. The final tax year end of the Master Funds was October 21, 2008 for The U.S. Micro Cap Series and The U.S. Small Cap Value Series and October 24, 2008 for The U.S. Small Cap Series. For Federal income tax purposes, pursuant to Code (S)337(a), each of the master funds recognizes no gain or loss and, pursuant to Code (S)332(a), each of the Portfolios recognizes no gain or loss on the deemed liquidation. However, pursuant to IRC (S)332 (c), each of the aforementioned Portfolios has recognized the master fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC Code (S)334(b)(1) and (S)1223, each of the Portfolios will maintain each respective master fund's holding period and tax basis in the assets deemed transferred to the respective Portfolio. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the master's investment securities were sold to its shareholders and, pursuant to IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008. On November 1, 2008, The Enhanced U.S. Large Company Series, a master fund in a RIC/RIC master-feeder structure and Enhanced U.S. Large Company Portfolio ("the Portfolio"), having 100% investment in its respective master fund, made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change the Series' federal entity classification from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, the master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owner, the Portfolio, with the Portfolio deemed the 129 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. 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. 130 G. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (amounts in thousands):
SIX MONTHS YEAR ENDED ENDED APRIL 30, 2012 OCT. 31, 2011 -------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- ------- ----------- ------- U.S. TARGETED VALUE PORTFOLIO Class R1 Shares Shares Issued...................................... $ 3,340 205 $ 9,612 586 Shares Issued in Lieu of Cash Distributions........ 519 35 362 23 Shares Redeemed.................................... (4,690) (290) (7,533) (462) Shares Reduced by Reverse Stock Split.............. -- -- -- (2) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ (831) (50) $ 2,441 145 =========== ======= =========== ======= Class R2 Shares Shares Issued...................................... $ 2,255 138 $ 9,524 636 Shares Issued in Lieu of Cash Distributions........ 120 8 56 4 Shares Redeemed.................................... (1,863) (118) (5,191) (324) Shares Reduced by Reverse Stock Split.............. -- -- -- (7) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 512 28 $ 4,389 309 =========== ======= =========== ======= Institutional Class Shares Shares Issued...................................... $ 456,911 28,773 $ 905,224 55,728 Shares Issued in Lieu of Cash Distributions........ 27,712 1,868 20,970 1,322 Shares Redeemed.................................... (384,263) (23,964) (731,188) (45,320) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 100,360 6,677 $ 195,006 11,730 =========== ======= =========== ======= EMERGING MARKETS VALUE PORTFOLIO Class R2 Shares Shares Issued...................................... $ 50,021 1,782 $ 95,176 3,360 Shares Issued in Lieu of Cash Distributions........ 1,839 71 2,336 68 Shares Redeemed.................................... (26,990) (976) (50,507) (1,599) Shares Reduced by Conversion of Shares............. -- -- -- (19,608) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 24,870 877 $ 47,005 (17,779) =========== ======= =========== ======= Institutional Class Shares Shares Issued...................................... $ 3,150,726 110,083 $ 6,396,694 187,544 Shares Issued in Lieu of Cash Distributions........ 268,015 10,364 709,030 20,853 Shares Redeemed.................................... (1,336,211) (46,865) (1,754,714) (53,557) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 2,082,530 73,582 $ 5,351,010 154,840 =========== ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of U.S. Targeted Value Portfolio's Class R1 and Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R1 Shares received one share for every 1.469 shares held and each shareholder of Class R2 Shares received one share for every 1.394 shares held. The purpose of the reverse split was to reduce the number of Class R1 Shares and Class R2 Shares, thereby increasing the net asset value of each Class R1 Share and Class R2 Share outstanding in order to more closely align the net asset values with the net asset value 131 of U.S. Targeted Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been retroactively restated to reflect the reverse stock splits for the respective Class R1 Shares and Class R2 Shares. The Board of Directors/Trustees of DFA Investment Dimensions Group Inc. authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, shareholders and investors purchased and redeemed class R2A Shares of the Portfolio. The value of a shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares has a higher net asset value per share. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. The per share data in the financial highlights prior to the year ended October 31, 2011 have been retroactively restated to reflect the conversion. Additionally, the capital share activity in the Statement of Changes in Net Assets and capital share activity earlier in this note shows the reduction of shares as a result of the conversion. H. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Portfolios. 3. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio may enter into forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation of translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At April 30, 2012, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/(loss) is reflected in the accompanying financial statements (amounts in thousands): 132 ENHANCED U.S. LARGE COMPANY PORTFOLIO*
UNREALIZED FOREIGN VALUE AT EXCHANGE SETTLEMENT CURRENCY CONTRACT APRIL 30, GAIN DATE AMOUNT** CURRENCY AMOUNT 2012 (LOSS) ---------- -------- ------------------ -------- --------- ---------- 05/23/12 (13,214) Canadian Dollars $(13,318) $(13,370) $(52) 05/23/12 (4,907) Canadian Dollars (4,988) (4,965) 23 05/23/12 (2,606) UK Pound Sterling (4,174) (4,228) (54) 05/08/12 (3,210) Euro (4,249) (4,249) -- 05/08/12 (2,770) Euro (3,654) (3,667) (13) 05/08/12 (2,134) Euro (2,804) (2,825) (21) 05/08/12 (1,607) Euro (2,112) (2,127) (15) 05/08/12 (20,599) Euro (27,437) (27,269) 168 -------- -------- ---- $(62,736) $(62,700) $ 36 ======== ======== ====
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*
UNREALIZED FOREIGN VALUE AT EXCHANGE SETTLEMENT CURRENCY CONTRACT APRIL 30, GAIN DATE AMOUNT** CURRENCY AMOUNT 2012 (LOSS) ---------- -------- ------------------ -------- --------- ---------- 05/14/12 (1,430) Euro $(1,873) $(1,893) $(20) 05/14/12 (444) Swiss Francs (484) (489) (5) 05/14/12 (131,746) Japanese Yen (1,632) (1,651) (19) 05/14/12 (5,467) Hong Kong Dollars (705) (705) -- ------- ------- ---- $(4,694) $(4,738) $(44) ======= ======= ====
* During the six months ended April 30, 2012, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average cost basis contract amount of forward currency contracts was $(33,707) and $(3,934) (in thousands), respectively. ** Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sales contract. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 4. Futures Contracts: Certain Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Additionally, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio uses stock index futures to hedge against changes in equity securities' prices and to gain exposure to the S&P 500 Index(R) and S&P 500 Index(R) Emini, respectively, in the normal course of pursuing its investment objectives. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. 133 The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2012, the following Portfolios had outstanding futures contracts (dollar amounts in thousands):
APPROXIMATE EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL ---------------------- ---------- ---------- -------- ----------- ----------- Enhanced U.S. Large Company Portfolio... S&P 500 Index(R) 06/15/2012 524 $182,562 $7,822 -- Selectively Hedged Global Equity Portfolio............................. S&P 500 Index(R)Emini 06/15/2012 12 836 13 $42
Securities have been segregated as collateral for open futures contracts. * During the six months ended April 30, 2012, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount of outstanding futures contracts were $167,440 and $556 (in thousands), respectively. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2012:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES ------------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- --------------------------- --------------------------- Foreign exchange contracts Unrealized Gain on Unrealized Loss on Forward Forward Currency Contracts Currency Contracts Equity contracts Payables: Futures Margin Variation
The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2012 (amounts in thousands):
ASSET DERIVATIVES VALUE --------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY APRIL 30, 2012 CONTRACTS CONTRACTS -------------- --------- --------- Enhanced U.S. Large Company Portfolio........... $8,013 $191 $7,822* Selectively Hedged Global Equity Portfolio...... 13 -- 13*
LIABILITY DERIVATIVES VALUE -------------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY APRIL 30, 2012 CONTRACTS CONTRACTS -------------- --------- --------- Enhanced U.S. Large Company Portfolio........... $(155) $(155) -- Selectively Hedged Global Equity Portfolio...... (44) (44)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the six months ended April 30, 2012 (amounts in thousands):
LOCATION OF GAIN (LOSS) ON DERIVATIVE TYPE DERIVATIVES RECOGNIZED IN INCOME --------------- ------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts
134
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME --------------- ------------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2012 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio....................... $21,346 $(629) $21,975 U.S. Targeted Value Portfolio*.............................. 3,336 -- 3,336 U.S. Small Cap Value Portfolio*............................. 628 -- 628 U.S. Vector Equity Portfolio*............................... (850) -- (850) DFA Real Estate Securities Portfolio*....................... (46) -- (46) Selectively Hedged Global Equity Portfolio.................. 147 104 43 Emerging Markets Core Equity Portfolio*..................... 2,698 -- 2,698 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio....................... $(1,253) $ 337 $(1,590) U.S. Small Cap Value Portfolio.............................. (536) -- (536) Selectively Hedged Global Equity Portfolio.................. (31) (44) 13
* As of April 30, 2012, there were no futures contracts outstanding. During the six months ended April 30, 2012, the Portfolios had limited activity in futures contracts. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on July 6, 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 Portfolios under this line of credit during the six months ended April 30, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates 135 agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. For the six months ended April 30, 2012, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Targeted Value Portfolio..................... 0.84% $ 6,601 34 $ 5 $24,575 U.S. Small Cap Value Portfolio.................... 0.87% 8,333 32 6 30,792 U.S. Core Equity 2 Portfolio...................... 0.84% 5,086 2 -- 6,239 U.S. Vector Equity Portfolio...................... 0.83% 2,463 11 1 4,214 U.S. Small Cap Portfolio.......................... 0.85% 2,728 5 -- 9,058 U.S. Micro Cap Portfolio.......................... 0.84% 4,388 23 2 9,570 DFA Real Estate Securities Portfolio.............. 0.82% 722 7 -- 2,460 Large Cap International Portfolio................. 0.85% 1,867 19 1 4,265 International Core Equity Portfolio............... 0.82% 15,473 22 8 33,740 International Small Company Portfolio............. 0.87% 4,225 6 1 11,057 DFA International Real Estate Securities Portfolio.............................. 0.83% 4,454 22 2 16,074 DFA Global Real Estate Securities Portfolio.............................. 0.82% 7,895 1 -- 7,895 DFA International Small Cap Value Portfolio....... 0.82% 9,091 20 4 44,344 International Vector Equity Portfolio............. 0.83% 992 35 1 4,219 World ex U.S. Value Portfolio..................... 0.86% 232 12 -- 1,777 Emerging Markets Core Equity Portfolio............ 0.84% 3,380 2 -- 3,993
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2012 that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of April 30, 2012. J. SECURITIES LENDING: As of April 30, 2012, some of the Portfolios had securities on loan to brokers/dealers, for which each Portfolio received cash collateral. In addition, Emerging Markets Core Equity Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $194,019 (in thousands). Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the 136 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, 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 May 2011, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("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 137 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 April 30, 2012, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares...................... 2 67% U.S. Large Cap Value Portfolio -- Institutional Class Shares.................................... 3 75% U.S. Targeted Value Portfolio -- Class R1 Shares.. 1 94% U.S. Targeted Value Portfolio -- Class R2 Shares.. 3 77% U.S. Targeted Value Portfolio -- Institutional Class Shares.................................... 2 54% U.S. Small Cap Value Portfolio -- Institutional Class Shares.................................... 2 50% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.................................... 3 65% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.................................... 3 64% U.S. Vector Equity Portfolio -- Institutional Class Shares.................................... 4 91% U.S. Small Cap Portfolio -- Institutional Class Shares.......................................... 3 52% U.S. Micro Cap Portfolio -- Institutional Class Shares.......................................... 2 54% DFA Real Estate Securities Portfolio -- Institutional Class Shares...................... 3 74% Large Cap International Portfolio -- Institutional Class Shares...................... 2 65% International Core Equity Portfolio -- Institutional Class Shares...................... 3 68% International Small Company Portfolio -- Institutional Class Shares...................... 2 48% Japanese Small Company Portfolio -- Institutional Class Shares.................................... 2 70% Asia Pacific Small Company Portfolio -- Institutional Class Shares...................... 2 76% United Kingdom Small Company Portfolio -- Institutional Class Shares...................... 2 86% Continental Small Company Portfolio -- Institutional Class Shares...................... 4 89% DFA International Real Estate Securities Portfolio -- Institutional Class Shares......... 3 82% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares...................... 3 91% DFA International Small Cap Value Portfolio -- Institutional Class Shares...................... 2 50% International Vector Equity Portfolio -- Institutional Class Shares...................... 3 87% World ex U.S. Value Portfolio -- Institutional Class Shares.................................... 3 76% Selectively Hedged Global Equity Portfolio........ 1 90% Emerging Markets Portfolio -- Institutional Class Shares.......................................... 2 57% Emerging Markets Small Cap Portfolio -- Institutional Class Shares...................... 2 35% Emerging Markets Value Portfolio -- Class R2 Shares.......................................... 3 82% Emerging Markets Value Portfolio -- Institutional Class Shares.................................... 1 17% Emerging Markets Core Equity Portfolio -- Institutional Class Shares...................... 2 53%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial 138 position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as The U.S. Large Cap Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. P. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 139 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO 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 APRIL 30, 2012 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $ 949.03 0.34% $1.65 Hypothetical 5% Annual Return. $1,000.00 $1,023.17 0.34% $1.71
-------- * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by the number of days in the year (366) to reflect the six-month period. 140 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on March 27, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Corporate.......... 48.0% Government......... 13.9% Foreign Corporate.. 16.7% Foreign Government. 17.6% Supranational...... 3.8% ----- 100.0%
141 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
FACE AMOUNT^ VALUE+ ------- ----------- (000) BONDS -- (85.9%) AUSTRALIA -- (1.0%) BHP Billiton Finance USA, Ltd. (u) 5.500%, 04/01/14........................................ 960 $ 1,047,280 Westpac Banking Corp., Ltd. (u) 2.250%, 11/19/12........................................ 2,000 2,018,762 ----------- TOTAL AUSTRALIA............................................. 3,066,042 ----------- AUSTRIA -- (3.2%) Oesterreichische Kontrollbank AG 3.625%, 12/10/13......................................... 2,000 2,765,626 (u) 1.375%, 01/21/14........................................ 2,000 2,016,304 Republic of Austria 3.400%, 10/20/14......................................... 4,000 5,635,613 ----------- TOTAL AUSTRIA............................................... 10,417,543 ----------- CANADA -- (7.8%) Bank of Nova Scotia (u) 1.850%, 01/12/15........................................ 4,000 4,076,332 (u) 3.400%, 01/22/15........................................ 3,000 3,179,511 Barrick Gold Finance Co. (u) 4.875%, 11/15/14........................................ 2,200 2,397,555 Canadian National Railway Co. (u) 4.400%, 03/15/13........................................ 900 929,932 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13........................................ 625 645,932 Encana Corp. (u) 4.750%, 10/15/13........................................ 1,415 1,485,684 Ontario, Province of Canada (u) 4.375%, 02/15/13........................................ 600 618,469 (u) 1.375%, 01/27/14........................................ 1,300 1,317,073 (u) 4.100%, 06/16/14........................................ 1,500 1,609,218 Petro-Canada (u) 4.000%, 07/15/13........................................ 200 206,985 Royal Bank of Canada (u) 2.250%, 03/15/13........................................ 1,400 1,417,013 (u) 1.125%, 01/15/14........................................ 1,000 1,007,303 Saskatchewan, Province of Canada (u) 7.375%, 07/15/13........................................ 1,800 1,938,377 Total Capital Canada, Ltd. (u) 1.625%, 01/28/14........................................ 3,000 3,053,439 TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13........................................ 1,525 1,582,402 ----------- TOTAL CANADA................................................ 25,465,225 -----------
FACE AMOUNT^ VALUE+ ------- ----------- (000) FRANCE -- (5.6%) Agence Francaise de Developpement (u) 1.250%, 06/09/14........................................ 5,500 $ 5,493,422 BNP Paribas SA (u) 2.125%, 12/21/12........................................ 1,500 1,502,360 France Telecom SA (u) 4.375%, 07/08/14........................................ 2,400 2,554,802 French Treasury Note BTAN 2.500%, 01/15/15......................................... 4,000 5,525,481 Societe Financement de I'Economie Francaise 3.125%, 06/30/14......................................... 2,000 2,764,570 Veolia Environnement SA (u) 5.250%, 06/03/13........................................ 425 441,439 ----------- TOTAL FRANCE................................................ 18,282,074 ----------- GERMANY -- (2.7%) Deutsche Bank AG (u) 4.875%, 05/20/13........................................ 1,475 1,531,833 (u) 3.875%, 08/18/14........................................ 250 261,751 Kreditanstalt fur Wiederaufbau (u) 1.375%, 07/15/13........................................ 1,700 1,718,618 (u) 4.125%, 10/15/14........................................ 4,000 4,335,516 Landwirtschaftliche Rentenbank AG (u) 1.875%, 09/24/12........................................ 1,000 1,005,680 ----------- TOTAL GERMANY............................................... 8,853,398 ----------- JAPAN -- (0.9%) Japan Finance Corp. (u) 2.125%, 11/05/12........................................ 3,000 3,020,217 ----------- NETHERLANDS -- (3.2%) Bank Nederlandse Gemeenten NV (u) 5.000%, 05/16/14........................................ 2,000 2,152,094 2.875%, 01/15/15............................................ 3,000 4,169,963 Deutsche Telekom International Finance BV (u) 5.250%, 07/22/13........................................ 525 551,231 (u) 4.875%, 07/08/14........................................ 1,900 2,030,158 Diageo Finance BV (u) 5.500%, 04/01/13........................................ 300 313,578
142 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ----------- (000) NETHERLANDS -- (Continued) Nederlandse Waterschapsbank NV (u) 5.375%, 09/04/12........................................ 1,000 $ 1,015,612 ----------- TOTAL NETHERLANDS........................................... 10,232,636 ----------- NORWAY -- (2.0%) Eksportfinans ASA (u) 1.875%, 04/02/13........................................ 2,800 2,744,048 Statoil ASA (u) 2.900%, 10/15/14........................................ 3,630 3,827,098 ----------- TOTAL NORWAY................................................ 6,571,146 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.8%) Asian Development Bank (u) 1.625%, 07/15/13........................................ 1,200 1,218,818 (u) 4.250%, 10/20/14........................................ 3,000 3,268,791 European Investment Bank (u) 1.125%, 08/15/14........................................ 1,000 1,009,628 (e) 4.250%, 10/15/14........................................ 4,000 5,743,732 Inter-American Development Bank (u) 1.000%, 01/07/15........................................ 1,000 1,000,227 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 12,241,196 ----------- SWEDEN -- (4.0%) Svensk Exportkredit AB (e) 3.625%, 05/27/14........................................ 1,212 1,677,365 (u) 3.250%, 09/16/14........................................ 4,200 4,417,157 Svenska Handelsbanken AB (e) 4.875%, 03/25/14........................................ 5,000 7,062,717 ----------- TOTAL SWEDEN................................................ 13,157,239 ----------- SWITZERLAND -- (1.0%) Credit Suisse AG (u) 5.000%, 05/15/13........................................ 1,275 1,323,349 (u) 5.500%, 05/01/14........................................ 250 268,695 UBS AG (u) 2.250%, 08/12/13........................................ 1,485 1,494,079 ----------- TOTAL SWITZERLAND........................................... 3,086,123 ----------- UNITED KINGDOM -- (2.9%) Barclays Bank P.L.C. (u) 5.450%, 09/12/12........................................ 1,000 1,016,117
FACE AMOUNT^ VALUE+ ------- ---------- (000) UNITED KINGDOM -- (Continued) BP Capital Markets P.L.C. (u) 5.250%, 11/07/13........................................ 2,200 $2,341,125 Diageo Capital P.L.C. (u) 5.200%, 01/30/13........................................ 1,175 1,215,756 Network Rail Infrastructure Finance P.L.C. (u) 1.500%, 01/13/14........................................ 3,000 3,044,976 Vodafone Group P.L.C. (u) 4.150%, 06/10/14........................................ 1,825 1,946,599 ---------- TOTAL UNITED KINGDOM........................................ 9,564,573 ---------- UNITED STATES -- (47.8%) ACE INA Holdings, Inc. 5.875%, 06/15/14......................................... $1,250 1,374,190 Agilent Technologies, Inc. 2.500%, 07/15/13......................................... 1,000 1,015,890 Air Products & Chemicals, Inc. 4.150%, 02/01/13......................................... 500 513,484 Allstate Corp. (The) 5.000%, 08/15/14......................................... 630 683,274 American Express Credit Corp. 5.875%, 05/02/13......................................... 650 682,037 5.125%, 08/25/14......................................... 1,900 2,062,083 Analog Devices, Inc. 5.000%, 07/01/14......................................... 1,500 1,632,599 Anheuser-Busch InBev Worldwide, Inc. 2.500%, 03/26/13......................................... 350 355,744 5.375%, 11/15/14......................................... 1,500 1,666,068 Archer-Daniels-Midland Co. 7.125%, 03/01/13......................................... 325 342,811 Arrow Electronics, Inc. 6.875%, 07/01/13......................................... 350 372,270 Assurant, Inc. 5.625%, 02/15/14......................................... 2,000 2,098,880 AT&T, Inc. 4.950%, 01/15/13......................................... 900 927,718 6.700%, 11/15/13......................................... 1,055 1,149,633 Autozone, Inc. 4.375%, 06/01/13......................................... 100 103,595 Avery Dennison Corp. 4.875%, 01/15/13......................................... 200 205,797 Baltimore Gas & Electric Co. 6.125%, 07/01/13......................................... 500 530,330
143 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) Bank of New York Mellon Corp. (The) 4.500%, 04/01/13.......................................... $1,000 $1,036,829 5.125%, 08/27/13.......................................... 2,150 2,272,928 Baxter International, Inc. 1.800%, 03/15/13.......................................... 1,490 1,508,521 BB&T Corp. 3.850%, 07/27/12.......................................... 1,100 1,108,844 3.375%, 09/25/13.......................................... 550 569,270 Berkshire Hathaway Finance Corp. 4.850%, 01/15/15.......................................... 5,000 5,535,790 BlackRock, Inc. 2.250%, 12/10/12.......................................... 1,400 1,415,222 3.500%, 12/10/14.......................................... 600 641,450 Boeing Capital Corp. 5.800%, 01/15/13.......................................... 950 985,769 Boeing Co. (The) 1.875%, 11/20/12.......................................... 350 352,931 Bristol-Myers Squibb Co. 5.250%, 08/15/13.......................................... 1,175 1,246,894 Burlington Northern Santa Fe LLC 4.300%, 07/01/13.......................................... 1,200 1,244,423 4.875%, 01/15/15.......................................... 200 219,309 Campbell Soup Co. 5.000%, 12/03/12.......................................... 350 359,450 4.875%, 10/01/13.......................................... 270 286,146 Capital One Financial Corp. 6.250%, 11/15/13.......................................... 150 160,044 7.375%, 05/23/14.......................................... 350 387,830 Caterpillar Financial Services Corp. 2.000%, 04/05/13.......................................... 400 405,828 6.200%, 09/30/13.......................................... 1,250 1,347,422 CenterPoint Energy Resources Corp. 7.875%, 04/01/13.......................................... 425 451,501 Charles Schwab Corp. (The) 4.950%, 06/01/14.......................................... 2,200 2,380,990 Chubb Corp. (The) 5.200%, 04/01/13.......................................... 525 547,055 Cisco Systems, Inc. 1.625%, 03/14/14.......................................... 1,650 1,685,879 Citigroup, Inc. 6.500%, 08/19/13.......................................... 625 658,987 6.375%, 08/12/14.......................................... 1,250 1,347,994 CNA Financial Corp. 5.850%, 12/15/14.......................................... 477 514,046
FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) Coca-Cola Co. (The) 0.750%, 11/15/13.......................................... $1,075 $1,078,081 0.750%, 03/13/15.......................................... 1,000 1,002,036 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13.......................................... 400 401,894 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13.......................................... 675 720,031 Computer Sciences Corp. 5.000%, 02/15/13.......................................... 850 875,500 ConocoPhillips 4.750%, 10/15/12.......................................... 1,250 1,274,236 Consolidated Edison Co. of New York, Inc. 4.875%, 02/01/13.......................................... 350 361,276 4.700%, 02/01/14.......................................... 400 427,241 COX Communications, Inc. 7.125%, 10/01/12.......................................... 620 636,660 CSX Corp. 5.500%, 08/01/13.......................................... 425 449,505 Daimler Finance North America LLC 6.500%, 11/15/13.......................................... 1,600 1,733,770 Dell, Inc. 4.700%, 04/15/13.......................................... 1,140 1,184,629 2.100%, 04/01/14.......................................... 500 512,668 DIRECTV Holdings LLC 4.750%, 10/01/14.......................................... 1,500 1,624,968 Dominion Resources, Inc. 5.000%, 03/15/13.......................................... 425 440,639 Dow Chemical Co. (The) 6.000%, 10/01/12.......................................... 325 331,766 Dr. Pepper Snapple Group, Inc. 2.350%, 12/21/12.......................................... 375 378,986 Duke Energy Ohio, Inc. 5.700%, 09/15/12.......................................... 425 433,072 E.I. Du Pont de Nemours & Co. 4.750%, 11/15/12.......................................... 350 358,118 eBay, Inc. 0.875%, 10/15/13.......................................... 1,435 1,445,636 Emerson Electric Co. 5.625%, 11/15/13.......................................... 1,200 1,291,666 Enbridge Energy Partners LP 5.350%, 12/15/14.......................................... 1,475 1,602,611 Energy Transfer Partners LP 6.000%, 07/01/13.......................................... 425 444,442 5.950%, 02/01/15.......................................... 1,400 1,535,174
144 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) Enterprise Products Operating LLC 5.600%, 10/15/14.......................................... $ 666 $ 735,479 EOG Resources, Inc. 6.125%, 10/01/13.......................................... 1,410 1,513,846 Exelon Generation Co. LLC 5.350%, 01/15/14.......................................... 1,100 1,173,448 Express Scripts, Inc. 5.250%, 06/15/12.......................................... 325 326,652 Fifth Third Bancorp 6.250%, 05/01/13.......................................... 875 920,299 General Electric Capital Corp. 2.100%, 01/07/14.......................................... 600 610,829 2.150%, 01/09/15.......................................... 6,500 6,612,716 Goldman Sachs Group, Inc.(The) 5.250%, 10/15/13.......................................... 1,500 1,563,563 Hess Corp. 7.000%, 02/15/14.......................................... 175 192,976 Hewlett-Packard Co. 1.250%, 09/13/13.......................................... 1,500 1,502,784 2.625%, 12/09/14.......................................... 1,300 1,339,434 HSBC Finance Corp. 4.750%, 07/15/13.......................................... 1,575 1,627,735 International Business Machines Corp. 2.100%, 05/06/13.......................................... 1,270 1,291,215 John Deere Capital Corp. 1.875%, 06/17/13.......................................... 1,250 1,268,614 JPMorgan Chase & Co. 3.700%, 01/20/15.......................................... 2,500 2,633,515 KeyCorp 6.500%, 05/14/13.......................................... 1,000 1,055,701 Kimberly-Clark Corp. 5.000%, 08/15/13.......................................... 1,000 1,057,725 Kinder Morgan Energy Partners LP 5.850%, 09/15/12.......................................... 1,000 1,016,673 Kraft Foods, Inc. 6.250%, 06/01/12.......................................... 519 521,331 Kroger Co. (The) 5.500%, 02/01/13.......................................... 640 662,948 McKesson Corp. 6.500%, 02/15/14.......................................... 695 762,227 MetLife, Inc. 2.375%, 02/06/14.......................................... 420 429,800 5.500%, 06/15/14.......................................... 1,250 1,357,540 Microsoft Corp. 0.875%, 09/27/13.......................................... 1,300 1,310,215
FACE AMOUNT VALUE+ ------ ---------- (000) UNITED STATES -- (Continued) 2.950%, 06/01/14 $2,300 $2,412,314 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15.......................................... 500 520,683 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13.......................................... 750 763,473 Northern Trust Corp. 5.500%, 08/15/13.......................................... 1,068 1,132,061 Nucor Corp. 4.875%, 10/01/12.......................................... 440 446,914 Occidental Petroleum Corp. 1.450%, 12/13/13.......................................... 1,000 1,015,029 Paccar Financial Corp. 2.050%, 06/17/13.......................................... 100 101,719 Packaging Corp. of America 5.750%, 08/01/13.......................................... 525 550,310 PepsiCo, Inc. 0.875%, 10/25/13.......................................... 1,485 1,490,737 Philip Morris International, Inc. 4.875%, 05/16/13.......................................... 1,265 1,323,324 6.875%, 03/17/14.......................................... 100 111,760 Pitney Bowes, Inc. 4.875%, 08/15/14.......................................... 2,000 2,124,794 PNC Funding Corp. 5.400%, 06/10/14.......................................... 2,075 2,263,030 Praxair, Inc. 2.125%, 06/14/13.......................................... 1,000 1,015,422 Principal Financial Group, Inc. 7.875%, 05/15/14.......................................... 958 1,069,343 Procter & Gamble Co. (The) (e) 4.500%, 05/12/14...................................... 4,000 5,683,806 Prudential Financial, Inc. 5.800%, 06/15/12.......................................... 350 352,019 6.200%, 01/15/15.......................................... 2,063 2,282,208 Qwest Corp. 7.500%, 10/01/14.......................................... 2,500 2,812,500 Reynolds American, Inc. 7.250%, 06/01/13.......................................... 900 955,487 Ryder System, Inc. 5.000%, 06/15/12.......................................... 525 527,413 Safeway, Inc. 5.625%, 08/15/14.......................................... 500 539,518 Sempra Energy 2.000%, 03/15/14.......................................... 416 423,191 Spectra Energy Capital LLC 5.668%, 08/15/14.......................................... 955 1,041,920 St. Jude Medical, Inc. 2.200%, 09/15/13.......................................... 325 331,788
145 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT VALUE+ ------ ------------ (000) UNITED STATES -- (Continued) 3.750%, 07/15/14......................................... $ 100 $ 106,099 State Street Corp. 4.300%, 05/30/14......................................... 1,400 1,497,268 SunTrust Banks, Inc. 5.250%, 11/05/12......................................... 425 434,059 Target Corp. 4.000%, 06/15/13......................................... 1,000 1,037,298 TD Ameritrade Holding Corp. 4.150%, 12/01/14......................................... 2,550 2,723,428 Texas Instruments, Inc. 0.875%, 05/15/13......................................... 500 502,562 Time Warner Cable, Inc. 6.200%, 07/01/13......................................... 425 451,251 Toyota Motor Credit Corp. 1.000%, 02/17/15......................................... 3,000 3,005,100 Travelers Property Casualty Corp. 5.000%, 03/15/13......................................... 1,400 1,449,030 Union Bank NA 2.125%, 12/16/13......................................... 1,400 1,423,825 UnitedHealth Group, Inc. 5.000%, 08/15/14......................................... 1,170 1,278,240 Valero Energy Corp. 4.750%, 04/01/14......................................... 1,125 1,191,160 Verizon Communications, Inc. 4.350%, 02/15/13......................................... 750 772,349 Viacom, Inc. 4.375%, 09/15/14......................................... 780 840,229 Wal-Mart Stores, Inc. 1.625%, 04/15/14......................................... 4,300 4,396,965 Walt Disney Co. (The) 0.875%, 12/01/14......................................... 1,500 1,506,386 Waste Management, Inc. 6.375%, 11/15/12......................................... 325 334,521 WellPoint, Inc. 5.000%, 12/15/14......................................... 2,500 2,739,755 Wells Fargo & Co. 3.750%, 10/01/14......................................... 2,300 2,439,408 ------------ TOTAL UNITED STATES......................................... 155,839,321 ------------ TOTAL BONDS................................................. 279,796,733 ------------ AGENCY OBLIGATIONS -- (6.5%) Federal Home Loan Bank 0.875%, 12/27/13......................................... 1,500 1,513,836 Federal Home Loan Mortgage Corporation 1.375%, 02/25/14......................................... 2,000 2,038,210
FACE AMOUNT VALUE+ ------- ------------ (000) 1.000%, 08/27/14........................................ $ 2,000 $ 2,030,276 2.875%, 02/09/15........................................ 11,000 11,721,017 Federal National Mortgage Association 2.750%, 03/13/14........................................ 3,700 3,866,008 ------------ TOTAL AGENCY OBLIGATIONS................................... 21,169,347 ------------ U.S. TREASURY OBLIGATIONS -- (7.6%) U.S. Treasury Note <>^^ 0.625%, 12/31/12...................................... 24,800 24,872,664 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $323,817,388)...................................... $325,838,744 ============
146 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------- ------------ ------- ------------ Bonds.............................. -- $279,796,733 -- $279,796,733 Agency Obligations................. -- 21,169,347 -- 21,169,347 U.S. Treasury Obligations.......... -- 24,872,664 -- 24,872,664 Swap Agreements**.................. -- 3,990,619 -- 3,990,619 Futures Contracts**................ $26,501 -- -- 26,501 Forwards**......................... -- (556,472) -- (556,472) ------- ------------ ------ ------------ TOTAL.............................. $26,501 $329,272,891 -- $329,299,392 ======= ============ ====== ============
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Schedules of Investments. 147 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments at Value............................................. $ 325,839 Temporary Cash Investments at Value & Cost....................... 79 Segregated Cash for Futures Contracts............................ 2,618 Foreign Currencies at Value...................................... 322 Cash............................................................. 8,067 Receivables:..................................................... Interest...................................................... 3,268 Fund Shares Sold.............................................. 256 Futures Margin Variation...................................... 16 Unrealized Gain on Swap Contracts................................ 3,991 Prepaid Expenses and Other Assets................................ 31 ------------ Total Assets.............................................. 344,487 ------------ LIABILITIES: Payables:........................................................ Investment Securities Purchased............................... 1,592 Fund Shares Redeemed.......................................... 1,010 Due to Advisor................................................ 83 Unrealized Loss on Forward Currency Contracts.................... 556 Accrued Expenses and Other Liabilities........................... 10 ------------ Total Liabilities......................................... 3,251 ------------ NET ASSETS....................................................... $ 341,236 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 36,910,496 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 9.24 ============ Investments at Cost.............................................. $ 323,817 ------------ Foreign Currencies at Cost....................................... $ 320 ------------ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 356,775 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 700 Accumulated Net Realized Gain (Loss)............................. (21,729) Net Unrealized Foreign Exchange Gain (Loss)...................... (551) Net Unrealized Appreciation (Depreciation)....................... 6,041 ------------ NET ASSETS....................................................... $ 341,236 ============ (1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000 ============
See accompanying Notes to Financial Statements. 148 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Interest.................................................. $ 1,604 -------- Total Investment Income............................ 1,604 -------- EXPENSES Investment Advisory Services Fees......................... 493 Accounting & Transfer Agent Fees.......................... 30 Custodian Fees............................................ 5 Filing Fees............................................... 13 Shareholders' Reports..................................... 3 Directors'/Trustees' Fees & Expenses...................... 1 Professional Fees......................................... 5 Organizational & Offering Costs........................... 1 Other..................................................... 1 -------- Total Expenses..................................... 552 -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D)............... (68) Fees Paid Indirectly...................................... (4) -------- Net Expenses.............................................. 480 -------- NET INVESTMENT INCOME (LOSS).............................. 1,124 -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold............................ 238 Futures............................................... (984) Foreign Currency Transactions......................... (25) Swap Contracts........................................ (20,951) Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................. 1,165 Futures............................................... (11) Swap Contracts........................................ 6,060 Translation of Foreign Currency Denominated Amounts............................................. (551) -------- NET REALIZED AND UNREALIZED GAIN (LOSS)................... (15,059) -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $(13,935) ========
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 149 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS ENDED PERIOD APRIL 30, NOVEMBER 9, 2010(a) 2012 TO OCTOBER 31, 2011 ----------- ------------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................ $ 1,124 $ 1,106 Net Realized Gain (Loss) on: Investment Securities Sold.............. 238 227 Futures................................. (984) (1,328) Foreign Currency Transactions........... (25) -- Swap Contracts.......................... (20,951) (10,020) Change in Unrealized Appreciation (Depreciation) of: Investment Securities................... 1,165 859 Futures................................. (11) 37 Swap Contracts.......................... 6,060 (2,069) Translation of Foreign Currency Denominated Amounts................... (551) -- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... (13,935) (11,188) -------- -------- Distributions From: Net Investment Income: Institutional Shares.................... (655) (574) Net Short-Term Gains: Institutional Shares.................... (151) -- -------- -------- Total Distributions.................. (806) (574) -------- -------- Capital Share Transactions (1): Shares Issued............................... 164,067 278,288 Shares Issued in Lieu of Cash Distributions............................. 782 559 Shares Redeemed............................. (39,653) (36,304) -------- -------- Net Increase (Decrease) from Capital Share Transactions......... 125,196 242,543 -------- -------- Total Increase (Decrease) in Net Assets......................... 110,455 230,781 NET ASSETS Beginning of Period......................... 230,781 -- -------- -------- End of Period............................... $341,236 $230,781 ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................... 17,466 27,085 Shares Issued in Lieu of Cash Distributions............................. 85 52 Shares Redeemed............................. (4,253) (3,525) -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed......... 13,298 23,612 ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................... $ 700 $ 231
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 150 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
SIX MONTHS PERIOD ENDED NOVEMBER 9, 2010(a) APRIL 30, TO 2012 OCT. 31, 2011 ----------- ------------------- (UNAUDITED) Net Asset Value, Beginning of Period........... $ 9.77 $ 10.00 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)............. 0.04 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)........................... (0.53) (0.27) -------- -------- Total from Investment Operations........ (0.49) (0.20) -------- -------- Less Distributions ------------------ Net Investment Income....................... (0.03) (0.03) Net Realized Gains.......................... (0.01) -- -------- -------- Total Distributions..................... (0.04) (0.03) -------- -------- Net Asset Value, End of Period................. $ 9.24 $ 9.77 ======== ======== Total Return................................... (5.10)%(C) (2.02)%(C) -------- -------- Net Assets, End of Period (thousands).......... $341,236 $230,781 Ratio of Expenses to Average Net Assets(D)..... 0.34%(B) 0.47%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)(D) 0.39%(B) 0.53%(B)(E) Ratio of Net Investment Income to Average Net Assets(D).................................... 0.80%(B) 0.64%(B)(E) Portfolio Turnover Rate........................ 27%(C) 50%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 151 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund offers sixty-six 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 fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolio utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments Debt Securities held by the Portfolio are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are classified as Level 2 in the hierarchy. Futures contracts held by the Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Swap contracts generally are valued at a price at which the counterparties to such contracts would repurchase the instrument or terminate the contracts. These valuations are categorized as Level 2 in the hierarchy. A summary of inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. A valuation hierarchy table has been included at the 152 end of the Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolio did not have any significant transfers between Level 1 and Level 2 during the period ended April 30, 2012. 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 April 30, 2012, 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 Portfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. 153 As of April 30, 2012, the Portfolio held $54,715,177 in the Subsidiary, representing 15.88% of the Portfolio's total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses of the Portfolio and its wholly-owned Subsidiary. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. INVESTMENT ADVISOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Portfolio. For the six months ended April 30, 2012, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Portfolio's average daily net assets. Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of the Portfolio to the extent necessary to limit the ordinary operating expenses of the Portfolio (not including expenses incurred through an investment in unaffiliated investment companies) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed 0.55% of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2013, and may not be terminated by the Advisor prior to that date. At April 30, 2012, there were no previously waived fees subjected to future recovery by the Advisor. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. For the six months ended April 30, 2012, approximately $68 (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 six months ended April 30, 2012, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- DFA Commodity Strategy Portfolio. $ 4
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2012, the total related amounts paid by the Fund to the CCO were $116 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. 154 E. DEFERRED COMPENSATION: At April 30, 2012, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): DFA Commodity Strategy Portfolio............. $ 1 F. PURCHASES AND SALES OF SECURITIES: For the six months ended April 30, 2012, the Portfolio made the following purchases and sales of investments securities, other than short-term securities (amounts in thousands): U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES ------------------- -------------------- PURCHASES SALES PURCHASES SALES --------- --------- ---------- --------- $ 39,657 $ 14,229 $ 147,536 $ 58,756 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 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
155 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 April 30, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) -------- ------------ -------------- -------------- $345,536 $2,187 $(21,805) $(19,618)
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Portfolio's tax position and has concluded that no additional provision for income tax is required in the 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 six months. H. FINANCIAL INSTRUMENTS: In accordance with the Fund's investment objectives and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. 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. 156 DERIVATIVE FINANCIAL INSTRUMENTS: 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. Forward Currency Contracts: DFA Commodity Strategy Portfolio may enter into forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation of translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At April 30, 2012, DFA Commodity Strategy Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/(loss) is reflected in the accompanying financial statements (amounts in thousands): DFA COMMODITY STRATEGY PORTFOLIO*
UNREALIZED FOREIGN SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE DATE AMOUNT** CURRENCY AMOUNT APRIL 30, 2012 GAIN (LOSS) ---------- -------- -------- -------- -------------- ----------- 05/11/12... (2,144) Euro $ (2,816) $ (2,839) $ (23) 05/11/12... (29,382) Euro (38,361) (38,894) (533) -------- -------- ----- $(41,177) $(41,733) $(556) ======== ======== =====
