0001193125-13-005410.txt : 20130107 0001193125-13-005410.hdr.sgml : 20130107 20130107164413 ACCESSION NUMBER: 0001193125-13-005410 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20121031 FILED AS OF DATE: 20130107 DATE AS OF CHANGE: 20130107 EFFECTIVENESS DATE: 20130107 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-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 13515676 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-CSR 1 d413354dncsr.txt DIMENSIONAL EMERGING MARKETS VALUE FUND ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7440 DIMENSIONAL EMERGING MARKETS VALUE FUND (Exact name of registrant as specified in charter) 6300 Bee Cave Road, Building One, Austin, TX 78746 (Address of principal executive offices) (Zip code) Catherine L. Newell, Esquire, Vice President and Secretary Dimensional Emerging Markets Value Fund, 6300 Bee Cave Road, Building One, Austin, TX 78746 (Name and address of agent for service) Registrant's telephone number, including area code: 512-306-7400 Date of fiscal year end: October 31 Date of reporting period: October 31, 2012 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] Dimensional ANNUAL REPORT year ended: October 31, 2012 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND [LOGO] Dimensional Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 November 2012 Dear Fellow Shareholder, Working to understand the needs of clients has always been among our most important objectives at Dimensional. We believe that our ability to provide investment solutions has helped Dimensional become a trusted partner and resource for our clients. We've worked hard to build trust and have earned many long-standing client relationships. This demonstrates our commitment to client service, the stability of our organization, the breadth of our strategies, and the consistency of our investment approach. We believe that focusing on helping clients pursue their investment goals will benefit our clients as well as Dimensional. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer [THIS PAGE INTENTIONALLY LEFT BLANK] ANNUAL REPORT Table of Contents Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.......................... 1 DFA Investment Dimensions Group Inc. Performance Charts............................................... 3 Management's Discussion and Analysis............................. 13 Disclosure of Fund Expenses...................................... 26 Disclosure of Portfolio Holdings................................. 31 Schedules of Investments/Summary Schedules of Portfolio Holdings. Enhanced U.S. Large Company Portfolio........................ 34 U.S. Large Cap Value Portfolio............................... 38 U.S. Targeted Value Portfolio................................ 39 U.S. Small Cap Value Portfolio............................... 42 U.S. Core Equity 1 Portfolio................................. 45 U.S. Core Equity 2 Portfolio................................. 48 U.S. Vector Equity Portfolio................................. 51 U.S. Small Cap Portfolio..................................... 54 U.S. Micro Cap Portfolio..................................... 57 DFA Real Estate Securities Portfolio......................... 60 Large Cap International Portfolio............................ 62 International Core Equity Portfolio.......................... 66 International Small Company Portfolio........................ 70 Japanese Small Company Portfolio............................. 71 Asia Pacific Small Company Portfolio......................... 71 United Kingdom Small Company Portfolio....................... 72 Continental Small Company Portfolio.......................... 72 DFA International Real Estate Securities Portfolio........... 73 DFA Global Real Estate Securities Portfolio.................. 77 DFA International Small Cap Value Portfolio.................. 78 International Vector Equity Portfolio........................ 82 World ex U.S. Value Portfolio................................ 87 Selectively Hedged Global Equity Portfolio................... 88 Emerging Markets Portfolio................................... 89 Emerging Markets Small Cap Portfolio......................... 89 Emerging Markets Value Portfolio............................. 90 Emerging Markets Core Equity Portfolio....................... 91 Statements of Assets and Liabilities............................. 96 Statements of Operations......................................... 103 Statements of Changes in Net Assets.............................. 110 Financial Highlights............................................. 119 Notes to Financial Statements.................................... 136 Report of Independent Registered Public Accounting Firm.......... 164 i Table of Contents Continued Page ---- DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Performance Chart.................................................... 165 Management's Discussion and Analysis................................. 166 Consolidated Disclosure of Fund Expenses............................. 167 Consolidated Disclosure of Portfolio Holdings........................ 168 Consolidated Schedule of Investments................................. 169 Consolidated Statement of Assets and Liabilities..................... 175 Consolidated Statement of Operations................................. 