* During the six months ended April 30, 2012, the Portfolio's average cost basis contract amount of forward currency contracts was $(30,892) (in thousands). ** Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3. Commodity-Linked Derivatives: The DFA Commodity Strategy Portfolio invests in commodity-linked derivative instruments, such as swap agreements, commodity options, futures, options on futures, and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. 4. Swap Agreements: The Portfolio may enter into swap agreements with respect to commodities, interest rates and indexes of commodities or securities, specific securities and commodities, and mortgage, credit and event-linked swaps, and to the extent the Portfolio may invest in foreign currency-denominated securities, may enter into swap agreements with respect to foreign currencies. The Portfolio may enter into swap transactions for any legal purpose consistent with its investment objective and policies, such as for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining a return or spread through purchases and/or sales of instruments in other markets, to seek to increase total return (speculation), to protect against currency fluctuations, as a duration management technique, to protect 157 against any increase in the price of securities the Portfolio anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard "swap" transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. An investment in a commodity swap agreement, for example, may involve the exchange of floating-rate interest payments for the total return on a commodity index. In a total return commodity swap, the Portfolio will receive the price appreciation of a commodity index, a portion of the index, or a single commodity in exchange for paying an agreed-upon fee. The Portfolio may also enter into credit default swap agreements. The "buyer" in a credit default contract is obligated to pay the "seller" a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or "par value," of the reference obligation in exchange for the reference obligation. The Portfolio may be either the buyer or seller in a credit default swap transaction. Credit default swap transactions involve greater risks than if the Portfolio had invested in the reference obligation directly. Most swap agreements entered into by the Portfolio will calculate the obligations of the parties to the agreement on a "net" basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. The Portfolio's current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Portfolio) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the segregation of assets determined to be liquid to avoid any potential leveraging of the Portfolio's portfolio. Because they are two party contracts and because they may have terms of greater than seven days, swap agreements may be considered to be illiquid. The Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty beyond any collateral received. The types of swap agreements in which the Portfolio invests do not involve the delivery of securities, other underlying assets, or principal. Accordingly, the risk of loss is limited to the net amount of interest payments that the Portfolio is contractually obligated to make. FUTURES ACTIVITIES: The Portfolio may enter into commodity, foreign currency, interest rate and commodity or securities index futures contracts and purchase and write (sell) related options traded on exchanges designated by the Commodity Futures Trading Commission ("CFTC") or, consistent with CFTC regulations, on foreign exchanges. 5. Futures Contracts: A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization or production weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract. The Portfolio is required to segregate with its futures commission merchant an amount of cash or securities acceptable to the broker equal to approximately 1% to 10% of the contract amount. This amount is known as "initial margin" and is in the nature of a performance bond or good faith deposit on the contract which is returned to the Portfolio upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker, will be made daily as the currency, financial instrument 158 index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as "marking-to-market." As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses. At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio's existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price and subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio's performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio's investments in the contracts to greater volatility than investments in traditional securities. 6. Options on Futures Contracts: The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer's futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change would be reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. 159 At April 30, 2012, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding commodity-linked futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) ----------- ---------- ---------- -------- ----------- Brent Crude Futures 09/13/12 2 $ 236 -- CBT Wheat Futures 07/17/12 7 229 $ 4 Coffee 'C' Futures 07/31/12 1 67 1 Copper Futures 07/31/12 4 383 3 Corn Futures 07/17/12 9 286 8 Cotton No. 2 Futures 07/23/12 2 89 (2) Gasoline RBOB Futures 07/30/12 1 130 -- Gold 100oz Futures 08/31/12 3 500 1 Heating Oil Futures 07/30/12 1 134 -- Lean Hogs Futures 07/18/12 3 104 (2) Live Cattle Futures 09/12/12 3 140 1 LME Nickel Futures 07/18/12 1 107 (3) LME Prime Aluminum Futures 07/18/12 5 264 1 LME Zinc Futures 07/18/12 3 155 (6) Natural Gas Futures 09/30/12 15 376 20 Silver Futures 07/31/12 1 155 (1) Soybean Futures 07/17/12 5 376 4 Soybean Oil Futures 07/24/12 5 165 (3) Sugar #11 Futures 09/15/12 6 142 (1) WTI Crude Futures 11/30/12 4 423 1 ------ --- $4,461 $26 ====== ===
Dimensional Cayman Commodity Fund I, LTD.'s securities have been segregated as collateral for open futures contracts. * During the six months ended April 30, 2012 the Dimensional Cayman Commodity Fund I, LTD.'s average notional contract amount of outstanding futures contracts was $5,510 (in thousands). At April 30, 2012, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding commodity index total return swaps (dollar amounts in thousands):
UNREALIZED EXPIRATION NOTIONAL APPRECIATION COUNTERPARTY DATE AMOUNT* (DEPRECIATION) ------------ ---------- -------- -------------- Citibank, N.A. 05/29/12 USD $120,553 $1,445 Deutsche Bank AG, London Branch 05/29/12 USD 100,990 1,208 UBS AG 05/29/12 USD 111,695 1,338 -------- ------ $333,238 $3,991 ======== ======
* During the six months ended April 30, 2012 the Portfolio's average notional value of outstanding swap contracts was $274,228 (in thousands). The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2012: 160
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES ----------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- ------------------ --------------------------- Commodity contracts Payables: Futures Margin Variation Foreign exchange contracts Unrealized Loss on Forward Currency Contracts Other contracts Unrealized Gain on Swap Contracts
The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2012 (amounts in thousands):
ASSET DERIVATIVES VALUE ----------------------- TOTAL VALUE AT COMMODITY OTHER APRIL 30, 2012 CONTRACTS CONTRACTS -------------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $4,018 $26* $3,991
LIABILITY DERIVATIVES VALUE --------------------------- TOTAL VALUE FOREIGN AT EXCHANGE OTHER APRIL 30, 2012 CONTRACTS CONTRACTS -------------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(556) $(556) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the six months ended April 30, 2012 (amounts in thousands):
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME --------------- ------------------------------------------------------------------------------------------------- Commodity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Foreign Exchange Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Other contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts
161 The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2012 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------------- FOREIGN COMMODITY EXCHANGE OTHER TOTAL CONTRACTS CONTRACTS CONTRACTS -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(21,949) $(984) $(14) $(20,951)
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------------- FOREIGN COMMODITY EXCHANGE OTHER TOTAL CONTRACTS CONTRACTS CONTRACTS ------ --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $5,494 $(10) $(556) $6,060
I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on July 6, 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 six months ended April 30, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. There were no borrowings by the Portfolio under this line of credit during the six months ended April 30, 2012. J. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. K. RECENTLY ISSUED ACCOUNTING STANDARDS: In May 2011, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. 162 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 April 30, 2012, two shareholders held 76% of the outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. DFA Commodity Strategy Portfolio is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolio and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 163 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 APRIL 30, 2012 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING DFA INTERNATIONAL VALUE PORTFOLIO** 11/01/11 04/30/12 RATIO* PERIOD* ----------------------------------- --------- --------- ---------- -------- Actual Fund Return Class R2 Shares $1,000.00 $1,008.92 0.71% $3.55 Institutional Class Shares......... $1,000.00 $1,009.60 0.45% $2.25 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.33 0.71% $3.57 Institutional Class Shares......... $1,000.00 $1,022.63 0.45% $2.26
164 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING U.S. LARGE COMPANY PORTFOLIO 11/01/11 04/30/12 RATIO* PERIOD* ---------------------------- --------- --------- ---------- -------- Actual Fund Return.................... $1,000.00 $1,126.95 0.10% $0.53 Hypothetical 5% Annual Return......... $1,000.00 $1,024.37 0.10% $0.50
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by the number of days in the year (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 165 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on March 27, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company is represented in the Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Master Fund's holdings which reflects the investments by country. FEEDER FUND
AFFILIATED INVESTMENT COMPANIES ------------------------------- DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO U.S. LARGE COMPANY PORTFOLIO Consumer Discretionary........ 11.2% Consumer Staples.............. 10.9% Energy........................ 11.2% Financials.................... 12.7% Health Care................... 11.4% Industrials................... 10.5% Information Technology........ 20.3% Materials..................... 3.4% Real Estate Investment Trusts. 2.0% Telecommunication Services.... 2.9% Utilities..................... 3.5% ----- 100.0%
166 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company....................................... $5,448,976,781 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,184,677,586)....................................... $5,448,976,781 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 167 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (86.4%) Consumer Discretionary -- (9.7%) #*Amazon.com, Inc........................... 116,103 $ 26,924,286 0.7% Comcast Corp. Class A..................... 859,958 26,082,526 0.6% Home Depot, Inc. (The).................... 491,633 25,461,673 0.6% #McDonald's Corp........................... 324,835 31,655,171 0.8% #Walt Disney Co. (The)..................... 571,616 24,642,366 0.6% Other Securities.......................... 317,209,071 7.7% ------------ --------------- Total Consumer Discretionary................. 451,975,093 11.0% ------------ --------------- Consumer Staples -- (9.4%)................... Altria Group, Inc......................... 652,399 21,013,772 0.5% #Coca-Cola Co. (The)....................... 721,776 55,085,944 1.3% CVS Caremark Corp......................... 415,352 18,533,006 0.5% Kraft Foods, Inc. Class A................. 563,921 22,483,530 0.5% PepsiCo, Inc.............................. 500,905 33,059,730 0.8% #Philip Morris International, Inc.......... 549,136 49,153,163 1.2% Procter & Gamble Co. (The)................ 878,427 55,903,094 1.4% #Wal-Mart Stores, Inc...................... 557,020 32,814,048 0.8% Other Securities.......................... 149,317,181 3.6% ------------ --------------- Total Consumer Staples....................... 437,363,468 10.6% ------------ --------------- Energy -- (9.7%) #Chevron Corp.............................. 630,490 67,185,014 1.6% #ConocoPhillips............................ 408,117 29,233,421 0.7% Exxon Mobil Corp.......................... 1,503,130 129,780,244 3.2% Occidental Petroleum Corp................. 258,660 23,594,965 0.6% Schlumberger, Ltd......................... 425,364 31,536,487 0.8% Other Securities.......................... 170,610,864 4.1% ------------ --------------- Total Energy................................. 451,940,995 11.0% ------------ --------------- Financials -- (11.0%) American Express Co....................... 323,649 19,486,906 0.5% Bank of America Corp...................... 3,422,751 27,758,511 0.7% #*Berkshire Hathaway, Inc................... 560,722 45,110,085 1.1% #Citigroup, Inc............................ 934,002 30,859,426 0.7% #Goldman Sachs Group, Inc. (The)........... 157,833 18,174,470 0.4% JPMorgan Chase & Co....................... 1,217,424 52,324,884 1.3% U.S. Bancorp.............................. 609,429 19,605,331 0.5% Wells Fargo & Co.......................... 1,681,731 56,220,267 1.4% Other Securities.......................... 240,736,419 5.8% ------------ --------------- Total Financials............................. 510,276,299 12.4% ------------ --------------- Health Care -- (9.8%) #Abbott Laboratories....................... 501,452 31,120,111 0.8% Bristol-Myers Squibb Co................... 538,367 17,965,307 0.4% #Johnson & Johnson......................... 875,454 56,983,301 1.4% Merck & Co., Inc.......................... 970,788 38,093,721 0.9% Pfizer, Inc............................... 2,404,169 55,127,595 1.3% UnitedHealth Group, Inc................... 333,257 18,712,381 0.5% Other Securities.......................... 240,956,074 5.8% ------------ --------------- Total Health Care............................ 458,958,490 11.1% ------------ --------------- Industrials -- (9.1%) 3M Co..................................... 221,502 19,793,419 0.5% Boeing Co. (The).......................... 237,823 18,264,806 0.4% #Caterpillar, Inc.......................... 206,509 21,222,930 0.5% #General Electric Co....................... 3,374,552 66,073,728 1.6%
168 U.S. LARGE COMPANY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- Industrials -- (Continued) United Parcel Service, Inc................ 305,752 $ 23,891,461 0.6% United Technologies Corp.................. 290,266 23,697,316 0.6% Other Securities.......................... 250,523,651 6.1% -------------- --------------- Total Industrials............................ 423,467,311 10.3% -------------- --------------- Information Technology -- (17.5%) *Apple, Inc................................ 297,349 173,723,180 4.2% #Cisco Sytems, Inc......................... 1,717,672 34,611,091 0.8% #*EMC Corp.................................. 654,765 18,470,921 0.4% *Google, Inc............................... 80,879 48,950,397 1.2% Intel Corp................................ 1,593,313 45,250,089 1.1% International Business Machines Corp...... 369,518 76,519,787 1.9% Microsoft Corp............................ 2,381,610 76,259,152 1.9% Oracle Corp............................... 1,250,207 36,743,584 0.9% QUALCOMM, Inc............................. 539,423 34,436,764 0.8% #Visa, Inc................................. 158,645 19,510,162 0.5% Other Securities.......................... 253,019,143 6.1% -------------- --------------- Total Information Technology................. 817,494,270 19.8% -------------- --------------- Materials -- (3.0%) Other Securities.......................... 138,977,172 3.4% -------------- --------------- Real Estate Investment Trusts -- (1.7%) Other Securities.......................... 81,084,292 2.0% -------------- --------------- Telecommunication Services -- (2.5%) AT&T, Inc................................. 1,890,785 62,225,734 1.5% #Verizon Communications, Inc............... 904,299 36,515,594 0.9% Other Securities.......................... 18,578,221 0.4% -------------- --------------- Total Telecommunication Services............. 117,319,549 2.8% -------------- --------------- Utilities -- (3.0%) Other Securities.......................... 139,271,116 3.4% -------------- --------------- TOTAL COMMON STOCKS.......................... 4,028,128,055 97.8% -------------- --------------- TEMPORARY CASH INVESTMENTS -- (1.9%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares........ 86,468,661 86,468,661 2.1% -------------- ---------------
169 U.S. LARGE COMPANY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------------ -------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@DFA Short Term Investment Fund........... 540,103,169 $ 540,103,169 13.1% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $4,834,439 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $4,849,426) to be repurchased at $4,693,635............... $ 4,694 4,693,608 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......... 544,796,777 13.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,080,960,089)...................... $4,659,393,493 113.1% ============== =====
Summary of the Porfolio's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 451,975,093 -- -- $ 451,975,093 Consumer Staples.............. 437,363,468 -- -- 437,363,468 Energy........................ 451,940,995 -- -- 451,940,995 Financials.................... 510,276,299 -- -- 510,276,299 Health Care................... 458,958,490 -- -- 458,958,490 Industrials................... 423,467,311 -- -- 423,467,311 Information Technology........ 817,494,270 -- -- 817,494,270 Materials..................... 138,977,172 -- -- 138,977,172 Real Estate Investment Trusts. 81,084,292 -- -- 81,084,292 Telecommunication Services.... 117,319,549 -- -- 117,319,549 Utilities..................... 139,271,116 -- -- 139,271,116 Temporary Cash Investments....... 86,468,661 -- -- 86,468,661 Securities Lending Collateral.... -- $544,796,777 -- 544,796,777 Futures Contracts**.............. 1,751,751 -- -- 1,751,751 -------------- ------------ ------ -------------- TOTAL............................ $4,116,348,467 $544,796,777 -- $4,661,145,244 ============== ============ ====== ==============
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 170 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA INTERNATIONAL U.S. LARGE VALUE COMPANY PORTFOLIO PORTFOLIO -------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value............................................ $ 5,448,977 -- Investments at Value (including $0 and $532,169 of securities on loan, respectively)............. -- $ 4,028,128 Temporary Cash Investments at Value & Cost....................................................... -- 86,468 Collateral Received from Securities on Loan at Value & Cost...................................... -- 4,694 Affiliated Collateral Received from Securities on Loan at Value & Cost........................... -- 540,103 Cash............................................................................................. -- 4,550 Receivables: Dividends and Interest........................................................................ -- 4,054 Securities Lending Income..................................................................... -- 69 Fund Shares Sold.............................................................................. 4,473 862 Prepaid Expenses and Other Assets................................................................ 19 44 -------------- ------------ Total Assets.............................................................................. 5,453,469 4,668,972 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.............................................................. -- 544,797 Affiliated Investment Company Purchased....................................................... 2,585 -- Fund Shares Redeemed.......................................................................... 1,888 2,949 Due to Advisor................................................................................ 902 255 Futures Margin Variation...................................................................... -- 317 Accrued Expenses and Other Liabilities........................................................... 243 476 -------------- ------------ Total Liabilities......................................................................... 5,618 548,794 -------------- ------------ NET ASSETS....................................................................................... $ 5,447,851 $ 4,120,178 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $6,788 and $0 and shares outstanding of 429,693 and 0, respectively................................................................................... $ 15.80 N/A ============== ============ NUMBER OF SHARES AUTHORIZED...................................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $5,441,063 and $4,120,178 and shares outstanding of 344,572,131 and 373,358,464, respectively....................................... $ 15.79 $ 11.04 ============== ============ NUMBER OF SHARES AUTHORIZED...................................................................... 1,500,000,000 900,000,000 ============== ============ Investment in Affiliated Investment Company at Cost.............................................. $ 5,184,678 $ -- -------------- ------------ Investments at Cost.............................................................................. $ -- $ 2,449,695 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................................................. $ 6,056,439 $ 3,196,072 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 48,219 10,653 Accumulated Net Realized Gain (Loss)............................................................. (921,897) (666,732) Net Unrealized Foreign Exchange Gain (Loss)...................................................... 791 -- Net Unrealized Appreciation (Depreciation)....................................................... 264,299 1,580,185 -------------- ------------ NET ASSETS....................................................................................... $ 5,447,851 $ 4,120,178 ============== ============
See accompanying Notes to Financial Statements. 171 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE VALUE COMPANY PORTFOLIO* PORTFOLIO ------------- ---------- Investment Income.............................................................................. Dividends (Net of Foreign Taxes Withheld of $7,177 and $0, respectively).................... $ 92,860 $ 41,104 Interest.................................................................................... 1 52 Income from Securities Lending.............................................................. 4,672 453 Expenses Allocated from Affiliated Investment Company....................................... (6,135) -- -------- -------- Total Investment Income.............................................................. 91,398 41,609 -------- -------- EXPENSES Investment Advisory Services Fees........................................................... -- 488 Administrative Services Fees................................................................ 5,275 976 Accounting & Transfer Agent Fees............................................................ 36 210 Shareholder Servicing Fees -- Class R2 Shares............................................... 8 -- S&P 500 (R) Fees............................................................................ -- 70 Custodian Fees.............................................................................. -- 25 Filing Fees................................................................................. 83 52 Shareholders' Reports....................................................................... 73 47 Directors'/Trustees' Fees & Expenses........................................................ 21 15 Professional Fees........................................................................... 77 82 Other....................................................................................... 24 22 -------- -------- Total Expenses....................................................................... 5,597 1,987 -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................................................................................ -- (46) -------- -------- Net Expenses................................................................................ 5,597 1,941 -------- -------- NET INVESTMENT INCOME (LOSS)................................................................ 85,801 39,668 -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities.............................. -- 543 Net Realized Gain (Loss) on:................................................................ Investment Securities Sold.............................................................. 59,905 (7,325) Futures................................................................................. -- 10,696 Foreign Currency Transactions........................................................... (608) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................................. (94,767) 428,117 Futures................................................................................. -- (1,992) Translation of Foreign Currency Denominated Amounts..................................... 630 -- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)..................................................... (34,840) 430,039 -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................ $ 50,961 $469,707 ======== ========
-------- * 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. 172 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE VALUE PORTFOLIO COMPANY PORTFOLIO ---------------------- ---------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 ----------- ---------- ----------- ---------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................................... $ 85,801 $ 179,582 $ 39,668 $ 75,394 Capital Gain Distributions Received from Investment Securities........ -- -- 543 -- Net Realized Gain (Loss) on: Investment Securities Sold........................................ 59,905 112,233 (7,325) (44,142) Futures........................................................... -- -- 10,696 2,851 Foreign Currency Transactions..................................... (608) 364 -- -- Change in Unrealized Appreciation (Depreciation) of:.................. Investment Securities and Foreign Currency........................ (94,767) (767,465) 428,117 251,680 Futures........................................................... -- -- (1,992) 2,298 Translation of Foreign Currency Denominated Amounts............... 630 (353) -- -- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... 50,961 (475,639) 469,707 288,081 ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares................................................... (62) (172) -- -- Institutional Class Shares........................................ (59,865) (172,488) (39,526) (74,515) ---------- ---------- ---------- ---------- Total Distributions............................................ (59,927) (172,660) (39,526) (74,515) ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued......................................................... 681,636 1,450,393 326,105 651,122 Shares Issued in Lieu of Cash Distributions........................... 55,878 162,689 33,980 62,748 Shares Redeemed....................................................... (574,122) (834,167) (432,101) (878,396) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........ 163,392 778,915 (72,016) (164,526) ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets........................ 154,426 130,616 358,165 49,040 NET ASSETS Beginning of Period................................................... 5,293,425 5,162,809 3,762,013 3,712,973 ---------- ---------- ---------- ---------- End of Period......................................................... $5,447,851 $5,293,425 $4,120,178 $3,762,013 ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................................... 44,110 82,666 31,677 65,475 Shares Issued in Lieu of Cash Distributions........................... 3,788 9,157 3,420 6,398 Shares Redeemed....................................................... (37,388) (47,291) (41,893) (89,099) Shares Reduced by Reverse Stock Split (Note G)........................ -- (2) -- -- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........ 10,510 44,530 (6,796) (17,226) ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)..................................................... $ 48,219 $ 22,345 $ 10,653 $ 10,511
See accompanying Notes to Financial Statements. 173 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO- CLASS R2 SHARES+ ---------------------------------------------------- SIX MONTHS YEAR YEAR YEAR ENDED ENDED ENDED ENDED PERIOD APRIL 30, APRIL 30, OCT. 31, OCT. 31, OCT. 31, 2008(a) TO 2012 2011 2010 2009 OCT. 31, 2008 ----------- -------- -------- -------- ---------------- (UNAUDITED) Net Asset Value, Beginning of Period ........................ $15.83 $17.82 $17.13 $13.58 $ 26.31 ------ ------ ------ ------ ------- Income from Investment Operations ---------------------------------- Net Investment Income (Loss)(A) ........................... 0.24 0.53 0.37 0.42 0.66 Net Gains (Losses) on Securities (Realized and Unrealized). (0.11) (2.00) 1.29 4.10 (11.73) ------ ------ ------ ------ ------- Total from Investment Operations.......................... 0.13 (1.47) 1.66 4.52 (11.07) ------ ------ ------ ------ ------- Less Distributions ------------------- Net Investment Income...................................... (0.16) (0.52) (0.97) (0.97) (1.66) Net Realized Gains......................................... -- -- -- -- -- ------ ------ ------ ------ ------- Total Distributions....................................... (0.16) (0.52) (0.97) (0.97) (1.66) ------ ------ ------ ------ ------- Net Asset Value, End of Period............................... $15.80 $15.83 $17.82 $17.13 $ 13.58 ====== ====== ====== ====== ======= Total Return................................................. 0.89%(C) (8.53)% 10.60% 34.86% (44.63)%(C) ------ ------ ------ ------ ------- Net Assets, End of Period (thousands)........................ $6,788 $6,102 $4,952 $3,443 $ 3,372 Ratio of Expenses to Average Net Assets (D) 0.71%(B) 0.71% 0.72% 0.74% 0.73%(B)(E) Ratio of Net Investment Income to Average Net Assets......... 3.06%(B) 2.97% 2.11% 2.96% 7.47%(B)(E) ------ ------ ------ ------ -------
DFA INTERNATIONAL VALUE PORTFOLIO- INSTITUTIONAL CLASS SHARES ------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, ENDED ENDED ENDED ENDED 2007 TO APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 2008 ----------- ---------- ---------- ---------- ---------- (UNAUDITED) Net Asset Value, Beginning of Period ........................ $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------------------- Net Investment Income (Loss)(A) ........................... 0.25 0.58 0.39 0.40 0.74 Net Gains (Losses) on Securities (Realized and Unrealized). (0.11) (1.99) 1.34 3.92 (12.44) ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 0.14 (1.41) 1.73 4.32 (11.70) ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------- Net Investment Income...................................... (0.18) (0.57) (0.38) (0.40) (0.78) Net Realized Gains......................................... -- -- -- -- (0.49) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.18) (0.57) (0.38) (0.40) (1.27) ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period............................... $ 15.79 $ 15.83 $ 17.81 $ 16.46 $ 12.54 ========== ========== ========== ========== ========== Total Return................................................. 0.96%(C) (8.26)% 10.94% 35.11% (47.96)%(C) ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)........................ $5,441,063 $5,287,323 $5,157,857 $4,437,846 $3,350,073 Ratio of Expenses to Average Net Assets (D) 0.45%(B) 0.45% 0.45% 0.46% 0.44%(B) Ratio of Net Investment Income to Average Net Assets......... 3.27%(B) 3.26% 2.34% 3.00% 3.86%(B) ---------- ---------- ---------- ---------- ----------
----------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2007 2006 ---------- ---------- Net Asset Value, Beginning of Period ........................ $22.71 $ 17.67 ---------- ---------- Income from Investment Operations ---------------------------------- Net Investment Income (Loss)(A) ........................... 0.72 0.66 Net Gains (Losses) on Securities (Realized and Unrealized). 3.09 5.37 ---------- ---------- Total from Investment Operations.......................... 3.81 6.03 ---------- ---------- Less Distributions ------------------- Net Investment Income...................................... (0.63) (0.65) Net Realized Gains......................................... (0.38) (0.34) ---------- ---------- Total Distributions....................................... (1.01) (0.99) ---------- ---------- Net Asset Value, End of Period............................... $ 25.51 $ 22.71 ========== ========== Total Return................................................. 17.09% 35.39% ---------- ---------- Net Assets, End of Period (thousands)........................ $6,262,069 $4,456,059 Ratio of Expenses to Average Net Assets (D) 0.44% 0.44% Ratio of Net Investment Income to Average Net Assets......... 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. 174 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO ----------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR PERIOD ENDED ENDED ENDED ENDED DEC. 1, 2007 APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO 2012 2011 2010 2009 OCT. 31, 2008 ----------- ---------- ---------- -------- ------------- (UNAUDITED) Net Asset Value, Beginning of Period.................. $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 ---------- ---------- ---------- -------- -------- Income from Investment Operations ---------------------------------- Net Investment Income (Loss) (A)..................... 0.11 0.19 0.18 0.18 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)........................................ 1.14 0.56 1.15 0.55 (3.99) ---------- ---------- ---------- -------- -------- Total from Investment Operations................... 1.25 0.75 1.33 0.73 (3.79) ---------- ---------- ---------- -------- -------- Less Distributions ------------------ Net Investment Income................................ (0.11) (0.19) (0.15) (0.19) (0.22) ---------- ---------- ---------- -------- -------- Total Distributions................................ (0.11) (0.19) (0.15) (0.19) (0.22) ---------- ---------- ---------- -------- -------- Net Asset Value, End of Period........................ $ 11.04 $ 9.90 $ 9.34 $ 8.16 $ 7.62 ========== ========== ========== ======== ======== Total Return.......................................... 12.70%(C) 8.09% 16.47% 10.07% (33.10)%(C) ---------- ---------- ---------- -------- -------- Net Assets, End of Period (thousands)................. $4,120,178 $3,762,013 $3,712,973 $785,689 $729,218 Ratio of Expenses to Average Net Assets............... 0.10%(B) 0.10% 0.10%** 0.10%(D) 0.10%(B)(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).......................... 0.10%(B) 0.10% 0.11%** 0.13%(D) 0.11%(B)(D) Ratio of Net Investment Income to Average Net Assets.. 2.04%(B) 1.95% 1.99% 2.53% 2.10%(B) Portfolio Turnover Rate............................... 1%(C) 4% 1%* N/A N/A
------------------------ YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2007 2006 ---------- -------- Net Asset Value, Beginning of Period.................. $ 11.00 $ 9.82 ---------- -------- Income from Investment Operations ---------------------------------- Net Investment Income (Loss) (A)..................... 0.22 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)........................................ 0.62 1.18 ---------- -------- Total from Investment Operations................... 0.84 1.37 ---------- -------- Less Distributions ------------------ Net Investment Income................................ (0.21) (0.19) ---------- -------- Total Distributions................................ (0.21) (0.19) ---------- -------- Net Asset Value, End of Period........................ $ 11.63 $ 11.00 ========== ======== Total Return.......................................... 7.71% 14.11% ---------- -------- Net Assets, End of Period (thousands)................. $1,002,142 $877,405 Ratio of Expenses to Average Net Assets............... 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).......................... 0.11%(D) 0.11%(D) Ratio of Net Investment Income to Average Net Assets.. 1.90% 1.90% Portfolio Turnover Rate............................... N/A N/A
* For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. ** Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See Page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 175 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: Dimensional Investment Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, of which DFA International Value Portfolio and U.S. Large Company Portfolio (the "Portfolios") are presented in this section of the report. The remaining portfolios are presented in separate reports. DFA International Value Portfolio (the "Feeder Fund") primarily invests its assets in The DFA International Value Series (the "Series"), a corresponding Series of The DFA Investment Trust Company. At April 30, 2012, DFA International Value Portfolio owned 76% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. Class R2 shares of DFA International Value Portfolio commenced operations on April 30, 2008. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the 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 Portfolio U.S. Large Company 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
176 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 Company Portfolio. U.S. Large Company $2,731,987 $315,984 Institutional Index Portfolio $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investment Income.................................. $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b) -------- Net Increase in Net Assets Resulting from Operations... $572,754 ========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b)$596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize a fair value heirarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments) DFA International Value Portfolio's investment reflects its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy. 177 Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). Securities held by U.S. Large Company Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, U.S. Large Company Portfolio values the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of 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 previously in the Security Valuation note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolios did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2012. 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 April 30, 2012, 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 178 directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. C. INVESTMENT ADVISOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides administrative services to the Portfolios, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors/Trustees, and other administrative services. The Advisor provides investment advisory services to the Portfolios and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the six months ended April 30, 2012, the Portfolios' administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA International Value Portfolio. 0.20% U.S. Large Company Portfolio...... 0.05%
For the six months ended April 30, 2012, 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, 2013, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the six months ended April 30, 2012, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
PREVIOUSLY RECOVERY WAIVED FEES/ EXPENSE OF PREVIOUSLY EXPENSES ASSUMED LIMITATION WAIVED FEES/ SUBJECT TO FUTURE AMOUNT EXPENSES ASSUMED RECOVERY ---------- ---------------- ----------------- DFA International Value Portfolio -- Class R2 Shares (1) .. 0.79% -- -- U.S. Large Company Portfolio (2)........................... 0.10% -- $ 568
(1) The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding management fees and custodian fees and excluding any applicable 12b-1 fees) to the extent necessary to limit the annualized expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") of the Class R2 shares of the Portfolio to the rate listed above as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's Class R2 shares' annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2) The Advisor has contractually agreed to waive all or a portion of its administration fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses"), so that such Portfolio Expenses do not exceed the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above 179 for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2012, the total related amounts paid by the Fund to the CCO were $15 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At April 30, 2012, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follow (amounts in thousands): DFA International Value Portfolio................. $140 U.S. Large Company Portfolio...................... 210 E. PURCHASES AND SALES OF SECURITIES: For the six months ended April 30, 2012, U.S. Large Company Portfolio made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases...................................... $ 53,970 Sales.......................................... 162,976 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
180 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 April 30, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---------- ------------ -------------- -------------- DFA International Value Portfolio. $5,185,881 $ 821,950 $(558,854) $ 263,096 U.S. Large Company Portfolio...... 3,409,159 1,775,277 (525,043) 1,250,234
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 181 Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Portfolios' tax postions and has concluded that no additional provision for income tax is required in the Portfolios' financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (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. G. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (amounts in thousands):
YEAR SIX MONTHS ENDED ENDED APRIL 30, 2012 OCT. 31, 2011 ------------------ ------------------- AMOUNT SHARES AMOUNT SHARES --------- ------- ---------- ------- DFA INTERNATIONAL VALUE PORTFOLIO --------------------------------- Class R2 Shares Shares Issued........................................ $ 1,151 72 $ 4,366 246 Shares Issued in Lieu of Cash Distributions.......... 62 4 172 9 Shares Redeemed...................................... (506) (32) (2,617) (146) Shares Reduced by Reverse Stock Split................ -- -- -- (2) --------- ------- ---------- ------- Net Increase (Decrease) -- Class R2 Shares $ 707 44 $ 1,921 107 ========= ======= ========== ======= Institutional Class Shares Shares Issued........................................ $ 680,485 44,038 $1,446,027 82,420 Shares Issued in Lieu of Cash Distributions.......... 55,816 3,784 162,517 9,148 Shares Redeemed...................................... (573,616) (37,356) (831,550) (47,145) --------- ------- ---------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 162,685 10,466 $ 776,994 44,423 ========= ======= ========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of DFA International Value Portfolio's Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R2 Shares received one share for every 2.631 shares held. The purpose of the reverse split was to reduce the number of Class R2 Shares, thereby increasing the net asset value of each Class R2 Share outstanding in order to more closely align the net asset value with the net asset value of DFA International Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the 182 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: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Futures Contracts: U.S. Large Company Portfolio may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, U.S. Large Company Portfolio deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by U.S. Large Company Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, U.S. Large Company Portfolio record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that U.S. Large Company Portfolio could lose more than the initial margin requirements. Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2012, 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 06/15/2012 265 $ 92,326 $ 1,752 $ 4,550
* During the six months ended April 30, 2012, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $69,445 (in thousands). The following is a summary of U.S. Large Company Portfolio's location and value of derivative instrument holdings on U.S. Large Company Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure as of April 30, 2012 (amounts in thousands): 183
ASSET DERIVATIVES VALUE ----------------------- LOCATION ON THE STATEMENTS OF ASSETS AND EQUITY LIABILITIES CONTRACTS -------------------------- ----------------------- Payables: Futures U.S. Large Company Portfolio. Margin Variation $ 1,752*
* 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 six months ended April 30, 2012:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME --------------- ----------------------------------------------------------- Equity contracts. Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure for the six months ended April 30, 2012 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $ 10,696 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $ (1,992)
I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowings. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on July 6, 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 Portfolios under this line of credit during the six months ended April 30, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates 184 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 11, 2013. For the six months ended April 30, 2012, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentage and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Large Company Portfolio. 0.83% $ 21,218 5 $ 2 $ 24,616
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2012 that each Series' available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of April 30, 2012. J. SECURITIES LENDING: As of April 30, 2012, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio receives cash collateral. The Portfolio invests its cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to its stated investment policies, the Portfolio will generally invest its cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. K. SHAREHOLDER SERVICING FEES: The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in the DFA International Value Portfolio Class R2 Shares. L. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. 185 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 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 April 30, 2012, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders is an omnibus account, which typically holds shares for the benefit of several other underlying investors.
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- DFA International Value Portfolio -- Class R2 Shares............ 2 59% DFA International Value Portfolio -- Institutional Class Shares. 3 55% U.S. Large Company Portfolio.................................... 2 66%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of 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. 186 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED APRIL 30, 2012 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES ------------------------------- Actual Fund Return................. $1,000.00 $1,107.21 0.12% $0.63 Hypothetical 5% Annual Return...... $1,000.00 $1,024.27 0.12% $0.60 THE DFA INTERNATIONAL VALUE SERIES ---------------------------------- Actual Fund Return................. $1,000.00 $1,010.76 0.23% $1.15 Hypothetical 5% Annual Return...... $1,000.00 $1,023.72 0.23% $1.16
187 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- THE JAPANESE SMALL COMPANY SERIES --------------------------------- Actual Fund Return.......................................... $1,000.00 $1,085.04 0.14% $0.73 Hypothetical 5% Annual Return............................... $1,000.00 $1,024.17 0.14% $0.70 THE ASIA PACIFIC SMALL COMPANY SERIES ------------------------------------- Actual Fund Return.......................................... $1,000.00 $1,067.95 0.17% $0.87 Hypothetical 5% Annual Return............................... $1,000.00 $1,024.02 0.17% $0.86 THE UNITED KINGDOM SMALL COMPANY SERIES --------------------------------------- Actual Fund Return.......................................... $1,000.00 $1,149.87 0.13% $0.69 Hypothetical 5% Annual Return............................... $1,000.00 $1,024.22 0.13% $0.65 THE CONTINENTAL SMALL COMPANY SERIES ------------------------------------ Actual Fund Return.......................................... $1,000.00 $1,023.59 0.16% $0.81 Hypothetical 5% Annual Return............................... $1,000.00 $1,024.07 0.16% $0.81 THE CANADIAN SMALL COMPANY SERIES --------------------------------- Actual Fund Return.......................................... $1,000.00 $1,000.00 0.15% $0.75 Hypothetical 5% Annual Return............................... $1,000.00 $1,024.12 0.15% $0.75 THE EMERGING MARKETS SERIES --------------------------- Actual Fund Return.......................................... $1,000.00 $1,046.84 0.19% $0.97 Hypothetical 5% Annual Return............................... $1,000.00 $1,023.92 0.19% $0.96 THE EMERGING MARKETS SMALL CAP SERIES ------------------------------------- Actual Fund Return.......................................... $1,000.00 $1,061.59 0.33% $1.69 Hypothetical 5% Annual Return............................... $1,000.00 $1,023.22 0.33% $1.66
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by the number of days in the year (366) to reflect the six-month period. 188 DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on March 27, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS THE U.S. LARGE CAP VALUE SERIES Consumer Discretionary..... 16.2% Consumer Staples........... 9.1% Energy..................... 18.0% Financials................. 18.5% Health Care................ 9.6% Industrials................ 14.5% Information Technology..... 3.7% Materials.................. 3.0% Telecommunication Services. 6.6% Utilities.................. 0.8% ----- 100.0% THE DFA INTERNATIONAL VALUE SERIES Consumer Discretionary..... 12.3% Consumer Staples........... 5.4% Energy..................... 14.3% Financials................. 27.7% Health Care................ 1.7% Industrials................ 10.8% Information Technology..... 2.8% Materials.................. 13.3% Other...................... -- Telecommunication Services. 8.3% Utilities.................. 3.4% ----- 100.0% THE JAPANESE SMALL COMPANY SERIES Consumer Discretionary..... 22.8% Consumer Staples........... 9.8% Energy..................... 1.0% Financials................. 11.0% Health Care................ 4.4% Industrials................ 27.6% Information Technology..... 11.3% Materials.................. 11.5% Telecommunication Services. 0.1% Utilities.................. 0.5% ----- 100.0% 189 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED THE ASIA PACIFIC SMALL COMPANY SERIES Consumer Discretionary....... 21.7% Consumer Staples............. 4.1% Energy....................... 8.0% Financials................... 10.9% Health Care.................. 4.9% Industrials.................. 23.6% Information Technology....... 4.4% Materials.................... 17.0% Other........................ -- Telecommunication Services... 1.7% Utilities.................... 3.7% ----- 100.0% THE CANADIAN SMALL COMPANY SERIES Consumer Discretionary....... 11.7% Consumer Staples............. 3.2% Energy....................... 24.8% Financials................... 8.9% Health Care.................. 2.3% Industrials.................. 11.8% Information Technology....... 4.9% Materials.................... 28.1% Telecommunication Services... 0.5% Utilities.................... 3.8% ----- 100.0% THE UNITED KINGDOM SMALL COMPANY SERIES Consumer Discretionary......... 22.8% Consumer Staples............... 4.0% Energy......................... 5.1% Financials..................... 13.0% Health Care.................... 2.0% Industrials.................... 29.5% Information Technology......... 10.9% Materials...................... 8.0% Telecommunication Services..... 2.4% Utilities...................... 2.3% ----- 100.0% THE EMERGING MARKETS SERIES Consumer Discretionary......... 8.6% Consumer Staples............... 9.6% Energy......................... 13.2% Financials..................... 22.1% Health Care.................... 1.2% Industrials.................... 7.2% Information Technology......... 13.7% Materials...................... 12.9% Other.......................... -- Telecommunication Services..... 8.0% Utilities...................... 3.5% ----- 100.0% THE CONTINENTAL SMALL COMPANY SERIES Consumer Discretionary....... 14.0% Consumer Staples............. 7.5% Energy....................... 4.8% Financials................... 17.3% Health Care.................. 8.7% Industrials.................. 25.5% Information Technology....... 10.2% Materials.................... 8.4% Other........................ -- Real Estate Investment Trusts....................... -- Telecommunication Services... 1.6% Utilities.................... 2.0% ----- 100.0% THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary....... 18.4% Consumer Staples............. 11.0% Energy....................... 2.2% Financials................... 17.1% Health Care.................. 4.4% Industrials.................. 17.7% Information Technology....... 9.9% Materials.................... 14.6% Other........................ -- Real Estate Investment Trusts....................... -- Telecommunication Services... 1.1% Utilities.................... 3.6% ----- 100.0% 190 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- -------------- --------------- COMMON STOCKS -- (92.5%) Consumer Discretionary -- (15.0%) #Carnival Corp............................. 2,385,423 $ 77,502,393 0.8% #CBS Corp. Class B......................... 2,669,115 89,014,985 0.9% #Comcast Corp. Class A..................... 10,008,890 303,569,634 3.0% Comcast Corp. Special Class A............. 3,843,964 114,665,446 1.1% #*Liberty Interactive Corp. Class A......... 3,316,465 62,482,201 0.6% #News Corp. Class A........................ 9,024,175 176,873,830 1.7% #News Corp. Class B........................ 3,247,295 64,426,333 0.6% #Time Warner Cable, Inc.................... 1,921,256 154,565,045 1.5% Time Warner, Inc.......................... 5,323,159 199,405,536 2.0% Other Securities.......................... 403,077,907 4.0% -------------- ---- Total Consumer Discretionary................. 1,645,583,310 16.2% -------------- ---- Consumer Staples -- (8.4%) Archer-Daniels-Midland Co................. 3,155,848 97,294,794 1.0% CVS Caremark Corp......................... 6,431,368 286,967,640 2.8% #Kraft Foods, Inc. Class A................. 7,128,852 284,227,329 2.8% Other Securities.......................... 255,898,110 2.5% -------------- ---- Total Consumer Staples....................... 924,387,873 9.1% -------------- ---- Energy -- (16.7%) Anadarko Petroleum Corp................... 2,574,876 188,506,672 1.9% Apache Corp............................... 1,155,774 110,884,958 1.1% #Chesapeake Energy Corp.................... 3,267,150 60,246,246 0.6% Chevron Corp.............................. 1,669,494 177,901,281 1.8% ConocoPhillips............................ 5,710,341 409,031,726 4.0% Devon Energy Corp......................... 1,088,705 76,046,044 0.8% Hess Corp................................. 1,567,373 81,722,828 0.8% Marathon Oil Corp......................... 3,625,708 106,378,273 1.0% Marathon Petroleum Corp................... 1,791,952 74,563,123 0.7% National Oilwell Varco, Inc............... 1,627,065 123,266,444 1.2% #Pioneer Natural Resources Co.............. 517,832 59,975,302 0.6% Valero Energy Corp........................ 2,806,975 69,332,282 0.7% Other Securities.......................... 288,680,430 2.8% -------------- ---- Total Energy................................. 1,826,535,609 18.0% -------------- ---- Financials -- (17.1%) Bank of America Corp...................... 24,999,052 202,742,312 2.0% Capital One Financial Corp................ 1,092,331 60,602,524 0.6% #Citigroup, Inc............................ 9,041,167 298,720,158 2.9% #CME Group, Inc............................ 319,869 85,027,578 0.8% JPMorgan Chase & Co....................... 1,496,828 64,333,667 0.6% #Loews Corp................................ 2,340,216 96,253,084 1.0% #MetLife, Inc.............................. 4,759,859 171,497,720 1.7% Morgan Stanley............................ 3,765,813 65,073,249 0.7% #Prudential Financial, Inc................. 2,340,342 141,684,305 1.4% #SunTrust Banks, Inc....................... 2,564,707 62,271,086 0.6% Other Securities.......................... 628,839,010 6.2% -------------- ---- Total Financials............................. 1,877,044,693 18.5% -------------- ---- Health Care -- (8.8%) Aetna, Inc................................ 1,957,594 86,212,440 0.8% Humana, Inc............................... 698,778 56,377,409 0.6% Pfizer, Inc............................... 17,815,204 408,502,628 4.0% Thermo Fisher Scientific, Inc............. 1,994,284 110,981,905 1.1% WellPoint, Inc............................ 2,067,263 140,201,777 1.4%
191 THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ---------- --------------- --------------- Health Care -- (Continued) Other Securities.......................... $ 165,236,290 1.6% --------------- --------------- Total Health Care............................ 967,512,449 9.5% --------------- --------------- Industrials -- (13.4%) CSX Corp.................................. 6,342,908 141,510,277 1.4% General Electric Co....................... 21,867,055 428,156,937 4.2% #Norfolk Southern Corp..................... 2,045,548 149,181,816 1.5% Northrop Grumman Corp..................... 1,545,282 97,785,445 1.0% Tyco International, Ltd................... 1,433,965 80,488,455 0.8% Union Pacific Corp........................ 2,422,164 272,348,120 2.7% Other Securities.......................... 300,389,113 2.9% --------------- --------------- Total Industrials............................ 1,469,860,163 14.5% --------------- --------------- Information Technology -- (3.5%) Other Securities.......................... 378,920,592 3.7% --------------- --------------- Materials -- (2.7%) #Alcoa, Inc................................ 5,357,434 52,127,833 0.5% International Paper Co.................... 2,299,481 76,595,712 0.7% Other Securities.......................... 171,903,835 1.7% --------------- --------------- Total Materials.............................. 300,627,380 2.9% --------------- --------------- Telecommunication Services -- (6.1%) AT&T, Inc................................. 13,051,618 429,528,748 4.2% #CenturyLink, Inc.......................... 2,300,437 88,704,851 0.9% #Verizon Communications, Inc............... 1,811,751 73,158,505 0.7% Other Securities.......................... 78,059,153 0.8% --------------- --------------- Total Telecommunication Services............. 669,451,257 6.6% --------------- --------------- Utilities -- (0.8%) Other Securities.......................... 82,481,799 0.8% --------------- --------------- TOTAL COMMON STOCKS.......................... 10,142,405,125 99.8% --------------- --------------- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio -- Institutional Shares....... 31,844,654 31,844,654 0.3% --------------- ---------------
SHARES/ FACE AMOUNT ------------ (000) SECURITIES LENDING COLLATERAL -- (7.2%) (S)@DFA Short Term Investment Fund 785,569,107 785,569,107 7.7% @Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by $375,124 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at $376,287) to be repurchased at $364,198............................................................. $ 364 364,196 0.0% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL......................................................... 785,933,303 7.7% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,527,670,147)..................................................................... $10,960,183,082 107.8% =============== =====
192 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------- ------------ ------- --------------- Common Stocks Consumer Discretionary..... $ 1,645,583,310 -- -- $ 1,645,583,310 Consumer Staples........... 924,387,873 -- -- 924,387,873 Energy..................... 1,826,535,609 -- -- 1,826,535,609 Financials................. 1,877,044,693 -- -- 1,877,044,693 Health Care................ 967,512,449 -- -- 967,512,449 Industrials................ 1,469,860,163 -- -- 1,469,860,163 Information Technology..... 378,920,592 -- -- 378,920,592 Materials.................. 300,627,380 -- -- 300,627,380 Telecommunication Services. 669,451,257 -- -- 669,451,257 Utilities.................. 82,481,799 -- -- 82,481,799 Temporary Cash Investments.... 31,844,654 -- -- 31,844,654 Securities Lending Collateral. -- $785,933,303 -- 785,933,303 --------------- ------------ ------- --------------- TOTAL......................... $10,174,249,779 $785,933,303 -- $10,960,183,082 =============== ============ ======= ===============
See accompanying Notes to Financial Statements. 193 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (85.6%) AUSTRALIA -- (4.2%) National Australia Bank, Ltd.............. 1,490,363 $ 38,957,024 0.5% Wesfarmers, Ltd........................... 2,578,622 80,973,411 1.1% Other Securities.......................... 226,937,336 3.2% ------------ --------------- TOTAL AUSTRALIA.............................. 346,867,771 4.8% ------------ --------------- AUSTRIA -- (0.3%) Other Securities.......................... 21,553,007 0.3% ------------ --------------- BELGIUM -- (0.8%) Other Securities.......................... 62,916,268 0.9% ------------ --------------- CANADA -- (10.6%) #Encana Corp............................... 2,051,015 42,957,433 0.6% #Goldcorp, Inc............................. 1,677,120 64,225,793 0.9% #Manulife Financial Corp................... 4,206,497 57,528,749 0.8% #Sun Life Financial, Inc................... 1,513,735 37,113,592 0.5% Suncor Energy, Inc........................ 3,486,786 115,173,181 1.6% #Teck Resources, Ltd. Class B.............. 1,483,730 55,362,948 0.8% #Thomson Reuters Corp...................... 1,832,184 54,751,300 0.7% #TransCanada Corp.......................... 1,575,808 69,326,938 1.0% Other Securities.......................... 383,877,001 5.3% ------------ --------------- TOTAL CANADA................................. 880,316,935 12.2% ------------ --------------- DENMARK -- (1.2%) Other Securities.......................... 102,335,685 1.4% ------------ --------------- FINLAND -- (0.5%) Other Securities.......................... 40,320,948 0.6% ------------ --------------- FRANCE -- (7.7%) #AXA SA.................................... 4,058,877 57,677,147 0.8% BNP Paribas SA............................ 1,248,772 50,399,590 0.7% Cie de Saint-Gobain SA.................... 1,039,077 43,626,019 0.6% France Telecom SA......................... 3,803,372 52,136,748 0.7% GDF Suez SA............................... 2,974,295 68,480,750 1.0% #Societe Generale SA....................... 1,558,512 36,896,510 0.5% #Vivendi SA................................ 3,567,218 65,981,070 0.9% Other Securities.......................... 265,365,392 3.7% ------------ --------------- TOTAL FRANCE................................. 640,563,226 8.9% ------------ --------------- GERMANY -- (7.0%) Allianz SE................................ 330,017 36,810,454 0.5% Bayerische Motoren Werke AG............... 660,431 62,814,886 0.9% Daimler AG................................ 2,088,586 115,564,409 1.6% Deutsche Bank AG.......................... 1,039,440 45,125,200 0.6% #Deutsche Telekom AG Sponsored ADR......... 3,099,741 35,337,047 0.5% #E.ON AG................................... 2,894,296 65,531,861 0.9% #Munchener Rueckversicherungs-Gesellschaft AG........................................ 395,244 57,409,200 0.8% Other Securities.......................... 159,791,238 2.2% ------------ --------------- TOTAL GERMANY................................ 578,384,295 8.0% ------------ --------------- GREECE -- (0.1%) Other Securities.......................... 4,120,169 0.1% ------------ ---- HONG KONG -- (1.7%) Hutchison Whampoa, Ltd.................... 5,618,000 53,856,729 0.7%
194 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- HONG KONG -- (Continued) Other Securities.......................... $ 83,058,768 1.2% -------------- --------------- TOTAL HONG KONG.............................. 136,915,497 1.9% -------------- --------------- IRELAND -- (0.2%) Other Securities.......................... 17,279,741 0.2% -------------- --------------- ISRAEL -- (0.6%) Other Securities.......................... 47,664,525 0.7% -------------- --------------- ITALY -- (1.2%) Other Securities.......................... 102,282,841 1.4% -------------- --------------- JAPAN -- (17.4%) Mitsubishi Corp........................... 2,411,300 52,257,599 0.7% Mitsubishi Heavy Industries, Ltd.......... 9,007,000 40,846,959 0.6% Mitsubishi UFJ Financial Group, Inc....... 17,167,906 82,431,923 1.2% Mitsui & Co., Ltd......................... 2,469,100 38,556,482 0.5% Sumitomo Corp............................. 3,241,900 46,071,274 0.6% #Toyota Motor Corp. Sponsored ADR.......... 673,198 55,054,132 0.8% Other Securities.......................... 1,131,567,900 15.7% -------------- --------------- TOTAL JAPAN.................................. 1,446,786,269 20.1% -------------- --------------- MALAYSIA -- (0.0%) Other Securities.......................... -- 0.0% -------------- --------------- NETHERLANDS -- (2.3%) ArcelorMittal NV.......................... 2,446,831 42,506,116 0.6% Koninklijke Philips Electronics NV........ 1,939,039 38,587,673 0.5% Other Securities.......................... 113,298,898 1.6% -------------- --------------- TOTAL NETHERLANDS............................ 194,392,687 2.7% -------------- --------------- NEW ZEALAND -- (0.1%) Other Securities.......................... 5,484,801 0.1% -------------- --------------- NORWAY -- (1.0%) Other Securities.......................... 86,545,255 1.2% -------------- --------------- PORTUGAL -- (0.1%) Other Securities.......................... 8,206,069 0.1% -------------- --------------- SINGAPORE -- (1.0%) Other Securities.......................... 79,091,216 1.1% -------------- --------------- SPAIN -- (1.4%) Other Securities.......................... 114,294,255 1.6% -------------- --------------- SWEDEN -- (2.6%) Nordea Bank AB............................ 5,275,564 46,690,917 0.6% Other Securities.......................... 172,480,053 2.4% -------------- --------------- TOTAL SWEDEN................................. 219,170,970 3.0% -------------- --------------- SWITZERLAND -- (4.5%) Holcim, Ltd............................... 886,165 55,272,069 0.8% *Swiss Re, Ltd............................. 1,108,107 69,581,447 1.0% *UBS AG.................................... 3,280,643 40,969,298 0.6% Zurich Insurance Group AG................. 225,125 55,156,285 0.7% Other Securities.......................... 153,704,777 2.1% -------------- --------------- TOTAL SWITZERLAND............................ 374,683,876 5.2% -------------- ---------------
195 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** -------------- -------------- --------------- UNITED KINGDOM -- (19.1%) Aviva P.L.C............................... 8,175,916 $ 40,920,432 0.6% Barclays P.L.C............................ 11,591,752 41,038,889 0.6% Barclays P.L.C. Sponsored ADR............. 4,327,157 61,618,716 0.9% BP P.L.C. Sponsored ADR................... 4,848,222 210,461,317 2.9% International Power P.L.C................. 6,455,198 43,665,942 0.6% Kingfisher P.L.C.......................... 10,285,817 48,507,558 0.7% *Lloyds Banking Group P.L.C................ 76,981,994 38,640,671 0.5% Royal Dutch Shell P.L.C. ADR.............. 3,323,210 243,790,686 3.4% Vodafone Group P.L.C...................... 34,976,333 96,813,260 1.3% Vodafone Group P.L.C. Sponsored ADR....... 8,190,343 227,937,246 3.2% William Morrison Supermarkets P.L.C....... 8,127,143 37,017,257 0.5% Xstrata P.L.C............................. 5,211,952 100,098,296 1.4% Other Securities.......................... 396,933,279 5.5% -------------- --------------- TOTAL UNITED KINGDOM......................... 1,587,443,549 22.1% -------------- --------------- TOTAL COMMON STOCKS.......................... 7,097,619,855 98.6% -------------- --------------- PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities.......................... 20,410,954 0.3% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities.......................... 2 0.0% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ -------------- -------------- (000) SECURITIES LENDING COLLATERAL -- (14.2%) (S)@DFA Short Term Investment Fund........... 1,174,000,000 1,174,000,000 16.3% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $200,496) to be repurchased at $196,566.................................. $ 197 196,565 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL.......... 1,174,196,565 16.3% -------------- --------------- TOTAL INVESTMENTS -- (100.0%)................ (Cost $7,877,751,800)...................... $8,292,227,376 115.2% ============== =====
196 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- -------------- Common Stocks Australia.................. $ 4,983,494 $ 341,884,277 -- $ 346,867,771 Austria.................... -- 21,553,007 -- 21,553,007 Belgium.................... 2,576,759 60,339,509 -- 62,916,268 Canada..................... 880,316,935 -- -- 880,316,935 Denmark.................... -- 102,335,685 -- 102,335,685 Finland.................... 1,505,997 38,814,951 -- 40,320,948 France..................... 25,911,691 614,651,535 -- 640,563,226 Germany.................... 84,691,422 493,692,873 -- 578,384,295 Greece..................... -- 4,120,169 -- 4,120,169 Hong Kong.................. -- 136,915,497 -- 136,915,497 Ireland.................... 5,283,523 11,996,218 -- 17,279,741 Israel..................... 6,184,967 41,479,558 -- 47,664,525 Italy...................... 21,219,340 81,063,501 -- 102,282,841 Japan...................... 115,375,138 1,331,411,131 -- 1,446,786,269 Malaysia................... -- -- -- -- Netherlands................ 11,737,570 182,655,117 -- 194,392,687 New Zealand................ -- 5,484,801 -- 5,484,801 Norway..................... 289,916 86,255,339 -- 86,545,255 Portugal................... -- 8,206,069 -- 8,206,069 Singapore.................. -- 79,091,216 -- 79,091,216 Spain...................... 8,765,062 105,529,193 -- 114,294,255 Sweden..................... 9,516,859 209,654,111 -- 219,170,970 Switzerland................ 46,723,453 327,960,423 -- 374,683,876 United Kingdom............. 807,957,592 779,485,957 -- 1,587,443,549 Preferred Stocks Germany.................... -- 20,410,954 -- 20,410,954 Rights/Warrants Spain...................... -- 2 -- 2 Securities Lending Collateral. -- 1,174,196,565 -- 1,174,196,565 -------------- -------------- ------- -------------- TOTAL......................... $2,033,039,718 $6,259,187,658 -- $8,292,227,376 ============== ============== ======= ==============
See accompanying Notes to Financial Statements. 197 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (90.6%) Consumer Discretionary -- (20.7%) Aoyama Trading Co., Ltd................... 257,600 $ 5,314,739 0.3% Autobacs Seven Co., Ltd................... 97,200 4,664,943 0.3% *Haseko Corp............................... 6,572,500 4,735,838 0.3% Nifco, Inc................................ 212,800 5,724,281 0.3% Onward Holdings Co., Ltd.................. 557,000 4,355,674 0.2% *Pioneer Electronic Corp................... 1,050,900 5,303,473 0.3% Ryohin Keikaku Co., Ltd................... 103,400 5,613,665 0.3% Shimachu Co., Ltd......................... 203,600 4,586,562 0.3% Toyobo Co., Ltd........................... 3,695,000 5,030,586 0.3% Unipres Corp.............................. 141,400 4,443,808 0.3% Other Securities.......................... 338,872,159 19.6% ------------ --------------- Total Consumer Discretionary................. 388,645,728 22.5% ------------ --------------- Consumer Staples -- (8.8%) Nichirei Corp............................. 1,222,000 5,540,850 0.3% Sapporo Holdings, Ltd..................... 1,551,000 5,421,477 0.3% Takara Holdings, Inc...................... 799,000 5,425,555 0.3% Tsuruha Holdings, Inc..................... 71,300 4,271,781 0.3% Other Securities.......................... 145,509,154 8.4% ------------ --------------- Total Consumer Staples....................... 166,168,817 9.6% ------------ --------------- Energy -- (0.9%) Other Securities.......................... 17,353,115 1.0% ------------ --------------- Financials -- (9.9%) Daishi Bank, Ltd. (The)................... 1,416,000 4,412,515 0.3% Hyakugo Bank, Ltd. (The).................. 1,045,609 4,341,692 0.2% Hyakujishi Bank, Ltd. (The)............... 1,031,000 4,382,610 0.3% Juroku Bank, Ltd.......................... 1,350,000 4,249,124 0.2% Musashino Bank, Ltd....................... 130,600 4,255,211 0.2% Ogaki Kyoritsu Bank, Ltd. (The)........... 1,318,000 4,509,698 0.3% San-in Godo Bank, Ltd. (The).............. 696,000 5,004,198 0.3% *Tokyo Tatemono Co., Ltd................... 1,726,000 6,373,349 0.4% Other Securities.......................... 149,389,568 8.7% ------------ --------------- Total Financials............................. 186,917,965 10.9% ------------ --------------- Health Care -- (4.0%) Kaken Pharmaceutical Co., Ltd............. 353,000 4,365,666 0.3% #Nihon Kohden Corp......................... 168,900 4,926,486 0.3% Rohto Pharmaceutical Co., Ltd............. 408,000 5,225,995 0.3% #Sawai Pharmaceutical Co., Ltd............. 50,200 5,290,199 0.3% Toho Holdings Co., Ltd.................... 217,700 4,231,416 0.2% Other Securities.......................... 51,639,813 3.0% ------------ --------------- Total Health Care............................ 75,679,575 4.4% ------------ --------------- Industrials -- (25.0%) COMSYS Holdings Corp...................... 446,400 4,499,899 0.3% Duskin Co., Ltd........................... 222,800 4,313,834 0.2% Fujikura, Ltd............................. 1,609,000 5,002,804 0.3% Hitachi Zosen Corp........................ 3,511,500 4,727,978 0.3% #*Kawasaki Kisen Kaisha, Ltd................ 2,414,000 5,084,740 0.3% #Mori Seiki Co., Ltd....................... 433,100 4,316,570 0.2% #Nippon Sheet Glass Co., Ltd............... 4,060,000 5,258,558 0.3% OKUMA Corp................................ 618,000 4,859,394 0.3% #OSG Corp.................................. 322,000 5,082,316 0.3% Sankyu, Inc............................... 1,228,000 4,872,436 0.3%
198 THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) Other Securities.......................... $ 421,904,406 24.5% -------------- --------------- Total Industrials............................ 469,922,935 27.3% -------------- --------------- Information Technology -- (10.3%) Alps Electric Co., Ltd.................... 744,600 6,772,423 0.4% #Anritsu Corp.............................. 458,000 5,975,759 0.4% #Capcom Co., Ltd........................... 224,800 5,133,294 0.3% Horiba, Ltd............................... 169,150 5,931,139 0.3% IT Holdings Corp.......................... 376,801 4,825,108 0.3% Net One Systems Co., Ltd.................. 398,800 5,440,644 0.3% *Oki Electric Industry Co., Ltd............ 3,097,000 5,272,140 0.3% #Taiyo Yuden Co., Ltd...................... 479,400 5,127,204 0.3% Other Securities.......................... 148,444,745 8.6% -------------- --------------- Total Information Technology................. 192,922,456 11.2% -------------- --------------- Materials -- (10.4%) Hokuetsu Kishu Paper Co., Ltd............. 862,199 5,518,801 0.3% Sumitomo Osaka Cement Co., Ltd............ 1,819,000 5,513,885 0.3% Toagosei Co., Ltd......................... 1,096,000 4,745,000 0.3% Tokai Carbon Co., Ltd..................... 920,000 4,605,214 0.3% #Tokuyama Corp............................. 1,585,000 4,955,070 0.3% Other Securities.......................... 169,676,287 9.8% -------------- --------------- Total Materials.............................. 195,014,257 11.3% -------------- --------------- Telecommunication Services -- (0.1%) Other Securities.......................... 1,804,262 0.1% -------------- --------------- Utilities -- (0.5%) Other Securities.......................... 9,169,371 0.5% -------------- --------------- TOTAL COMMON STOCKS.......................... 1,703,598,481 98.8% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................... 123,722 0.0% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (9.4%) (S)@DFA Short Term Investment Fund........... 176,000,000 176,000,000 10.2% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $86,800) to be repurchased at $85,099................................. $ 85 85,098 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL.......... 176,085,098 10.2% -------------- --------------- TOTAL INVESTMENTS -- (100.0%)................ (Cost $1,922,647,272)...................... $1,879,807,301 109.0% ============== ===============
199 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------- -------------- ------- -------------- Common Stocks Consumer Discretionary.......... -- $ 388,645,728 -- $ 388,645,728 Consumer Staples................ -- 166,168,817 -- 166,168,817 Energy.......................... -- 17,353,115 -- 17,353,115 Financials...................... -- 186,917,965 -- 186,917,965 Health Care..................... -- 75,679,575 -- 75,679,575 Industrials..................... -- 469,922,935 -- 469,922,935 Information Technology.......... -- 192,922,456 -- 192,922,456 Materials....................... -- 195,014,257 -- 195,014,257 Telecommunication Services...... -- 1,804,262 -- 1,804,262 Utilities....................... -- 9,169,371 -- 9,169,371 Rights/Warrants.................... -- 123,722 -- 123,722 Securities Lending Collateral...... -- 176,085,098 -- 176,085,098 ------- -------------- ------- -------------- TOTAL.............................. -- $1,879,807,301 -- $1,879,807,301 ======= ============== ======= ==============
See accompanying Notes to Financial Statements. 200 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (82.0%) AUSTRALIA -- (53.0%) Adelaide Brighton, Ltd.................... 1,932,792 $ 6,107,300 0.6% Ansell, Ltd............................... 503,479 7,751,084 0.8% #Aristocrat Leisure, Ltd................... 2,580,305 8,304,319 0.8% #*Aurora Oil & Gas, Ltd..................... 1,265,748 5,419,405 0.5% Ausdrill, Ltd............................. 1,466,628 6,215,427 0.6% Australian Infrastructure Fund NL......... 3,606,473 8,340,064 0.9% #Bank of Queensland, Ltd................... 860,925 6,650,240 0.7% Beach Energy, Ltd......................... 5,460,246 7,912,277 0.8% *BlueScope Steel, Ltd...................... 13,446,558 5,484,911 0.6% Boart Longyear, Ltd....................... 2,638,658 11,371,201 1.2% Bradken, Ltd.............................. 1,022,589 7,850,379 0.8% carsales.com, Ltd......................... 1,220,399 7,275,224 0.7% CSR, Ltd.................................. 2,491,176 4,505,200 0.5% #David Jones, Ltd.......................... 3,152,271 8,116,562 0.8% *Downer EDI, Ltd........................... 1,857,964 6,935,942 0.7% DUET Group................................ 4,637,733 8,903,588 0.9% DuluxGroup, Ltd........................... 2,167,142 6,963,319 0.7% Goodman Fielder, Ltd...................... 8,296,037 5,673,840 0.6% GrainCorp, Ltd............................ 759,612 7,272,752 0.7% #Independence Group NL..................... 1,024,848 4,610,704 0.5% #Invocare, Ltd............................. 633,106 5,527,566 0.6% IOOF Holdings, Ltd........................ 1,074,600 6,934,601 0.7% #JB Hi-Fi, Ltd............................. 582,072 5,840,368 0.6% *Karoon Gas Australia, Ltd................. 667,086 4,436,232 0.4% #Kingsgate Consolidated, Ltd............... 770,040 4,940,592 0.5% #Medusa Mining, Ltd........................ 844,923 5,021,889 0.5% Mineral Resources, Ltd.................... 377,669 4,665,498 0.5% #Monadelphous Group, Ltd................... 319,624 7,689,311 0.8% Myer Holdings, Ltd........................ 3,564,925 8,690,705 0.9% Navitas, Ltd.............................. 1,189,617 4,865,080 0.5% NRW Holdings, Ltd......................... 1,174,775 4,959,746 0.5% OneSteel, Ltd............................. 5,711,238 7,652,068 0.8% #*Paladin Energy, Ltd....................... 4,096,983 6,714,584 0.7% #Perpetual Trustees Australia, Ltd......... 226,579 5,977,171 0.6% Primary Health Care, Ltd.................. 1,960,174 5,757,029 0.6% Reece Australia, Ltd...................... 238,457 4,602,136 0.5% *Regis Resources, Ltd...................... 1,267,766 5,545,463 0.6% *Resolute Mining, Ltd...................... 3,133,646 5,456,493 0.6% #SAI Global, Ltd........................... 1,180,630 6,439,134 0.7% Seek, Ltd................................. 666,916 4,932,239 0.5% Spark Infrastructure Group, Ltd........... 5,543,872 8,360,511 0.9% *St. Barbara, Ltd.......................... 1,946,083 4,612,536 0.5% Super Retail Group, Ltd................... 1,291,876 10,391,522 1.1% #Transfield Services, Ltd.................. 2,133,558 5,031,607 0.5% Other Securities.......................... 336,021,213 34.5% ------------ --------------- TOTAL AUSTRALIA.............................. 622,729,032 64.0% ------------ --------------- CANADA -- (0.1%) Other Securities.......................... 743,462 0.1% ------------ --------------- CHINA -- (0.0%) Other Securities.......................... 272,562 0.0% ------------ --------------- HONG KONG -- (13.7%) Giordano International, Ltd............... 7,162,000 6,217,767 0.7% Pacific Basin Shipping, Ltd............... 9,662,000 5,056,217 0.5%
201 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- HONG KONG -- (Continued) Other Securities.......................... $ 149,776,841 15.4% -------------- --------------- TOTAL HONG KONG.............................. 161,050,825 16.6% -------------- --------------- MALAYSIA -- (0.0%) Other Securities.......................... 4,263 0.0% -------------- --------------- NEW ZEALAND -- (5.6%) Fisher & Paykel Healthcare Corp., Ltd..... 2,987,527 5,420,503 0.6% Port of Tauranga, Ltd..................... 528,322 4,965,527 0.5% Sky Network Television, Ltd............... 1,006,593 4,486,236 0.5% SKYCITY Entertainment Group, Ltd.......... 3,227,185 10,127,092 1.0% Other Securities.......................... 40,911,929 4.2% -------------- --------------- TOTAL NEW ZEALAND............................ 65,911,287 6.8% -------------- --------------- SINGAPORE -- (9.6%) Other Securities.......................... 113,320,189 11.6% -------------- --------------- UNITED KINGDOM -- (0.0%) Other Securities.......................... 8,865 0.0% -------------- --------------- TOTAL COMMON STOCKS.......................... 964,040,485 99.1% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.......................... 58,823 0.0% -------------- --------------- HONG KONG -- (0.0%) Other Securities.......................... 22,286 0.0% -------------- --------------- SINGAPORE -- (0.0%) Other Securities.......................... 16,453 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS........................ 97,562 0.0% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (18.0%) (S)@DFA Short Term Investment Fund........... 212,000,000 212,000,000 21.8% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $60,378) to be repurchased at $59,194................................. $ 59 59,194 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL.......... 212,059,194 21.8% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,132,401,975)...................... $1,176,197,241 120.9% ============== ===============
202 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------- -------------- ------- -------------- Common Stocks Australia....................... -- $ 622,729,032 -- $ 622,729,032 Canada.......................... -- 743,462 -- 743,462 China........................... -- 272,562 -- 272,562 Hong Kong....................... -- 161,050,825 -- 161,050,825 Malaysia........................ -- 4,263 -- 4,263 New Zealand..................... -- 65,911,287 -- 65,911,287 Singapore....................... -- 113,320,189 -- 113,320,189 United Kingdom.................. -- 8,865 -- 8,865 Rights/Warrants Australia....................... -- 58,823 -- 58,823 Hong Kong....................... -- 22,286 -- 22,286 Singapore....................... -- 16,453 -- 16,453 Securities Lending Collateral...... -- 212,059,194 -- 212,059,194 ------- -------------- ------- -------------- TOTAL.............................. -- $1,176,197,241 -- $1,176,197,241 ======= ============== ======= ==============
See accompanying Notes to Financial Statements. 203 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (99.3%) Consumer Discretionary -- (22.6%) Aegis Group P.L.C......................... 3,314,004 $ 9,561,820 0.7% *Berkeley Group Holdings P.L.C. (The)...... 517,118 10,752,621 0.8% GKN P.L.C................................. 3,414,280 11,292,644 0.8% Greene King P.L.C......................... 1,421,372 11,778,569 0.9% Inchcape P.L.C............................ 1,915,975 11,382,977 0.9% Informa P.L.C............................. 2,292,105 15,426,586 1.2% ITV P.L.C................................. 8,448,636 11,480,210 0.9% Ladbrokes P.L.C........................... 3,578,739 10,422,240 0.8% Persimmon P.L.C........................... 1,177,634 12,010,988 0.9% Rightmove P.L.C........................... 378,372 9,466,824 0.7% *Taylor Wimpey P.L.C....................... 12,262,982 10,002,199 0.7% UBM P.L.C................................. 920,989 8,813,896 0.7% William Hill P.L.C........................ 2,894,680 13,222,456 1.0% Other Securities.......................... 153,623,532 11.6% ------------ --------------- Total Consumer Discretionary................. 299,237,562 22.6% ------------ --------------- Consumer Staples -- (4.0%) Tate & Lyle P.L.C......................... 1,074,000 12,038,743 0.9% Other Securities.......................... 40,342,941 3.1% ------------ --------------- Total Consumer Staples....................... 52,381,684 4.0% ------------ --------------- Energy -- (5.0%) *Afren P.L.C............................... 3,944,497 8,635,726 0.6% *John Wood Group P.L.C..................... 1,034,385 13,135,082 1.0% *Premier Oil P.L.C......................... 1,895,355 11,534,115 0.9% Other Securities.......................... 33,277,294 2.5% ------------ --------------- Total Energy................................. 66,582,217 5.0% ------------ --------------- Financials -- (13.0%) Aberdeen Asset Management P.L.C........... 2,820,342 12,939,383 1.0% Amlin P.L.C............................... 1,918,231 10,273,769 0.8% Catlin Group, Ltd......................... 1,357,851 9,302,885 0.7% Hiscox, Ltd............................... 1,574,362 10,182,158 0.7% IG Group Holdings P.L.C................... 1,317,769 9,901,769 0.7% London Stock Exchange Group P.L.C......... 579,642 10,234,019 0.8% Provident Financial P.L.C................. 499,581 9,372,750 0.7% Other Securities.......................... 99,378,068 7.5% ------------ --------------- Total Financials............................. 171,584,801 12.9% ------------ --------------- Health Care -- (2.0%) Other Securities.......................... 25,992,837 2.0% ------------ --------------- Industrials -- (29.3%) Babcock International Group P.L.C......... 1,446,405 19,522,264 1.5% Balfour Beatty P.L.C...................... 2,850,059 12,077,514 0.9% BBA Aviation P.L.C........................ 2,792,163 8,954,960 0.7% Bodycote P.L.C............................ 1,253,236 8,655,246 0.6% Cobham P.L.C.............................. 3,906,025 14,362,374 1.1% Cookson Group P.L.C....................... 1,142,420 13,457,785 1.0% IMI P.L.C................................. 1,016,818 16,334,097 1.2% Intertek Group P.L.C...................... 456,070 18,620,838 1.4% Invensys P.L.C............................ 2,433,434 8,778,406 0.7% Meggitt P.L.C............................. 2,409,961 15,981,325 1.2% Melrose P.L.C............................. 1,583,124 11,233,829 0.8% Michael Page International P.L.C.......... 1,310,832 8,857,530 0.7% *Rentokil Initial P.L.C.................... 6,788,052 9,547,632 0.7% Rotork P.L.C.............................. 366,679 13,138,331 1.0%
204 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- Industrials -- (Continued) Spirax-Sarco Engineering P.L.C............ 320,648 $ 12,004,620 0.9% Travis Perkins P.L.C...................... 922,110 15,731,933 1.2% Other Securities.......................... 181,415,508 13.7% -------------- --------------- Total Industrials............................ 388,674,192 29.3% -------------- --------------- Information Technology -- (10.8%) Halma P.L.C............................... 1,549,740 10,191,618 0.7% *Imagination Technologies Group P.L.C...... 961,901 10,731,597 0.8% *Misys P.L.C............................... 1,604,251 9,085,315 0.7% Spectris P.L.C............................ 515,234 15,775,629 1.2% Other Securities.......................... 97,868,670 7.4% -------------- --------------- Total Information Technology................. 143,652,829 10.8% -------------- --------------- Materials -- (7.9%) Croda International P.L.C................. 508,309 18,410,337 1.4% DS Smith P.L.C............................ 4,475,611 12,191,635 0.9% Mondi P.L.C............................... 1,236,260 11,495,279 0.9% Other Securities.......................... 62,474,026 4.7% -------------- --------------- Total Materials.............................. 104,571,277 7.9% -------------- --------------- Telecommunication Services -- (2.4%) *Inmarsat P.L.C............................ 1,585,110 11,310,909 0.8% Other Securities.......................... 20,720,899 1.6% -------------- --------------- Total Telecommunication Services............. 32,031,808 2.4% -------------- --------------- Utilities -- (2.3%) Drax Group P.L.C.......................... 1,492,564 13,151,706 1.0% Pennon Group P.L.C........................ 1,434,955 17,133,247 1.3% Other Securities.......................... 255,717 0.0% -------------- --------------- Total Utilities.............................. 30,540,670 2.3% -------------- --------------- TOTAL COMMON STOCKS.......................... 1,315,249,877 99.2% -------------- --------------- PREFERRED STOCKS -- (0.0%) Consumer Staples -- (0.0%) Other Securities.......................... 9,711 0.0% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................... 187,888 0.0% -------------- ---------------
SHARES/ FACE AMOUNT VALUE+ ---------- -------------- (000) SECURITIES LENDING COLLATERAL -- (0.7%) (S)@DFA Short Term Investment Fund........... 6,000,000 6,000,000 0.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $2,811,775) to be repurchased at $2,756,658........................... $ 2,757 2,756,642 0.2% -------------- ------------- TOTAL SECURITIES LENDING COLLATERAL.......... 8,756,642 0.6% -------------- ------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,141,647,483)...................... $1,324,204,118 99.8% ============== =============
205 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------- -------------- ------- -------------- Common Stocks Consumer Discretionary.......... -- $ 299,237,562 -- $ 299,237,562 Consumer Staples................ -- 52,381,684 -- 52,381,684 Energy.......................... -- 66,582,217 -- 66,582,217 Financials...................... -- 171,584,801 -- 171,584,801 Health Care..................... -- 25,992,837 -- 25,992,837 Industrials..................... -- 388,674,192 -- 388,674,192 Information Technology.......... -- 143,652,829 -- 143,652,829 Materials....................... -- 104,571,277 -- 104,571,277 Telecommunication Services...... -- 32,031,808 -- 32,031,808 Utilities....................... -- 30,540,670 -- 30,540,670 Preferred Stocks Consumer Staples................ -- 9,711 -- 9,711 Rights/Warrants.................... -- 187,888 -- 187,888 Securities Lending Collateral...... -- 8,756,642 -- 8,756,642 ------- -------------- ------- -------------- TOTAL.............................. -- $1,324,204,118 -- $1,324,204,118 ======= ============== ======= ==============
See accompanying Notes to Financial Statements. 206 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (80.3%) AUSTRIA -- (2.0%) Other Securities.......................... $ 52,671,225 2.5% ------------ --------------- BELGIUM -- (2.9%) Ackermans & van Haaren NV................. 102,814 8,817,758 0.4% Other Securities.......................... 65,675,941 3.1% ------------ --------------- TOTAL BELGIUM................................ 74,493,699 3.5% ------------ --------------- DENMARK -- (2.9%) GN Store Nord A.S......................... 803,034 9,009,020 0.4% *Topdanmark A.S............................ 53,386 9,159,428 0.5% Other Securities.......................... 57,142,541 2.7% ------------ --------------- TOTAL DENMARK................................ 75,310,989 3.6% ------------ --------------- FINLAND -- (5.7%) #Elisa Oyj................................. 494,801 11,158,479 0.5% KCI Konecranes Oyj........................ 245,559 7,480,806 0.4% Orion Oyj Series B........................ 344,811 7,033,700 0.3% Outotec Oyj............................... 163,942 8,828,275 0.4% Yit Oyj................................... 414,815 8,914,555 0.4% Other Securities.......................... 104,236,994 5.0% ------------ --------------- TOTAL FINLAND................................ 147,652,809 7.0% ------------ --------------- FRANCE -- (9.0%) Arkema SA................................. 100,646 8,926,181 0.4% Gemalto NV................................ 100,369 7,476,909 0.4% #Havas SA.................................. 1,237,226 7,002,843 0.3% Remy Cointreau SA......................... 71,810 8,008,279 0.4% Societe BIC SA............................ 64,009 7,050,792 0.3% Valeo SA.................................. 149,480 7,351,139 0.4% Zodiac Aerospace SA....................... 73,650 8,104,728 0.4% Other Securities.......................... 181,530,886 8.6% ------------ --------------- TOTAL FRANCE................................. 235,451,757 11.2% ------------ --------------- GERMANY -- (11.9%) #*Aareal Bank AG............................ 423,110 8,172,145 0.4% Aurubis AG................................ 153,470 8,541,664 0.4% Bilfinger Berger SE....................... 83,683 7,656,315 0.4% #Fuchs Petrolub AG......................... 139,623 7,790,815 0.4% MTU Aero Engines Holding AG............... 133,417 11,241,302 0.5% Rheinmetall AG............................ 126,838 7,127,545 0.3% Rhoen-Klinikum AG......................... 406,308 11,434,061 0.5% #*SGL Carbon SE............................. 229,387 10,484,139 0.5% Symrise AG................................ 330,233 9,570,836 0.5% Other Securities.......................... 227,268,689 10.8% ------------ --------------- TOTAL GERMANY................................ 309,287,511 14.7% ------------ --------------- GREECE -- (1.7%) Other Securities.......................... 44,724,383 2.1% ------------ --------------- IRELAND -- (2.7%) DCC P.L.C................................. 308,989 7,813,596 0.4% Dragon Oil P.L.C.......................... 1,051,459 9,944,849 0.5% Paddy Power P.L.C......................... 180,573 11,787,740 0.5% Other Securities.......................... 40,235,214 1.9% ------------ --------------- TOTAL IRELAND................................ 69,781,399 3.3% ------------ ---------------
207 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- ISRAEL -- (2.2%) Other Securities.......................... $ 56,498,400 2.7% -------------- --------------- ITALY -- (6.4%) #Banca Popolare di Sondrio Scarl........... 1,122,536 7,563,379 0.4% Prysmian SpA.............................. 653,038 10,637,244 0.5% Other Securities.......................... 148,657,496 7.0% -------------- --------------- TOTAL ITALY.................................. 166,858,119 7.9% -------------- --------------- NETHERLANDS -- (4.3%) Aalberts Industries NV.................... 403,971 7,752,781 0.4% #ASM International NV...................... 205,174 7,263,574 0.3% #Imtech NV................................. 304,306 8,605,181 0.4% Nutreco NV................................ 152,966 11,117,129 0.5% SBM Offshore NV........................... 380,277 6,922,206 0.3% Other Securities.......................... 70,607,576 3.4% -------------- --------------- TOTAL NETHERLANDS............................ 112,268,447 5.3% -------------- --------------- NORWAY -- (2.9%) Other Securities.......................... 74,892,102 3.6% -------------- --------------- PORTUGAL -- (0.8%) Other Securities.......................... 21,194,376 1.0% -------------- --------------- SPAIN -- (3.9%) Viscofan SA............................... 185,838 8,411,849 0.4% Other Securities.......................... 93,481,680 4.4% -------------- --------------- TOTAL SPAIN.................................. 101,893,529 4.8% -------------- --------------- SWEDEN -- (8.4%) Castellum AB.............................. 585,573 7,414,723 0.4% Elekta AB Series B........................ 174,406 8,820,215 0.4% *Lundin Petroleum AB....................... 355,036 7,067,087 0.3% Meda AB Series A.......................... 831,147 8,219,556 0.4% Trelleborg AB Series B.................... 970,775 11,131,201 0.5% Other Securities.......................... 174,959,017 8.3% -------------- --------------- TOTAL SWEDEN................................. 217,611,799 10.3% -------------- --------------- SWITZERLAND -- (12.6%) Aryzta AG................................. 234,309 11,802,736 0.6% *Clariant AG............................... 699,758 8,908,753 0.4% *Dufry AG.................................. 65,162 8,849,964 0.4% #Galenica Holding AG....................... 18,828 12,849,335 0.6% GAM Holding AG............................ 780,910 10,039,056 0.5% Helvetia Holding AG....................... 22,754 8,161,346 0.4% Lonza Group AG............................ 154,508 6,971,610 0.3% *PSP Swiss Property AG..................... 148,327 13,329,434 0.6% Sulzer AG................................. 61,232 8,818,601 0.4% #Swiss Life Holding AG..................... 99,751 10,203,294 0.5% Other Securities.......................... 229,459,144 10.9% -------------- --------------- TOTAL SWITZERLAND............................ 329,393,273 15.6% -------------- --------------- TOTAL COMMON STOCKS.......................... 2,089,983,817 99.1% -------------- --------------- PREFERRED STOCKS -- (0.0%) SWEDEN -- (0.0%) Other Securities.......................... 199,447 0.0% -------------- --------------- RIGHTS/WARRANTS -- (0.1%) BELGIUM -- (0.0%) Other Securities.......................... 2,102 0.0% -------------- ---------------
208 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- DENMARK -- (0.0%) Other Securities.......................................... $ 27,858 0.0% -------------- --------------- FRANCE -- (0.0%) Other Securities.......................................... 821 0.0% -------------- --------------- GERMANY -- (0.0%) Other Securities.......................................... -- 0.0% -------------- --------------- PORTUGAL -- (0.1%) Other Securities.......................................... 991,437 0.1% -------------- --------------- SWITZERLAND -- (0.0%) Other Securities.......................................... 67 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS....................................... 1,022,285 0.1% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (19.6%) (S)@DFA Short Term Investment Fund.......................... 510,000,000 510,000,000 24.2% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $967,183) to be repurchased at $948,225................ $ 948 948,219 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL......................... 510,948,219 24.2% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,636,410,543)..................................... $2,602,153,768 123.4% ============== ===============
209 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- -------------- ------- -------------- Common Stocks Austria.................... -- $ 52,671,225 -- $ 52,671,225 Belgium.................... -- 74,493,699 -- 74,493,699 Denmark.................... -- 75,310,989 -- 75,310,989 Finland.................... -- 147,652,809 -- 147,652,809 France..................... -- 235,451,757 -- 235,451,757 Germany.................... -- 309,287,511 -- 309,287,511 Greece..................... -- 44,724,383 -- 44,724,383 Ireland.................... -- 69,781,399 -- 69,781,399 Israel..................... $1,655,134 54,843,266 -- 56,498,400 Italy...................... -- 166,858,119 -- 166,858,119 Netherlands................ -- 112,268,447 -- 112,268,447 Norway..................... -- 74,892,102 -- 74,892,102 Portugal................... -- 21,194,376 -- 21,194,376 Spain...................... -- 101,893,529 -- 101,893,529 Sweden..................... -- 217,611,799 -- 217,611,799 Switzerland................ -- 329,393,273 -- 329,393,273 Preferred Stocks Sweden..................... -- 199,447 -- 199,447 Rights/Warrants Belgium.................... -- 2,102 -- 2,102 Denmark.................... -- 27,858 -- 27,858 France..................... -- 821 -- 821 Germany.................... -- -- -- -- Portugal................... -- 991,437 -- 991,437 Switzerland................ -- 67 -- 67 Securities Lending Collateral. -- 510,948,219 -- 510,948,219 ---------- -------------- ------- -------------- TOTAL......................... $1,655,134 $2,600,498,634 -- $2,602,153,768 ========== ============== ======= ==============
See accompanying Notes to Financial Statements. 210 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- COMMON STOCKS -- (77.8%) Consumer Discretionary -- (9.1%) Astral Media, Inc. Class A................ 197,447 $ 9,757,921 1.3% Cineplex, Inc............................. 222,359 6,770,824 0.9% #Corus Entertainment, Inc. Class B......... 304,900 7,518,716 1.0% Groupe Aeroplan, Inc...................... 696,151 8,949,858 1.2% #*Imax Corp................................. 260,537 6,237,485 0.8% Quebecor, Inc. Class B.................... 111,093 4,366,798 0.6% #RONA, Inc................................. 677,175 7,266,341 1.0% Other Securities.......................... 35,146,867 4.8% ------------ --------------- Total Consumer Discretionary................. 86,014,810 11.6% ------------ --------------- Consumer Staples -- (2.5%) Maple Leaf Foods, Inc..................... 375,500 4,907,329 0.7% Other Securities.......................... 18,931,038 2.5% ------------ --------------- Total Consumer Staples....................... 23,838,367 3.2% ------------ --------------- Energy -- (19.3%) #*BlackPearl Resources, Inc................. 1,106,385 4,972,769 0.7% *Flint Energy Services, Ltd................ 189,506 4,778,655 0.6% *Gran Tierra Energy, Inc................... 1,003,351 6,469,956 0.9% *Legacy Oil & Gas, Inc..................... 523,090 4,564,494 0.6% Mullen Group, Ltd......................... 292,057 6,326,892 0.8% #*Petrobank Energy & Resources, Ltd......... 410,065 5,877,937 0.8% Petrominerales, Ltd....................... 330,464 4,833,937 0.6% ShawCor, Ltd. Class A..................... 222,500 7,196,310 1.0% Veresen, Inc.............................. 278,043 4,247,273 0.6% Other Securities.......................... 133,750,601 18.1% ------------ --------------- Total Energy................................. 183,018,824 24.7% ------------ --------------- Financials -- (6.9%) AGF Management, Ltd. Class B.............. 334,079 4,616,266 0.6% #Canadian Western Bank..................... 271,572 7,887,231 1.1% Davis & Henderson Corp.................... 235,099 4,507,542 0.6% #Home Capital Group, Inc................... 120,600 5,867,324 0.8% Laurentian Bank of Canada................. 102,700 4,577,498 0.6% MI Developments, Inc...................... 182,598 6,454,747 0.9% TMX Group, Inc............................ 231,476 10,567,968 1.4% Other Securities.......................... 21,297,970 2.9% ------------ --------------- Total Financials............................. 65,776,546 8.9% ------------ --------------- Health Care -- (1.8%) #Nordion, Inc.............................. 464,108 4,237,743 0.6% Other Securities.......................... 12,330,736 1.6% ------------ --------------- Total Health Care............................ 16,568,479 2.2% ------------ --------------- Industrials -- (9.1%) Progressive Waste Solutions, Ltd.......... 209,167 4,537,580 0.6% #Ritchie Brothers Auctioneers, Inc......... 244,637 5,175,799 0.7% #Russel Metals, Inc........................ 244,400 6,707,176 0.9% #Stantec, Inc.............................. 174,795 5,710,011 0.8% #Toromont Industries, Ltd.................. 291,567 6,534,690 0.9% TransForce, Inc........................... 314,697 5,692,803 0.8% #*Westport Innovations, Inc................. 189,501 5,946,784 0.8% Other Securities.......................... 46,231,424 6.2% ------------ --------------- Total Industrials............................ 86,536,267 11.7% ------------ ---------------
211 THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ ------------ --------------- Information Technology -- (3.8%) *Celestica, Inc............................ 854,007 $ 7,650,921 1.0% MacDonald Dettweiler & Associates, Ltd.... 120,853 5,488,147 0.8% Other Securities.......................... 23,200,415 3.1% ------------ ----- Total Information Technology................. 36,339,483 4.9% ------------ ----- Materials -- (21.9%) #Alamos Gold, Inc.......................... 423,220 7,745,931 1.0% #*AuRico Gold, Inc.......................... 967,321 8,891,304 1.2% *B2Gold Corp............................... 1,310,750 4,949,231 0.7% *Canfor Corp............................... 396,255 4,340,213 0.6% *First Majestic Silver Corp................ 400,683 6,303,198 0.9% HudBay Minerals, Inc...................... 697,766 7,346,021 1.0% #Major Drilling Group International, Inc... 319,200 4,791,958 0.7% *Neo Material Technologies, Inc............ 414,300 4,567,219 0.6% #*NovaGold Resources, Inc................... 845,155 6,091,516 0.8% Pan American Silver Corp.................. 320,761 6,237,613 0.8% SEMAFO, Inc............................... 956,185 4,859,087 0.7% #Sherritt International Corp............... 1,571,926 8,990,618 1.2% West Fraser Timber Co., Ltd............... 135,316 5,949,055 0.8% Other Securities.......................... 126,089,753 17.0% ------------ ----- Total Materials.............................. 207,152,717 28.0% ------------ ----- Telecommunication Services -- (0.4%) Other Securities.......................... 3,389,649 0.5% ------------ ----- Utilities -- (3.0%) Capital Power Corp........................ 235,321 5,579,003 0.7% Just Energy Group, Inc.................... 553,878 7,283,368 1.0% Northland Power, Inc...................... 281,985 5,038,250 0.7% Other Securities.......................... 10,202,401 1.4% ------------ ----- Total Utilities.............................. 28,103,022 3.8% ------------ ----- TOTAL COMMON STOCKS.......................... 736,738,164 99.5% ------------ ----- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................... 11,035 0.0% ------------ ----- SHARES/ FACE AMOUNT VALUE+ ------------ ------------ (000) SECURITIES LENDING COLLATERAL -- (22.2%) (S)@DFA Short Term Investment Fund........... 210,000,000 210,000,000 28.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $804,524) to be repurchased at $788,754.................................. $ 789 788,749 0.1% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL.......... 210,788,749 28.5% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,003,196,299)...................... $947,537,948 128.0% ============ =====
212 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuaton inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------------ ------- ------------ Common Stocks Consumer Discretionary..... $ 86,014,810 -- -- $ 86,014,810 Consumer Staples........... 23,838,367 -- -- 23,838,367 Energy..................... 183,018,824 -- -- 183,018,824 Financials................. 65,776,546 -- -- 65,776,546 Health Care................ 16,568,479 -- -- 16,568,479 Industrials................ 86,536,267 -- -- 86,536,267 Information Technology..... 36,339,483 -- -- 36,339,483 Materials.................. 207,094,072 $ 58,645 -- 207,152,717 Telecommunication Services. 3,389,649 -- -- 3,389,649 Utilities.................. 28,103,022 -- -- 28,103,022 Rights/Warrants............... -- 11,035 -- 11,035 Securities Lending Collateral. -- 210,788,749 -- 210,788,749 ------------ ------------ ------- ------------ TOTAL......................... $736,679,519 $210,858,429 -- $947,537,948 ============ ============ ======= ============
See accompanying Notes to Financial Statements. 213 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (85.2%) ARGENTINA -- (0.0%) Other Securities............................. $ -- 0.0% ------------ ------- BRAZIL -- (5.9%) BRF--Brasil Foods SA ADR..................... 594,060 10,948,526 0.4% Petroleo Brasilerio SA ADR................... 1,114,189 26,228,009 0.9% #Vale SA Sponsored ADR........................ 834,273 18,520,861 0.7% Other Securities............................. 123,364,606 4.4% ------------ ------- TOTAL BRAZIL.................................... 179,062,002 6.4% ------------ ------- CHILE -- (1.9%) Other Securities............................. 55,744,793 2.0% ------------ ------- CHINA -- (13.9%) Bank of China, Ltd. Series H................. 48,700,100 20,279,780 0.7% China Construction Bank Corp. Series H....... 34,837,590 27,080,269 1.0% China Life Insurance Co., Ltd. ADR........... 323,770 12,937,849 0.5% China Mobile, Ltd. Sponsored ADR............. 797,772 44,148,702 1.6% China Petroleum & Chemical Corp. ADR......... 106,449 11,227,176 0.4% China Shenhua Energy Co., Ltd. Series H...... 2,191,000 9,675,568 0.3% #CNOOC, Ltd. ADR.............................. 104,300 22,075,095 0.8% Industrial & Commercial Bank of China, Ltd. Series H................................... 37,226,185 24,686,592 0.9% PetroChina Co., Ltd. ADR..................... 141,210 21,014,872 0.7% Tencent Holdings, Ltd........................ 700,600 21,935,413 0.8% Other Securities............................. 203,039,332 7.2% ------------ ------- TOTAL CHINA..................................... 418,100,648 14.9% ------------ ------- COLOMBIA -- (0.5%) Other Securities............................. 13,526,504 0.5% ------------ ------- CZECH REPUBLIC -- (0.4%) Other Securities............................. 13,102,849 0.5% ------------ ------- EGYPT -- (0.1%) Other Securities............................. 3,543,656 0.1% ------------ ------- HUNGARY -- (0.4%) Other Securities............................. 11,143,498 0.4% ------------ ------- INDIA -- (7.7%) HDFC Bank, Ltd............................... 1,530,370 15,759,729 0.6% ICICI Bank, Ltd. Sponsored ADR............... 306,356 10,382,405 0.4% Infosys, Ltd................................. 214,112 9,928,308 0.3% ITC, Ltd..................................... 2,298,662 10,699,022 0.4% Reliance Industries, Ltd..................... 1,432,266 20,202,207 0.7% Tata Consultancy Services, Ltd............... 481,215 11,380,070 0.4% Other Securities............................. 152,234,637 5.4% ------------ ------- TOTAL INDIA..................................... 230,586,378 8.2% ------------ ------- INDONESIA -- (2.8%) PT Astra International Tbk................... 1,995,561 15,367,354 0.5% Other Securities............................. 70,120,377 2.5% ------------ ------- TOTAL INDONESIA................................. 85,487,731 3.0% ------------ ------- ISRAEL -- (0.0%) Other Securities............................. 19 0.0% ------------ ------- MALAYSIA -- (3.6%) CIMB Group Holdings Berhad................... 3,992,654 9,756,875 0.4%
214 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- MALAYSIA -- (Continued) Other Securities............................. $ 98,684,002 3.5% ------------ ------- TOTAL MALAYSIA.................................. 108,440,877 3.9% ------------ ------- MEXICO -- (5.6%) America Movil S.A.B. de C.V. Series L........ 33,690,314 45,003,356 1.6% Fomento Economico Mexicano S.A.B. de C.V..... 2,109,900 17,135,512 0.6% #Grupo Mexico S.A.B. de C.V. Series B......... 3,938,416 12,136,391 0.4% Wal-Mart de Mexico S.A.B. de C.V. Series V... 6,153,180 17,596,103 0.6% Other Securities............................. 77,335,308 2.8% ------------ ------- TOTAL MEXICO.................................... 169,206,670 6.0% ------------ ------- PERU -- (0.5%) Other Securities............................. 14,320,940 0.5% ------------ ------- PHILIPPINES -- (1.0%) Other Securities............................. 28,954,647 1.0% ------------ ------- POLAND -- (1.3%) Other Securities............................. 39,031,170 1.4% ------------ ------- RUSSIA -- (4.2%) Gazprom OAO Sponsored ADR.................... 4,226,507 48,951,667 1.7% Lukoil OAO Sponsored ADR..................... 376,321 23,151,730 0.8% MMC Norilsk Nickel JSC ADR................... 532,268 9,468,893 0.3% Rosneft Oil Co. GDR.......................... 1,491,147 10,677,377 0.4% Other Securities............................. 35,159,134 1.3% ------------ ------- TOTAL RUSSIA.................................... 127,408,801 4.5% ------------ ------- SOUTH AFRICA -- (7.6%) MTN Group, Ltd............................... 1,584,640 27,223,049 1.0% Naspers, Ltd. Series N....................... 304,989 18,368,740 0.7% Sasol, Ltd. Sponsored ADR.................... 621,195 29,463,279 1.0% Standard Bank Group, Ltd..................... 948,719 13,925,268 0.5% Other Securities............................. 140,665,815 5.0% ------------ ------- TOTAL SOUTH AFRICA.............................. 229,646,151 8.2% ------------ ------- SOUTH KOREA -- (13.8%) Hyundai Heavy Industries Co., Ltd............ 39,020 9,696,474 0.4% Hyundai Mobis................................ 53,070 14,348,373 0.5% Hyundai Motor Co., Ltd....................... 106,999 25,259,284 0.9% Kia Motors Corp.............................. 224,568 16,478,573 0.6% POSCO........................................ 46,060 15,258,688 0.5% Samsung Electronics Co., Ltd................. 69,482 85,043,282 3.0% Samsung Electronics Co., Ltd. GDR............ 49,372 30,128,714 1.1% Other Securities............................. 220,743,407 7.9% ------------ ------- TOTAL SOUTH KOREA............................... 416,956,795 14.9% ------------ ------- TAIWAN -- (10.2%) Formosa Chemicals & Fiber Co., Ltd........... 3,322,445 9,589,751 0.3% Formosa Plastics Corp........................ 4,070,648 11,513,425 0.4% Hon Hai Precision Industry Co., Ltd.......... 6,378,096 19,150,133 0.7% Nan Ya Plastic Corp.......................... 5,377,564 11,033,718 0.4% Taiwan Semiconductor Manufacturing Co., Ltd.. 19,090,808 56,425,489 2.0% Other Securities............................. 200,573,325 7.2% ------------ ------- TOTAL TAIWAN.................................... 308,285,841 11.0% ------------ ------- THAILAND -- (2.4%) Other Securities............................. 73,722,861 2.6% ------------ -------
215 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- TURKEY -- (1.4%) Other Securities....................................................... $ 43,149,079 1.5% -------------- ------- TOTAL COMMON STOCKS....................................................... 2,569,421,910 91.5% -------------- ------- PREFERRED STOCKS -- (7.1%) BRAZIL -- (6.9%) Banco Bradesco SA...................................................... 1,656,632 26,420,593 0.9% Cia de Bebidas das Americas SA ADR..................................... 622,039 26,113,197 0.9% Itau Unibanco Holding SA............................................... 1,765,700 27,706,155 1.0% Petroleo Brasilerio SA ADR............................................. 1,618,850 35,873,716 1.3% Vale SA................................................................ 1,412,691 30,571,311 1.1% Other Securities....................................................... 61,913,382 2.2% -------------- ------- TOTAL BRAZIL.............................................................. 208,598,354 7.4% -------------- ------- CHILE -- (0.2%) Other Securities....................................................... 5,320,187 0.2% -------------- ------- TOTAL PREFERRED STOCKS.................................................... 213,918,541 7.6% -------------- ------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities....................................................... 8 0.0% -------------- ------- THAILAND -- (0.0%) Other Securities....................................................... 42,585 0.0% -------------- ------- TOTAL RIGHTS/WARRANTS..................................................... 42,593 0.0% -------------- ------- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (7.7%) (S)@DFA Short Term Investment Fund........................................ 231,000,000 231,000,000 8.2% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $837,156) to be repurchased at $820,746.......... $ 821 820,741 0.1% -------------- ------- TOTAL SECURITIES LENDING COLLATERAL....................................... 231,820,741 8.3% -------------- ------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,890,395,399).................................................... $3,015,203,785 107.4% ============== =======
216 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Argentina.................. -- -- -- -- Brazil..................... $179,062,002 -- -- $ 179,062,002 Chile...................... 55,744,793 -- -- 55,744,793 China...................... 127,688,809 $ 290,411,839 -- 418,100,648 Colombia................... 13,526,504 -- -- 13,526,504 Czech Republic............. -- 13,102,849 -- 13,102,849 Egypt...................... -- 3,543,656 -- 3,543,656 Hungary.................... -- 11,143,498 -- 11,143,498 India...................... 22,500,718 208,085,660 -- 230,586,378 Indonesia.................. 44,143 85,443,588 -- 85,487,731 Israel..................... -- 19 -- 19 Malaysia................... -- 108,440,877 -- 108,440,877 Mexico..................... 169,199,278 7,392 -- 169,206,670 Peru....................... 14,320,940 -- -- 14,320,940 Philippines................ -- 28,954,647 -- 28,954,647 Poland..................... -- 39,031,170 -- 39,031,170 Russia..................... 2,008,285 125,400,516 -- 127,408,801 South Africa............... 48,133,559 181,512,592 -- 229,646,151 South Korea................ 11,786,422 405,170,373 -- 416,956,795 Taiwan..................... 8,954,214 299,331,627 -- 308,285,841 Thailand................... 73,722,861 -- -- 73,722,861 Turkey..................... 641,076 42,508,003 -- 43,149,079 Preferred Stocks Brazil..................... 208,598,354 -- -- 208,598,354 Chile...................... 5,320,187 -- -- 5,320,187 Rights/Warrants Brazil..................... -- 8 -- 8 Thailand................... -- 42,585 -- 42,585 Securities Lending Collateral. -- 231,820,741 -- 231,820,741 ------------ -------------- ------ -------------- TOTAL......................... $941,252,145 $2,073,951,640 -- $3,015,203,785 ============ ============== ====== ==============
See accompanying Notes to Financial Statements. 217 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- COMMON STOCKS -- (90.6%) ARGENTINA -- (0.0%) Other Securities.......................... $ -- 0.0% ------------ ------- BRAZIL -- (8.9%) Anhanguera Educacional Participacoes SA... 520,845 6,891,226 0.3% Cia de Saneamento de Minas Gerais-Copasa SA...................................... 287,721 6,739,628 0.3% Cia Hering SA............................. 340,090 8,444,487 0.3% Diagnosticos da America SA................ 855,441 6,125,840 0.2% Duratex SA................................ 920,162 5,406,612 0.2% Energias do Brazil SA..................... 899,806 6,273,600 0.3% Localiza Rent a Car SA.................... 397,002 6,789,741 0.3% Lojas Renner SA........................... 273,700 8,697,117 0.3% PDG Realty SA Empreendimentos e Participacoes........................... 2,990,624 7,028,825 0.3% Raia Drogasil SA.......................... 652,675 6,978,211 0.3% Sul America SA............................ 710,007 5,833,074 0.2% Totvs SA.................................. 453,100 8,795,058 0.3% Other Securities.......................... 161,627,028 6.3% ------------ ------- TOTAL BRAZIL................................. 245,630,447 9.6% ------------ ------- CHILE -- (1.4%) Other Securities.......................... 37,347,409 1.5% ------------ ------- CHINA -- (13.7%) China Yurun Food Group, Ltd............... 4,855,000 6,165,530 0.3% Sino-Ocean Land Holdings, Ltd............. 11,976,054 5,554,987 0.2% Other Securities.......................... 366,521,481 14.3% ------------ ------- TOTAL CHINA.................................. 378,241,998 14.8% ------------ ------- HUNGARY -- (0.1%) Other Securities.......................... 2,047,623 0.1% ------------ ------- INDIA -- (7.5%) Other Securities.......................... 205,571,846 8.0% ------------ ------- INDONESIA -- (4.9%) PT AKR Corporindo Tbk..................... 12,025,200 5,383,620 0.2% PT Lippo Karawaci Tbk..................... 78,355,312 7,061,372 0.3% Other Securities.......................... 123,604,124 4.8% ------------ ------- TOTAL INDONESIA.............................. 136,049,116 5.3% ------------ ------- ISRAEL -- (0.0%) Other Securities.......................... 424,530 0.0% ------------ ------- MALAYSIA -- (5.2%) Other Securities.......................... 143,597,844 5.6% ------------ ------- MEXICO -- (3.1%) Arca Continental S.A.B. de C.V............ 3,053,562 15,532,765 0.6% *Industrias CH S.A.B. de C.V. Series B..... 1,191,908 5,407,802 0.2% Other Securities.......................... 64,951,632 2.6% ------------ ------- TOTAL MEXICO................................. 85,892,199 3.4% ------------ ------- PHILIPPINES -- (2.2%) Universal Robina Corp..................... 3,594,015 5,521,960 0.2% Other Securities.......................... 54,077,104 2.1% ------------ ------- TOTAL PHILIPPINES............................ 59,599,064 2.3% ------------ -------
218 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- POLAND -- (1.8%) Other Securities............................. $ 49,834,442 1.9% -------------- ------- SOUTH AFRICA -- (8.2%) AECI, Ltd.................................... 495,730 5,678,651 0.2% Aveng, Ltd................................... 1,789,905 9,123,898 0.3% AVI, Ltd..................................... 1,114,620 6,884,241 0.3% Clicks Group, Ltd............................ 1,119,781 6,751,531 0.3% JD Group, Ltd................................ 983,807 6,189,984 0.2% Mr. Price Group, Ltd......................... 535,957 7,209,065 0.3% *Murray & Roberts Holdings, Ltd............... 2,030,019 7,453,617 0.3% Nampak, Ltd.................................. 2,360,530 6,840,454 0.3% Pretoria Portland Cement Co., Ltd............ 2,197,019 8,739,079 0.3% #PSG Group, Ltd............................... 742,484 5,648,609 0.2% Reunert, Ltd................................. 796,596 7,376,755 0.3% #*Sappi, Ltd................................... 2,011,862 7,299,674 0.3% Spar Group, Ltd. (The)....................... 622,477 9,735,654 0.4% Tongaat-Hulett, Ltd.......................... 629,016 8,491,680 0.3% Other Securities............................. 122,979,253 4.8% -------------- ------- TOTAL SOUTH AFRICA.............................. 226,402,145 8.8% -------------- ------- SOUTH KOREA -- (13.8%) BS Financial Group, Inc...................... 567,620 5,812,288 0.2% Cheil Worldwide, Inc......................... 380,705 6,606,016 0.3% DGB Financial Group, Inc..................... 507,673 5,909,426 0.2% #Hotel Shilla Co., Ltd........................ 137,488 6,412,780 0.3% Hyosung Corp................................. 102,462 5,215,039 0.2% Hyundai Marine & Fire Insurance Co., Ltd..... 258,860 6,616,965 0.3% *Korea Investment Holdings Co., Ltd........... 161,460 5,539,689 0.2% Macquarie Korea Infrastructure Fund.......... 1,232,751 6,039,827 0.2% *Mando Corp................................... 52,791 8,407,030 0.3% ORION Corp................................... 7,607 6,024,751 0.2% #Samsung Techwin Co., Ltd..................... 112,863 6,864,773 0.3% Shinsegae Co., Ltd........................... 31,431 6,885,701 0.3% Woongjin Coway Co., Ltd...................... 216,350 6,913,199 0.3% *Woori Investment & Securities Co., Ltd....... 578,522 5,667,723 0.2% Other Securities............................. 291,783,554 11.4% -------------- ------- TOTAL SOUTH KOREA............................... 380,698,761 14.9% -------------- ------- TAIWAN -- (13.4%) Other Securities............................. 370,031,188 14.4% -------------- ------- THAILAND -- (3.7%) Other Securities............................. 101,172,960 4.0% -------------- ------- TURKEY -- (2.7%) Other Securities............................. 75,070,300 2.9% -------------- ------- TOTAL COMMON STOCKS............................. 2,497,611,872 97.5% -------------- ------- PREFERRED STOCKS -- (2.2%) BRAZIL -- (2.2%) Eletropaulo Metropolitana Eletricidade de Sao Paulo SA............................... 707,800 10,827,819 0.4% *Klabin SA.................................... 1,412,700 6,759,082 0.3% Marcopolo SA................................. 1,021,700 5,499,379 0.2% Other Securities............................. 38,134,778 1.5% -------------- ------- TOTAL BRAZIL.................................... 61,221,058 2.4% -------------- ------- INDIA -- (0.0%) Other Securities............................. 107,371 0.0% -------------- -------
219 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------------ -------------- --------------- MALAYSIA -- (0.0%) Other Securities....................................................... $ 168,678 0.0% -------------- --------------- PHILIPPINES -- (0.0%) Other Securities....................................................... -- 0.0% -------------- --------------- TOTAL PREFERRED STOCKS.................................................... 61,497,107 2.4% -------------- --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities....................................................... 10,737 0.0% -------------- --------------- INDIA -- (0.0%) Other Securities....................................................... 22,559 0.0% -------------- --------------- MALAYSIA -- (0.0%) Other Securities....................................................... 8,123 0.0% -------------- --------------- SOUTH KOREA -- (0.0%) Other Securities....................................................... 43,215 0.0% -------------- --------------- THAILAND -- (0.0%) Other Securities....................................................... 192,110 0.0% -------------- --------------- TURKEY -- (0.0%) Other Securities....................................................... 346,240 0.0% -------------- --------------- TOTAL RIGHTS/WARRANTS..................................................... 622,984 0.0% -------------- --------------- SHARES/ FACE AMOUNT VALUE+ ------------ -------------- (000) SECURITIES LENDING COLLATERAL -- (7.2%) (S)@DFA Short Term Investment Fund........................................ 197,000,000 197,000,000 7.7% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $720,703) to be repurchased at $706,576.......... $ 707 706,572 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL....................................... 197,706,572 7.7% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,390,373,864)................................................... $2,757,438,535 107.6% ============== ===============
220 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Argentina.................. -- -- -- -- Brazil..................... $245,601,951 $ 28,496 -- $ 245,630,447 Chile...................... 37,347,409 -- -- 37,347,409 China...................... 72,115 378,169,883 -- 378,241,998 Hungary.................... -- 2,047,623 -- 2,047,623 India...................... 1,011,510 204,560,336 -- 205,571,846 Indonesia.................. -- 136,049,116 -- 136,049,116 Israel..................... -- 424,530 -- 424,530 Malaysia................... -- 143,597,844 -- 143,597,844 Mexico..................... 85,609,845 282,354 -- 85,892,199 Philippines................ -- 59,599,064 -- 59,599,064 Poland..................... -- 49,834,442 -- 49,834,442 South Africa............... -- 226,402,145 -- 226,402,145 South Korea................ -- 380,698,761 -- 380,698,761 Taiwan..................... -- 370,031,188 -- 370,031,188 Thailand................... 101,075,299 97,661 -- 101,172,960 Turkey..................... -- 75,070,300 -- 75,070,300 Preferred Stocks Brazil..................... 61,184,065 36,993 -- 61,221,058 India...................... -- 107,371 -- 107,371 Malaysia................... -- 168,678 -- 168,678 Philippines................ -- -- -- -- Rights/Warrants Brazil..................... 10,737 -- -- 10,737 India...................... -- 22,559 -- 22,559 Malaysia................... -- 8,123 -- 8,123 South Korea................ -- 43,215 -- 43,215 Thailand................... -- 192,110 -- 192,110 Turkey..................... -- 346,240 -- 346,240 Securities Lending Collateral. -- 197,706,572 -- 197,706,572 ------------ -------------- ------ -------------- TOTAL......................... $531,912,931 $2,225,525,604 -- $2,757,438,535 ============ ============== ====== ==============
See accompanying Notes to Financial Statements. 221 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE JAPANESE THE ASIA PACIFIC LARGE CAP INTERNATIONAL SMALL SMALL VALUE VALUE COMPANY COMPANY SERIES SERIES SERIES SERIES ----------- ------------- ------------ ---------------- ASSETS: Investments at Value (including $767,016, $1,116,551, $161,481 and $183,687 of securities on loan, respectively)......................... $10,142,405 $7,118,031 $1,703,722 $ 964,138 Temporary Cash Investments at Value & Cost.............................. 31,845 -- -- -- Collateral Received from Securities on Loan at Value & Cost............. 364 197 85 59 Affiliated Collateral Received from Securities on Loan at Value & Cost.. 785,569 1,174,000 176,000 212,000 Foreign Currencies at Value............................................. -- 24,978 789 9,622 Cash.................................................................... -- 18,001 1,564 -- Receivables: Investment Securities Sold........................................... 23,112 19,106 1,538 506 Dividends, Interest and Tax Reclaims................................. 9,932 39,352 18,619 1,918 Securities Lending Income............................................ 604 2,958 236 325 Fund Shares Sold..................................................... 1,481 2,585 -- 229 Unrealized Gain on Foreign Currency Contracts........................... -- 25 -- 4 Prepaid Expenses and Other Assets....................................... 14 188 3 1 ----------- ---------- ---------- ---------- Total Assets..................................................... 10,995,326 8,399,421 1,902,556 1,188,802 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned..................................... 785,933 1,174,197 176,085 212,059 Investment Securities Purchased...................................... 41,572 27,304 1,399 3,452 Fund Shares Redeemed................................................. 778 399 -- -- Due to Advisor....................................................... 844 1,191 143 81 Loan Payable......................................................... -- -- -- 60 Unrealized Loss on Foreign Currency Contracts........................... -- 9 -- 4 Accrued Expenses and Other Liabilities.................................. 504 412 58 72 ----------- ---------- ---------- ---------- Total Liabilities................................................ 829,631 1,203,512 177,685 215,728 ----------- ---------- ---------- ---------- NET ASSETS.............................................................. $10,165,695 $7,195,909 $1,724,871 $ 973,074 =========== ========== ========== ========== Investments at Cost..................................................... $ 7,709,892 $6,703,555 $1,746,562 $ 920,343 =========== ========== ========== ========== Foreign Currencies at Cost.............................................. $ -- $ 24,804 $ 784 $ 9,598 =========== ========== ========== ==========
See accompanying Notes to Financial Statements. 222 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
THE UNITED THE THE KINGDOM CONTINENTAL CANADIAN THE THE EMERGING SMALL SMALL SMALL EMERGING MARKETS COMPANY COMPANY COMPANY MARKETS SMALL CAP SERIES SERIES SERIES SERIES* SERIES* ---------- ----------- -------- ---------- ------------ ASSETS: Investments at Value (including $8,132, $484,086, $199,711, $275,325 and $199,719 of securities on loan, respectively)...... $1,315,447 $2,091,206 $736,749 $2,783,383 $2,559,732 Collateral Received from Securities on Loan at Value & Cost....... 2,757 948 789 821 707 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................ 6,000 510,000 210,000 231,000 197,000 Foreign Currencies at Value....................................... 2,468 8,956 1,397 3,077 13,942 Cash.............................................................. 866 454 270 21,566 4,283 Receivables: Investment Securities Sold..................................... 152 773 6,312 162 1,312 Dividends and Tax Reclaims..................................... 7,389 7,307 778 7,095 6,137 Securities Lending Income...................................... 22 1,357 181 452 496 Fund Shares Sold............................................... 30 7 -- 2,078 653 Unrealized Gain on Foreign Currency Contracts..................... -- -- -- -- 5 Prepaid Expenses and Other Assets................................. 2 4 2 4 99 ---------- ---------- -------- ---------- ---------- Total Assets............................................... 1,335,133 2,621,012 956,478 3,049,638 2,784,366 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned............................... 8,757 510,948 210,789 231,821 197,707 Investment Securities Purchased................................ -- 1,410 5,428 9,865 23,043 Fund Shares Redeemed........................................... -- -- -- 139 -- Due to Advisor................................................. 108 174 61 233 408 Unrealized Loss on Foreign Currency Contracts..................... -- -- -- -- 1 Accrued Expenses and Other Liabilities............................ 51 121 125 332 77 ---------- ---------- -------- ---------- ---------- Total Liabilities.......................................... 8,916 512,653 216,403 242,390 221,236 ---------- ---------- -------- ---------- ---------- NET ASSETS........................................................ $1,326,217 $2,108,359 $740,075 $2,807,248 $2,563,130 ========== ========== ======== ========== ========== Investments at Cost............................................... $1,132,891 $2,125,462 $792,408 $1,658,575 $2,192,667 ========== ========== ======== ========== ========== Foreign Currencies at Cost........................................ $ 2,426 $ 8,916 $ 1,406 $ 3,061 $ 13,911 ========== ========== ======== ========== ==========
-------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 223 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
THE ASIA THE U.S. THE DFA THE JAPANESE PACIFIC LARGE CAP INTERNATIONAL SMALL SMALL VALUE VALUE COMPANY COMPANY SERIES SERIES SERIES SERIES --------- ------------- ------------ -------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $9,473, $1,493 and $403, respectively)............................. $103,969 $ 122,522 $ 19,895 $14,853 Interest.................................... 12 1 -- -- Income from Securities Lending.............. 5,560 6,168 1,257 1,606 --------- ------------- ------------ -------- Total Investment Income................. 109,541 128,691 21,152 16,459 --------- ------------- ------------ -------- EXPENSES Investment Advisory Services Fees........... 4,868 6,964 805 458 Accounting & Transfer Agent Fees............ 458 333 86 55 Custodian Fees.............................. 50 628 163 217 Shareholders' Reports....................... 24 18 4 2 Directors'/Trustees' Fees & Expenses........ 38 28 6 4 Professional Fees........................... 189 84 17 11 Other....................................... 56 53 10 7 --------- ------------- ------------ -------- Total Expenses.......................... 5,683 8,108 1,091 754 --------- ------------- ------------ -------- Fees Paid Indirectly........................ -- (10) (3) (2) --------- ------------- ------------ -------- Net Expenses................................ 5,683 8,098 1,088 752 --------- ------------- ------------ -------- NET INVESTMENT INCOME (LOSS)................ 103,858 120,593 20,064 15,707 --------- ------------- ------------ -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on:................ Investment Securities Sold................ 223,634 99,828 7,185 41,529 Foreign Currency Transactions............. -- (798) (160) 14 Change in Unrealized Appreciation (Depreciation) of:........................ Investment Securities and Foreign Currency................................ 667,097 (142,403) 105,686 4,655 Translation of Foreign Currency Denominated Amounts..................... -- 843 892 (123) --------- ------------- ------------ -------- NET REALIZED AND UNREALIZED GAIN (LOSS)..... 890,731 (42,530) 113,603 46,075 --------- ------------- ------------ -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................... $994,589 $ 78,063 $133,667 $61,782 ========= ============= ============ ========
See accompanying Notes to Financial Statements. 224 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS)
THE UNITED THE KINGDOM CONTINENTAL THE CANADIAN THE THE EMERGING SMALL SMALL SMALL EMERGING MARKETS COMPANY COMPANY COMPANY MARKETS SMALL CAP SERIES SERIES SERIES SERIES SERIES ---------- ----------- ------------ -------- ------------ INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1, $3,744, $1,525, $2,288 and $1,532, respectively)....................... $ 18,094 $25,733 $ 6,764 $ 22,386 $ 18,459 Interest...................................... -- 2 -- -- -- Income from Securities Lending................ 133 4,895 1,057 2,375 2,547 -------- ------- -------- -------- -------- Total Investment Income................ 18,227 30,630 7,821 24,761 21,006 -------- ------- -------- -------- -------- EXPENSES Investment Advisory Services Fees............. 591 991 367 1,304 2,108 Accounting & Transfer Agent Fees.............. 67 104 46 132 109 Custodian Fees................................ 51 395 104 896 1,111 Shareholders' Reports......................... 3 6 2 6 5 Directors'/Trustees' Fees & Expenses.......... 4 8 3 10 8 Professional Fees............................. 13 27 9 60 79 Other......................................... 8 15 4 19 14 -------- ------- -------- -------- -------- Total Expenses......................... 737 1,546 535 2,427 3,434 -------- ------- -------- -------- -------- Fees Paid Indirectly.......................... (2) (4) (1) (12) (11) -------- ------- -------- -------- -------- Net Expenses.................................. 735 1,542 534 2,415 3,423 -------- ------- -------- -------- -------- NET INVESTMENT INCOME (LOSS).................. 17,492 29,088 7,287 22,346 17,583 -------- ------- -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on:.................. Investment Securities Sold................ 1,604 2,498 22,372 21,313 58,454 Futures................................... -- -- -- -- (389) Foreign Currency Transactions............. (47) (115) 147 (468)** (1,287)** Change in Unrealized Appreciation (Depreciation) of:.......................... Investment Securities and Foreign Currency................................ 154,250 18,419 (29,936) 83,318 55,510 Translation of Foreign Currency Denominated Amounts..................... 73 (216) (7) (34) (80) -------- ------- -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)....... 155,880 20,586 (7,424) 104,129 112,208 -------- ------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $173,372 $49,674 $ (137) $126,475 $129,791 ======== ======= ======== ======== ========
-------- ** Net of foreign capital gain taxes withheld of $13 and $87, respectively. See accompanying Notes to Financial Statements. 225 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 ------------------------ ----------------------- ---------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- ----------- ----------- ----------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................... $ 103,858 $ 168,852 $ 120,593 $ 254,173 $ 20,064 $ 29,896 Net Realized Gain (Loss) on: Investment Securities Sold.................. 223,634 387,017 99,828 161,341 7,185 17,637 Futures..................................... -- (12,646) -- -- -- -- Foreign Currency Transactions............... -- -- (798) 506 (160) 93 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 667,097 (74,679) (142,403) (1,021,735) 105,686 66,983 Translation of Foreign Currency Denominated Amounts....................... -- -- 843 (517) 892 (598) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 994,589 468,544 78,063 (606,232) 133,667 114,011 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions................................... 251,235 1,230,772 362,469 900,473 214,842 212,545 Withdrawals..................................... (415,236) (1,180,609) (200,530) (257,967) (126,453) (35,341) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............... (164,001) 50,163 161,939 642,506 88,389 177,204 ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................. 830,588 518,707 240,002 36,274 222,056 291,215 NET ASSETS Beginning of Period............................. 9,335,107 8,816,400 6,955,907 6,919,633 1,502,815 1,211,600 ----------- ----------- ---------- ----------- ---------- ---------- End of Period................................... $10,165,695 $ 9,335,107 $7,195,909 $ 6,955,907 $1,724,871 $1,502,815 =========== =========== ========== =========== ========== ==========
See accompanying Notes to Financial Statements. 226 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 --------------------- ---------------------- ---------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- --------- ----------- ---------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......................... $ 15,707 $ 36,987 $ 17,492 $ 42,984 $ 29,088 $ 61,832 Net Realized Gain (Loss) on: Investment Securities Sold....................... 41,529 71,818 1,604 18,980 2,498 66,872 Futures.......................................... -- -- -- -- -- (287) Foreign Currency Transactions.................... 14 521 (47) 33 (115) (576) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................................... 4,655 (158,023) 154,250 (66,130) 18,419 (377,057) Translation of Foreign Currency Denominated Amounts............................ (123) 109 73 53 (216) 52 -------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 61,782 (48,588) 173,372 (4,080) 49,674 (249,164) -------- --------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................................ 67,061 80,765 38,857 125,970 75,437 225,654 Withdrawals.......................................... (62,503) (60,581) (19,857) (24,739) (18,515) (47,211) -------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest.................... 4,558 20,184 19,000 101,231 56,922 178,443 -------- --------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets...................................... 66,340 (28,404) 192,372 97,151 106,596 (70,721) NET ASSETS Beginning of Period.................................. 906,734 935,138 1,133,845 1,036,694 2,001,763 2,072,484 -------- --------- ---------- ---------- ---------- ---------- End of Period........................................ $973,074 $ 906,734 $1,326,217 $1,133,845 $2,108,359 $2,001,763 ======== ========= ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 227 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 -------------------- ------------------------ ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31, 2012 2011 2012 2011 2012 2011 ----------- -------- ----------- ---------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 7,287 $ 13,890 $ 22,346 $ 62,989 $ 17,583 $ 46,175 Net Realized Gain (Loss) on: Investment Securities Sold......... 22,372 38,405 21,313 103,456 58,454 29,751 Futures............................ -- -- -- -- (389) -- Foreign Currency Transactions..................... 147 (110) (468)** (1,120)** (1,287)** (1,286)** Change in Unrealized Appreciation (Depreciation) of:.................................. Investment Securities and Foreign Currency................. (29,936) (68,747) 83,318 (330,512) 55,510 (364,541) Translation of Foreign Currency Denominated Amounts.......................... (7) 4 (34) (115) (80) (32) Change in Deferred Thailand Capital Gains Tax.................... -- -- -- 4,428 -- 3,997 -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... (137) (16,558) 126,475 (160,874) 129,791 (285,936) -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions.......................... 11,500 130,949 329,764 341,207 598,828 472,662 Withdrawals............................ (7,550) (41,851) (88,972) (269,845) (40,415) (193,156) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest...................... 3,950 89,098 240,792 71,362 558,413 279,506 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets........................ 3,813 72,540 367,267 (89,512) 688,204 (6,430) NET ASSETS Beginning of Period.................... 736,262 663,722 2,439,981 2,529,493 1,874,926 1,881,356 -------- -------- ---------- ---------- ---------- ---------- End of Period.......................... $740,075 $736,262 $2,807,248 $2,439,981 $2,563,130 $1,874,926 ======== ======== ========== ========== ========== ==========
-------- ** Net of foreign capital gain taxes withheld of $13, $903, $87 and $652, respectively. See accompanying Notes to Financial Statements. 228 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES+ --------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 - ----------- ---------- ---------- ---------- ---------- ----------- ---------- (UNAUDITED) Total Return...................... 10.72%(C) 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16% ----------- ---------- ---------- ---------- ---------- ----------- ---------- Net Assets, End of Period (thousands)..................... $10,165,695 $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%(B) 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12% Ratio of Net Investment Income to Average Net Assets.............. 2.15%(B) 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68% Portfolio Turnover Rate........... 6%(C) 14% 28% 29% 19%(C) 9% 13% THE DFA INTERNATIONAL VALUE SERIES+ --------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ----------- ---------- (UNAUDITED) Total Return...................... 1.08%(C) (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73% ----------- ---------- ---------- ---------- ---------- ----------- ---------- Net Assets, End of Period (thousands)..................... $ 7,195,909 $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%(B) 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%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23% Ratio of Net Investment Income to Average Net Assets.............. 3.48%(B) 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29% Portfolio Turnover Rate........... 8%(C) 9% 20% 18% 16%(C) 16% 8%
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. 229 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES ------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Total Return...................... 8.50%(C) 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% (2.28)% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $1,724,871 $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%(B) 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%(B) 0.14% 0.14% 0.15% 0.13%(B) 0.13% 0.14% Ratio of Net Investment Income to Average Net Assets.............. 2.51%(B) 2.07% 1.95% 2.15% 2.64%(B) 1.94% 1.68% Portfolio Turnover Rate........... 2%(C) 5% 10% 7% 10%(C) 9% 9% THE ASIA PACIFIC SMALL COMPANY SERIES ------------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Total Return...................... 6.80%(C) (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% 38.26% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $ 973,074 $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154 $ 749,627 Ratio of Expenses to Average Net Assets.......................... 0.17%(B) 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................... 0.17%(B) 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17% Ratio of Net Investment Income to Average Net Assets.............. 3.45%(B) 3.78% 3.64% 4.00% 4.33%(B) 3.58% 4.19% Portfolio Turnover Rate........... 11%(C) 17% 18% 23% 20%(C) 25% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 230 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES ------------------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Total Return...................... 14.99%(C) 0.20% 25.94% 43.51% (50.77)%(C) 2.42% 44.80% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $1,326,217 $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%(B) 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%(B) 0.13% 0.13% 0.14% 0.12%(B) 0.12% 0.13% Ratio of Net Investment Income to Average Net Assets.............. 2.98%(B) 3.76% 2.86% 4.02% 3.79%(B) 2.72% 2.70% Portfolio Turnover Rate........... 2%(C) 7% 15% 10% 25%(C) 12% 8% THE CONTINENTAL SMALL COMPANY SERIES ------------------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Total Return...................... 2.36%(C) (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% 47.10% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $2,108,359 $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.......................... 0.16%(B) 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)..................... 0.16%(B) 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets.............. 2.95%(B) 2.72% 2.24% 2.93% 3.49%(B) 2.16% 2.27% Portfolio Turnover Rate........... 5%(C) 10% 12% 7% 18%(C) 12% 7%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 231 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES ---------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, PERIOD ENDED ENDED ENDED ENDED 2007 TO APRIL 2, 2007(a) APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO 2012 2011 2010 2009 2008 NOV. 30, 2007 ----------- -------- -------- -------- -------- ---------------- (UNAUDITED) Total Return....................... 0.00%(C) 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C) -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)...................... $740,075 $736,262 $663,722 $365,181 $232,873 $213,529 Ratio of Expenses to Average Net Assets........................... 0.15%(B) 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)...................... 0.15%(B) 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Net Investment Income to Average Net Assets............... 2.00%(B) 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E) Portfolio Turnover Rate............ 15%(C) 24% 10% 23% 21%(C) 6%(C)
THE EMERGING MARKETS SERIES ------------------------------------------------------------------------------------------ PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- ---------- ---------- ---------- (UNAUDITED) Total Return...................... 4.68%(C) (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% 31.87% ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)..................... $2,807,248 $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.......................... 0.19%(B) 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)..................... 0.19%(B) 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets.............. 1.72%(B) 2.48% 2.18% 2.57% 3.00%(B) 2.52% 2.54% Portfolio Turnover Rate........... 2%(C) 16% 12% 14% 19%(C) 7% 11%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 232 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES -------------------------------------------------------------------------------------- PERIOD SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30, 2012 2011 2010 2009 2008 2007 2006 ----------- ---------- ---------- ---------- -------- ---------- -------- (UNAUDITED) Total Return............................ 6.16%(C) (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% 40.55% ---------- ---------- ---------- ---------- -------- ---------- -------- Net Assets, End of Period (thousands)... $2,563,130 $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%(B) 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%(B) 0.33% 0.32% 0.33% 0.30%(B) 0.31% 0.34% Ratio of Net Investment Income to Average Net Assets.................... 1.68%(B) 2.32% 2.16% 2.52% 3.07%(B) 1.94% 2.39% Portfolio Turnover Rate................. 6%(C) 18% 15% 13% 19%(C) 16% 18%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 233 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of eleven operational investment portfolios, of which nine are included in this section of the report (collectively, the "Series"), and two are presented in separate reports. DOMESTIC EQUITY PORTFOLIO INTERNATIONAL EQUITY PORTFOLIOS ------------------------- ---------------------------------------- The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series Effective December 31, 2008 and November 1, 2008, The U.S. Large Cap Value Series and The DFA International Value Series, respectively, each a master fund in a RIC/RIC master-feeder structure, elected with the consent of their respective Holder(s) to change their U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. Each Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Series from November 30 to October 31. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Series' own assumptions in determining the fair value of investments) 234 Securities held by the Domestic Equity Portfolio and the International Equity Portfolios, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of 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 previously in the Security Valuation note. Valuation hierarchy tables have been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Series did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2012. 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their 235 respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible 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 April 30, 2012, 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. 236 C. INVESTMENT ADVISOR: Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the six months ended April 30, 2012, the Series' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The U.S. Large Cap Value Series............................. 0.10% The DFA International Value Series.......................... 0.20% The Japanese Small Company Series........................... 0.10% The Asia Pacific Small Company Series....................... 0.10% The United Kingdom Small Company Series..................... 0.10% The Continental Small Company Series........................ 0.10% The Canadian Small Company Series........................... 0.10% The Emerging Markets Series................................. 0.10% The Emerging Markets Small Cap Series....................... 0.20% EARNED INCOME CREDIT: In addition, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Series custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2012, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- The DFA International Value Series..................... $ 10 The Japanese Small Company Series...................... 3 The Asia Pacific Small Company Series.................. 2 The United Kingdom Small Company Series................ 2 The Continental Small Company Series................... 4 The Canadian Small Company Series...................... 1 The Emerging Markets Series............................ 12 The Emerging Markets Small Cap Series.................. 11
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the six months ended April 30, 2012, the total related amounts paid by the Trust to the CCO were $41 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At April 30, 2012, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): The U.S. Large Cap Value Series............................. $252 The DFA International Value Series.......................... 195 The Japanese Small Company Series........................... 42 The Asia Pacific Small Company Series....................... 20 The United Kingdom Small Company Series..................... 24 The Continental Small Company Series 49 237 The Canadian Small Company Series........................... $ 12 The Emerging Markets Series................................. 67 The Emerging Markets Small Cap Series....................... 36 E. PURCHASES AND SALES OF SECURITIES: For the six months ended April 30, 2012, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
PURCHASES SALES --------- -------- The U.S. Large Cap Value Series.............. $569,377 $633,876 The DFA International Value Series........... 814,499 542,286 The Japanese Small Company Series............ 140,581 36,238 The Asia Pacific Small Company Series........ 123,610 100,462 The United Kingdom Small Company Series...... 59,992 28,651 The Continental Small Company Series......... 180,325 94,336 The Canadian Small Company Series............ 113,050 112,568 The Emerging Markets Series.................. 292,057 44,140 The Emerging Markets Small Cap Series........ 716,874 128,648
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 April 30, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ----------- ------------ -------------- -------------- The U.S. Large Cap Value Series......... $8,527,971 $2,786,176 $(353,964) $2,432,212 The DFA International Value Series...... 7,879,341 1,169,037 (756,150) 412,887 The Japanese Small Company Series....... 1,923,944 227,705 (271,842) (44,137) The Asia Pacific Small Company Series... 1,135,735 249,937 (209,475) 40,462 The United Kingdom Small Company Series. 1,146,238 371,600 (193,634) 177,966 The Continental Small Company Series.... 2,637,767 464,521 (500,134) (35,613) The Canadian Small Company Series....... 1,003,197 114,416 (170,075) (55,659) The Emerging Markets Series............. 1,892,365 1,193,818 (70,979) 1,122,839 The Emerging Markets Small Cap Series... 2,403,986 601,764 (248,311) 353,453
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed each Series' tax positions and has concluded that no additional provision for income tax is required in any Series' financial statements. No Series is aware of any tax positions for which it is more likely than not that the total amounts of 238 unrecognized tax benefits will significantly change in the next twelve months. Each of the Series' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (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. 239 DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Series. 3. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The following is a summary of the Series' location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2012 (amounts in thousands):
LOCATION ON THE STATEMENTS EQUITY OF OPERATIONS CONTRACTS -------------------------- --------- The Emerging Markets Small Cap Series*. Net Realized Gain (Loss) on Futures $(389)
* As of April 30, 2012, there were no futures contracts outstanding. During the six months ended April 30, 2012, the Series had limited activity in futures contracts. H. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on July 6, 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. There were no borrowings by the Series under this line of credit during the six months ended April 30, 2012. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. 240 For the six months ended April 30, 2012, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The U.S. Large Cap Value Series......... 0.86% $14,147 27 $ 9 $58,537 The DFA International Value Series...... 0.82% 15,357 4 1 15,549 The Japanese Small Company Series....... 0.86% 994 3 -- 1,800 The Asia Pacific Small Company Series... 0.84% 834 12 -- 2,385 The United Kingdom Small Company Series. 0.86% 2,542 1 -- 2,542 The Continental Small Company Series.... 0.90% 85 1 -- 85 The Canadian Small Company Series....... 0.79% 121 1 -- 121 The Emerging Markets Series............. 0.83% 4,772 9 1 8,236 The Emerging Markets Small Cap Series... 0.83% 1,600 23 1 5,484
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2012 that each Series' available line of credit was utilized. At April 30, 2012, The Asia Pacific Small Company Series had a loan outstanding in the amount of $60 ( in thousands). I. SECURITIES LENDING: As of April 30, 2012, some of the Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. In addition, The Emerging Market Series and The Emerging Markets Small Cap Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $59,527 and $26,058, respectively (in thousands). Each Series with securities on loan invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the 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 with securities on loan will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Such Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Series with securities on loan will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. 241 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 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 proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as The U.S. Large Cap Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees 242 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. 243 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED APRIL 30, 2012 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 11/01/11 04/30/12 RATIO* PERIOD* --------- --------- ---------- -------- Actual Fund Return...................... $1,000.00 $1,025.67 0.19% $0.96 Hypothetical 5% Annual Return........... $1,000.00 $1,023.92 0.19% $0.96
-------- * 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 (182), then divided by the number of days in the year (366) to reflect the six-month period. 244 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on March 27, 2012. It is available upon request without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DIMENSIONAL EMERGING MARKETS VALUE FUND Consumer Discretionary...................................... 7.2% Consumer Staples............................................ 6.8% Energy...................................................... 16.3% Financials.................................................. 31.5% Health Care................................................. 0.6% Industrials................................................. 11.0% Information Technology...................................... 7.0% Materials................................................... 16.2% Other....................................................... -- Telecommunication Services.................................. 1.7% Utilities................................................... 1.7% ----- 100.0% 245 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS APRIL 30, 2012 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- COMMON STOCKS -- (89.8%) BRAZIL -- (6.8%) Banco Santander Brasil SA ADR............. 15,229,140 $ 122,899,160 0.8% BM&F Bovespa SA........................... 30,436,745 170,055,523 1.0% *JBS SA.................................... 16,156,777 63,316,698 0.4% Petroleo Brasileiro SA ADR................ 12,594,248 296,468,598 1.8% Other Securities.......................... 494,614,804 3.1% -------------- --------------- TOTAL BRAZIL................................. 1,147,354,783 7.1% -------------- --------------- CHILE -- (1.7%) Empresas CMPC SA.......................... 17,015,840 69,943,486 0.4% Enersis SA Sponsored ADR.................. 3,277,418 66,433,263 0.4% Other Securities.......................... 153,719,937 1.0% -------------- --------------- TOTAL CHILE.................................. 290,096,686 1.8% -------------- --------------- CHINA -- (14.4%) Bank of China, Ltd. Series H.............. 833,879,331 347,245,478 2.1% Bank of Communications Co., Ltd. Series H. 95,486,574 73,601,691 0.4% China Citic Bank Corp., Ltd. Series H..... 95,111,716 60,264,803 0.4% China Coal Energy Co., Ltd. Series H...... 50,458,000 57,647,687 0.4% China Communications Construction Co., Ltd. Series H........................... 65,814,327 65,577,521 0.4% China Construction Bank Corp. Series H.... 153,591,940 119,391,468 0.7% China Petroleum & Chemical Corp. ADR...... 993,796 104,815,664 0.6% China Petroleum & Chemical Corp. Series H. 116,064,289 123,273,143 0.8% China Unicom Hong Kong, Ltd. ADR.......... 7,316,862 127,167,062 0.8% Other Securities.......................... 1,356,813,081 8.4% -------------- --------------- TOTAL CHINA.................................. 2,435,797,598 15.0% -------------- --------------- CZECH REPUBLIC -- (0.3%) Other Securities.......................... 49,154,936 0.3% -------------- --------------- HUNGARY -- (0.5%) #OTP Bank P.L.C............................ 3,721,253 65,232,464 0.4% Other Securities.......................... 26,872,251 0.2% -------------- --------------- TOTAL HUNGARY................................ 92,104,715 0.6% -------------- --------------- INDIA -- (7.4%) ICICI Bank, Ltd. Sponsored ADR............ 3,805,302 128,961,685 0.8% Reliance Industries, Ltd.................. 17,003,711 239,838,476 1.5% State Bank of India....................... 1,545,488 62,445,740 0.4% Other Securities.......................... 812,419,531 5.0% -------------- --------------- TOTAL INDIA.................................. 1,243,665,432 7.7% -------------- --------------- INDONESIA -- (3.5%) Other Securities.......................... 592,824,207 3.7% -------------- --------------- ISRAEL -- (0.0%) Other Securities.......................... 1,299,165 0.0% -------------- --------------- MALAYSIA -- (3.3%) Other Securities.......................... 554,592,983 3.4% -------------- --------------- MEXICO -- (6.0%) #Alfa S.A.B. de C.V. Series A.............. 5,139,702 73,528,876 0.5% #*Cemex S.A.B. de C.V. Sponsored ADR........ 16,022,635 115,843,653 0.7% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR........................... 2,490,634 202,388,919 1.2% #Grupo Financiero Banorte S.A.B. de C.V. Series O.................................. 22,310,546 107,904,943 0.7% #Grupo Mexico S.A.B. de C.V. Series B...... 26,180,390 80,675,947 0.5%
246 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- --------------- --------------- MEXICO -- (Continued) Other Securities.......................... $ 439,867,033 2.7% --------------- --------------- TOTAL MEXICO................................. 1,020,209,371 6.3% --------------- --------------- PHILIPPINES -- (1.0%) Other Securities.......................... 175,851,519 1.1% --------------- --------------- POLAND -- (1.4%) *Polski Koncern Naftowy Orlen SA........... 5,310,008 61,948,983 0.4% Other Securities.......................... 182,683,598 1.1% --------------- --------------- TOTAL POLAND................................. 244,632,581 1.5% --------------- --------------- RUSSIA -- (5.3%) Gazprom OAO Sponsored ADR................. 58,748,711 680,431,219 4.2% Lukoil OAO Sponsored ADR.................. 2,457,775 151,205,336 0.9% Other Securities.......................... 68,176,891 0.4% --------------- --------------- TOTAL RUSSIA................................. 899,813,446 5.5% --------------- --------------- SOUTH AFRICA -- (7.9%) ABSA Group, Ltd........................... 4,420,483 90,001,079 0.6% Gold Fields, Ltd. Sponsored ADR........... 10,046,461 129,297,953 0.8% #Nedbank Group, Ltd........................ 3,077,486 66,994,683 0.4% Sanlam, Ltd............................... 28,905,406 124,168,567 0.8% Standard Bank Group, Ltd.................. 13,694,294 201,004,421 1.2% #*Steinhoff International Holdings, Ltd..... 17,439,135 63,637,784 0.4% Other Securities.......................... 662,771,585 4.1% --------------- --------------- TOTAL SOUTH AFRICA........................... 1,337,876,072 8.3% --------------- --------------- SOUTH KOREA -- (13.6%) Hana Financial Group, Inc................. 3,069,704 104,649,730 0.7% Hyundai Motor Co., Ltd.................... 458,961 108,347,054 0.7% #Hyundai Steel Co.......................... 924,376 79,974,859 0.5% KB Financial Group, Inc................... 2,001,533 67,718,011 0.4% KB Financial Group, Inc. ADR.............. 3,186,196 108,107,630 0.7% #LG Electronics, Inc....................... 1,425,419 87,946,865 0.5% POSCO..................................... 530,457 175,729,000 1.1% #POSCO ADR................................. 1,618,522 134,741,956 0.8% #Samsung SDI Co., Ltd...................... 500,681 71,743,028 0.4% Shinhan Financial Group Co., Ltd.......... 4,297,929 149,165,528 0.9% Other Securities.......................... 1,205,080,019 7.5% --------------- --------------- TOTAL SOUTH KOREA............................ 2,293,203,680 14.2% --------------- --------------- TAIWAN -- (12.1%) Fubon Financial Holding Co., Ltd.......... 56,944,063 58,912,800 0.4% Mega Financial Holding Co., Ltd........... 111,460,765 87,632,600 0.5% #United Microelectronics Corp.............. 178,956,681 93,607,454 0.6% Other Securities.......................... 1,800,928,880 11.1% --------------- --------------- TOTAL TAIWAN................................. 2,041,081,734 12.6% --------------- --------------- THAILAND -- (2.7%) Other Securities.......................... 456,069,867 2.8% --------------- --------------- TURKEY -- (1.9%) Other Securities.......................... 320,819,624 2.0% --------------- --------------- TOTAL COMMON STOCKS.......................... 15,196,448,399 93.9% --------------- --------------- PREFERRED STOCKS -- (4.4%) BRAZIL -- (4.4%) #Gerdau SA Sponsored ADR................... 8,373,239 78,624,714 0.5% Petroleo Brasileiro SA.................... 7,002,801 77,443,562 0.5%
247 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- BRAZIL -- (Continued) Petroleo Brasileiro SA ADR................................ 15,231,358 $337,526,893 2.1% Usinas Siderurgicas de Minas Gerais SA Perferred Series A. 11,752,415 67,389,186 0.4% Other Securities.......................................... 182,854,016 1.1% ------------ --------------- TOTAL BRAZIL................................................. 743,838,371 4.6% ------------ --------------- INDIA -- (0.0%) Other Securities.......................................... 140,419 0.0% ------------ --------------- MALAYSIA -- (0.0%) Other Securities.......................................... 540,578 0.0% ------------ --------------- TOTAL PREFERRED STOCKS....................................... 744,519,368 4.6% ------------ --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities.......................................... 80,835 0.0% ------------ --------------- MALAYSIA -- (0.0%) Other Securities.......................................... -- 0.0% ------------ --------------- TURKEY -- (0.0%) Other Securities.......................................... 1,708,738 0.0% ------------ --------------- TOTAL RIGHTS/WARRANTS........................................ 1,789,573 0.0% ------------ ---------------
SHARES/ FACE AMOUNT VALUE+ ------------ --------------- (000) SECURITIES LENDING COLLATERAL -- (5.8%) (S)@DFA Short Term Investment Fund........... 972,000,000 972,000,000 6.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $5,531,741) to be repurchased at $5,423,307........................... $ 5,423 5,423,275 0.1% --------------- --------- TOTAL SECURITIES LENDING COLLATERAL.......... 977,423,275 6.1% --------------- --------- TOTAL INVESTMENTS -- (100.0%) (Cost $16,500,480,604)..................... $16,920,180,615 104.6% =============== =========
248 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of the Fund's investments as of April 30, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- -------- --------------- Common Stocks Brazil..................... $1,147,354,783 -- -- $ 1,147,354,783 Chile...................... 290,096,686 -- -- 290,096,686 China...................... 248,294,129 $ 2,187,503,469 -- 2,435,797,598 Czech Republic............. -- 49,154,936 -- 49,154,936 Hungary.................... -- 92,104,715 -- 92,104,715 India...................... 151,486,931 1,092,178,501 -- 1,243,665,432 Indonesia.................. -- 592,824,207 -- 592,824,207 Israel..................... -- 1,299,165 -- 1,299,165 Malaysia................... -- 554,592,983 -- 554,592,983 Mexico..................... 1,019,580,797 628,574 -- 1,020,209,371 Philippines................ -- 175,851,519 -- 175,851,519 Poland..................... -- 244,632,581 -- 244,632,581 Russia..................... -- 899,813,446 -- 899,813,446 South Africa............... 194,958,648 1,142,917,424 -- 1,337,876,072 South Korea................ 344,696,241 1,948,507,439 -- 2,293,203,680 Taiwan..................... 41,023,343 2,000,058,391 -- 2,041,081,734 Thailand................... 456,069,867 -- -- 456,069,867 Turkey..................... -- 320,819,624 -- 320,819,624 Preferred Stocks Brazil..................... 743,838,371 -- -- 743,838,371 India...................... -- 140,419 -- 140,419 Malaysia................... -- 540,578 -- 540,578 Rights/Warrants Brazil..................... 80,835 -- -- 80,835 Malaysia................... -- -- -- -- Turkey..................... -- 1,708,738 -- 1,708,738 Securities Lending Collateral. -- 977,423,275 -- 977,423,275 -------------- --------------- -------- --------------- TOTAL......................... $4,637,480,631 $12,282,699,984 -- $16,920,180,615 ============== =============== ======== ===============
See accompanying Notes to Financial Statements. 249 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS) ASSETS: Investments at Value (including $1,163,602 of securities on loan)*...... $15,942,758 Collateral Received from Securities on Loan at Value & Cost............. 5,423 Affiliated Collateral Received from Securities on Loan at Value & Cost.. 972,000 Foreign Currencies at Value............................................. 54,198 Cash.................................................................... 100,538 Receivables: Investment Securities Sold........................................... 3,582 Dividends, Interest and Tax Reclaims................................. 28,762 Fund Shares Sold..................................................... 96,385 Securities Lending Income............................................ 2,372 Prepaid Expenses and Other Assets....................................... 30 ----------- Total Assets..................................................... 17,206,048 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned..................................... 977,423 Investment Securities Purchased...................................... 43,094 Fund Shares Redeemed................................................. 3 Due to Advisor....................................................... 1,351 Accrued Expenses and Other Liabilities.................................. 1,926 ----------- Total Liabilities................................................ 1,023,797 ----------- NET ASSETS.............................................................. $16,182,251 =========== Investments at Cost..................................................... $15,523,058 =========== Foreign Currencies at Cost.............................................. $ 54,204 ===========
-------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 250 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2012 (UNAUDITED) (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $11,511)............... $112,936 Interest........................................................... 1 Income from Securities Lending..................................... 12,680 -------- Total Investment Income..................................... 125,617 -------- EXPENSES Investment Advisory Services Fees.................................. 7,555 Accounting & Transfer Agent Fees................................... 706 Custodian Fees..................................................... 5,696 Shareholders' Reports.............................................. 34 Directors'/Trustees' Fees & Expenses............................... 55 Professional Fees.................................................. 211 Other.............................................................. 126 -------- Total Expenses.............................................. 14,383 -------- Fees Paid Indirectly............................................... (47) -------- Net Expenses....................................................... 14,336 -------- NET INVESTMENT INCOME (LOSS)....................................... 111,281 -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on:....................................... Investment Securities Sold..................................... 191,323 Foreign Currency Transactions.................................. (2,880)** Change in Unrealized Appreciation (Depreciation) of:............... Investment Securities and Foreign Currency..................... 90,429 Translation of Foreign Currency Denominated Amounts............ (86) -------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................ 278,786 -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $390,067 ========
-------- ** Net of foreign capital gain taxes withheld of $314. See accompanying Notes to Financial Statements. 251 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED APRIL 30, OCT. 31, 2012 2011 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................................. $ 111,281 $ 320,817 Net Realized Gain (Loss) on:.................................................. Investment Securities Sold................................................ 191,323 201,891 Foreign Currency Transactions............................................. (2,880)** (3,672)** Change in Unrealized Appreciation (Depreciation) of:.......................... Investment Securities and Foreign Currency................................ 90,429 (2,901,288) Translation of Foreign Currency Denominated Amounts....................... (86) (7) Change in Deferred Thailand Capital Gains Tax................................. -- 16,303 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........ 390,067 (2,365,956) ----------- ----------- Transactions in Interest: Contributions................................................................. 2,315,125 5,059,674 Withdrawals................................................................... (526,520) (608,094) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 1,788,605 4,451,580 ----------- ----------- Total Increase (Decrease) in Net Assets................................ 2,178,672 2,085,624 NET ASSETS Beginning of Period........................................................... 14,003,579 11,917,955 ----------- ----------- End of Period................................................................. $16,182,251 $14,003,579 =========== ===========
-------- ** Net of foreign capital gain taxes withheld of $314 and $1,707, respectively. See accompanying Notes to Financial Statements. 252 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 2006 ----------- ----------- ----------- ---------- ------------- ---------- ---------- (UNAUDITED) Total Return................... 2.57%(C) (14.47%) 30.55% 79.39% (55.47)%(C) 51.59% 42.14% ----------- ----------- ----------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).................. $16,182,251 $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................... 0.19%(B) 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.19%(B) 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22% Ratio of Net Investment Income to Average Net Assets........ 1.48%(B) 2.29% 1.81% 2.17% 3.19%(B) 2.50% 2.57% Portfolio Turnover Rate........ 3%(C) 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. 253 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under IRC (S)368(a)(1)(F). Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and Emerging Markets Value Portfolio ("Portfolio") will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Fund from November 30 to October 31. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) Securities held by the Fund (including over-the-counter securities) are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Fund values the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective 254 net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of 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 previously in the Security Valuation note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Fund did not have any significant transfers between Level 1 and Level 2 during the six months ended April 30, 2012. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director 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 255 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. At April 30, 2012, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $245 (in thousands). Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2012, 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 six months ended April 30, 2012, the Fund's advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets. EARNED INCOME CREDIT: In addition, the Fund has entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund's custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2012, expenses reduced were $47 (amount in thousands). 256 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2012, the total related amounts paid by the Fund to the CCO were $13 (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 six months ended April 30, 2012, the Fund made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases......................................... $2,237,562 Sales............................................. 470,068
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 April 30, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) -------- ------------ -------------- -------------- $16,514,273 $2,709,235 $(2,303,327) $405,908
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Fund's tax position and has concluded that no additional provision for income tax is required in the Fund's financial statements. The Fund is not aware of any tax position for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure with one RIC feeder and other direct client investors has made a "Check-the-Box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principals for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund has a shareholder owning 80% or more of the fund's shares, and also has shareholders owning less than 80%, the transaction creates a non-taxable transaction, pursuant to Internal Revenue Code (S)332, for those owning more than 80%, and a taxable transaction, pursuant to Internal Revenue Code (S)331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of the Master Fund was October 31, 2009. 257 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: Summarized below are the specific types of derivative instruments used by the Fund. 3. Futures Contracts: The Fund may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. 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. 258 At April 30, 2012, 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 July 6, 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 Fund under this line of credit during the six months ended April 30, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. For the six months ended April 30, 2012, borrowings by the Fund under this line of credit were as follows (amounts in thousands, except percentage and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- 0.86% $26,041 19 $12 $71,121
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2012 that each Series' available line of credit was utilized. There were no outstanding borrowings by the Fund under this line of credit as of April 30, 2012. H. SECURITIES LENDING: As of April 30, 2012, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. In addition, the Fund received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $280,471 (in thousands). The Fund invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Fund's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained 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 259 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 May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles ("GAAP") and International Financial Reporting Standards ("IFRSs")." ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined. K. OTHER The Fund is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of 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. 260 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 261 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. and the Boards of Trustees of The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFAAustralia Limited serve as a sub-advisor. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.") Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreements. The Independent Board Members met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to the continuation of the Advisory Agreements. Also in advance of the Meeting, management provided additional materials to address and respond to questions that the Independent Board Members posed after their review and analysis of materials provided by the Advisor and the Morningstar Reports. At the Meeting, the Board considered a number of factors when considering the continuation of each Advisory Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; and (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged. When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process and discussed the unique features of the Advisor's investment approach. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of each Fund, the Board analyzed the Morningstar Reports, which compared the performance of each Fund with other funds in its respective peer group and investment category. The Board also reviewed the performance analysis prepared by the Advisor, which presented the performance of each Fund and its benchmark index, over multiple performance periods, along with the Advisor's explanation of the performance. The Board concluded that the Advisor's explanations provided a sound basis for understanding the comparative performance of the Funds. The Board determined, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards and appropriate market indexes. When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Morningstar Reports. The Board concluded that the advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability 262 of the Advisor, and the compensation that it received for providing services to each Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Funds and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 263 LOGO DFA043012-001S ITEM 2. CODE OF ETHICS. Not applicable when filing a semi-annual report to shareholders. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable when filing a semi-annual report to shareholders. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable when filing a semi-annual report to shareholders. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant 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 FHLMC Federal Home Loan Mortgage Corporation 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, 2012. -- Amounts designated as -- are either zero or rounded to zero. (S) Affiliated Fund. 1 DIMENSIONAL EMERGING MARKETS VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2012 (UNAUDITED)
SHARES VALUE++ ---------- ------------ COMMON STOCKS -- (89.8%) BRAZIL -- (6.8%) Banco Alfa de Investimento SA....................... 97,200 $ 290,659 Banco Santander Brasil SA........................... 1,701,517 13,809,232 Banco Santander Brasil SA ADR....................... 15,229,140 122,899,160 Bematech SA......................................... 507,000 1,090,523 *BHG SA--Brazil Hospitality Group.................... 914 11,124 BM&F Bovespa SA..................................... 30,436,745 170,055,523 BR Malls Participacoes SA........................... 3,845,797 47,534,023 BRF--Brasil Foods SA ADR............................ 1,261,147 23,242,939 Brookfield Incorporacoes SA......................... 6,186,784 16,325,852 *Camargo Correa Desenvolvimento Imobiliario SA....... 751,000 1,922,661 Cia Providencia Industria e Comercio SA............. 321,800 1,131,107 Cosan SA Industria e Comercio....................... 1,614,981 28,103,203 CR2 Empreendimentos Imobiliarios SA................. 99,200 281,027 Cremer SA........................................... 258,570 2,509,532 Duratex SA.......................................... 403,892 2,373,156 Embraer SA ADR...................................... 632,154 21,897,815 Eternit SA.......................................... 530,123 2,781,119 Even Construtora e Incorporadora SA................. 3,441,454 12,854,787 EZ Tec Empreendimentos e Participacoes SA........... 618,941 6,835,091 *Fertilizantes Heringer SA........................... 273,200 2,013,724 Fibria Celulose SA.................................. 1,472,064 11,746,239 Fibria Celulose SA Sponsored ADR.................... 3,507,135 27,846,652 Forjas Taurus SA.................................... 224,056 263,298 Gafisa SA........................................... 5,092,178 9,376,778 #Gafisa SA ADR....................................... 3,057,757 11,252,546 *General Shopping Brasil SA.......................... 316,430 1,917,355 Gerdau SA........................................... 1,860,396 14,464,270 Gol Linhas Aereas Inteligentes SA ADR............... 34,659 183,693 Grendene SA......................................... 1,130,243 5,822,724 Guararapes Confeccoes SA............................ 8,550 444,601 Helbor Empreendimentos SA........................... 8,400 40,807 Hypermarcas SA...................................... 5,790,281 37,636,902 *IdeiasNet SA........................................ 670,830 879,823 Iguatemi Empresa de Shopping Centers SA............. 225,460 4,915,729 Industrias Romi SA.................................. 627,600 1,929,405 Inepar SA Industria e Construcoes................... 26,528 36,045 *JBS SA.............................................. 16,156,777 63,316,698 JHSF Participacoes SA............................... 1,450,900 4,551,783 *Kepler Weber SA..................................... 4,157,400 523,451 *Kroton Educacional SA Unit Shares................... 241,736 3,550,931 *Log-in Logistica Intermodal SA...................... 807,500 3,300,068 M. Dias Branco SA................................... 68,600 1,979,383 *Magnesita Refratarios SA............................ 2,770,284 9,737,378 Marfrig Alimentos SA................................ 3,649,348 20,198,107 Metalfrio Solutions SA.............................. 97,900 251,664 Minerva SA.......................................... 801,025 3,630,803 *MPX Energia SA...................................... 237,300 6,370,244 Multiplan Empreendimentos Imobiliarios SA........... 57,768 1,360,745 Obrascon Huarte Lain Brasil SA...................... 427,500 3,693,794 Oi SA............................................... 11,578 77,751 Paranapanema SA..................................... 4,107,545 6,270,732 PDG Realty SA Empreendimentos e Participacoes....... 4,662,317 10,957,784 Petroleo Brasileiro SA.............................. 2,051,598 24,012,355 Petroleo Brasileiro SA ADR.......................... 12,594,248 296,468,598 *Plascar Participacoes Industriais SA................ 1,212,900 954,463 Porto Seguro SA..................................... 112,730 1,106,512 Positivo Informatica SA............................. 614,426 2,175,787 Profarma Distribuidora de Produtos Farmaceuticos SA. 150,125 755,291
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- -------------- BRAZIL -- (Continued) Rodobens Negocios Imobiliarios SA.............. 306,101 $ 1,785,716 Rossi Residencial SA........................... 4,838,031 20,254,171 *Sao Carlos Empreendimentos e Participacoes SA.. 78,200 1,300,496 Sao Martinho SA................................ 598,132 7,232,874 SLC Agricola SA................................ 663,517 6,554,587 *Springs Global Participacoes SA................ 438,409 747,491 Sul America SA................................. 1,041,288 8,554,717 Tecnisa SA..................................... 139,839 628,712 *Tereos Internacional SA........................ 341,904 613,442 Trisul SA...................................... 91,961 132,190 Triunfo Participacoes e Investimentos SA....... 160,500 769,598 Usinas Siderurgicas de Minas Gerais SA......... 2,197,000 20,873,315 *Vanguarda Agro SA.............................. 9,353,765 1,962,860 *Via Varejo SA.................................. 42,731 448,349 *Viver Incorporadora e Construtora SA........... 2,794,225 3,532,819 -------------- TOTAL BRAZIL...................................... 1,147,354,783 -------------- CHILE -- (1.7%) Almendral SA................................... 802,355 115,945 Banco de Credito e Inversiones SA.............. 98,094 7,057,066 Cementos Bio-Bio SA............................ 665,307 925,752 Cencosud SA.................................... 2,567,578 16,280,911 Cia General de Electricidad SA................. 1,054,399 5,955,583 Cintac SA...................................... 153,487 83,847 *Compania Sud Americana de Vapores SA........... 48,831,912 5,737,825 Corpbanca SA................................... 1,006,842,197 13,677,778 Cristalerias de Chile SA....................... 264,624 2,345,667 CTI Cia Tecno Industrial SA.................... 488,163 35,221 Embotelladora Andina SA Series A ADR........... 23,440 630,184 Empresas CMPC SA............................... 17,015,840 69,943,486 Empresas Copec SA.............................. 2,279,625 37,006,899 *Empresas Hites SA.............................. 300,520 238,440 Empresas Iansa SA.............................. 43,801,768 3,566,625 Empresas La Polar SA........................... 2,473,110 2,100,385 Enersis SA..................................... 35,842,974 14,643,824 Enersis SA Sponsored ADR....................... 3,277,418 66,433,263 Gasco SA....................................... 155,648 1,155,087 Grupo Security SA.............................. 983,156 381,021 Inversiones Aguas Metropolitanas SA............ 5,461,344 9,625,745 *Madeco SA...................................... 64,264,697 3,040,352 Masisa SA...................................... 36,930,742 4,111,029 Minera Valparaiso SA........................... 7,390 250,218 *Multiexport Foods SA........................... 138,103 37,294 Parque Arauco SA............................... 1,391,681 2,703,895 PAZ Corp. SA................................... 1,272,412 681,977 Ripley Corp. SA................................ 7,595,490 8,470,748 Salfacorp SA................................... 411,428 1,051,682 *Sociedad Matriz SAAM SA........................ 53,986,924 6,454,837 Sociedad Quimica y Minera de Chile SA Series A. 32,018 1,848,081 Socovesa SA.................................... 5,003,485 2,482,661 Soquimic Comercial SA.......................... 189,354 57,380 Vina Concha Y Toro SA.......................... 212,417 446,641 Vina Concha Y Toro SA Sponsored ADR............ 2,846 119,504 Vina San Pedro Tarapaca SA..................... 57,038,434 399,833 -------------- TOTAL CHILE....................................... 290,096,686 -------------- CHINA -- (14.4%) *361 Degrees International, Ltd................. 6,550,000 2,068,723 *A8 Digital Music Holdings, Ltd................. 474,000 55,762 Agile Property Holdings, Ltd................... 16,252,000 21,145,344 *Agricultural Bank of China, Ltd. Series H...... 113,122,000 53,355,994
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ CHINA -- (Continued) #Aluminum Corp. of China, Ltd. ADR........................ 276,693 $ 3,328,617 #Aluminum Corp. of China, Ltd. Series H................... 8,702,000 4,188,475 AMVIG Holdings, Ltd...................................... 5,277,100 2,949,150 #Angang Steel Co., Ltd. Series H.......................... 15,187,640 10,322,793 Anhui Tianda Oil Pipe Co., Ltd. Series H................. 2,847,412 497,632 Anton Oilfield Services Group............................ 15,722,527 2,438,646 Asia Cement China Holdings Corp.......................... 7,704,500 3,783,609 Asian Citrus Holdings, Ltd............................... 6,662,000 3,952,977 *Ausnutria Dairy Corp., Ltd............................... 268,000 50,431 *AVIC International Holding HK, Ltd....................... 20,490,285 644,732 Bank of China, Ltd. Series H............................. 833,879,331 347,245,478 Bank of Communications Co., Ltd. Series H................ 95,486,574 73,601,691 Baoye Group Co., Ltd. Series H........................... 1,885,120 1,190,772 *BaWang International Group Holding, Ltd.................. 2,692,000 254,475 Beijing Capital International Airport Co., Ltd. Series H. 23,895,599 15,445,371 #Beijing Capital Land, Ltd. Series H...................... 17,229,060 4,724,250 *Beijing Development HK, Ltd.............................. 1,545,000 257,975 Beijing Enterprises Holdings, Ltd........................ 6,247,500 34,823,578 Beijing Jingkelong Co., Ltd. Series H.................... 207,000 182,857 Beijing North Star Co., Ltd. Series H.................... 7,934,000 1,463,913 *Beijing Properties Holdings, Ltd......................... 266,000 13,845 *Besunyen Holdings Co., Ltd............................... 5,053,000 459,557 *Boer Power Holdings, Ltd................................. 1,836,000 658,055 Bosideng International Holdings, Ltd..................... 3,494,000 1,003,955 #*Brilliance China Automotive Holdings, Ltd................ 11,654,000 12,571,736 *BYD Electronic International Co., Ltd.................... 12,788,636 3,830,414 C C Land Holdings, Ltd................................... 19,829,162 4,205,587 Catic Shenzhen Holdings, Ltd. Series H................... 2,518,000 1,070,678 Central China Real Estate, Ltd........................... 7,789,350 2,026,523 Centron Telecom International Holdings, Ltd.............. 3,090,945 418,315 #*Chaoda Modern Agriculture Holdings, Ltd.................. 37,445,412 3,744,324 *Chigo Holding, Ltd....................................... 46,900,000 1,218,447 China Aerospace International Holdings, Ltd.............. 32,830,000 2,904,074 China Agri-Industries Holdings, Ltd...................... 19,312,000 14,122,674 *China All Access Holdings, Ltd........................... 1,826,000 358,881 China Aoyuan Property Group, Ltd......................... 14,845,000 2,078,685 China Automation Group, Ltd.............................. 6,056,000 1,662,171 China BlueChemical, Ltd. Series H........................ 8,950,878 6,379,404 #China Chengtong Development Group, Ltd................... 4,982,000 188,735 China Citic Bank Corp., Ltd. Series H.................... 95,111,716 60,264,803 China Coal Energy Co., Ltd. Series H..................... 50,458,000 57,647,687 China Communications Construction Co., Ltd. Series H..... 65,814,327 65,577,521 China Communications Services Corp., Ltd. Series H....... 30,487,071 15,560,350 China Construction Bank Corp. Series H................... 153,591,940 119,391,468 *China Corn Oil Co., Ltd.................................. 486,000 227,007 China COSCO Holdings Co., Ltd. Series H.................. 34,140,500 19,684,923 China Dongxiang Group Co., Ltd........................... 46,914,127 6,315,273 *China Energine International Holdings, Ltd............... 7,322,390 253,649 China Everbright, Ltd.................................... 11,857,869 18,717,587 *China Glass Holdings, Ltd................................ 7,400,000 1,058,726 *China Grand Forestry Green Resources Group, Ltd.......... 4,465,400 386,349 #China Green Holdings, Ltd................................ 7,362,800 2,142,681 China Haidian Holdings, Ltd.............................. 21,547,108 2,629,496 China High Precision Automation Group, Ltd............... 429,000 148,462 China High Speed Transmission Equipment Group Co., Ltd... 16,788,000 8,082,348 China Huiyuan Juice Group, Ltd........................... 8,107,483 2,705,049 *China ITS Holdings Co., Ltd.............................. 6,411,000 1,026,323 *China Lumena New Materials Corp.......................... 53,224,000 9,639,169 China Merchants Holdings International Co., Ltd.......... 8,834,083 28,502,496 *China Mining Resources Group, Ltd........................ 30,230,000 440,281 China Minsheng Banking Corp., Ltd. Series H.............. 47,642,500 49,422,352
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ CHINA -- (Continued) *China Molybdenum Co., Ltd. Series H................................ 6,710,000 $ 2,592,003 China National Materials Co., Ltd. Series H........................ 10,514,000 4,042,862 *China Nickel Resources Holdings Co., Ltd........................... 5,532,000 439,706 *China Oil & Gas Group, Ltd......................................... 24,905,715 2,493,158 #China Oriental Group Co., Ltd...................................... 26,000 6,732 China Petroleum & Chemical Corp. ADR............................... 993,796 104,815,664 China Petroleum & Chemical Corp. Series H.......................... 116,064,289 123,273,143 China Pharmaceutical Group, Ltd.................................... 15,098,000 3,102,378 *China Precious Metal Resources Holdings Co., Ltd................... 3,476,000 616,611 *China Properties Group, Ltd........................................ 7,152,000 2,099,222 *China Qinfa Group, Ltd............................................. 4,370,000 969,170 China Railway Construction Corp., Ltd. Series H.................... 29,320,514 23,258,372 #*China Rare Earth Holdings, Ltd..................................... 20,507,000 5,387,704 *China Renewable Energy Investment, Ltd............................. 2,031,109 65,246 China Resources Enterprise, Ltd.................................... 3,254,000 11,778,449 #China Resources Land, Ltd.......................................... 23,181,727 44,360,538 *China Rongsheng Heavy Industries Group Holdings, Ltd............... 16,169,000 4,012,464 *China Sanjiang Fine Chemicals Co., Ltd............................. 1,369,000 435,178 China SCE Property Holdings, Ltd................................... 1,065,000 246,602 China Shanshui Cement Group, Ltd................................... 82,000 65,865 *China Shipping Container Lines Co., Ltd. Series H.................. 56,393,700 18,269,519 China Shipping Development Co., Ltd. Series H...................... 16,813,488 10,863,477 *China Singyes Solar Technologies Holdings, Ltd..................... 2,379,000 1,170,321 China South City Holdings, Ltd..................................... 7,970,462 1,095,780 #*China Southern Airlines Co., Ltd. Series H......................... 16,512,000 7,399,567 China Starch Holdings, Ltd......................................... 18,180,000 640,264 China Sunshine Paper Holdings Co., Ltd............................. 2,660,500 303,127 *China Tianyi Holdings, Ltd......................................... 168,000 31,572 *China Tontine Wines Group, Ltd..................................... 5,482,000 618,493 China Travel International Investment Hong Kong, Ltd............... 52,275,631 10,470,988 #China Unicom Hong Kong, Ltd........................................ 3,578,000 6,266,908 China Unicom Hong Kong, Ltd. ADR................................... 7,316,862 127,167,062 *China Vanadium Titano - Magnetite Mining Co., Ltd.................. 14,186,000 3,211,461 China Wireless Technologies, Ltd................................... 3,484,000 526,346 China Yurun Food Group, Ltd........................................ 9,092,000 11,546,241 China Zhongwang Holdings, Ltd...................................... 20,430,954 8,408,389 #*Chongqing Iron & Steel Co., Ltd. Series H.......................... 7,012,000 1,247,196 Chongqing Machinery & Electric Co., Ltd. Series H.................. 18,992,000 3,455,682 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd.......... 5,373,000 2,011,997 *CIMC Enric Holdings, Ltd........................................... 3,116,000 1,717,035 #Citic Pacific, Ltd................................................. 16,793,000 27,559,011 *Citic Resources Holdings, Ltd...................................... 42,756,000 7,011,998 #*Clear Media, Ltd................................................... 641,000 392,607 *Coastal Greenland, Ltd............................................. 8,098,000 261,104 *Comtec Solar Systems Group, Ltd.................................... 5,938,000 766,345 COSCO International Holdings, Ltd.................................. 10,334,000 4,482,544 COSCO Pacific, Ltd................................................. 20,422,187 29,522,334 *Coslight Technology International Group, Ltd....................... 1,250,000 368,158 Country Garden Holdings Co., Ltd................................... 31,360,146 13,484,408 CPMC Holdings, Ltd................................................. 1,898,000 1,289,483 *Da Ming International Holdings, Ltd................................ 4,000 726 DaChan Food Asia, Ltd.............................................. 3,296,000 621,195 Dalian Port (PDA) Co., Ltd. Series H............................... 14,122,000 3,214,996 *Daqing Dairy Holdings, Ltd......................................... 3,316,000 718,022 *Dawnrays Pharmaceutical Holdings, Ltd.............................. 84,000 21,317 *DBA Telecommunication Asia Holdings, Ltd........................... 2,544,000 1,535,916 Dynasty Fine Wines Group, Ltd...................................... 9,228,600 1,787,873 Embry Holdings, Ltd................................................ 412,000 229,671 Evergrande Real Estate Group, Ltd.................................. 3,679,000 2,112,065 *Evergreen International Holdings, Ltd.............................. 1,205,000 338,150 Fantasia Holdings Group Co., Ltd................................... 8,696,515 991,121
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- CHINA -- (Continued) First Tractor Co., Ltd. Series H......................... 3,192,000 $ 2,966,536 Fosun International, Ltd................................. 14,051,744 8,335,082 Franshion Properties China, Ltd.......................... 42,632,580 11,766,124 Fufeng Group, Ltd........................................ 1,105,000 446,297 Geely Automobile Holdings, Ltd........................... 14,605,000 5,402,555 #Global Bio-Chem Technology Group Co., Ltd................ 35,702,360 7,004,254 *Global Sweeteners Holdings, Ltd.......................... 10,400,350 946,201 *Glorious Property Holdings, Ltd.......................... 37,522,000 5,706,118 Goldbond Group Holdings, Ltd............................. 1,830,000 81,591 *Golden Meditech Holdings, Ltd............................ 11,423,679 1,410,831 Goldlion Holdings, Ltd................................... 1,142,000 492,349 GOME Electrical Appliances Holding, Ltd.................. 24,001,000 4,392,534 *Great Wall Motor Co., Ltd. Series H...................... 6,489,500 13,910,723 #Great Wall Technology Co., Ltd. Series H................. 7,486,035 1,699,475 Greentown China Holdings, Ltd............................ 9,234,591 6,404,939 #Guangshen Railway Co., Ltd............................... 866,000 320,796 Guangshen Railway Co., Ltd. Sponsored ADR................ 426,392 8,007,642 Guangzhou Automobile Group Co., Ltd. Series H............ 27,145,572 29,971,668 Guangzhou Investment Co., Ltd............................ 67,580,170 14,977,880 Guangzhou Pharmaceutical Co., Ltd. Series H.............. 1,334,000 1,296,964 Guangzhou R&F Properties Co., Ltd. Series H.............. 12,814,314 17,021,647 Hainan Meilan International Airport Co., Ltd. Series H... 1,968,000 1,253,328 Harbin Electric Co., Ltd. Series H....................... 10,165,474 10,554,708 *Heng Tai Consumables Group, Ltd.......................... 74,825,195 2,010,700 *Hi Sun Technology, Ltd................................... 384,000 58,755 Hidili Industry International Development, Ltd........... 20,082,000 6,820,615 #HKC Holdings, Ltd........................................ 38,232,878 1,890,875 *Honghua Group, Ltd....................................... 16,779,970 3,037,790 #Hopson Development Holdings, Ltd......................... 11,228,000 6,752,160 #Hua Han Bio-Pharmaceutical Holdings, Ltd................. 15,196,104 2,942,840 *Hunan Nonferrous Metal Corp., Ltd. Series H.............. 8,438,000 2,459,281 Huscoke Resources Holdings, Ltd.......................... 15,398,000 200,784 *Hutchison Harbour Ring, Ltd.............................. 6,812,000 603,787 Industrial & Commercial Bank of China, Ltd. Series H..... 34,519,996 22,891,980 Inspur International, Ltd................................ 33,376,713 1,049,516 Jingwei Textile Machinery Co., Ltd. Series H............. 1,314,000 819,918 Ju Teng International Holdings, Ltd...................... 10,836,249 2,258,079 *Kai Yuan Holdings, Ltd................................... 63,120,000 1,653,163 *Kaisa Group Holdings, Ltd................................ 18,044,632 3,789,210 Kasen International Holdings, Ltd........................ 1,885,000 242,877 Kingboard Chemical Holdings, Ltd......................... 7,651,871 21,376,149 Kingboard Laminates Holdings, Ltd........................ 5,732,500 2,658,563 Kingway Brewery Holdings, Ltd............................ 3,238,000 1,129,725 KWG Property Holding, Ltd................................ 20,557,000 13,461,962 Lai Fung Holdings, Ltd................................... 24,189,280 438,211 *Le Saunda Holdings, Ltd.................................. 60,000 20,726 #Lee & Man Paper Manufacturing, Ltd....................... 15,796,000 7,369,336 *Leoch International Technology, Ltd...................... 721,000 179,157 Lijun International Pharmaceutical Holding, Ltd.......... 11,160,046 2,418,657 Lingbao Gold Co., Ltd. Series H.......................... 3,978,000 1,973,256 *LK Technology Holdings, Ltd.............................. 112,500 26,555 Loudong General Nice Resources China Holdings, Ltd....... 17,994,000 1,414,723 #Maanshan Iron & Steel Co., Ltd. Series H................. 27,114,000 7,589,755 *Maoye International Holdings, Ltd........................ 968,000 228,015 *Media China Corp., Ltd................................... 3,711,250 44,035 Metallurgical Corp of China, Ltd. Series H............... 23,596,659 5,208,283 Min Xin Holdings, Ltd.................................... 1,642,000 879,013 *Mingyuan Medicare Development Co., Ltd................... 37,380,264 961,561 Minmetals Land, Ltd...................................... 19,889,205 2,480,580 *Minmetals Resources, Ltd................................. 4,156,000 2,117,599 Minth Group, Ltd......................................... 3,666,000 4,635,078
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- CHINA -- (Continued) *Nan Hai Corp, Ltd................................................ 31,450,000 $ 121,119 NetDragon Websoft, Inc........................................... 1,739,500 1,196,508 #New World China Land, Ltd........................................ 25,162,600 7,724,717 New World Department Store China, Ltd............................ 395,000 269,099 Nine Dragons Paper Holdings, Ltd................................. 17,305,000 14,186,689 *O-Net Communications Group, Ltd.................................. 2,396,000 605,153 #*Oriental Ginza Holdings, Ltd..................................... 1,700,000 62,289 *Overseas Chinese Town Asia Holdings, Ltd......................... 80,000 30,923 *PAX Global Technology, Ltd....................................... 36,000 5,892 *Peak Sport Products Co., Ltd..................................... 9,689,000 2,251,476 *PetroAsian Energy Holdings, Ltd.................................. 42,498,084 994,274 PetroChina Co., Ltd. ADR......................................... 11,686 1,739,111 #Poly Hong Kong Investment, Ltd................................... 27,154,488 14,163,304 *Pou Sheng International Holdings, Ltd............................ 9,813,529 907,426 Powerlong Real Estate Holdings, Ltd.............................. 8,761,000 1,491,315 Prosperity International Holdings HK, Ltd........................ 19,400,000 959,902 Qin Jia Yuan Media Services Co., Ltd............................. 10,447,250 141,087 Qingling Motors Co., Ltd. Series H............................... 12,466,000 3,955,573 Qunxing Paper Holdings Co., Ltd.................................. 5,020,071 1,328,784 Real Gold Mining, Ltd............................................ 3,137,500 3,562,653 Real Nutriceutical Group, Ltd.................................... 10,161,000 2,626,607 Regent Manner International, Ltd................................. 387,000 84,553 Renhe Commercial Holdings Co., Ltd............................... 30,296,000 1,744,864 #REXLot Holdings, Ltd............................................. 89,856,150 8,084,077 *Royale Furniture Holdings, Ltd................................... 2,306,375 739,332 Samson Holding, Ltd.............................................. 7,632,452 1,010,554 *Semiconductor Manufacturing International Corp................... 160,584,000 7,954,621 *Semiconductor Manufacturing International Corp. ADR.............. 1,331,701 3,236,033 Shandong Chenming Paper Holdings, Ltd. Series H.................. 3,991,318 1,839,947 Shandong Molong Petroleum Machinery Co., Ltd. Series H........... 110,613 81,108 Shandong Xinhua Pharmaceutical Co., Ltd. Series H................ 984,000 236,286 #Shanghai Industrial Holdings, Ltd................................ 8,464,918 28,133,628 *Shanghai Industrial Urban Development Group, Ltd................. 12,674,000 2,691,834 Shanghai Jin Jiang International Hotels Group Co., Ltd. Series H. 17,206,000 2,523,338 Shanghai Prime Machinery Co., Ltd. Series H...................... 8,532,000 1,318,693 *Shanghai Zendai Property, Ltd.................................... 18,955,000 342,585 Shengli Oil & Gas Pipe Holdings, Ltd............................. 8,560,500 945,572 Shenzhen International Holdings, Ltd............................. 107,165,000 7,293,973 #Shenzhen Investment, Ltd......................................... 38,517,494 8,936,669 Shimao Property Holdings, Ltd.................................... 22,765,535 29,845,786 Shougang Concord Century Holdings, Ltd........................... 7,134,299 298,724 #Shougang Concord International Enterprises Co., Ltd.............. 83,508,208 4,436,493 #Shougang Fushan Resources Group, Ltd............................. 41,342,594 14,407,782 Shui On Land, Ltd................................................ 39,894,704 16,655,700 *Sijia Group Co., Ltd............................................. 470,000 127,639 Silver Grant International Industries, Ltd....................... 20,310,804 4,309,818 SIM Technology Group, Ltd........................................ 11,326,000 770,677 *Sino Dragon New Energy Holdings, Ltd............................. 1,128,000 45,606 #*Sino Oil & Gas Holdings, Ltd..................................... 92,790,000 2,313,017 *Sino Prosper State Gold Resources Holdings, Ltd.................. 10,250,000 545,984 #*Sino Union Energy Investment Group, Ltd.......................... 44,300,000 3,766,606 SinoCom Software Group, Ltd...................................... 1,160,000 148,667 Sinofert Holdings, Ltd........................................... 32,720,000 7,106,589 *Sinolink Worldwide Holdings, Ltd................................. 17,370,508 1,379,197 SinoMedia Holding, Ltd........................................... 2,919,139 1,711,424 Sino-Ocean Land Holdings, Ltd.................................... 42,211,377 19,579,375 Sinopec Kantons Holdings, Ltd.................................... 17,712,600 12,523,242 Sinotrans Shipping, Ltd.......................................... 16,628,416 3,957,564 Sinotrans, Ltd. Series H......................................... 24,191,000 4,097,727 Sinotruk Hong Kong, Ltd.......................................... 8,784,335 5,341,078 #Skyworth Digital Holdings, Ltd................................... 30,494,445 12,415,111
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- CHINA -- (Continued) *SMI Corp., Ltd............................................ 4,616,000 $ 162,521 Soho China, Ltd........................................... 28,138,388 21,812,799 Solargiga Energy Holdings, Ltd............................ 10,309,486 857,252 SPG Land Holdings, Ltd.................................... 3,690,575 750,329 #SRE Group, Ltd............................................ 35,548,000 1,753,173 *Sunac China Holdings, Ltd................................. 1,844,000 569,924 Sunny Optical Technology Group Co., Ltd................... 4,128,000 1,369,190 Tak Sing Alliance Holdings, Ltd........................... 3,394,391 313,317 #TCC International Holdings, Ltd........................... 13,755,056 4,731,779 *TCL Communication Technology Holdings, Ltd................ 504,000 200,488 #*TCL Multimedia Technology Holdings, Ltd................... 8,958,200 5,068,965 Texhong Textile Group, Ltd................................ 1,648,000 695,450 Tian An China Investments Co., Ltd........................ 7,019,000 3,332,581 *Tian Shan Development Holdings, Ltd....................... 342,000 88,436 Tiangong International Co., Ltd........................... 14,139,944 3,485,945 Tianjin Port Development Holdings, Ltd.................... 9,121,657 1,230,516 Tianneng Power International, Ltd......................... 7,680,280 3,771,782 Tomson Group, Ltd......................................... 2,947,206 682,918 *Tong Ren Tang Technologies Co., Ltd. Series H............. 14,000 20,316 TPV Technology, Ltd....................................... 9,884,496 2,257,498 *Trauson Holdings Co., Ltd................................. 40,000 15,277 Travelsky Technology, Ltd. Series H....................... 16,861,500 9,312,137 *Trony Solar Holdings Co., Ltd............................. 8,775,000 739,798 #Truly International Holdings, Ltd......................... 21,705,500 3,255,050 #*VODone, Ltd............................................... 43,780,000 6,207,473 Wasion Group Holdings, Ltd................................ 5,755,291 2,421,835 Weiqiao Textile Co., Ltd. Series H........................ 7,549,500 3,715,551 *West China Cement, Ltd.................................... 26,102,000 6,229,837 Wuyi International Pharmaceutical Co., Ltd................ 3,925,000 206,728 Xiamen International Port Co., Ltd. Series H.............. 15,128,000 1,922,280 Xingda International Holdings, Ltd........................ 9,936,000 4,305,936 Xinhua Winshare Publishing & Media Co., Ltd. Series H..... 4,927,000 2,552,581 *Xinjiang Goldwind Science & Technology Co., Ltd. Series H. 265,200 130,568 Xinjiang Xinxin Mining Industry Co., Ltd. Series H........ 9,837,000 2,672,567 *Xiwang Sugar Holdings Co., Ltd............................ 11,548,736 1,434,957 *XTEP International Holdings, Ltd.......................... 2,106,500 947,975 *Yantai North Andre Juice Co. Series H..................... 1,280,000 60,928 Yip's Chemical Holdings, Ltd.............................. 246,000 193,450 *Youyuan International Holdings, Ltd....................... 2,663 660 *Yuzhou Properties Co...................................... 309,000 67,493 #*Zhejiang Glass Co., Ltd. Series H......................... 437,000 -- *Zhong An Real Estate, Ltd................................. 4,641,800 575,612 -------------- TOTAL CHINA.................................................. 2,435,797,598 -------------- CZECH REPUBLIC -- (0.3%) CEZ A.S................................................... 124,647 5,025,254 Komercni Banka A.S........................................ 35,676 6,554,336 Pegas Nonwovens SA........................................ 146,968 3,372,623 Telefonica Czech Republic A.S............................. 1,037,226 20,932,232 #*Unipetrol A.S............................................. 1,437,021 13,270,491 -------------- TOTAL CZECH REPUBLIC......................................... 49,154,936 -------------- HUNGARY -- (0.5%) *Danubius Hotel & Spa P.L.C................................ 136,180 1,754,432 *EGIS Pharmaceuticals P.L.C................................ 55,686 3,717,911 *Fotex Holding SE Co., Ltd................................. 899,183 1,000,348 *MOL Hungarian Oil & Gas P.L.C............................. 213,192 17,625,656 #OTP Bank P.L.C............................................ 3,721,253 65,232,464 *PannErgy P.L.C............................................ 182,512 531,268
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- HUNGARY -- (Continued) Tisza Chemical Group P.L.C............................... 235,780 $ 2,242,636 ----------- TOTAL HUNGARY............................................... 92,104,715 ----------- INDIA -- (7.4%) *A2Z Maintenance & Engineering Services, Ltd.............. 59,997 113,297 Aban Offshore, Ltd....................................... 238,529 1,872,711 ABG Shipyard, Ltd........................................ 244,227 1,756,972 Aditya Birla Nuvo, Ltd................................... 497,024 8,765,649 Ajmera Realty & Infra India, Ltd......................... 50,552 111,304 Akzo Nobel India, Ltd.................................... 49,108 811,104 Alembic Pharmaceuticals, Ltd............................. 619,600 636,622 *Alembic, Ltd............................................. 619,600 199,161 Allahabad Bank, Ltd...................................... 1,322,551 4,148,822 Alok Industries, Ltd..................................... 3,963,647 1,471,389 Amara Raja Batteries, Ltd................................ 19,236 106,803 Ambuja Cements, Ltd...................................... 3,351,972 9,553,317 Amtek Auto, Ltd.......................................... 1,056,413 2,531,526 Anant Raj Industries, Ltd................................ 1,255,498 1,391,402 *Andhra Bank, Ltd......................................... 1,979,123 4,367,064 Ansal Properties & Infrastructure, Ltd................... 598,206 370,346 *Apollo Hospitals Enterprise, Ltd......................... 361,043 4,315,005 Apollo Tyres, Ltd........................................ 1,676,970 2,863,017 *Arvind, Ltd.............................................. 1,642,738 2,703,795 *Ashok Leyland, Ltd....................................... 17,481,814 10,657,482 Asian Hotels East, Ltd................................... 1,050 5,533 Aurobindo Pharma, Ltd.................................... 1,667,252 4,152,245 Axis Bank, Ltd........................................... 178,488 3,734,578 Bajaj Finance, Ltd....................................... 93,989 1,550,223 Bajaj Finserv, Ltd....................................... 2,123 29,557 Bajaj Hindusthan, Ltd.................................... 4,079,964 2,351,125 Bajaj Holdings & Investment, Ltd......................... 350,953 5,601,124 Balkrishna Industries, Ltd............................... 22,245 122,056 Ballarpur Industries, Ltd................................ 3,776,483 1,775,813 Balmer Lawrie & Co., Ltd................................. 62,797 652,572 Balrampur Chini Mills, Ltd............................... 2,395,121 2,487,249 Bank of Baroda........................................... 797,959 11,630,714 Bank of India............................................ 1,576,873 10,538,290 Bank of Maharashtra, Ltd................................. 1,377,981 1,424,636 BASF India, Ltd.......................................... 632 7,366 BEML, Ltd................................................ 190,772 1,926,030 Bengal & Assam Co., Ltd.................................. 9,237 41,841 *BGR Energy Systems, Ltd.................................. 157,715 981,919 Bhushan Steel, Ltd....................................... 1,046,329 8,570,297 Birla Corp., Ltd......................................... 117,478 570,169 Bl Kashyap & Sons, Ltd................................... 112,932 23,350 Bombay Dyeing & Manufacturing Co., Ltd................... 125,117 1,241,089 Bombay Rayon Fashions, Ltd............................... 66,045 316,697 Brigade Enterprises, Ltd................................. 5,099 5,315 *Cairn India, Ltd......................................... 3,528,374 23,124,839 Canara Bank.............................................. 1,319,532 10,879,715 Central Bank of India.................................... 2,633,015 4,909,845 Century Enka, Ltd........................................ 1,913 4,084 Century Textiles & Industries, Ltd....................... 692,091 4,270,697 Chambal Fertilizers & Chemicals, Ltd..................... 1,259,609 1,815,744 Cholamandalam Investment & Finance Co., Ltd.............. 11,397 38,949 City Union Bank, Ltd..................................... 1,232,912 1,142,969 Coromandel International, Ltd............................ 72,186 350,133 Corporation Bank......................................... 253,148 1,956,743 *Cranes Software International, Ltd....................... 127,339 6,107 Dalmia Bharat Enterprises, Ltd........................... 159,852 387,339 Dalmia Cement (Bharat), Ltd.............................. 130,837 31,690
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- INDIA -- (Continued) *DB Realty, Ltd........................................... 987,606 $ 1,370,509 DCM Shriram Consolidated, Ltd............................ 216,466 182,318 *Deccan Chronicle Holdings, Ltd........................... 507,992 389,196 Deepak Fertilizers & Petrochemicals Corp., Ltd........... 424,886 1,106,036 *DEN Networks, Ltd........................................ 8,713 18,019 Dena Bank................................................ 99,442 175,775 *Development Credit Bank, Ltd............................. 1,868,686 1,620,501 Dewan Housing Finance Corp., Ltd......................... 115,020 477,451 Dhanalakshmi Bank, Ltd................................... 470,051 566,923 Dishman Pharmaceuticals & Chemicals, Ltd................. 89,818 77,758 DLF, Ltd................................................. 5,425,061 19,232,958 *Dredging Corp. of India, Ltd............................. 66,613 344,729 E.I.D. - Parry (India), Ltd.............................. 754,586 2,565,717 Edelweiss Financial Services, Ltd........................ 1,123,000 627,711 Educomp Solutions, Ltd................................... 576,138 2,124,344 Eicher Motors, Ltd....................................... 40,864 1,763,317 EIH, Ltd................................................. 872,785 1,388,092 Elder Pharmaceuticals, Ltd............................... 136,186 816,030 Electrosteel Casings, Ltd................................ 723,522 282,896 Elgi Equipments, Ltd..................................... 35,934 52,607 Era Infra Engineering, Ltd............................... 793,497 2,123,893 Escorts, Ltd............................................. 1,272,669 1,778,120 *Essar Oil, Ltd........................................... 832,718 858,255 *Essar Ports, Ltd......................................... 622,634 1,066,443 *Essar Shipping, Ltd...................................... 288,928 165,797 Essel Propack, Ltd....................................... 750,981 480,089 Everest Kanto Cylinder, Ltd.............................. 351,825 197,069 *Everonn Education, Ltd................................... 90,893 392,256 FAG Bearings (India), Ltd................................ 500 14,725 FDC, Ltd................................................. 131,817 199,786 *Federal Bank, Ltd........................................ 1,716,368 13,698,199 *Federal-Mogul Goetze (India), Ltd........................ 8,496 44,437 Financial Technologies (India), Ltd...................... 111,963 1,450,518 Finolex Cables, Ltd...................................... 530,760 347,021 Finolex Industries, Ltd.................................. 695,629 779,009 *Fortis Healthcare, Ltd................................... 885,243 1,802,427 Future Capital Holdings, Ltd............................. 229,589 618,495 GAIL India, Ltd.......................................... 462,491 2,889,048 Gammon India, Ltd........................................ 480,755 423,096 Gateway Distriparks, Ltd................................. 239,619 688,172 Geodesic, Ltd............................................ 615,394 531,829 Geojit BNP Paribas Financial Services, Ltd............... 9,369 3,129 Gitanjali Gems, Ltd...................................... 513,757 3,176,774 *Glodyne Technoserve, Ltd................................. 34,199 265,061 Godawari Power & Ispat, Ltd.............................. 12,722 30,309 Godfrey Phillips India, Ltd.............................. 717 50,531 Graphite India, Ltd...................................... 502,507 865,316 Grasim Industries, Ltd................................... 15,142 735,411 Great Eastern Shipping Co., Ltd.......................... 982,256 4,733,635 Great Offshore, Ltd...................................... 47,996 79,847 *GTL Infrastructure, Ltd.................................. 3,109,565 534,909 Gujarat Alkalies & Chemicals, Ltd........................ 421,803 1,009,030 Gujarat Fluorochemicals, Ltd............................. 216,585 1,891,424 Gujarat Narmada Valley Fertilizers Co., Ltd.............. 657,301 1,020,856 Gujarat NRE Coke, Ltd.................................... 1,615,120 622,668 Gujarat State Fertilizers & Chemicals, Ltd............... 445,217 3,733,613 Gulf Oil Corp., Ltd...................................... 194,724 300,845 HBL Power Systems, Ltd................................... 430,244 125,517 HCL Infosystems, Ltd..................................... 1,013,669 861,498 HEG, Ltd................................................. 136,218 581,623 *HeidelbergCement India, Ltd.............................. 541,608 316,881
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) *Hexa Tradex, Ltd............................ 348,084 $ 495,376 Hexaware Technologies, Ltd.................. 2,847,378 6,976,806 Hikal, Ltd.................................. 2,987 15,763 Hindalco Industries, Ltd.................... 13,995,859 31,900,752 Hinduja Global Solutions, Ltd............... 63,466 377,970 Hinduja Ventures, Ltd....................... 68,545 512,346 Hindustan Construction Co., Ltd............. 6,741,542 2,703,912 Hotel Leelaventure, Ltd..................... 1,357,335 829,584 *Housing Development & Infrastructure, Ltd... 3,564,318 5,440,175 HSIL, Ltd................................... 144,457 454,972 ICICI Bank, Ltd............................. 919,070 15,385,795 ICICI Bank, Ltd. Sponsored ADR.............. 3,805,302 128,961,685 ICSA (India), Ltd........................... 280,681 99,476 IDBI Bank, Ltd.............................. 2,831,993 5,454,983 *Idea Cellular, Ltd.......................... 7,335,889 10,931,482 IFCI, Ltd................................... 6,602,323 5,182,453 India Cements, Ltd.......................... 2,819,105 4,514,604 *India Infoline, Ltd......................... 2,508,308 2,624,184 Indiabulls Financial Services, Ltd.......... 1,795,884 8,252,583 *Indiabulls Infrastructure and Power, Ltd.... 10,676,958 1,568,115 Indiabulls Real Estate, Ltd................. 3,177,847 3,786,869 Indian Bank................................. 1,190,634 5,135,256 Indian Hotels Co., Ltd...................... 3,540,025 4,154,791 Indian Overseas Bank........................ 1,876,037 3,102,141 Indo Rama Synthetics (India), Ltd........... 180,172 98,591 IndusInd Bank, Ltd.......................... 1,091,668 6,894,549 INEOS ABS India, Ltd........................ 28,114 389,197 Infotech Enterprises, Ltd................... 21,152 65,264 Infrastructure Development Finance Co., Ltd. 6,072,777 13,862,540 ING Vysya Bank, Ltd......................... 289,910 2,001,673 Ingersoll-Rand India, Ltd................... 28,609 271,380 Ipca Laboratories, Ltd...................... 160,859 1,101,340 ISMT, Ltd................................... 311,182 161,256 *IVRCL Assets & Holdings, Ltd................ 46,934 43,100 IVRCL Infrastructures & Projects, Ltd....... 3,989,984 4,672,704 J.B. Chemicals & Pharmaceuticals, Ltd....... 373,888 481,307 Jai Balaji Industries, Ltd.................. 16,461 12,180 Jai Corp., Ltd.............................. 659,451 847,576 Jaiprakash Associates, Ltd.................. 13,738,534 19,397,733 Jammu & Kashmir Bank, Ltd................... 272,824 4,819,354 *Jaypee Infratech, Ltd....................... 423,237 369,757 JBF Industries, Ltd......................... 96,294 207,021 *Jet Airways (India), Ltd.................... 358,288 2,281,318 Jindal Poly Films, Ltd...................... 203,346 752,251 Jindal Saw, Ltd............................. 1,966,409 5,773,847 *Jindal South West Holdings, Ltd............. 364 4,640 *Jindal Stainless, Ltd....................... 746,050 1,105,141 JK Cement, Ltd.............................. 69,931 185,449 JK Lakshmi Cement, Ltd...................... 217,323 268,702 JK Tyre & Industries, Ltd................... 84,255 138,263 JM Financial, Ltd........................... 1,866,183 491,883 JSW Energy, Ltd............................. 2,855,736 2,674,442 *JSW ISPAT Steel, Ltd........................ 4,904,285 1,105,183 JSW Steel, Ltd.............................. 1,467,112 19,237,822 Jubilant Industries, Ltd.................... 12,130 61,232 Jubilant Organosys, Ltd..................... 430,223 1,476,135 *Jyothy Laboratories, Ltd.................... 382 1,276 Jyoti Structures, Ltd....................... 4,680 3,922 K.S.B. Pumps, Ltd........................... 7,582 31,993 *Kakinada Fertilizers, Ltd................... 2,082,494 442,975 Kalpataru Power Transmission, Ltd........... 97,879 185,573
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) *Kalyani Investment Co., Ltd................. 8,518 $ 65,660 Kalyani Steels, Ltd......................... 49,945 56,049 Karnataka Bank, Ltd......................... 1,659,587 2,848,308 Karur Vysya Bank, Ltd....................... 294,278 2,253,191 Karuturi Global, Ltd........................ 2,133,835 201,797 KEC International, Ltd...................... 82,753 89,755 Kesoram Industries, Ltd..................... 187,382 479,903 *Kingfisher Airlines, Ltd.................... 2,060,576 592,084 Kirloskar Industries, Ltd................... 8,838 49,412 Kirloskar Oil Engines, Ltd.................. 328,770 910,642 *KSK Energy Ventures, Ltd.................... 10,787 13,038 Lakshmi Machine Works, Ltd.................. 4,518 139,647 Lakshmi Vilas Bank, Ltd..................... 384,784 582,875 *Landmark Property Development Co., Ltd...... 201,134 7,071 LIC Housing Finance, Ltd.................... 1,173,644 5,798,794 Madhucon Projects, Ltd...................... 174,483 168,396 Madras Cements, Ltd......................... 493,400 1,386,073 *Mahanagar Telephone Nigam, Ltd.............. 1,806,325 858,791 #*Mahanagar Telephone Nigam, Ltd. ADR......... 100,249 91,227 Maharashtra Scooters, Ltd................... 4,450 27,663 Maharashtra Seamless, Ltd................... 183,417 1,317,641 Mahindra & Mahindra Financial Services, Ltd. 28,111 370,193 Mahindra Lifespace Developers, Ltd.......... 136,422 828,671 Manaksia, Ltd............................... 147,412 139,284 Maruti Suzuki India, Ltd.................... 213,044 5,548,383 *Mastek, Ltd................................. 58,981 110,458 *MAX India, Ltd.............................. 62,495 235,247 McLeod Russel (India), Ltd.................. 707,622 3,753,817 *Mercator Lines, Ltd......................... 2,620,115 1,058,546 *Merck, Ltd.................................. 28,846 332,313 MindTree, Ltd............................... 26,874 301,047 Monnet Ispat, Ltd........................... 165,498 1,516,277 *Moser Baer (India), Ltd..................... 578,106 158,520 Mphasis, Ltd................................ 37,279 260,535 MRF, Ltd.................................... 17,453 3,797,449 Mukand, Ltd................................. 237,046 142,122 Nagarjuna Construction Co., Ltd............. 2,202,664 2,091,890 *Nagarjuna Oil Refinery, Ltd................. 1,893,177 289,185 Nahar Capital & Financial Services, Ltd..... 18,244 14,795 Nahar Spinning Mills, Ltd................... 6,026 5,546 National Aluminium Co., Ltd................. 1,158,468 1,304,441 Nava Bharat Ventures, Ltd................... 22,955 89,613 NIIT Technologies, Ltd...................... 436,637 2,228,717 NIIT, Ltd................................... 1,198,069 1,002,236 NOCIL, Ltd.................................. 410,986 132,782 Noida Toll Bridge Co., Ltd.................. 659,041 319,595 OCL India, Ltd.............................. 84,049 150,047 *OMAXE, Ltd.................................. 695,491 1,997,488 *OnMobile Global, Ltd........................ 198,810 202,271 Orbit Corp., Ltd............................ 431,838 396,840 Orchid Chemicals & Pharmaceuticals, Ltd..... 556,542 1,901,279 Orient Paper & Industries, Ltd.............. 335,647 354,895 Oriental Bank of Commerce................... 843,629 3,702,682 *Oswal Chemical & Fertilizers, Ltd........... 481,366 332,938 Panacea Biotec, Ltd......................... 68,042 99,918 *Parsvnath Developers, Ltd................... 1,545,045 1,666,930 *Patni Computer Systems, Ltd................. 438,000 4,212,777 *Patni Computer Systems, Ltd. ADR............ 55,441 1,079,436 Peninsula Land, Ltd......................... 224,699 134,193 Petronet LNG, Ltd........................... 2,811,637 7,364,753 Piramal Healthcare, Ltd..................... 629,192 5,256,590
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Plethico Pharmaceuticals, Ltd................. 199,399 $ 1,394,204 Polaris Financial Technology, Ltd............. 396,842 992,515 Polyplex Corp., Ltd........................... 22,174 75,010 Power Finance Corp., Ltd...................... 16,793 54,160 *Prism Cement, Ltd............................. 485,261 441,196 PSL, Ltd...................................... 21,802 24,683 PTC (India), Ltd.............................. 2,393,412 2,714,995 Punj Lloyd, Ltd............................... 2,873,787 2,938,087 *Punjab & Sind Bank............................ 96,300 133,207 Rain Commodities, Ltd......................... 1,341,773 1,010,519 Rajesh Exports, Ltd........................... 429,470 1,165,983 Ranbaxy Laboratories, Ltd..................... 76,980 732,652 Raymond, Ltd.................................. 340,181 2,601,923 REI Agro, Ltd................................. 4,060,276 863,048 REI Six Ten Retail, Ltd....................... 439,400 88,385 *Reliance Broadcast Network, Ltd............... 16,864 15,997 Reliance Capital, Ltd......................... 1,332,296 8,298,434 Reliance Communications, Ltd.................. 7,699,434 10,962,481 Reliance Industries, Ltd...................... 17,003,711 239,838,476 *Reliance Industries, Ltd. Sponsored GDR....... 107,000 3,019,540 *Reliance Power, Ltd........................... 6,851,138 13,939,696 Rolta (India), Ltd............................ 1,402,924 2,328,028 Ruchi Soya Industries, Ltd.................... 1,591,478 2,683,215 Rural Electrification Corp., Ltd.............. 2,768,400 10,951,147 S. Kumars Nationwide, Ltd..................... 1,585,339 938,018 *SEAMEC, Ltd................................... 37,241 60,775 Sesa Goa, Ltd................................. 5,326,934 19,057,899 Shipping Corp. of India, Ltd.................. 1,672,081 1,961,669 Shiv-Vani Oil & Gas Exploration Services, Ltd. 93,090 288,032 Shree Renuka Sugars, Ltd...................... 4,945,876 2,994,234 Simplex Infrastructures, Ltd.................. 1,570 6,985 Sintex Industries, Ltd........................ 1,801,294 2,534,752 SKF (India), Ltd.............................. 9,374 118,287 Sobha Developers, Ltd......................... 489,167 3,044,911 Sona Koyo Steering Systems, Ltd............... 64,698 16,246 South Indian Bank, Ltd........................ 9,724,062 4,427,558 SREI Infrastructure Finance, Ltd.............. 1,470,670 722,602 SRF, Ltd...................................... 266,306 1,206,473 State Bank of Bikaner & Jaipur................ 6,872 49,657 State Bank of India........................... 1,545,488 62,445,740 State Bank of India Sponsored GDR............. 5,732 465,850 Steel Authority of India, Ltd................. 5,465,207 9,799,903 Sterling Biotech, Ltd......................... 1,378,264 246,268 Sterlite Industries (India), Ltd.............. 5,746,256 11,630,006 #Sterlite Industries (India), Ltd. ADR......... 2,573,639 21,078,103 Sterlite Technologies, Ltd.................... 1,281,513 890,776 Strides Arcolab, Ltd.......................... 228,102 2,888,031 Sundaram Finance, Ltd......................... 5,730 72,800 Sundram Fastners, Ltd......................... 55,097 58,492 *Suzlon Energy, Ltd............................ 12,199,536 5,251,813 Syndicate Bank................................ 1,987,444 3,962,235 Tamilnadu Newsprint & Papers, Ltd............. 58,711 121,848 Tanla Solutions, Ltd.......................... 87,874 10,693 Tata Chemicals, Ltd........................... 1,091,283 6,988,201 Tata Communications, Ltd. ADR................. 30,720 276,480 *Tata Investment Corp., Ltd.................... 56,799 488,735 Tata Steel, Ltd............................... 5,110,167 44,825,688 Tata Tea, Ltd................................. 4,602,216 10,236,661 TCI Developers, Ltd........................... 2,437 5,982 *Teledata Marine Solutions, Ltd................ 267,258 1,825 Time Technoplast, Ltd......................... 498,379 520,555
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- -------------- INDIA -- (Continued) Titagarh Wagons, Ltd..................................... 106,381 $ 691,654 Transport Corp of India, Ltd............................. 68,548 82,887 Trent, Ltd............................................... 17,717 308,937 Triveni Turbine, Ltd..................................... 240,000 196,983 Tube Investments of India, Ltd........................... 637,619 1,683,140 Tulip IT Services, Ltd................................... 408,936 722,015 UCO Bank................................................. 2,760,403 4,052,697 Uflex, Ltd............................................... 440,201 966,093 Unichem Laboratories, Ltd................................ 199,000 540,606 Union Bank of India, Ltd................................. 797,003 3,404,772 *Unitech, Ltd............................................. 17,601,093 8,867,388 United Phosphorus, Ltd................................... 1,825,763 4,020,503 United Spirits, Ltd...................................... 41,486 612,883 Unity Infraprojects, Ltd................................. 132,583 122,758 Usha Martin, Ltd......................................... 1,441,016 811,933 *Vardhman Special Steels, Ltd............................. 19,609 7,814 Vardhman Textiles, Ltd................................... 99,836 406,390 Varun Shipping Co., Ltd.................................. 269,190 89,011 Videocon Industries, Ltd................................. 891,313 2,913,754 Videsh Sanchar Nigam, Ltd................................ 1,053,665 4,779,657 Vijaya Bank, Ltd......................................... 2,079,121 2,310,640 Voltamp Transformers, Ltd................................ 724 7,153 Walchandnagar Industries, Ltd............................ 36,885 53,269 Welspun Corp., Ltd....................................... 1,541,955 3,665,579 *Wockhardt, Ltd........................................... 27,242 375,962 Zee Entertainment Enterprises, Ltd....................... 2,320,396 5,541,280 *Zee Learn, Ltd........................................... 259,820 100,364 *Zuari Holdings, Ltd...................................... 128,304 813,890 Zuari Industries, Ltd.................................... 128,304 393,994 Zylog Systems, Ltd....................................... 39,105 479,826 -------------- TOTAL INDIA................................................. 1,243,665,432 -------------- INDONESIA -- (3.5%) PT Adaro Energy Tbk...................................... 20,591,500 4,149,253 PT Adhi Karya Persero Tbk................................ 9,203,617 988,735 *PT Agis Tbk.............................................. 59,762,000 1,001,013 PT AKR Corporindo Tbk.................................... 16,068,900 7,193,964 PT Aneka Tambang Persero Tbk............................. 63,040,000 11,775,318 PT Asahimas Flat Glass Tbk............................... 5,277,000 3,539,518 PT Astra Graphia Tbk..................................... 4,213,000 686,035 *PT Bakrie & Brothers Tbk................................. 1,056,525,750 5,731,249 PT Bakrie Sumatera Plantations Tbk....................... 180,133,500 5,855,495 *PT Bakrie Telecom Tbk.................................... 285,762,000 7,909,393 *PT Bakrieland Development Tbk............................ 641,373,520 8,137,645 PT Bank Bukopin Tbk...................................... 56,865,833 4,506,546 PT Bank Danamon Indonesia Tbk............................ 34,396,054 20,907,722 PT Bank Mandiri Persero Tbk.............................. 58,708,431 47,081,241 PT Bank Negara Indonesia Persero Tbk..................... 115,821,441 50,526,211 *PT Bank Pan Indonesia Tbk................................ 150,362,201 14,014,321 *PT Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk..... 154,000 17,188 *PT Bank Permata Tbk...................................... 304,000 50,859 PT Bank Tabungan Negara Persero Tbk...................... 35,480,362 5,305,244 *PT Barito Pacific Tbk.................................... 15,007,000 1,155,268 *PT Berlian Laju Tanker Tbk............................... 128,161,466 2,733,219 PT Bhakti Investama Tbk.................................. 264,033,200 13,153,321 *PT Bisi International Tbk................................ 3,318,500 302,897 PT Budi Acid Jaya Tbk.................................... 15,362,000 406,901 *PT Bumi Resources Minerals Tbk........................... 169,000 10,651 PT Bumi Resources Tbk.................................... 260,037,500 57,099,619 *PT Bumi Serpong Damai Tbk................................ 7,147,000 1,106,163 *PT Central Proteinaprima Tbk............................. 178,071,500 1,026,907
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- INDONESIA -- (Continued) *PT Charoen Pokphand Indonesia Tbk..................... 75,187,330 $22,370,226 PT Ciputra Development Tbk............................ 98,226,500 8,099,444 PT Ciputra Surya Tbk.................................. 16,452,000 3,757,226 PT Clipan Finance Indonesia Tbk....................... 2,995,500 157,551 *PT Darma Henwa Tbk.................................... 246,575,442 2,082,893 *PT Davomas Adabi Tbk.................................. 138,239,500 752,078 PT Elnusa Tbk......................................... 27,207,500 575,966 *PT Energi Mega Persada Tbk............................ 568,704,378 11,893,052 PT Ever Shine Textile Tbk............................. 19,342,215 338,839 PT Gajah Tunggal Tbk.................................. 23,755,000 6,635,742 *PT Global Mediacom Tbk................................ 96,486,000 17,389,288 PT Gozco Plantations Tbk.............................. 24,081,000 835,374 *PT Great River International Tbk...................... 1,788,000 -- PT Gudang Garam Tbk................................... 6,235,500 40,045,463 *PT Hero Supermarket Tbk............................... 350,000 169,468 PT Holcim Indonesia Tbk............................... 14,197,000 3,970,348 *PT Indah Kiat Pulp & Paper Corp. Tbk.................. 32,296,500 3,718,596 PT Indika Energy Tbk.................................. 29,492,000 7,031,552 PT Indofood Sukses Makmur Tbk......................... 56,391,500 29,632,480 PT Indorama Synthetics Tbk............................ 41,500 8,599 *PT Intiland Development Tbk........................... 26,523,500 1,235,102 PT Japfa Comfeed Indonesia Tbk........................ 5,270,750 2,413,074 PT Jaya Real Property Tbk............................. 25,528,000 7,499,657 *PT Kawasan Industri Jababeka Tbk...................... 290,552,500 7,251,659 PT Lautan Luas Tbk.................................... 2,102,000 200,620 PT Lippo Karawaci Tbk................................. 260,084,437 23,438,782 *PT Matahari Putra Prima Tbk........................... 35,459,900 3,621,107 PT Mayorah Indah Tbk.................................. 8,664,572 18,803,497 PT Medco Energi Internasional Tbk..................... 26,880,000 6,121,704 PT Media Nusantara Citra Tbk.......................... 24,295,594 5,932,157 PT Mitra Adiperkasa Tbk............................... 2,627,500 1,980,998 *PT Mitra International Resources Tbk.................. 38,631,660 672,549 PT Pabrik Kertas Tjiwi Kimia Tbk...................... 239,500 81,892 *PT Pan Brothers Tbk................................... 87,500 4,654 *PT Panasia Indosyntec Tbk............................. 403,200 11,955 *PT Panin Financial Tbk................................ 247,955,500 4,116,436 PT Panin Insurance Tbk................................ 30,688,500 1,831,479 *PT Pembangunan Perumahan Persero Tbk.................. 7,232,500 549,674 PT Perusahaan Perkebunan London Sumatra Indonesia Tbk. 24,748,384 7,849,542 *PT Polychem Indonesia Tbk............................. 16,325,000 922,857 PT Ramayana Lestari Sentosa Tbk....................... 23,360,500 2,170,295 PT Sampoerna Agro Tbk................................. 9,209,441 3,274,777 PT Samudera Indonesia Tbk............................. 415,500 186,247 PT Selamat Sempurna Tbk............................... 15,274,000 3,400,775 *PT Sentul City Tbk.................................... 219,316,000 7,493,969 PT Sinar Mas Agro Resources & Technology Tbk.......... 7,828,900 5,271,221 *PT Sinar Mas Multiartha Tbk........................... 2,000 870 PT Summarecon Agung Tbk............................... 40,062,357 7,521,186 *PT Sunson Textile Manufacturer Tbk.................... 6,012,000 123,258 *PT Surya Dumai Industri Tbk........................... 5,145,000 -- PT Surya Toto Indonesia Tbk........................... 46,400 213,307 *PT Suryainti Permata Tbk.............................. 17,378,000 168,287 *PT Tiga Pilar Sejahtera Food Tbk...................... 18,565,222 1,432,603 PT Timah Persero Tbk.................................. 31,858,400 6,279,917 *PT Total Bangun Persada TbK........................... 379,000 24,259 *PT Trias Sentosa Tbk.................................. 336,500 15,149 PT Trimegah Securities Tbk............................ 34,298,000 469,091 *PT Truba Alam Manunggal Engineering Tbk............... 129,244,500 702,122 PT Tunas Baru Lampung Tbk............................. 15,714,500 1,039,478 PT Tunas Ridean Tbk................................... 42,848,500 3,587,845 *PT Ultrajaya Milk Industry & Trading Co. Tbk.......... 13,717,500 1,772,396
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDONESIA -- (Continued) PT Unggul Indah Cahaya Tbk............................... 371,435 $ 79,012 PT Vale Indonesia Tbk.................................... 41,280,500 13,864,319 PT Wijaya Karya Persero Tbk.............................. 31,604,002 3,358,348 ------------ TOTAL INDONESIA............................................. 592,824,207 ------------ ISRAEL -- (0.0%) Bank of Jerusalem, Ltd................................... 16,518 21,209 Delta-Galil Industries, Ltd.............................. -- 4 *Electra Real Estate, Ltd................................. -- -- *Elron Electronic Industries, Ltd......................... 1 3 *Feuchtwanger Investments, Ltd............................ 10,500 33 Formula Systems (1985), Ltd.............................. -- -- *Formula Vision Technologies, Ltd......................... -- -- *Israel Steel Mills, Ltd.................................. 97,000 1,005 *Kardan Israel, Ltd....................................... -- -- *Knafaim Holdings, Ltd.................................... 69,163 316,859 *Koor Industries, Ltd..................................... 1 12 *Liberty Properties, Ltd.................................. 2,533 22,243 *Mivtach Shamir Holdings, Ltd............................. 40,184 937,796 *Naphtha Israel Petroleum Corp., Ltd...................... -- 1 ------------ TOTAL ISRAEL................................................ 1,299,165 ------------ MALAYSIA -- (3.3%) *A&M Realty Berhad........................................ 603,400 91,060 Adventa Berhad........................................... 62,000 29,263 Aeon Co. Berhad.......................................... 37,500 117,456 Affin Holdings Berhad.................................... 9,611,900 9,734,729 AirAsia Berhad........................................... 7,771,800 8,526,769 *Alam Maritim Resources Berhad............................ 4,010,300 903,731 Alliance Financial Group Berhad.......................... 15,065,600 19,597,794 Amcorp Properties Berhad................................. 1,047,267 151,960 AMMB Holdings Berhad..................................... 22,003,862 45,388,959 Ann Joo Resources Berhad................................. 2,857,200 1,826,377 APM Automotive Holdings Berhad........................... 1,216,800 1,892,326 Apollo Food Holdings Berhad.............................. 109,000 105,464 Asas Dunia Berhad........................................ 252,800 93,835 Axiata Group Berhad...................................... 211,150 370,491 *AYS Ventures Berhad...................................... 7,954 438 Bandar Raya Developments Berhad.......................... 4,151,900 3,072,556 Batu Kawan Berhad........................................ 2,242,250 13,907,668 Berjaya Assets Berhad.................................... 105,600 28,558 Berjaya Corp. Berhad..................................... 31,291,680 8,257,675 *Berjaya Land Berhad...................................... 13,220,000 3,666,568 *Berjaya Media Berhad..................................... 299,800 42,181 BIMB Holdings Berhad..................................... 4,601,200 3,849,356 Bina Darulaman Berhad.................................... 57,800 22,948 *BLD Plantation Berhad.................................... 900 2,750 Bolton Berhad............................................ 1,288,000 327,430 Boustead Holdings Berhad................................. 6,109,298 10,538,382 Cahya Mata Sarawak Berhad................................ 1,819,100 1,467,913 CB Industrial Product Holding Berhad..................... 248,800 233,074 Chemical Co. of Malaysia Berhad.......................... 311,000 154,018 Chin Teck Plantations Berhad............................. 304,700 904,897 Coastal Contracts Berhad................................. 2,477,300 1,599,581 CSC Steel Holdings Berhad................................ 2,370,500 1,086,815 Cycle & Carriage Bintang Berhad.......................... 241,300 227,973 *Datuk Keramik Holdings Berhad............................ 127,000 -- Dijaya Corp. Berhad...................................... 931,800 338,876 DRB-Hicom Berhad......................................... 11,392,500 9,561,798 Eastern & Oriental Berhad................................ 12,554,815 5,761,951 ECM Libra Avenue Berhad.................................. 7,346,426 1,891,108
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (Continued) Esso (Malaysia) Berhad................................... 1,319,400 $ 1,561,919 *Evergreen Fibreboard Berhad.............................. 3,586,926 1,061,771 Faber Group Berhad....................................... 2,402,100 1,300,096 Far East Holdings Berhad................................. 388,800 964,988 *Fountain View Development Berhad......................... 2,573,200 -- Gamuda Berhad............................................ 1,852,500 2,172,889 Genting (Malaysia) Berhad................................ 7,435,100 9,412,454 Genting Plantations Berhad............................... 400,300 1,240,691 Glomac Berhad............................................ 4,305,500 1,185,716 Goldis Berhad............................................ 3,016,125 2,042,746 *Green Packet Berhad...................................... 1,037,400 200,065 GuocoLand (Malaysia) Berhad.............................. 1,288,100 344,601 Hap Seng Consolidated Berhad............................. 11,882,800 6,460,801 Hap Seng Plantations Holdings Berhad..................... 3,279,900 3,231,536 *Hiap Teck Venture Berhad................................. 49,600 9,719 *Ho Wah Genting Berhad.................................... 2,210,200 283,483 Hong Leong Financial Group Berhad........................ 2,051,251 8,080,204 Hong Leong Industries Berhad............................. 1,225,800 1,736,126 *Hubline Berhad........................................... 4,627,900 122,169 Hunza Properties Berhad.................................. 1,033,300 494,548 Hwang-DBS (Malaysia) Berhad.............................. 908,700 717,146 IGB Corp. Berhad......................................... 13,750,190 12,437,464 IJM Corp. Berhad......................................... 19,815,680 35,773,971 IJM Land Berhad.......................................... 4,611,100 3,353,848 IJM Plantations Berhad................................... 490,300 531,456 *Inch Kenneth Kajang Rubber Berhad........................ 56,600 10,562 *Insas Berhad............................................. 5,034,048 714,244 Integrax Berhad.......................................... 910,200 384,660 *Iris Corp. Berhad........................................ 3,757,500 217,260 *Jaks Resources Berhad.................................... 5,336,600 915,163 Jaya Tiasa Holdings Berhad............................... 1,279,912 3,993,486 *K & N Kenanga Holdings Berhad............................ 2,968,600 561,877 *Karambunai Corp. Berhad.................................. 19,239,800 1,044,860 Keck Seng (Malaysia) Berhad.............................. 2,515,500 3,300,317 Kian Joo Can Factory Berhad.............................. 4,132,680 2,683,581 *KIG Glass Industrial Berhad.............................. 260,000 2,578 Kim Loong Resources Berhad............................... 425,700 366,586 Kinsteel Berhad.......................................... 8,135,400 1,205,749 KLCC Property Holdings Berhad............................ 6,568,600 7,360,346 *KNM Group Berhad......................................... 14,497,525 3,985,935 *Knusford Berhad.......................................... 73,800 47,314 KrisAssets Holdings Berhad............................... 250,377 578,133 KSL Holdings Berhad...................................... 799,566 364,137 KUB (Malaysia) Berhad.................................... 6,366,600 1,300,622 Kulim (Malaysia) Berhad.................................. 9,703,300 13,532,945 Kumpulan Fima Berhad..................................... 2,178,600 1,322,561 *Kumpulan Hartanah Selangor Berhad........................ 181,000 28,684 Kumpulan Perangsang Selangor Berhad...................... 1,741,700 575,207 Kwantas Corp. Berhad..................................... 249,100 198,868 *Land & General Berhad.................................... 1,895,400 203,069 *Landmarks Berhad......................................... 4,118,808 1,291,773 Latexx Partners Berhad................................... 1,151,800 534,813 *LBS Bina Group Berhad.................................... 106,400 28,073 *Leader Universal Holdings Berhad......................... 5,376,733 1,891,810 Lingui Development Berhad................................ 1,356,814 686,399 *Lion Corp. Berhad........................................ 1,371,081 189,423 Lion Diversified Holdings Berhad......................... 4,064,800 420,896 Lion Forest Industries Berhad............................ 177,500 81,858 Lion Industries Corp. Berhad............................. 7,646,681 3,524,288 Mah Sing Group Berhad.................................... 2,150,600 1,391,936 *Malayan Flour Mills Berhad............................... 661,450 409,673
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (Continued) *Malayan United Industries Berhad......................... 200,244 $ 13,897 Malaysia Airports Holdings Berhad........................ 791,300 1,512,215 *Malaysian Airlines System Berhad......................... 3,795,300 1,528,695 Malaysian Bulk Carriers Berhad........................... 2,956,325 1,560,274 Malaysian Pacific Industries Berhad...................... 677,875 669,048 Malaysian Resources Corp. Berhad......................... 1,267,500 696,455 MBM Resources Berhad..................................... 1,511,333 2,456,796 Media Prima Berhad....................................... 103,800 87,431 Mega First Corp. Berhad.................................. 1,101,700 614,641 Metro Kajang Holdings Berhad............................. 869,508 565,371 *Metroplex Berhad......................................... 817,000 -- MISC Berhad.............................................. 3,829,504 6,058,610 *MK Land Holdings Berhad.................................. 9,637,500 905,744 MMC Corp. Berhad......................................... 12,611,180 10,953,665 MNRB Holdings Berhad..................................... 1,250,800 1,093,699 Mudajaya Group Berhad.................................... 2,884,000 2,451,339 Muhibbah Engineering Berhad.............................. 5,002,700 2,025,442 *MUI Properties Berhad.................................... 139,700 6,902 *Mulpha International Berhad.............................. 31,821,100 4,615,812 MWE Holdings Berhad...................................... 270,000 124,499 Naim Holdings Berhad..................................... 1,841,500 1,202,889 NCB Holdings Berhad...................................... 2,451,500 3,611,455 Negri Sembilan Oil Palms Berhad.......................... 167,600 342,689 Oriental Holdings Berhad................................. 3,717,279 7,873,446 Oriental Interest Berhad................................. 139,100 56,642 OSK Holdings Berhad...................................... 7,069,371 3,983,584 *OSK Ventures International Berhad........................ 519,697 71,698 P.I.E. Industrial Berhad................................. 323,600 526,335 Pacific & Orient Berhad.................................. 283,730 88,849 Panasonic Manufacturing (Malaysia) Berhad................ 383,380 2,871,931 *Paracorp Berhad.......................................... 252,000 833 Paramount Corp. Berhad................................... 989,100 512,257 PBA Holdings Berhad...................................... 1,502,500 462,520 Pelikan International Corp. Berhad....................... 4,130,320 1,070,571 *Perdana Petroleum Berhad................................. 1,106,300 224,167 *Perisai Petroleum Teknologi Berhad....................... 1,179,200 337,536 *Permaju Industries Berhad................................ 995,000 128,224 Perusahaan Sadur Timah Malaysia (Perstima) Berhad........ 6,800 7,864 *Perwaja Holdings Berhad.................................. 211,300 44,561 Pharmaniaga Berhad....................................... 92,667 135,050 PJ Development Holdings Berhad........................... 2,886,400 671,825 POS (Malaysia) Berhad.................................... 3,059,817 2,752,158 PPB Group Berhad......................................... 7,148,266 39,501,996 Press Metal Berhad....................................... 2,537,381 1,766,488 *Prime Utilities Berhad................................... 39,000 1,160 Protasco Berhad.......................................... 282,200 87,213 Proton Holdings Berhad................................... 3,991,400 7,215,009 QSR Brands Berhad........................................ 56,800 119,435 *Ramunia Holdings Berhad.................................. 2,709,100 333,723 RCE Capital Berhad....................................... 3,627,000 568,011 RHB Capital Berhad....................................... 8,537,259 20,749,004 Salcon Berhad............................................ 416,700 72,843 Sarawak Oil Palms Berhad................................. 596,220 1,332,549 Sarawak Plantation Berhad................................ 34,400 34,082 Scientex Berhad.......................................... 938,848 720,928 *Scomi Group Berhad....................................... 15,913,800 1,364,898 *Scomi Marine Berhad...................................... 709,000 90,884 Selangor Dredging Berhad................................. 1,312,700 292,838 Selangor Properties Berhad............................... 44,400 52,576 Shangri-La Hotels (Malaysia) Berhad...................... 738,000 724,465 Shell Refining Co. Federation of Malaysia Berhad......... 217,100 737,021
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ MALAYSIA -- (Continued) SHL Consolidated Berhad................................................. 1,008,700 $ 430,014 Sino Hua-An International Berhad........................................ 3,861,100 267,832 Subur Tiasa Holdings Berhad............................................. 503,530 439,055 *Sunway Berhad........................................................... 8,333,745 6,599,520 Supermax Corp. Berhad................................................... 6,102,500 3,805,648 Suria Capital Holdings Berhad........................................... 682,500 357,171 Ta Ann Holdings Berhad.................................................. 347,252 745,733 TA Enterprise Berhad.................................................... 17,581,700 3,274,594 TA Global Berhad........................................................ 9,464,380 889,392 TAHPS Group Berhad...................................................... 27,000 41,373 Tan Chong Motor Holdings Berhad......................................... 4,689,700 7,011,317 *Tanjung Offshore Berhad................................................. 137,600 30,906 TDM Berhad.............................................................. 1,928,000 3,000,133 *Tebrau Teguh Berhad..................................................... 9,673,466 2,374,158 TH Plantations Berhad................................................... 39,200 35,180 *Time Dotcom Berhad...................................................... 25,212,900 5,894,353 Tiong Nam Transport Holdings Berhad..................................... 113,500 36,522 Tradewinds (Malaysia) Berhad............................................ 1,945,300 6,279,917 Tradewinds Corp. Berhad................................................. 5,394,700 1,289,494 Tradewinds Plantation Berhad............................................ 239,000 458,409 *Trinity Corp. Berhad.................................................... 15,950,050 342,212 TSH Resources Berhad.................................................... 852,800 689,781 UAC Berhad.............................................................. 77,398 73,674 *UEM Land Holdings Berhad................................................ 1,918,445 1,270,807 UMW Holdings Berhad..................................................... 2,136,986 5,536,955 Unico-Desa Plantations Berhad........................................... 4,248,728 1,686,144 Unisem (Malaysia) Berhad................................................ 7,837,200 3,691,546 United Malacca Berhad................................................... 916,500 2,311,736 *United Plantations Berhad............................................... 606,800 5,196,664 VS Industry Berhad...................................................... 1,337,193 701,458 Wah Seong Corp. Berhad.................................................. 3,315,711 2,218,598 WCT Berhad.............................................................. 6,062,000 4,691,160 Wing Tai (Malaysia) Berhad.............................................. 1,861,100 953,720 WTK Holdings Berhad..................................................... 4,734,450 2,244,680 Yeo Hiap Seng (Malaysia) Berhad......................................... 335,520 323,559 YNH Property Berhad..................................................... 5,042,359 3,346,269 YTL Corp. Berhad........................................................ 53,077,729 28,385,557 *YTL Land & Development Berhad........................................... 1,370,000 465,243 *Zelan Berhad............................................................ 5,049,100 674,936 ------------ TOTAL MALAYSIA............................................................. 554,592,983 ------------ MEXICO -- (6.0%) #Alfa S.A.B. de C.V. Series A............................................ 5,139,702 73,528,876 #Alsea de Mexico S.A.B. de C.V........................................... 2,424,576 3,329,942 #Arca Continental S.A.B. de C.V.......................................... 4,696,529 23,890,159 *Axtel S.A.B. de C.V..................................................... 8,940,907 2,436,691 Bolsa Mexicana de Valores S.A. de C.V................................... 2,642,471 5,280,499 #*Cemex S.A.B. de C.V. Sponsored ADR...................................... 16,022,635 115,843,653 #Cia Minera Autlan S.A.B. de C.V. Series B............................... 967,628 978,329 #Coca-Cola Femsa S.A.B. de C.V. Series L................................. 52,700 558,964 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR............................ 271,050 28,717,748 Consorcio ARA S.A.B. de C.V. Series *................................... 11,814,074 3,763,903 *Controladora Comercial Mexicana S.A.B. de C.V. Series B................. 3,563,744 7,559,237 Corp Actinver S.A.B. de C.V............................................. 3,700 3,039 #*Corporacion GEO S.A.B. de C.V. Series B................................. 7,958,866 10,600,864 *Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B....... 1,561,186 737,090 *Desarrolladora Homex S.A.B. de C.V...................................... 2,992,074 8,363,414 *Desarrolladora Homex S.A.B. de C.V. ADR................................. 115,455 1,940,799 *Dine S.A.B. de C.V...................................................... 1,028,367 400,659 El Puerto de Liverpool S.A.B. de C.V. Series 1.......................... 19,600 159,196 El Puerto de Liverpool S.A.B. de C.V. Series C-1........................ 235,493 1,878,202
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- -------------- MEXICO -- (Continued) *Empaques Ponderosa S.A. de C.V. Series B................. 90,000 $ 6,218 *Empresas ICA S.A.B. de C.V............................... 6,079,225 11,028,147 #*Empresas ICA S.A.B. de C.V. Sponsored ADR................ 1,118,155 8,084,261 *Financiera Independencia S.A.B. de C.V................... 14,576 5,819 Fomento Economico Mexicano S.A.B. de C.V................. 2,311,921 18,776,222 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 2,490,634 202,388,919 *Gruma S.A.B. de C.V. ADR................................. 15,222 166,072 *Gruma S.A.B. de C.V. Series B............................ 3,607,804 9,835,223 Grupo Aeroportuario del Centro Norte S.A.B. de C.V....... 865,088 1,761,928 #Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR.. 46,146 747,565 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR...... 636,889 24,653,973 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Series B. 1,182,500 4,600,747 *Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR....... 243,007 19,904,703 Grupo Aeroportuario del Sureste S.A.B. de C.V. Series B.. 1,203,482 9,844,273 #Grupo Carso S.A.B. de C.V. Series A-1.................... 10,574,593 35,719,628 *Grupo Cementos de Chihuahua S.A.B. de C.V................ 2,799,892 9,525,387 *Grupo Comercial Chedraui S.A. de C.V..................... 1,382,379 3,595,515 *Grupo Famsa S.A.B. de C.V. Series A...................... 2,304,658 1,710,896 #Grupo Financiero Banorte S.A.B. de C.V. Series O......... 22,310,546 107,904,943 #Grupo Financiero Inbursa S.A.B. de C.V. Series O......... 16,735,703 36,809,437 Grupo Gigante S.A.B. de C.V. Series B.................... 471,076 831,782 Grupo Industrial Bimbo S.A.B. de C.V. Series A-1......... 187,300 446,899 Grupo Industrial Maseca S.A.B. de C.V. Series B.......... 2,724,300 3,388,134 *Grupo Industrial Saltillo S.A.B. de C.V.................. 1,332,369 1,626,343 Grupo Kuo S.A.B. de C.V. Series B........................ 2,038,967 3,952,412 #Grupo Mexico S.A.B. de C.V. Series B..................... 26,180,390 80,675,947 *Grupo Posadas S.A.B. de C.V. Series L.................... 356,000 409,951 *Grupo Qumma S.A. de C.V. Series B........................ 5,301 73 *Grupo Simec S.A. de C.V. Series B........................ 1,630,332 5,052,722 *Grupo Simec S.A. de C.V. Sponsored ADR................... 19,072 176,416 Industrias Bachoco S.A.B. de C.V. Series B............... 923,550 1,591,722 Industrias Bachoco S.A.B. de C.V. Sponsored ADR.......... 306 6,319 #*Industrias CH S.A.B. de C.V. Series B.................... 3,100,592 14,067,687 *Inmuebles Carso S.A.B. de C.V. Series B-1................ 10,258,893 9,096,474 *Medica Sur S.A.B. de C.V. Series B....................... 1,000 1,873 *Megacable Holdings S.A.B. de C.V......................... 75,294 163,005 *Minera Frisco S.A.B. de C.V. Series A-1.................. 9,928,125 42,971,736 *OHL Mexico S.A.B. de C.V................................. 1,209,768 1,913,198 *Organizacion Soriana S.A.B. de C.V. Series B............. 14,981,589 42,577,964 Qualitas Cia de Seguros S.A. de C.V...................... 2,053,100 2,269,672 #*Sare Holding S.A.B. de C.V............................... 1,159,700 127,313 *Savia S.A. de C.V. Series A.............................. 3,457,285 212,332 *TV Azteca S.A.B. de C.V.................................. 480,740 314,073 *Urbi Desarrollos Urbanos S.A.B. de C.V................... 8,786,299 9,234,216 *Vitro S.A.B. de C.V. Series A............................ 1,546,127 2,059,968 -------------- TOTAL MEXICO................................................ 1,020,209,371 -------------- PHILIPPINES -- (1.0%) A. Soriano Corp.......................................... 20,195,000 2,370,175 Alaska Milk Corp......................................... 7,874,000 4,405,326 Alliance Global Group, Inc............................... 23,691,100 6,903,855 Alsons Consolidated Resources, Inc....................... 16,904,000 564,464 Ayala Corp. Series A..................................... 97,030 986,173 BDO Unibank, Inc......................................... 7,506,120 11,737,007 Cebu Holdings, Inc....................................... 7,590,250 1,496,017 China Banking Corp....................................... 24,872 305,902 *DMCI Holdings, Inc....................................... 5,592,810 7,876,693 *Empire East Land Holdings, Inc........................... 37,000,000 699,592 *Export & Industry Bank, Inc.............................. 14,950 92 *Filinvest Development Corp............................... 60,000 6,892 Filinvest Land, Inc...................................... 171,995,031 5,493,341
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ PHILIPPINES -- (Continued) *Filipina Water Bottling Corp........................ 5,471,786 $ -- First Philippines Holdings Corp..................... 4,041,210 6,113,614 *Global Estate Resorts, Inc.......................... 8,272,000 376,866 *JG Summit Holdings, Inc............................. 1,214,900 957,124 Lopez Holdings Corp................................. 27,045,100 3,668,710 Macroasia Corp...................................... 1,418,000 103,855 Megaworld Corp...................................... 194,373,600 9,939,768 Metro Bank & Trust Co............................... 9,336,217 20,126,634 *Mondragon International Philippines, Inc............ 2,464,000 -- *Philippine National Bank............................ 4,235,668 7,526,544 *Philippine National Construction Corp............... 398,900 46,296 *Philippine Realty & Holdings Corp................... 4,822,000 60,414 Philippine Savings Bank............................. 1,232,313 2,367,204 *Philippine Townships, Inc........................... 226,200 25,449 *Phinma Corp......................................... 2,550,498 723,664 *Prime Orion Philippines, Inc........................ 10,310,000 127,253 Rizal Commercial Banking Corp....................... 4,661,148 4,836,735 Robinson's Land Corp. Series B...................... 28,277,850 11,560,937 San Miguel Corp..................................... 5,280,376 14,031,331 Security Bank Corp.................................. 2,453,882 8,280,409 Shang Properties, Inc............................... 614,285 37,752 SM Development Corp................................. 48,575,176 8,048,036 *Solid Group, Inc.................................... 9,532,000 287,618 Union Bank of Philippines........................... 2,583,074 6,527,884 Universal Robina Corp............................... 14,498,385 22,275,785 Vista Land & Lifescapes, Inc........................ 48,174,868 4,956,108 ------------ TOTAL PHILIPPINES...................................... 175,851,519 ------------ POLAND -- (1.4%) Agora SA............................................ 610,693 2,305,154 Amica Wronki SA..................................... 28,709 444,981 Asseco Poland SA.................................... 938,627 13,972,541 ATM SA.............................................. 9,205 25,388 Bank Millennium SA.................................. 6,694,382 8,805,082 *Bioton SA........................................... 42,632,004 1,079,104 *BOMI SA............................................. 25,857 10,660 *Ciech SA............................................ 572,583 3,124,507 *ComArch SA.......................................... 3,061 60,305 Debica SA........................................... 111,346 1,830,957 Dom Development SA.................................. 42,315 487,661 *Dom Maklerski IDM SA................................ 2,163,902 1,298,161 Emperia Holding SA.................................. 19,149 663,484 Enea SA............................................. 1,328,293 7,013,741 *Farmacol SA......................................... 5,526 37,287 *Get Bank SA......................................... 4,515,878 2,721,012 *Getin Holding SA.................................... 3,476,409 2,525,184 Grupa Kety SA....................................... 126,858 4,813,412 *Grupa Lotos SA...................................... 992,011 8,914,649 Impexmetal SA....................................... 5,864,978 7,353,628 *JW Construction Holding SA.......................... 23,612 42,000 KGHM Polska Miedz SA................................ 99,697 4,408,285 *Koelner SA.......................................... 133,100 552,711 *Kopex SA............................................ 514,594 3,142,072 Kredyt Bank SA...................................... 619,815 2,677,472 *LC Corp. SA......................................... 1,798,181 833,327 *MNI SA.............................................. 78,700 57,920 Mostostal Warszawa SA............................... 2,972 12,375 *Netia Holdings SA................................... 3,562,571 6,826,165 *Orbis SA............................................ 541,449 6,566,419 PBG SA.............................................. 107,689 867,373 Pelion SA........................................... 6,561 62,450
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ POLAND -- (Continued) *Petrolinvest SA..................................... 1,128,087 $ 675,523 PGE SA.............................................. 8,876,206 53,130,105 Polimex-Mostostal SA................................ 8,817,482 2,855,081 Polnord SA.......................................... 51,990 233,479 *Polski Koncern Miesny Duda SA....................... 951,758 202,505 *Polski Koncern Naftowy Orlen SA..................... 5,310,008 61,948,983 *Rovese SA........................................... 213,625 284,960 *Sygnity SA.......................................... 206,622 1,473,612 Synthos SA.......................................... 8,919,047 17,237,160 *Tauron Polska Energia SA............................ 5,965,445 8,848,638 *Trakcja-Tiltra SA................................... 421,396 140,700 Zaklady Azotowe Pulawy SA........................... 40,772 1,241,573 *Zaklady Azotowe w Tarnowie-Moscicach SA............. 263,497 2,821,980 *Zaklady Chemiczne Police SA......................... 953 2,815 ------------ TOTAL POLAND........................................... 244,632,581 ------------ RUSSIA -- (5.3%) *AFI Development P.L.C. GDR.......................... 156,273 89,144 Federal Hydrogenerating Co. ADR..................... 4,678,929 16,279,692 Gazprom OAO Sponsored ADR........................... 58,748,711 680,431,219 Lukoil OAO Sponsored ADR............................ 2,457,775 151,205,336 *Magnitogorsk Iron & Steel Works Sponsored GDR....... 1,316,707 6,986,368 Surgutneftegas Sponsored ADR........................ 4,474,899 44,821,687 ------------ TOTAL RUSSIA........................................... 899,813,446 ------------ SOUTH AFRICA -- (7.9%) ABSA Group, Ltd..................................... 4,420,483 90,001,079 Adcorp Holdings, Ltd................................ 501,717 1,745,512 AECI, Ltd........................................... 1,453,010 16,644,418 Afgri, Ltd.......................................... 4,685,517 3,617,516 African Bank Investments, Ltd....................... 3,826,344 19,200,897 African Oxygen, Ltd................................. 222,800 548,350 African Rainbow Minerals, Ltd....................... 1,412,864 32,594,629 Allied Electronics Corp., Ltd....................... 553,194 1,765,661 ArcelorMittal South Africa, Ltd..................... 2,505,685 18,987,715 Argent Industrial, Ltd.............................. 1,278,773 1,241,926 Aveng, Ltd.......................................... 5,795,061 29,539,862 AVI, Ltd............................................ 2,799,423 17,290,111 Avusa, Ltd.......................................... 473,355 1,236,282 Barloworld, Ltd..................................... 3,504,092 43,670,162 Basil Read Holdings, Ltd............................ 341,089 666,707 *Bell Equipment, Ltd................................. 411,045 1,205,764 Blue Label Telecoms, Ltd............................ 2,732,341 2,392,051 *Brait SE............................................ 1,661,613 5,208,502 Business Connexion Group, Ltd....................... 1,420,357 859,308 *Business Connexion Group, Ltd. Series A............. 131,299 10,984 Cadiz Holdings, Ltd................................. 6,673 1,853 Capitec Bank Holdings, Ltd.......................... 38,007 1,085,550 Caxton & CTP Publishers & Printers, Ltd............. 3,015,054 5,720,253 Cipla Medpro South Africa, Ltd...................... 5,449,886 5,124,820 *Corpgro, Ltd........................................ 579,166 -- Data Tec, Ltd....................................... 2,712,375 15,918,076 Datacentrix Holdings, Ltd........................... 429,328 272,752 *Delta EMD, Ltd...................................... 234,340 209,432 Distell Group, Ltd.................................. 374,929 4,099,300 *Distribution & Warehousing Network, Ltd............. 221,543 175,151 DRDGOLD, Ltd........................................ 5,295,673 3,605,627 ElementOne, Ltd..................................... 391,810 516,644 Eqstra Holdings, Ltd................................ 1,972,164 1,822,431 *Evraz Highveld Steel & Vanadium, Ltd................ 169,665 683,425 FirstRand, Ltd...................................... 4,353,231 14,159,343
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- SOUTH AFRICA -- (Continued) *Gijima Group, Ltd................................... 396,488 $ 24,037 Gold Fields, Ltd.................................... 515,937 6,635,625 Gold Fields, Ltd. Sponsored ADR..................... 10,046,461 129,297,953 Grindrod, Ltd....................................... 6,257,677 12,526,729 Group Five, Ltd..................................... 1,019,550 3,860,424 Harmony Gold Mining Co., Ltd........................ 2,956,676 29,065,759 #Harmony Gold Mining Co., Ltd. Sponsored ADR......... 3,033,269 29,422,709 Hudaco Industries, Ltd.............................. 123,172 1,700,012 *Hulamin, Ltd........................................ 1,390,917 1,264,676 Iliad Africa, Ltd................................... 165,428 116,686 Illovo Sugar, Ltd................................... 946,775 3,062,827 Impala Platinum Holdings, Ltd....................... 458,809 8,755,136 Imperial Holdings, Ltd.............................. 1,316,365 28,735,692 Investec, Ltd....................................... 3,376,948 19,524,878 *JCI, Ltd............................................ 10,677,339 -- JD Group, Ltd....................................... 2,273,555 14,304,909 Lewis Group, Ltd.................................... 1,400,685 13,606,391 Liberty Holdings, Ltd............................... 1,523,202 17,330,379 *m Cubed Holdings, Ltd............................... 1,850,526 -- Mediclinic International, Ltd....................... 2,569,836 12,990,520 *Merafe Resources, Ltd............................... 21,311,276 2,411,592 Metair Investments, Ltd............................. 1,665,812 5,767,761 MMI Holdings, Ltd................................... 12,204,631 27,561,088 Mondi, Ltd.......................................... 1,693,811 15,634,154 *Mpact, Ltd.......................................... 1,992,090 4,328,363 *Murray & Roberts Holdings, Ltd...................... 1,449,955 5,323,797 Mustek, Ltd......................................... 27,392 22,362 *Mvelaphanda Group, Ltd.............................. 4,416,916 1,958,669 Mvelaserve, Ltd..................................... 1,059,863 1,566,987 Nampak, Ltd......................................... 5,641,382 16,347,861 #Nedbank Group, Ltd.................................. 3,077,486 66,994,683 Northam Platinum, Ltd............................... 2,310,388 9,994,354 Omnia Holdings, Ltd................................. 714,504 9,001,847 Palabora Mining Co., Ltd............................ 158,752 3,181,891 Peregrine Holdings, Ltd............................. 1,440,815 2,058,103 Petmin, Ltd......................................... 920,501 371,956 PSG Group, Ltd...................................... 671,524 5,108,765 *Randgold & Exploration Co., Ltd..................... 256,811 88,963 Raubex Group, Ltd................................... 880,663 1,627,756 Reunert, Ltd........................................ 64,404 596,403 *Royal Bafokeng Platinum, Ltd........................ 24,026 187,313 Sanlam, Ltd......................................... 28,905,406 124,168,567 *Sappi, Ltd.......................................... 6,973,260 25,301,200 *Sappi, Ltd. Sponsored ADR........................... 803,111 2,834,982 Sasol, Ltd. Sponsored ADR........................... 704,259 33,403,004 *Sentula Mining, Ltd................................. 2,055,781 601,329 Spur Corp., Ltd..................................... 66,167 140,504 Standard Bank Group, Ltd............................ 13,694,294 201,004,421 Stefanutti Stocks Holdings, Ltd..................... 318,521 448,416 #*Steinhoff International Holdings, Ltd............... 17,439,135 63,637,784 *Super Group, Ltd.................................... 2,496,159 4,717,794 Telkom South Africa, Ltd............................ 3,776,475 11,680,594 Tongaat-Hulett, Ltd................................. 286,298 3,865,007 Trencor, Ltd........................................ 1,530,034 8,871,721 *Tsogo Sun Holdings, Ltd............................. 433,534 1,042,838 Value Group, Ltd.................................... 976,777 661,079 *Village Main Reef, Ltd.............................. 2,427,724 529,057 *Wesizwe Platinum, Ltd............................... 9,762 1,370 Wilson Bayly Holme-Ovcon, Ltd....................... 21,954 384,099 Zeder Investments, Ltd.............................. 1,116,610 400,203 -------------- TOTAL SOUTH AFRICA..................................... 1,337,876,072 --------------
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- SOUTH KOREA -- (13.6%) Aekyung Petrochemical Co., Ltd......................... 58,354 $ 1,263,755 Amorepacific Group..................................... 37,512 9,428,676 #Asia Cement Manufacturing Co., Ltd..................... 35,278 1,509,170 Asia Paper Manufacturing Co., Ltd...................... 27,000 254,821 #*AUK Corp............................................... 612,060 1,435,572 Bing Grae Co., Ltd..................................... 22,519 1,294,431 #*BNG Steel Co., Ltd..................................... 142,590 1,549,891 *Boo Kook Securities Co., Ltd........................... 27,705 417,467 #Boryung Pharmaceutical Co., Ltd........................ 71,324 829,398 BS Financial Group, Inc................................ 1,363,951 13,966,519 BYC Co., Ltd........................................... 810 136,355 *Byuck San Corp......................................... 13,122 275,764 #*Chin Hung International, Inc........................... 457,514 502,126 China Ocean Resources Co., Ltd......................... 178,240 668,867 #Chong Kun Dang Pharmaceutical Corp..................... 117,570 1,645,972 Chosun Refractories Co., Ltd........................... 9,371 509,279 *Chungho Comnet Co., Ltd................................ 2,800 9,130 CJ Cheiljedang Corp.................................... 49,767 16,441,347 CJ Corp................................................ 222,968 15,369,120 *CJ E&M Corp............................................ 19,163 476,502 #*CJ Korea Express Corp.................................. 84,339 5,811,812 *Cosmochemical Co., Ltd................................. 157,200 1,600,522 Crown Confectionery Co., Ltd........................... 3,365 474,803 #Dae Dong Industrial Co., Ltd........................... 141,640 651,063 #Dae Han Flour Mills Co., Ltd........................... 14,216 1,645,652 #Dae Won Kang Up Co., Ltd............................... 322,056 1,775,721 #*Daechang Co., Ltd...................................... 761,760 837,113 Daeduck Electronics Co., Ltd........................... 182,080 1,857,467 #Daeduck Industries Co., Ltd............................ 281,480 3,124,485 *Daegu Department Store Co., Ltd........................ 112,341 1,329,044 Daehan Steel Co., Ltd.................................. 120,190 763,444 Daehan Synthetic Fiber Co., Ltd........................ 5,144 299,621 Daekyo Co., Ltd........................................ 530,590 2,802,340 Daelim Industrial Co., Ltd............................. 418,487 38,522,155 Daelim Trading Co., Ltd................................ 31,734 114,530 Daesang Corp........................................... 351,992 5,652,340 Daesang Holdings Co., Ltd.............................. 136,816 524,232 #Daesung Group Partners Co., Ltd........................ 5,187 191,899 Daesung Holdings Co., Ltd.............................. 87,450 486,087 *Daesung Industrial Co., Ltd............................ 11,584 213,900 #*Daewoo Engineering & Construction Co., Ltd............. 1,079,210 8,966,282 *Daewoo Securities Co., Ltd............................. 2,475,482 24,900,608 #Daewoo Shipbuilding & Marine Engineering Co., Ltd...... 158,302 4,403,564 Daewoong Co., Ltd...................................... 18,210 235,365 *Daewoong Pharmaceutical Co., Ltd....................... 2,420 53,298 Dahaam E-Tec Co., Ltd.................................. 9,365 149,601 #*Daishin Securities Co., Ltd............................ 613,405 5,289,906 #Daou Technology, Inc................................... 346,438 3,443,299 DGB Financial Group, Inc............................... 1,007,412 11,726,498 #Digital Power Communications Co., Ltd.................. 62,160 91,539 Dong Ah Tire Industrial Co., Ltd....................... 81,994 808,967 #Dong IL Rubber Belt Co., Ltd........................... 242,859 1,507,407 *Dong Yang Gang Chul Co., Ltd........................... 228,560 474,584 *Dong-Ah Geological Engineering Co., Ltd................ 20,900 188,134 Dongbang Agro Co., Ltd................................. 53,610 313,759 #Dongbang Transport Logistics Co., Ltd.................. 140,890 799,543 *Dongbu Corp............................................ 60,900 238,300 #*Dongbu HiTek Co., Ltd.................................. 360,004 2,544,403 *Dongbu Securities Co., Ltd............................. 348,586 1,388,553 #*Dongbu Steel Co., Ltd.................................. 347,834 1,714,891 Dong-II Corp........................................... 19,098 855,341
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) Dongil Industries Co., Ltd................................ 18,534 $ 877,567 #Dongkuk Steel Mill Co., Ltd............................... 693,279 10,719,013 *Dongsung Holdings Co., Ltd................................ 10,990 37,974 #Dongwha Pharm Co., Ltd.................................... 181,080 778,351 #Dongwon F&B Co., Ltd...................................... 18,805 1,140,143 #*Dongwon Systems Corp...................................... 189,880 208,868 Dongyang Express Bus Corp................................. 379 6,022 #*Doosan Construction & Engineering Co., Ltd................ 455,800 1,275,257 #Doosan Corp............................................... 49,670 6,034,983 *Eagon Industrial Co., Ltd................................. 23,010 109,455 *Eugene Investment & Securities Co., Ltd................... 728,049 2,068,259 F&F Co., Ltd.............................................. 10,620 65,632 Fursys, Inc............................................... 30,773 832,576 #Gaon Cable Co., Ltd....................................... 8,497 149,549 Global & Yuasa Battery Co., Ltd........................... 70,690 2,835,579 Green Cross Holdings Corp................................. 59,260 673,832 GS Engineering & Construction Corp........................ 82,481 6,114,922 GS Holdings Corp.......................................... 736,970 38,465,677 Gwangju Shinsegae Co., Ltd................................ 5,985 1,134,759 #Halla Engineering & Construction Corp..................... 232,321 2,379,462 #Han Kuk Carbon Co., Ltd................................... 301,200 1,492,275 *Han Yang Securities Co., Ltd.............................. 90,530 533,228 Hana Financial Group, Inc................................. 3,069,704 104,649,730 Handok Pharmaceuticals Co., Ltd........................... 21,320 233,535 Handsome Co., Ltd......................................... 220,630 7,424,075 Hanil Cement Co., Ltd..................................... 47,565 1,887,540 *Hanil Engineering & Construction Co., Ltd................. 7,262 11,686 *Hanjin Heavy Industries & Construction Co., Ltd........... 518,752 7,619,451 #Hanjin Heavy Industries & Construction Holdings Co., Ltd.. 178,650 1,220,895 *Hanjin Shipping Co., Ltd.................................. 1,292,250 17,635,625 #*Hanjin Shipping Holdings Co., Ltd......................... 132,744 842,446 #Hanjin Transportation Co., Ltd............................ 127,710 2,150,458 *Hankook Cosmetics Co., Ltd................................ 28,860 44,620 *Hankook Cosmetics Manufacturing Co., Ltd.................. 19,569 63,162 Hankuk Glass Industries, Inc.............................. 29,050 602,756 #Hankuk Paper Manufacturing Co., Ltd....................... 31,270 519,777 #*Hanmi Holdings Co., Ltd................................... 7,618 127,402 Hanmi Semiconductor Co., Ltd.............................. 157,920 809,752 Hansae Yes24 Holdings Co., Ltd............................ 33,950 273,811 #Hanshin Construction Co., Ltd............................. 27,520 208,747 Hansol Chemical Co., Ltd.................................. 47,077 734,517 #Hansol CSN Co., Ltd....................................... 446,100 532,594 #Hansol Paper Co., Ltd..................................... 590,094 3,995,675 Hanssem Co., Ltd.......................................... 11,790 230,482 #*Hanwha Chemical Corp...................................... 1,265,225 24,763,088 Hanwha Corp............................................... 594,563 15,150,579 *Hanwha General Insurance Co., Ltd......................... 51,413 293,088 #*Hanwha Securities Co., Ltd................................ 935,001 3,697,774 #Hanwha Timeworld Co., Ltd................................. 12,290 210,246 *Heung-A Shipping Co., Ltd................................. 178,540 136,127 #Hite Holdings Co., Ltd.................................... 83,821 778,462 Hite Jinro Co., Ltd....................................... 46,033 994,745 *HMC Investment Securities Co., Ltd........................ 235,645 2,768,623 #HS R&A Co., Ltd........................................... 37,336 493,751 #Husteel Co., Ltd.......................................... 54,010 1,160,568 *Hwa Sung Industrial Co., Ltd.............................. 27,970 75,750 Hwacheon Machine Tool Co., Ltd............................ 14,227 646,572 #Hyosung Corp.............................................. 348,024 17,713,483 *Hyundai Cement Co., Ltd................................... 14,745 95,584 #Hyundai Development Co.................................... 819,384 17,152,035 Hyundai Elevator Co., Ltd................................. 951 84,272
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) Hyundai Greenfood Co., Ltd.......................... 107,950 $ 1,514,814 Hyundai Hysco Co., Ltd.............................. 57,931 2,035,559 *Hyundai Merchant Marine Co., Ltd.................... 63,614 1,612,047 Hyundai Mipo Dockyard Co., Ltd...................... 99,994 10,779,186 Hyundai Motor Co., Ltd.............................. 458,961 108,347,054 *Hyundai Securities Co., Ltd......................... 1,818,568 14,885,423 #Hyundai Steel Co.................................... 924,376 79,974,859 #Il Dong Pharmaceutical Co., Ltd..................... 130,570 755,062 Iljin Electric Co., Ltd............................. 315,890 1,339,696 #Iljin Holdings Co., Ltd............................. 109,364 186,906 #Ilshin Spinning Co., Ltd............................ 14,492 1,022,621 #Ilsung Pharmaceutical Co., Ltd...................... 9,407 729,005 Industrial Bank of Korea, Ltd....................... 2,354,150 25,849,999 InziControls Co., Ltd............................... 6,900 43,669 #IS Dongseo Co., Ltd................................. 51,695 505,997 #ISU Chemical Co., Ltd............................... 148,470 3,261,602 #IsuPetasys Co., Ltd................................. 248,821 1,126,205 #Jahwa Electronics Co., Ltd.......................... 113,330 1,049,009 Jeil Pharmaceutical Co.............................. 68,840 1,004,228 Jeonbuk Bank, Ltd................................... 647,113 2,705,272 *Jinheung Savings Bank............................... 142,030 294,030 #JW Pharmaceutical Corp.............................. 123,163 1,458,328 KB Financial Group, Inc............................. 2,001,533 67,718,011 KB Financial Group, Inc. ADR........................ 3,186,196 108,107,630 #KC Tech Co., Ltd.................................... 274,792 1,137,764 KCC Corp............................................ 60,818 15,552,501 #Keangnam Enterprises, Ltd........................... 144,590 1,025,896 #Keyang Electric Machinery Co., Ltd.................. 393,920 987,342 KG Chemical Corp.................................... 47,243 347,003 KISCO Corp.......................................... 56,021 1,212,127 KISCO Holdings Co., Ltd............................. 11,673 381,006 *Kishin Corp......................................... 113,945 524,765 #KISWIRE, Ltd........................................ 68,396 2,201,547 Kolon Corp.......................................... 58,995 1,216,657 Kolon Global Corp................................... 252,680 1,259,631 Kolon Industries, Inc............................... 69,832 3,851,100 #*Korea Cast Iron Pipe Co., Ltd....................... 70,638 231,246 #*Korea Development Co., Ltd.......................... 86,430 140,088 *Korea Development Leasing Corp...................... -- #Korea Electric Terminal Co., Ltd.................... 89,230 1,755,179 Korea Exchange Bank................................. 4,056,926 30,680,853 #Korea Flange Co., Ltd............................... 58,560 698,289 *Korea Investment Holdings Co., Ltd.................. 475,416 16,311,511 *Korea Life Insurance Co., Ltd....................... 1,246,925 7,515,696 #*Korea Line Corp..................................... 22,148 363,969 Korea Petrochemical Industrial Co., Ltd............. 18,384 1,374,551 *Korea Savings Bank.................................. 21,483 58,383 Korea United Pharm, Inc............................. 93,970 419,520 *Korean Air Co., Ltd................................. 132,150 5,178,168 #Korean Air Terminal Service Co., Ltd................ 19,190 537,063 KPX Chemical Co., Ltd............................... 11,220 513,218 KPX Holdings Corp................................... 4,444 169,745 *KTB Investment & Securities Co., Ltd................ 872,160 1,668,995 #Kukdo Chemical Co., Ltd............................. 40,358 1,717,049 #Kumho Electric Co., Ltd............................. 52,624 944,698 *Kumho Investment Bank............................... 720,490 470,868 Kunsul Chemical Industrial Co., Ltd................. 25,470 338,615 #Kwang Dong Pharmaceutical Co., Ltd.................. 627,670 2,224,703 #Kyeryong Construction Industrial Co., Ltd........... 58,970 682,404 *Kyobo Securities Co., Ltd........................... 268,392 1,181,909 Kyung Dong Navien Co., Ltd.......................... 16,050 109,648
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) Kyung Nong Corp...................................... 49,810 $ 133,080 #*Kyungbang Co., Ltd................................... 7,656 664,498 #Kyung-In Synthetic Corp.............................. 184,400 439,515 LG Corp.............................................. 456,124 23,086,042 *LG Display Co., Ltd.................................. 1,309,420 28,905,954 *LG Display Co., Ltd. ADR............................. 3,996,524 44,641,173 #LG Electronics, Inc.................................. 1,425,419 87,946,865 LG Hausys, Ltd....................................... 76,561 4,371,953 *LG Innotek Co., Ltd.................................. 91,732 6,556,002 LG Uplus Corp........................................ 3,370,191 16,641,292 Livart Furniture Co., Ltd............................ 19,740 113,671 Lotte Chilsung Beverage Co., Ltd..................... 9,752 10,996,953 Lotte Confectionary Co., Ltd......................... 8,940 13,510,172 Lotte Midopa Co., Ltd................................ 94,570 1,193,957 #Lotte Sam Kang Co., Ltd.............................. 9,857 4,204,419 Lotte Shopping Co., Ltd.............................. 144,966 44,933,179 LS Corp.............................................. 15,317 1,020,503 *Meritz Securities Co., Ltd........................... 2,353,424 1,638,349 Mi Chang Oil Industrial Co., Ltd..................... 3,725 155,651 *Mirae Asset Securities Co., Ltd...................... 343,039 10,419,690 #Moorim P&P Co., Ltd.................................. 403,698 1,710,362 #Moorim Paper Co., Ltd................................ 264,210 610,518 #Motonic Corp......................................... 138,480 938,839 *Namkwang Engineering & Construction Co., Ltd......... 11,239 44,555 Namyang Dairy Products Co., Ltd...................... 4,557 2,619,320 National Plastic Co.................................. 174,380 379,845 #Nexen Corp........................................... 13,584 644,455 *NH Investment & Securities Co., Ltd.................. 423,494 1,982,116 NICE Holdings Co., Ltd............................... 459 20,405 NK Co., Ltd.......................................... 147,350 578,074 #Nong Shim Holdings Co., Ltd.......................... 23,408 1,060,294 NongShim Co., Ltd.................................... 43,672 8,734,052 Noroo Holdings Co., Ltd.............................. 32,578 205,587 NOROO Paint & Coatings Co., Ltd...................... 37,899 105,402 #Ottogi Corp.......................................... 16,359 2,399,374 Pacific Pharmaceutical Co., Ltd...................... 3,390 63,200 *Paik Kwang Industrial Co., Ltd....................... 290 11,393 #Pang Rim Co., Ltd.................................... 8,580 94,238 #*PaperCorea, Inc...................................... 273,870 174,113 Poongsan Corp........................................ 285,920 7,521,795 Poongsan Holdings Corp............................... 47,488 1,007,163 POSCO................................................ 530,457 175,729,000 #POSCO ADR............................................ 1,618,522 134,741,956 #POSCO Coated & Color Steel Co., Ltd.................. 23,830 364,861 Pulmuone Co., Ltd.................................... 6,875 243,667 Pusan City Gas Co., Ltd.............................. 75,990 1,229,177 S&T Dynamics Co., Ltd................................ 358,824 4,313,985 #S&T Holdings Co., Ltd................................ 87,883 878,165 #S&T Motiv Co., Ltd................................... 118,600 2,808,963 Saeron Automotive Corp............................... 82,395 353,628 Sajodaerim Corp...................................... 11,840 156,885 #Sam Jin Pharmaceutical Co., Ltd...................... 89,593 683,706 Sam Kwang Glass Industrial Co., Ltd.................. 13,128 587,129 Sam Lip General Foods Co., Ltd....................... 25,580 396,245 Sam Yung Trading Co., Ltd............................ 29,664 157,503 #*Sambu Construction Co., Ltd.......................... 40,666 210,030 Samhwa Crown & Closure Co., Ltd...................... 469 8,508 Samhwa Paints Industrial Co., Ltd.................... 48,610 158,628 #Samick Musical Instruments Co., Ltd.................. 798,890 1,036,217 Samsung C&T Corp..................................... 793,156 53,656,739 #Samsung SDI Co., Ltd................................. 500,681 71,743,028
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) *Samwhan Corp......................................... 54,610 $ 192,138 *Samyang Corp......................................... 30,113 1,267,004 Samyang Genex Co., Ltd............................... 18,118 830,013 Samyang Holdings Corp................................ 53,182 2,820,669 Samyang Tongsang Co., Ltd............................ 8,060 166,381 #Samyoung Electronics Co., Ltd........................ 142,030 1,169,697 SAVEZONE I&C Corp.................................... 27,710 68,726 SBS Media Holdings Co., Ltd.......................... 741,880 1,936,370 #Seah Besteel Corp.................................... 76,084 3,024,391 SeAH Holdings Corp................................... 13,089 1,375,724 #SeAH Steel Corp...................................... 35,474 2,759,199 #Sebang Co., Ltd...................................... 127,190 1,699,661 Sejong Industrial Co., Ltd........................... 45,790 520,443 #Seowon Co., Ltd...................................... 156,260 478,112 *Sewon Cellontech Co., Ltd............................ 81,980 255,942 Shin Young Wacoal, Inc............................... 273 23,603 *Shinhan Engineering & Construction Co., Ltd.......... 8,460 35,109 Shinhan Financial Group Co., Ltd..................... 4,297,929 149,165,528 #Shinhan Financial Group Co., Ltd. ADR................ 818,794 56,938,935 #Shinpoong Pharmaceutical Co., Ltd.................... 158,319 628,607 Shinsegae Engineering & Construction Co., Ltd........ 2,630 34,054 Shinsegae Information & Communication Co., Ltd....... 3,571 161,345 #*Shinsung Solar Energy Co., Ltd....................... 227,520 609,730 #Shinsung Tongsang Co., Ltd........................... 485,700 431,099 *Shinyoung Securities Co., Ltd........................ 34,910 903,615 #Silla Trading Co., Ltd............................... 64,073 766,667 Sindo Ricoh Co., Ltd................................. 43,098 2,097,775 SJM Co., Ltd......................................... 51,214 322,714 SJM Holdings Co., Ltd................................ 31,331 104,521 SK Chemicals Co., Ltd................................ 26,371 1,308,685 SK Gas Co., Ltd...................................... 39,057 2,143,935 SK Holdings Co., Ltd................................. 406,071 43,232,168 SK Innovation Co., Ltd............................... 104,213 14,405,114 SK Networks Co., Ltd................................. 1,856,306 15,262,815 #*SK Securities Co., Ltd............................... 2,347,360 2,447,859 #*Ssangyong Cement Industrial Co., Ltd................. 268,286 1,137,352 STX Corp............................................. 512,903 5,587,968 STX Engine Co., Ltd.................................. 340,950 4,301,742 STX Metal Co, Ltd.................................... 20,150 100,624 STX Offshore & Shipbuilding Co., Ltd................. 832,230 9,330,707 STX Pan Ocean Co., Ltd............................... 1,511,370 7,840,913 Suheung Capsule Co., Ltd............................. 74,590 787,711 Sung Bo Chemicals Co., Ltd........................... 2,570 58,369 *Sungshin Cement Co., Ltd............................. 66,250 227,607 Sunjin Co., Ltd...................................... 34,369 224,771 *Sunjin Holdings Co., Ltd............................. 3,672 70,442 #Tae Kyung Industrial Co., Ltd........................ 116,020 344,989 TaeKwang Industrial Co., Ltd......................... 4,204 3,814,311 Taeyoung Engineering & Construction Co., Ltd......... 547,190 2,403,825 #*Taihan Electric Wire Co., Ltd........................ 763,827 2,087,018 #Tailim Packaging Industries Co., Ltd................. 374,220 452,238 TCC Steel............................................ 45,410 186,340 Teems, Inc........................................... 3,590 31,325 Telcoware Co., Ltd................................... 36,000 244,535 *Tong Kook Corp....................................... 607 839 #Tong Yang Moolsan Co., Ltd........................... 72,180 1,242,123 *Tong Yang Securities, Inc............................ 962,089 3,710,914 #TS Corp.............................................. 65,206 1,157,385 Unid Co., Ltd........................................ 43,101 1,559,918 #Union Steel Manufacturing Co., Ltd................... 38,477 499,331 Whanin Pharmaceutical Co., Ltd....................... 65,710 359,144
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- SOUTH KOREA -- (Continued) *Will-Bes & Co., Ltd. (The)........................ 784,460 $ 1,166,567 Wiscom Co., Ltd................................... 32,980 123,525 #*Woongjin Holdings Co., Ltd........................ 405,344 2,151,257 Woori Finance Holdings Co., Ltd................... 5,147,987 53,860,714 #Woori Finance Holdings Co., Ltd. ADR.............. 8,505 266,547 Woori Financial Co., Ltd.......................... 95,550 1,384,561 *Woori Investment & Securities Co., Ltd............ 2,277,163 22,309,141 YESCO Co., Ltd.................................... 25,430 592,902 Yoosung Enterprise Co., Ltd....................... 36,225 76,829 #Youlchon Chemical Co., Ltd........................ 159,290 1,128,491 Young Poong Corp.................................. 4,715 4,290,856 *Young Poong Mining & Construction Corp............ 18,030 877 Youngone Holdings Co., Ltd........................ 44,024 2,197,926 *Yuhwa Securities Co., Ltd......................... 28,680 347,449 *Zinus, Inc........................................ 1,866 6,192 -------------- TOTAL SOUTH KOREA.................................... 2,293,203,680 -------------- TAIWAN -- (12.1%) #*A.G.V. Products Corp.............................. 6,927,701 2,157,505 *Ability Enterprise Co., Ltd....................... 801,000 730,719 *Abocom Systems, Inc............................... 146,752 31,808 AcBel Polytech, Inc............................... 6,380,219 3,479,442 Accton Technology Corp............................ 7,615,156 4,436,617 #Acer, Inc......................................... 34,459,364 39,272,526 #ACHEM Technology Corp............................. 2,343,500 1,214,537 #Action Electronics Co., Ltd....................... 3,535,084 1,004,927 Advanced Semiconductor Engineering, Inc........... 323,486 325,296 #Allis Electric Co., Ltd........................... 1,471,000 402,403 Alpha Networks, Inc............................... 4,261,237 3,638,694 Altek Corp........................................ 4,741,808 3,463,435 Ambassador Hotel (The)............................ 274,000 329,202 #Ampoc Far East Co., Ltd........................... 1,573,000 1,504,162 #AmTRAN Technology Co., Ltd........................ 9,529,956 7,172,952 APCB, Inc......................................... 2,067,000 1,564,577 Apex Science & Engineering Corp................... 690,713 279,824 *Arima Communications Corp......................... 2,351,000 1,420,618 *Arima Optoelectronics Corp........................ 1,409,500 303,171 #Asia Cement Corp.................................. 23,198,293 27,782,850 #*Asia Optical Co., Inc............................. 2,998,290 2,477,142 Asia Polymer Corp................................. 2,609,732 3,045,033 Asia Vital Components Co., Ltd.................... 3,689,779 2,205,757 Asustek Computer, Inc............................. 5,140,973 51,643,988 #AU Optronics Corp................................. 13,548,812 6,096,596 #AU Optronics Corp. Sponsored ADR.................. 9,136,602 41,023,343 #Audix Corp........................................ 1,656,164 1,465,140 Aurora Systems Corp............................... 572,281 773,983 *Avermedia Technologies, Inc....................... 1,418,000 1,128,067 #Avision, Inc...................................... 2,703,555 937,910 #Bank of Kaohsiung................................. 5,416,397 1,615,067 *Basso Industry Corp., Ltd......................... 844,000 603,845 #BES Engineering Corp.............................. 21,916,443 5,719,106 #Biostar Microtech International Corp.............. 1,870,055 970,987 *Bright Led Electronics Corp....................... 297,000 219,417 C Sun Manufacturing, Ltd.......................... 2,092,837 1,563,743 #Cameo Communications, Inc......................... 2,904,197 781,043 Capital Securities Corp........................... 17,794,447 6,327,137 #*Carnival Industrial Corp.......................... 5,443,000 1,842,838 Catcher Technology Co., Ltd....................... 273,326 1,735,407 #Cathay Chemical Works, Inc........................ 959,000 367,966 Cathay Real Estate Development Co., Ltd........... 12,735,421 5,914,095 Central Reinsurance Co., Ltd...................... 2,477,781 1,005,770
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) #Chain Qui Development Co., Ltd...................... 1,395,173 $ 963,165 #Champion Building Materials Co., Ltd................ 5,563,828 2,410,365 Chang Hwa Commercial Bank........................... 57,362,790 31,627,081 *Chang-Ho Fibre Corp................................. 192,000 62,449 #Charoen Pokphand Enterprises Co., Ltd............... 2,797,000 1,331,167 Cheng Loong Corp.................................... 12,497,659 4,839,297 #Cheng Uei Precision Industry Co., Ltd............... 3,833,705 7,830,757 Chia Hsin Cement Corp............................... 6,932,749 3,165,797 *Chia Hsin Food & Synthetic Fiber Co., Ltd........... 514,966 -- #Chien Kuo Construction Co., Ltd..................... 4,082,247 1,947,990 *Chien Shing Stainless Steel Co., Ltd................ 2,208,000 296,555 #Chilisin Electronics Corp........................... 523,300 258,251 *Chimei Innolux Corp................................. 72,331,389 29,777,242 China Airlines, Ltd................................. 32,261,786 12,486,806 China Chemical & Pharmaceutical Co.................. 2,882,264 1,755,253 #China Development Financial Holding Corp............ 135,559,960 34,106,649 China Electric Manufacturing Co., Ltd............... 2,563,200 1,894,408 #*China General Plastics Corp......................... 6,665,000 2,628,251 China Glaze Co., Ltd................................ 2,145,363 1,161,860 *China Man-Made Fiber Co., Ltd....................... 16,045,813 5,380,711 China Metal Products Co., Ltd....................... 3,272,547 2,158,716 #*China Motor Co., Ltd................................ 11,155,749 9,173,713 China Petrochemical Development Corp................ 13,662,338 13,717,959 *China Rebar Co., Ltd................................ 439,188 -- #China Steel Structure Co., Ltd...................... 1,580,219 1,630,213 #China Synthetic Rubber Corp......................... 6,494,711 6,329,933 *China United Trust & Investment Corp................ 493,999 -- #*China Wire & Cable Co., Ltd......................... 2,900,000 809,762 Chinatrust Financial Holdings Co., Ltd.............. 73,541,787 46,616,816 Chinese Maritime Transport, Ltd..................... 966,000 1,373,509 Chin-Poon Industrial Co., Ltd....................... 5,431,815 4,877,137 #*Chun Yu Works & Co., Ltd............................ 2,554,000 800,092 #Chun Yuan Steel Industrial Co., Ltd................. 5,818,144 2,451,189 Chung Hsin Electric & Machinery Co., Ltd............ 6,285,000 3,581,161 Chung Hung Steel Corp............................... 10,381,046 3,161,978 Chung Hwa Pulp Corp................................. 9,067,011 3,070,832 *Chung Shing Textile Co., Ltd........................ 600 10 *Chungwa Picture Tubes Co., Ltd...................... 55,899,412 3,035,345 Chuwa Wool Industry Co., Ltd........................ 120,189 66,955 #*Chyang Sheng Dyeing & Finishing Co., Ltd............ 328,000 112,924 #*CMC Magnetics Corp.................................. 39,877,830 6,884,436 #Collins Co., Ltd.................................... 2,331,224 1,152,472 *Compal Communications, Inc.......................... 576,000 806,736 #Compal Electronics, Inc............................. 44,362,332 50,787,696 *Compeq Manufacturing Co., Ltd....................... 14,664,000 5,743,079 *Compex International Co., Ltd....................... 46,400 318 Continental Holdings Corp........................... 7,293,848 2,734,342 *Cosmos Bank Taiwan.................................. 1,385,756 405,933 Coxon Precise Industrial Co., Ltd................... 1,320,000 1,794,767 *Creative Sensor, Inc................................ 40,000 20,634 CSBC Corp. Taiwan................................... 3,432,256 2,771,142 Da Cin Construction Co., Ltd........................ 2,299,579 1,462,268 Darfon Electronics Corp............................. 3,811,950 2,487,721 #Delpha Construction Co., Ltd........................ 3,534,329 1,154,802 Depo Auto Parts Industrial Co., Ltd................. 375,000 806,139 *Der Pao Construction Co., Ltd....................... 1,139,000 31,976 Diamond Flower Electric Instrument Co., Ltd......... 302,280 234,479 D-Link Corp......................................... 8,876,939 6,290,704 Dynamic Electronics Co., Ltd........................ 3,488,804 1,327,401 E.Sun Financial Holding Co., Ltd.................... 51,520,271 27,197,442 *Eastern Media International Corp.................... 12,640,399 1,459,353
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Eclat Textile Co., Ltd................................. 718,558 $ 1,682,175 *Edimax Technology Co., Ltd............................. 1,304,000 488,112 Edom Technology Co., Ltd............................... 943,800 314,596 Elite Material Co., Ltd................................ 2,495,905 2,253,017 *Elite Semiconductor Memory Technology, Inc............. 1,532,000 1,289,696 #*Elitegroup Computer Systems Co., Ltd................... 10,186,066 2,805,494 EnTie Commercial Bank.................................. 1,736,232 787,580 #Epistar Corp........................................... 9,635,000 23,249,932 *Eternal Chemical Co., Ltd.............................. 414,000 321,691 Eva Airways Corp....................................... 13,358,738 7,984,700 *Ever Fortune Industrial Co., Ltd....................... 409,000 4,621 *Everest Textile Co., Ltd............................... 4,021,002 1,210,266 Evergreen International Storage & Transport Corp....... 8,312,000 4,088,816 Evergreen Marine Corp., Ltd............................ 23,381,998 13,705,679 Everlight Chemical Industrial Corp..................... 1,531,000 985,345 *Everlight Electronics Co., Ltd......................... 409,000 834,904 #*Everspring Industry Co., Ltd........................... 1,325,180 368,214 Excel Cell Electronics Co., Ltd........................ 141,000 56,941 *Excelsior Medical Co., Ltd............................. 941,000 1,820,461 Far Eastern Department Stores Co., Ltd................. 4,195,540 4,494,776 Far Eastern International Bank......................... 24,005,955 9,474,270 *Farglory F T Z Investment Holding Co., Ltd............. 779,000 420,461 Farglory Land Development Co., Ltd..................... 225,000 413,910 Federal Corp........................................... 5,252,640 2,657,713 #First Copper Technology Co., Ltd....................... 3,472,750 958,385 First Financial Holding Co., Ltd....................... 84,233,356 50,193,272 First Hotel............................................ 977,059 645,867 #First Insurance Co., Ltd............................... 3,196,064 1,385,487 First Steamship Co., Ltd............................... 322,000 476,673 Forhouse Corp.......................................... 6,201,635 3,481,699 *Formosa Advanced Technologies Co., Ltd................. 249,000 252,862 Formosa Chemicals & Fiber Co., Ltd..................... 1,299,660 3,751,278 #Formosa Epitaxy, Inc................................... 5,884,000 4,770,735 #Formosa Oilseed Processing Co., Ltd.................... 1,079,593 478,586 #Formosa Taffeta Co., Ltd............................... 10,258,511 9,661,663 Formosan Rubber Group, Inc............................. 6,567,000 4,188,332 #Formosan Union Chemical Corp........................... 1,972,758 1,425,670 *Fortune Electric Co., Ltd.............................. 242,000 114,071 Founding Construction & Development Co., Ltd........... 1,609,626 1,000,263 #*Froch Enterprise Co., Ltd.............................. 1,523,000 570,208 FSP Technology, Inc.................................... 1,180,283 1,091,237 #Fu I Industrial Co., Ltd............................... 290,944 147,100 Fubon Financial Holding Co., Ltd....................... 56,944,063 58,912,800 #Fullerton Technology Co., Ltd.......................... 1,477,200 1,479,115 #Fwusow Industry Co., Ltd............................... 2,450,502 1,279,880 #G Shank Enterprise Co., Ltd............................ 2,109,880 1,092,638 *Gamma Optical Co., Ltd................................. 278,600 69,783 #Gemtek Technology Corp................................. 4,404,962 4,085,869 Getac Technology Corp.................................. 6,503,065 4,496,752 *Giantplus Technology Co., Ltd.......................... 3,290,100 975,707 Giga Storage Corp...................................... 3,765,600 2,870,090 Giga-Byte Technology Co., Ltd.......................... 8,527,287 7,353,763 Gintech Energy Corp.................................... 4,450,942 4,350,196 #Global Brands Manufacture, Ltd......................... 3,280,290 1,608,260 *Globe Union Industrial Corp............................ 2,316,000 1,564,097 #Gold Circuit Electronics, Ltd.......................... 7,404,965 1,652,657 Goldsun Development & Construction Co., Ltd............ 20,114,261 7,701,547 Good Will Instrument Co., Ltd.......................... 423,021 278,368 Grand Pacific Petrochemical Corp....................... 13,816,000 6,045,338 Great China Metal Industry Co., Ltd.................... 1,487,000 2,022,060 Great Wall Enterprise Co., Ltd......................... 3,047,799 2,969,414
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Green Energy Technology, Inc........................... 4,166,882 $ 3,895,367 #GTM Corp............................................... 2,315,000 1,033,948 #*Hannstar Board Corp.................................... 3,898,374 2,048,618 #*HannStar Display Corp.................................. 66,062,000 6,448,206 *HannsTouch Solution, Inc............................... 5,081,000 1,764,373 #Harvatek Corp.......................................... 2,461,940 1,568,539 *Helix Technology, Inc.................................. 29,585 -- Hey Song Corp.......................................... 4,861,000 6,078,038 *Hiti Digital, Inc...................................... 126,000 81,103 Hitron Technologies, Inc............................... 2,409,525 1,449,679 #*Ho Tung Holding Corp................................... 9,580,883 5,549,146 #*Hocheng Corp........................................... 4,081,300 1,282,899 Hold-Key Electric Wire & Cable Co., Ltd................ 1,844,124 645,727 Holy Stone Enterprise Co., Ltd......................... 3,153,643 2,916,939 *Hong Ho Precision Textile Co., Ltd..................... 97,000 40,430 #Hong Tai Electric Industrial Co., Ltd.................. 3,484,000 1,193,357 Hong Yi Fiber Industry Co., Ltd........................ 256,040 78,564 Hsin Kuang Steel Co., Ltd.............................. 4,151,124 2,843,028 Hsing Ta Cement Co., Ltd............................... 2,071,980 758,193 Hua Eng Wire & Cable Co., Ltd.......................... 6,205,035 1,773,841 Hua Nan Financial Holding Co., Ltd..................... 26,688,016 14,732,196 *Hualon Corp............................................ 257,040 9,504 #Hung Ching Development & Construction Co., Ltd......... 1,906,468 769,942 Hung Poo Construction Corp............................. 2,362,655 2,141,341 Hung Sheng Construction Co., Ltd....................... 8,533,892 4,231,420 #*Hwa Fong Rubber Co., Ltd............................... 3,047,960 607,978 #*Ichia Technologies, Inc................................ 4,989,260 2,347,707 #I-Chiun Precision Industry Co., Ltd.................... 2,458,000 1,884,977 *Inotera Memories, Inc.................................. 29,314,728 7,603,481 Inventec Corp.......................................... 28,371,417 10,861,716 ITE Technology, Inc.................................... 2,913,000 2,455,065 *Jess-Link Products Co., Ltd............................ 256,000 226,502 #Jui Li Enterprise Co., Ltd............................. 686,760 187,056 #K Laser Technology, Inc................................ 1,056,601 356,795 Kang Na Hsiung Enterprise Co., Ltd..................... 1,655,078 757,536 *Kao Hsing Chang Iron & Steel Corp...................... 1,589,000 310,127 #Kaulin Manufacturing Co., Ltd.......................... 2,712,656 1,999,682 Kee Tai Properties Co., Ltd............................ 1,092,485 598,704 Kerry TJ Logistics Co., Ltd............................ 1,396,000 1,571,955 #King Yuan Electronics Co., Ltd......................... 17,396,805 7,166,593 #Kingdom Construction Co., Ltd.......................... 5,806,000 3,591,449 *King's Town Bank....................................... 10,841,012 6,280,413 King's Town Construction Co., Ltd...................... 426,200 363,422 Kinko Optical Co., Ltd................................. 376,131 521,593 #Kinpo Electronics, Inc................................. 15,073,375 3,369,919 Knowledge-Yield-Excellence Systems Corp................ 3,317,000 1,228,911 KS Terminals, Inc...................................... 487,880 409,016 *Kuoyang Construction Co., Ltd.......................... 3,906,029 1,427,428 #Kwong Fong Industries Corp............................. 4,549,900 2,055,009 L&K Engineering Co., Ltd............................... 1,647,000 1,861,814 #Lan Fa Textile Co., Ltd................................ 3,158,713 1,023,718 *Lead Data Co., Ltd..................................... 1,765,457 148,626 Leader Electronics, Inc................................ 617,056 253,805 #Lealea Enterprise Co., Ltd............................. 10,008,794 3,568,890 *Ledtech Electronics Corp............................... 390,000 199,675 #Lee Chi Enterprises Co., Ltd........................... 3,379,900 1,594,084 #Lelon Electronics Corp................................. 1,324,000 670,306 *Leofoo Development Co., Ltd............................ 4,280,774 2,577,864 Li Peng Enterprise Co., Ltd............................ 7,149,183 2,085,703 Lian Hwa Food Corp..................................... 76,240 91,564 #Lien Chang Electronic Enterprise Co., Ltd.............. 694,273 186,658
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) #Lien Hwa Industrial Corp............................ 6,956,990 $ 4,384,792 #Lingsen Precision Industries, Ltd................... 5,590,480 3,240,457 #LITE-ON IT Corp..................................... 5,295,339 5,325,140 Lite-On Semiconductor Corp.......................... 4,247,190 2,171,462 Lite-On Technology Corp............................. 29,862,040 36,291,064 Long Bon International Co., Ltd..................... 2,671,301 1,083,860 Long Chen Paper Co., Ltd............................ 6,799,369 1,947,498 *Lotes Co., Ltd...................................... 523,000 1,339,280 *Lucky Cement Corp................................... 3,099,000 630,430 #Macronix International Co., Ltd..................... 59,370,028 19,498,341 #Marketech International Corp........................ 1,817,000 1,164,519 Masterlink Securities Corp.......................... 15,131,000 4,843,613 Maxtek Technology Co., Ltd.......................... 262,000 241,492 #Mayer Steel Pipe Corp............................... 2,106,456 862,363 Maywufa Co., Ltd.................................... 252,070 108,337 Mega Financial Holding Co., Ltd..................... 111,460,765 87,632,600 *Megamedia Corp...................................... 782 6 Meiloon Co., Ltd.................................... 1,753,352 575,222 Mercuries & Associates, Ltd......................... 3,586,430 2,976,723 #*Mercuries Data Systems, Ltd......................... 1,537,800 524,608 Merry Electronics Co., Ltd.......................... 860,000 1,571,312 *Microelectronics Technology, Inc.................... 5,883,911 1,948,316 #Micro-Star International Co., Ltd................... 13,048,985 5,694,871 *Mirle Automation Corp............................... 334,000 255,840 Mitac International Corp............................ 16,364,450 5,529,907 *Mobiletron Electronics Co., Ltd..................... 153,000 93,517 #*Mosel Vitelic, Inc.................................. 9,943,170 1,357,676 Nan Ya Printed Circuit Board Corp................... 2,259,000 4,206,680 Nantex Industry Co., Ltd............................ 2,063,108 1,750,444 *Nanya Technology Corp............................... 4,221,000 354,194 *Neo Solar Power Corp................................ 6,047,000 4,009,545 #New Asia Construction & Development Co., Ltd........ 1,626,660 497,106 Nichidenbo Corp..................................... 82,249 79,057 Nien Hsing Textile Co., Ltd......................... 4,222,447 2,779,820 *Optimax Technology Corp............................. 1,382,597 80,941 Opto Technology Corp................................ 7,646,000 3,543,609 *Orient Semiconductor Electronics, Ltd............... 4,702,276 730,437 *Oriental Union Chemical Corp........................ 1,290,225 1,570,045 *Pacific Construction Co., Ltd....................... 1,819,148 557,113 Pan Jit International, Inc.......................... 5,090,837 2,220,778 Pan-International Industrial Corp................... 2,799,967 2,227,625 Paragon Technologies Co., Ltd....................... 990,000 979,433 Pegatron Corp....................................... 20,336,998 29,254,853 Phihong Technology Co., Ltd......................... 216,320 255,952 *Picvue Electronics, Ltd............................. 241,600 -- Plotech Co., Ltd.................................... 894,282 435,757 *Potrans Electrical Corp............................. 1,139,000 170,020 Pou Chen Corp....................................... 29,022,550 24,791,527 *Power Quotient International Co., Ltd............... 2,510,000 809,219 Powercom Co., Ltd................................... 2,937,930 1,486,616 *Powertech Industrial Co., Ltd....................... 121,000 97,953 President Securities Corp........................... 10,900,992 5,645,246 Prince Housing & Development Corp................... 4,706,432 3,363,622 *Procomp Informatics, Ltd............................ 391,440 -- *Prodisc Technology, Inc............................. 6,185,157 35,999 Promate Electronic Co., Ltd......................... 822,000 662,195 #Qisda Corp.......................................... 20,387,171 4,958,208 #*Quintain Steel Co., Ltd............................. 4,448,250 1,140,054 *Radiant Opto-Electronics Corp....................... 2,409,839 10,053,597 #Radium Life Tech Corp............................... 8,099,994 5,911,493 #Ralec Electronic Corp............................... 477,087 473,044
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Realtek Semiconductor Corp............................... 1,404,840 $ 3,032,059 Rechi Precision Co., Ltd................................. 3,629,190 3,297,264 #*Ritek Corp............................................... 35,934,622 5,300,403 *Sainfoin Technology Corp................................. 835,498 -- Sampo Corp............................................... 8,576,925 2,442,809 Sanyang Industrial Co., Ltd.............................. 10,902,624 6,252,732 Sanyo Electric Taiwan Co., Ltd........................... 368,000 357,702 *SDI Corp................................................. 590,000 455,831 Shan-Loong Transportation Co., Ltd....................... 66,000 41,827 Sheng Yu Steel Co., Ltd.................................. 1,826,000 1,235,834 *ShenMao Technology, Inc.................................. 632,000 778,978 Shih Wei Navigation Co., Ltd............................. 1,000,000 934,954 Shihlin Electric & Engineering Corp...................... 4,035,000 4,795,454 #*Shin Kong Financial Holding Co., Ltd..................... 84,447,151 24,870,137 Shin Zu Shing Co., Ltd................................... 1,832,067 4,821,024 #Shinkong Insurance Co., Ltd.............................. 2,662,412 1,753,132 Shinkong Synthetic Fibers Co., Ltd....................... 23,718,754 7,140,779 #*Shuttle, Inc............................................. 1,640,015 509,169 #Sigurd Microelectronics Corp............................. 5,975,047 4,612,965 #Silicon Integrated Systems Corp.......................... 9,245,165 3,363,001 Siliconware Precision Industries Co...................... 2,233,000 2,631,980 #Sinbon Electronics Co., Ltd.............................. 2,347,000 1,935,988 Sincere Navigation Corp.................................. 4,021,740 3,988,901 Sinkang Industries, Ltd.................................. 999,262 337,713 #Sinon Corp............................................... 5,670,877 2,482,678 SinoPac Holdings Co., Ltd................................ 82,172,344 27,843,045 *Sitronix Technology Corp................................. 1,163,000 1,473,882 #Siward Crystal Technology Co., Ltd....................... 1,411,875 452,507 #Solomon Technology Corp.................................. 1,375,950 478,214 #*Solytech Enterprise Corp................................. 1,503,000 592,584 South East Soda Manufacturing Co., Ltd................... 927,500 1,072,809 #Southeast Cement Co., Ltd................................ 3,354,700 1,371,352 Spirox Corp.............................................. 1,115,661 458,637 Springsoft, Inc.......................................... 1,901,000 2,696,844 Standard Chemical & Pharmaceutical Co., Ltd.............. 166,181 134,163 Star Comgistic Capital Co., Ltd.......................... 275,460 147,642 #Stark Technology, Inc.................................... 1,898,200 1,775,750 Sunonwealth Electric Machine Industry Co., Ltd........... 465,421 315,757 Sunplus Technology Co., Ltd.............................. 7,943,620 2,631,268 Sunrex Technology Corp................................... 782,000 431,426 Sunspring Metal Corp..................................... 61,000 65,949 Super Dragon Technology Co., Ltd......................... 144,175 137,399 #Supreme Electronics Co., Ltd............................. 2,864,681 1,522,479 Sweeten Construction Co., Ltd............................ 1,136,825 597,417 Sysware Systex Corp...................................... 822,801 841,072 *Ta Chen Stainless Pipe Co., Ltd.......................... 6,340,074 3,435,730 *Ta Chong Bank, Ltd....................................... 25,010,524 9,598,277 Ta Ya Electric Wire & Cable Co., Ltd..................... 8,234,329 2,190,571 #Tah Hsin Industrial Corp................................. 1,659,000 1,744,663 *TAI Roun Products Co., Ltd............................... 63,000 21,360 TA-I Technology Co., Ltd................................. 1,210,813 711,185 *Taichung Commercial Bank................................. 21,159,341 6,600,131 #Tainan Enterprises Co., Ltd.............................. 1,478,183 1,785,090 #Tainan Spinning Co., Ltd................................. 14,429,442 6,115,517 Taishin Financial Holdings Co., Ltd...................... 72,356,773 27,786,554 #Taisun Enterprise Co., Ltd............................... 3,363,505 1,749,482 #Taita Chemical Co., Ltd.................................. 3,830,728 1,457,132 #*Taiwan Business Bank..................................... 46,950,833 14,191,699 Taiwan Cement Corp....................................... 44,762,440 53,055,545 Taiwan Cogeneration Corp................................. 3,677,333 2,888,168 *Taiwan Cooperative Financial Holding, Ltd................ 53,764,005 33,040,515
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) Taiwan Fertilizer Co., Ltd.......................... 192,000 $ 456,856 Taiwan Fire & Marine Insurance Co., Ltd............. 1,144,000 811,071 *Taiwan Flourescent Lamp Co., Ltd.................... 756,000 77,131 Taiwan Fu Hsing Industrial Co., Ltd................. 1,518,000 994,174 #Taiwan Glass Industry Corp.......................... 9,126,091 9,053,297 *Taiwan Kolin Co., Ltd............................... 5,797,000 -- #*Taiwan Land Development Corp........................ 7,512,215 3,053,946 Taiwan Mask Corp.................................... 2,949,250 1,127,955 Taiwan Navigation Co., Ltd.......................... 343,000 340,618 Taiwan Paiho Co., Ltd............................... 2,376,850 1,702,712 #Taiwan Pulp & Paper Corp............................ 6,792,660 2,361,252 Taiwan Sakura Corp.................................. 1,810,472 980,159 Taiwan Sogo Shinkong Security Co., Ltd.............. 1,503,205 1,479,638 *Taiwan Styrene Monomer Corp......................... 8,374,856 2,039,779 #Taiwan Tea Corp..................................... 8,677,092 4,361,401 Taiyen Biotech Co., Ltd............................. 3,243,000 2,282,158 #*Tatung Co., Ltd..................................... 28,835,982 7,858,425 #*Teapo Electronic Corp............................... 994,840 160,503 #*Teco Electric & Machinery Co., Ltd.................. 27,495,725 20,066,117 *Tecom, Ltd.......................................... 736,753 68,722 Test-Rite International Co., Ltd.................... 1,786,331 1,209,632 *Thinking Electronic Industrial Co., Ltd............. 939,000 911,502 Ton Yi Industrial Corp.............................. 11,712,600 6,010,152 #Tong Yang Industry Co., Ltd......................... 4,228,623 4,177,704 Tong-Tai Machine & Tool Co., Ltd.................... 2,367,640 2,099,825 Topco Scientific Co., Ltd........................... 1,312,719 2,322,159 Topoint Technology Co., Ltd......................... 1,515,682 945,393 #*Tung Ho Spinning, Weaving & Dyeing Co., Ltd......... 2,775,000 915,740 Tung Ho Steel Enterprise Corp....................... 9,334,274 8,844,064 #*TYC Brother Industrial Co., Ltd..................... 2,567,790 1,074,565 #*Tycoons Group Enterprise Co., Ltd................... 7,393,938 1,402,747 Tyntek Corp......................................... 2,812,000 1,124,319 #*Tze Shin International Co., Ltd..................... 1,161,418 578,850 Unimicron Technology Corp........................... 16,639,363 18,800,194 *Union Bank of Taiwan................................ 9,110,282 3,059,283 #Unitech Electronics Co., Ltd........................ 1,308,739 689,167 #Unitech Printed Circuit Board Corp.................. 10,397,281 4,113,395 United Integration Service Co., Ltd................. 1,336,000 1,284,817 #United Microelectronics Corp........................ 178,956,681 93,607,454 Unity Opto Technology Co., Ltd...................... 1,678,629 1,774,923 Universal Cement Corp............................... 5,444,551 2,542,456 Universal Microelectronics Co., Ltd................. 892,491 235,093 #Universal, Inc...................................... 143,837 84,198 #UPC Technology Corp................................. 10,662,415 5,969,490 USI Corp............................................ 6,039,427 5,612,787 #U-Tech Media Corp................................... 1,946,799 397,976 Ve Wong Corp........................................ 1,522,806 1,108,820 Wah Lee Industrial Corp............................. 1,141,000 1,550,636 Walsin Lihwa Corp................................... 46,581,412 13,465,543 Walsin Technology Corp., Ltd........................ 8,713,230 2,294,099 Walton Advanced Engineering, Inc.................... 4,480,853 1,350,704 Wan Hai Lines Co., Ltd.............................. 6,505,000 3,279,080 Wan Hwa Enterprise Co., Ltd......................... 696,689 320,430 Waterland Financial Holdings Co., Ltd............... 28,466,896 9,677,906 *WEI Chih Steel Industrial Co., Ltd.................. 1,914,898 330,042 Weikeng Industrial Co., Ltd......................... 1,544,550 1,324,238 Well Shin Technology Co., Ltd....................... 809,080 1,187,673 Wellypower Optronics Corp........................... 2,128,000 1,166,838 Weltrend Semiconductor, Inc......................... 495,000 224,498 #*Winbond Electronics Corp............................ 39,826,885 6,595,956 #Wintek Corp......................................... 24,929,507 16,129,978
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- -------------- TAIWAN -- (Continued) Wistron Corp................................................... 2,163,000 $ 3,226,860 WPG Holdings, Ltd.............................................. 1,513,092 2,054,214 WT Microelectronics Co., Ltd................................... 2,471,965 3,476,933 #*WUS Printed Circuit Co., Ltd................................... 5,613,928 2,667,962 Yageo Corp..................................................... 30,947,840 8,846,341 Yang Ming Marine Transport Corp................................ 22,980,676 9,702,936 Yem Chio Co., Ltd.............................................. 1,415,213 1,365,815 Yeung Cyang Industrial Co., Ltd................................ 3,772,667 2,189,625 #Yi Jinn Industrial Co., Ltd.................................... 4,146,796 937,688 Yieh Phui Enterprise Co., Ltd.................................. 13,059,485 4,470,606 *Young Fast Optoelectronics Co., Ltd............................ 1,821,000 3,873,741 *Yuanta Financial Holding Co., Ltd.............................. 102,314,654 48,738,173 Yuen Foong Yu Paper Manufacturing Co., Ltd..................... 15,276,847 6,875,282 Yulon Motor Co., Ltd........................................... 12,335,572 19,655,626 Yung Chi Paint & Varnish Manufacturing Co., Ltd................ 291,687 492,475 Yung Tay Engineering Co., Ltd.................................. 3,023,000 4,991,654 #Zenitron Corp.................................................. 2,644,000 2,023,078 Zig Sheng Industrial Co., Ltd.................................. 7,179,044 2,439,226 Zippy Technology Corp.......................................... 343,000 281,239 #Zyxel Communication Corp....................................... 5,642,000 3,171,449 -------------- TOTAL TAIWAN...................................................... 2,041,081,734 -------------- THAILAND -- (2.7%) *A.J. PCL (Foreign)............................................. 1,663,900 817,070 Aapico Hitech PCL (Foreign).................................... 539,800 263,317 Asia Plus Securities PCL (Foreign)............................. 12,661,200 1,004,661 Asian Property Development PCL (Foreign)....................... 9,963,800 2,219,578 Bangchak Petroleum PCL (Foreign)............................... 7,632,800 6,329,639 Bangkok Bank PCL (Foreign)..................................... 6,157,700 38,848,579 Bangkok Bank PCL (Foreign) NVDR................................ 5,970,900 37,087,541 Bangkok Expressway PCL (Foreign)............................... 4,768,400 3,628,636 Bangkok First Investment & Trust PCL (Foreign)................. 132,300 26,245 Bangkok Insurance PCL (Foreign)................................ 143,220 1,150,418 *Bangkokland PCL (Foreign)...................................... 112,797,303 2,641,108 Bank of Ayudhya PCL (Foreign).................................. 16,762,600 15,399,787 Bank of Ayudhya PCL (Foreign) NVDR............................. 12,090,900 10,911,300 Cal-Comp Electronics (Thailand) PCL (Foreign).................. 18,405,400 1,723,823 Capital Nomura Securities PCL (Foreign)........................ 413,400 403,317 Central Plaza Hotel PCL (Foreign).............................. 7,478,700 3,088,764 Charoong Thai Wire & Cable PCL (Foreign)....................... 7,300 2,125 Delta Electronics Thailand PCL (Foreign)....................... 5,809,500 4,666,493 Eastern Water Resources Development & Management PCL (Foreign). 9,535,200 2,604,738 Erawan Group PCL (Foreign)..................................... 4,816,850 435,475 Esso (Thailand) PCL (Foreign).................................. 17,457,700 6,642,442 *G J Steel PCL (Foreign)........................................ 214,856,100 1,187,822 *G Steel PCL (Foreign).......................................... 79,804,200 1,271,677 *Golden Land Property PCL (Foreign) NVDR........................ 47,400 7,152 Hana Microelectronics PCL (Foreign)............................ 4,100,700 2,987,177 Hermraj Land & Development PCL (Foreign)....................... 52,509,000 5,088,677 ICC International PCL (Foreign)................................ 2,710,500 3,878,439 IRPC PCL (Foreign)............................................. 108,904,100 15,441,362 Italian-Thai Development PCL (Foreign) NVDR.................... 21,127,800 2,514,724 Jasmine International PCL (Foreign)............................ 1,350,900 138,824 Kang Yong Electric PCL (Foreign)............................... 4,000 29,789 Kasikornbank PCL (Foreign)..................................... 617,100 3,281,166 KGI Securities (Thailand) PCL (Foreign)........................ 10,147,500 765,600 Kiatnakin Finance PCL (Foreign)................................ 4,439,200 5,341,476 Krung Thai Bank PCL (Foreign).................................. 65,344,000 38,250,146 *Krungthai Card PCL (Foreign)................................... 315,900 198,272 Laguna Resorts & Hotels PCL (Foreign).......................... 1,342,400 1,833,522 Loxley PCL (Foreign)........................................... 11,381,000 1,406,433
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ THAILAND -- (Continued) MBK PCL (Foreign)................................... 905,500 $ 2,804,841 Padaeng Industry PCL (Foreign) NVDR................. 1,412,500 702,805 Polyplex PCL (Foreign).............................. 3,453,600 1,740,839 Precious Shipping PCL (Foreign)..................... 5,235,400 2,758,162 *Property Perfect PCL (Foreign)...................... 18,782,700 775,741 PTT Global Chemical PCL (Foreign)................... 22,762,641 50,892,084 PTT PCL (Foreign)................................... 4,215,000 48,112,683 Quality Houses PCL (Foreign)........................ 51,817,700 3,151,190 *Regional Container Lines PCL (Foreign).............. 5,039,500 1,450,393 Rojana Industrial Park PCL (Foreign)................ 2,249,200 592,472 Saha Pathana Inter-Holding PCL (Foreign)............ 2,932,100 2,193,115 Saha Pathanapibul PCL (Foreign)..................... 1,594,833 1,970,851 Saha-Union PCL (Foreign)............................ 2,976,400 2,903,805 *Sahaviriya Steel Industries PCL (Foreign).......... 105,945,840 2,618,499 Samart Corp. PCL (Foreign).......................... 2,574,100 799,436 Sansiri PCL (Foreign)............................... 46,586,864 3,181,542 SC Asset Corp. PCL (Foreign)........................ 4,007,600 1,928,861 *Shinawatra Satellite PCL (Foreign).................. 6,437,800 3,307,878 Siamgas & Petrochemicals PCL (Foreign).............. 358,600 191,253 Somboon Advance Technology PCL (Foreign)............ 703,400 640,494 Sri Ayudhya Capital PCL (Foreign)................... 228,500 147,132 Sri Trang Agro Industry PCL (Foreign)............... 7,078,300 4,649,810 Supalai PCL (Foreign)............................... 250,766 133,742 *Tata Steel (Thailand) PCL (Foreign)................. 35,972,800 982,672 *Thai Airways International PCL (Foreign)............ 12,216,011 10,626,936 *Thai Carbon Black PCL (Foreign)..................... 139,600 109,864 Thai Oil PCL (Foreign).............................. 10,510,500 23,071,829 Thai Rayon PCL (Foreign)............................ 165,000 347,439 Thai Stanley Electric PCL (Foreign)................. 186,800 1,142,062 *Thai Stanley Electric PCL (Foreign) NVDR............ 43,100 263,506 Thai Wacoal PCL (Foreign)........................... 93,300 148,673 Thanachart Capital PCL (Foreign).................... 8,763,000 9,047,976 Thoresen Thai Agencies PCL (Foreign)................ 4,359,800 2,722,217 Ticon Industrial Connection PCL (Foreign)........... 2,169,500 917,187 Tisco Financial Group PCL (Foreign)................. 1,310,500 1,789,951 TMB Bank PCL (Foreign).............................. 194,247,000 10,738,859 Total Access Communication PCL (Foreign) (B1XFLM7).. 1,074,380 2,847,107 *Total Access Communication PCL (Foreign) (B231MK7).. 7,354,100 19,969,670 TPI Polene PCL (Foreign)............................ 11,293,324 5,178,402 *Tycoons Worldwide Group PCL (Foreign)............... 1,243,300 276,963 Univentures PCL (Foreign)........................... 3,481,400 310,213 Vanachai Group PCL (Foreign)........................ 6,390,000 856,156 Vinythai PCL (Foreign).............................. 5,757,117 3,557,243 ------------ TOTAL THAILAND......................................... 456,069,867 ------------ TURKEY -- (1.9%) Adana Cimento Sanayii T.A.S. Series A............... 734,743 1,674,525 Adana Cimento Sanayii T.A.S. Series C............... 299,447 131,346 *Advansa Sasa Polyester Sanayi A.S................... 1,399,594 1,028,350 Akcansa Cimento Sanayi ve Ticaret A.S............... 298,810 1,327,271 *Akenerji Elektrik Uretim A.S........................ 84,732 102,784 Aksa Akrilik Kimya Sanayii A.S...................... 1,686,939 4,134,004 *Aksigorta A.S....................................... 1,348,634 1,444,285 Alarko Holding A.S.................................. 1,099,569 2,718,897 *Albaraka Turk Katilim Bankasi A.S................... 1,354,867 1,435,668 Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 59,430 903,498 *Anadolu Anonim Turk Sigorta Sirketi A.S............. 3,779,024 1,981,737 Anadolu Cam Sanayii A.S............................. 1,542,338 2,522,745 *Arcelik A.S......................................... 1,565,562 6,869,790 *Asya Katilim Bankasi A.S............................ 7,814,374 7,969,032 *Ayen Enerji A.S..................................... 469,686 435,949
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TURKEY -- (Continued) Aygaz A.S................................................ 1,030,468 $ 4,770,526 Bati Anabolu Cimento A.S................................. 276,594 1,198,826 Bolu Cimento Sanayii A.S................................. 1,056,634 932,896 *Borusan Mannesmann Boru Sanayi ve Ticaret A.S............ 127,193 2,251,274 Cimsa Cimento Sanayi ve Ticaret A.S...................... 562,388 2,517,520 *Deva Holding A.S......................................... 620,118 826,788 *Dogan Gazetecilik A.S.................................... 572,836 518,784 *Dogan Sirketler Grubu Holding A.S........................ 13,119,972 6,197,974 *Dogan Yayin Holding A.S.................................. 1,569,275 626,118 *Dogus Otomotiv Servis ve Ticaret A.S..................... 1,016,045 2,596,158 Eczacibasi Yatirim Holding Ortakligi A.S................. 522,622 2,089,184 EGE Seramik Sanayi ve Ticaret A.S........................ 1,079,477 1,328,013 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S.................................. 2,716,664 3,325,692 Eregli Demir ve Celik Fabrikalari T.A.S.................. 17,225,538 23,869,134 Gentas Genel Metal Sanayi ve Ticaret A.S................. 721,912 657,557 *Global Yatirim Holding A.S............................... 3,698,969 2,844,605 Goodyear Lastikleri T.A.S................................ 21,237 721,535 *GSD Holding A.S.......................................... 3,489,632 1,549,784 *Gunes Sigorta A.S........................................ 403,299 515,282 *Hurriyet Gazetecilik ve Matbaacilik A.S.................. 3,447,484 1,963,004 *Ihlas EV Aletleri A.S.................................... 2,765,346 1,227,633 *Ihlas Holding A.S........................................ 10,126,336 6,574,784 *Ipek Dogal Enerji Kaynaklari Ve Uretim A.S............... 885,242 1,736,129 *Is Finansal Kiralama A.S................................. 1,958,837 1,193,423 Is Yatirim Menkul Degerler A.S........................... 380,780 401,551 *Isiklar Yatirim Holding A.S.............................. 1,581,704 712,076 Ittifak Holding A.S...................................... 92,228 334,091 *Izmir Demir Celik Sanayi A.S............................. 1,388,492 4,114,045 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A................................................. 2,685,266 2,234,855 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B................................................. 1,315,933 1,948,997 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D................................................. 8,292,951 4,533,850 KOC Holding A.S. Series B................................ 7,898,158 29,334,477 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S............................................ 1,045,659 2,472,767 *Koza Anadolu Metal Madencilik Isletmeleri A.S. (B03MVQ5). 1,611,797 3,162,271 *Koza Anadolu Metal Madencilik Isletmeleri A.S. (B6ZH5B3). 1,404,798 2,743,605 *Marti Otel Isletmeleri A.S............................... -- -- *Menderes Tekstil Sanayi ve Ticaret A.S................... 4,409,749 2,487,882 *Metro Ticari ve Mali Yatirimlar Holding A.S.............. 3,286,794 1,048,296 Net Turizm Ticaret ve Sanayi A.S......................... 2,364,089 1,022,556 Netas Telekomunikasyon A.S............................... 485 70,967 *Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S.... 145,574 450,354 *Petkim Petrokimya Holding A.S............................ 4,417,470 5,254,106 Pinar Entegre Et ve Un Sanayi A.S........................ 281,310 980,678 Pinar SUT Mamulleri Sanayii A.S.......................... 194,424 2,027,832 *Raks Elektronik Sanayi ve Ticaret A.S.................... 5,859 2,636 *Reysas Tasimacilik ve Lojistik Ticaret A.S............... 43,575 25,806 *Sabah Yayincilik A.S..................................... 31,938 69,104 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S....... 669,085 1,888,600 Sekerbank T.A.S.......................................... 6,336,890 3,393,098 Selcuk Ecza Deposu Ticaret ve Sanayi A.S................. 1,932,176 1,816,113 Soda Sanayii A.S......................................... 646,809 1,239,535 *Tekfen Holding A.S....................................... 1,735,452 6,328,000 *Tekstil Bankasi A.S...................................... 1,242,819 516,955 Trakya Cam Sanayii A.S................................... 2,856,456 4,117,296 Turcas Petrol A.S........................................ 916,619 1,446,346 *Turk Hava Yollari A.S.................................... 11,412,196 17,478,236 Turkiye Is Bankasi A.S................................... 21,175,700 48,500,982 Turkiye Sinai Kalkinma Bankasi A.S....................... 4,187,333 5,440,147 Turkiye Sise ve Cam Fabrikalari A.S...................... 5,734,884 9,801,665 Turkiye Vakiflar Bankasi T.A.O........................... 10,202,371 18,312,908 Ulker Biskuvi Sanayi A.S................................. 1,364,998 4,136,172
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- --------------- TURKEY -- (Continued) *Uzel Makina Sanayii A.S................................... 275,043 $ -- Vestel Beyaz Esya Sanayi ve Ticaret A.S................... 994,756 1,285,894 *Vestel Elektronik Sanayi ve Ticaret A.S................... 2,059,212 2,545,493 *Yapi ve Kredi Bankasi A.S................................. 11,028,482 20,426,878 --------------- TOTAL TURKEY................................................. 320,819,624 --------------- TOTAL COMMON STOCKS.......................................... 15,196,448,399 --------------- PREFERRED STOCKS -- (4.4%) BRAZIL -- (4.4%) Alpargatas SA............................................. 564,162 4,543,134 Banco ABC Brasil SA....................................... 776,812 4,869,975 Banco Alfa de Investimento SA............................. 61,726 160,941 Banco Cruzeiro do Sul SA.................................. 5,100 34,515 Banco Daycoval SA......................................... 564,248 2,764,775 Banco do Estado do Rio Grande do Sul SA Series B.......... 1,120,303 9,668,171 Banco Industrial e Comercial SA........................... 1,214,800 3,772,849 *Banco Indusval SA......................................... 200 908 Banco Panamericano SA..................................... 1,103,600 3,595,392 Banco Pine SA............................................. 350,878 2,444,541 Banco Sofisa SA........................................... 694,800 1,341,376 *Braskem SA Preferred Series A............................. 1,916,567 13,422,957 #Braskem SA Sponsored ADR.................................. 579,894 8,524,442 Cia de Tecidos Norte de Minas - Coteminas SA.............. 901,775 2,020,082 Cia Ferro Ligas da Bahia - Ferbasa........................ 823,834 4,870,870 Eucatex SA Industria e Comercio SA........................ 134,188 580,779 Financeira Alfa SA Credito Financiamento e Investimentos.. 36,400 75,620 Forjas Taurus SA.......................................... 916,590 1,014,613 Gerdau SA................................................. 4,130,372 38,570,218 #Gerdau SA Sponsored ADR................................... 8,373,239 78,624,714 Inepar SA Industria e Construcoes......................... 1,297,608 1,572,528 *Klabin SA................................................. 7,963,205 38,100,060 Mangels Industrial SA..................................... 3,600 7,932 Marcopolo SA.............................................. 1,983,243 10,674,959 Metalurgica Gerdau SA..................................... 195,300 2,375,997 Oi SA..................................................... 118,733 713,213 Parana Banco SA........................................... 116,200 792,487 Petroleo Brasileiro SA.................................... 7,002,801 77,443,562 Petroleo Brasileiro SA ADR................................ 15,231,358 337,526,893 Suzano Papel e Celulose SA................................ 4,444,600 16,718,402 Ultrapar Participacoes SA Sponsored ADR................... 359,409 8,137,020 *Unipar Participacoes SA Preferred Series B................ 8,924,236 1,357,725 Usinas Siderurgicas de Minas Gerais SA Perferred Series A. 11,752,415 67,389,186 *Vale SA Series B.......................................... 239,144 -- Whirlpool SA.............................................. 71,500 127,535 --------------- TOTAL BRAZIL................................................. 743,838,371 --------------- INDIA -- (0.0%) *JSW ISPAT Steel, Ltd...................................... 1,190,176 86,735 *Trent, Ltd................................................ 3,220 53,684 --------------- TOTAL INDIA.................................................. 140,419 --------------- MALAYSIA -- (0.0%) *TA Global Berhad.......................................... 6,292,530 540,578 --------------- TOTAL PREFERRED STOCKS....................................... 744,519,368 --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) *Banco Panamericano SA Rights 05/09/12..................... 1,400,762 80,835 --------------- MALAYSIA -- (0.0%) *Malayan Flour Mills Berhad Warrants....................... 125,350 -- ---------------
39 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------ --------------- TURKEY -- (0.0%) *Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. Rights 02/15/12.............................. 885,242 $ 1,708,738 --------------- TOTAL RIGHTS/WARRANTS....................................................................... 1,789,573 --------------- SHARES/ FACE AMOUNT VALUE+ ------------ --------------- (000) SECURITIES LENDING COLLATERAL -- (5.8%) (S)@DFA Short Term Investment Fund.......................................................... 972,000,000 972,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $5,531,741) to be repurchased at $5,423,307............................................................. $ 5,423 5,423,275 --------------- TOTAL SECURITIES LENDING COLLATERAL......................................................... 977,423,275 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $16,500,480,604)................................................................... $16,920,180,615 ===============
40 (b)Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 11. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR (the "Report"), the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12.EXHIBITS. (a)(1) This item is not applicable. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3) This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Emerging Markets Value Fund By: /s/ David G. Booth -------------------------------- David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: July 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: July 5, 2012 By: /s/ David R. Martin --------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: July 5, 2012 EX-99.CERT 2 d328193dex99cert.txt CERTIFICATION PURSUANT TO RULE 302 CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: July 5, 2012 By: /s/ David G. Booth --------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David R. Martin, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: July 5, 2012 By: /s/ David R. Martin --------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906 CERT 3 d328193dex99906cert.txt CERTIFICATION PURSUANT TO RULE 906 CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and David R. Martin, Principal Financial Officer, of Dimensional Emerging Markets Value Fund, a Delaware statutory trust (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended April 30, 2012 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/ David G. Booth --------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund Date: July 5, 2012 By: /s/ David R. Martin --------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: July 5, 2012