176 Consolidated Statements of Changes in Net Assets..................... 177 Consolidated Financial Highlights.................................... 178 Consolidated Notes to Financial Statements........................... 179 Report of Independent Registered Public Accounting Firm.............. 191 Dimensional Investment Group Inc. Performance Charts................................................... 192 Management's Discussion and Analysis................................. 193 Disclosure of Fund Expenses.......................................... 197 Disclosure of Portfolio Holdings..................................... 199 Schedule of Investments/Summary Schedule of Portfolio Holdings....... DFA International Value Portfolio................................ 200 U.S. Large Company Portfolio..................................... 201 Statements of Assets and Liabilities................................. 204 Statements of Operations............................................. 205 Statements of Changes in Net Assets.................................. 206 Financial Highlights................................................. 207 Notes to Financial Statements........................................ 209 Report of Independent Registered Public Accounting Firm.............. 220 The DFA Investment Trust Company Performance Charts................................................... 221 Management's Discussion and Analysis................................. 224 Disclosure of Fund Expenses.......................................... 230 Disclosure of Portfolio Holdings..................................... 232 Summary Schedules of Portfolio Holdings.............................. The U.S. Large Cap Value Series.................................. 234 The DFA International Value Series............................... 237 The Japanese Small Company Series................................ 241 The Asia Pacific Small Company Series............................ 244 The United Kingdom Small Company Series.......................... 247 The Continental Small Company Series............................. 250 The Canadian Small Company Series................................ 254 The Emerging Markets Series...................................... 257 The Emerging Markets Small Cap Series............................ 261 Statements of Assets and Liabilities................................. 265 Statements of Operations............................................. 267 Statements of Changes in Net Assets.................................. 269 Financial Highlights................................................. 272 Notes to Financial Statements........................................ 277 Report of Independent Registered Public Accounting Firm.............. 287 ii Table of Contents Continued Page ---- Dimensional Emerging Markets Value Fund Performance Chart...................................................... 288 Management's Discussion and Analysis................................... 289 Disclosure of Fund Expenses............................................ 291 Disclosure of Portfolio Holdings....................................... 292 Summary Schedule of Portfolio Holdings................................. 293 Statement of Assets and Liabilities.................................... 297 Statement of Operations................................................ 298 Statements of Changes in Net Assets.................................... 299 Financial Highlights................................................... 300 Notes to Financial Statements.......................................... 301 Report of Independent Registered Public Accounting Firm................ 309 Fund Management 310 Voting Proxies on Fund Portfolio Securities 320 Notice to Shareholders 321 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 FNMA Federal National Mortgage Association GDR Global Depositary Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust SPDR Standard & Poor's Depository Receipts Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in local currency or the Euro, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of October 31, 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. PERFORMANCE CHARTS Enhanced U.S. Large Company Portfolio vs. S&P 500(R) Index October 31, 2002 - October 31, 2012
Enhanced U.S. Large Company BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio S&P 500(R) Index --------- ---------- ----------- ----------------- ---------- --------------------------- ---------------- 2002-10-31 2002-11-30 5.56% 5.89% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.54% -5.88% 11/2002 10555.55556 10588.59043 2002-12-31 2003-01-31 -2.59% -2.62% 12/2002 9971.066175 9966.404855 2003-01-31 2003-02-28 -1.33% -1.50% 01/2003 9713.193776 9705.285048 2003-02-28 2003-03-31 0.90% 0.97% 02/2003 9584.257576 9559.705772 2003-03-31 2003-04-30 8.33% 8.24% 03/2003 9670.791669 9652.530516 2003-04-30 2003-05-31 5.49% 5.27% 04/2003 10476.69097 10447.60945 2003-05-31 2003-06-30 1.18% 1.28% 05/2003 11052.33334 10998.094 2003-06-30 2003-07-31 1.29% 1.76% 06/2003 11182.90699 11138.8696 2003-07-31 2003-08-31 1.91% 1.95% 07/2003 11327.20256 11335.24787 2003-08-31 2003-09-30 -0.63% -1.06% 08/2003 11543.64592 11556.2852 2003-09-30 2003-10-31 5.30% 5.66% 09/2003 11470.78819 11433.55746 2003-10-31 2003-11-30 0.84% 0.88% 10/2003 12078.32048 12080.3538 2003-11-30 2003-12-31 5.49% 5.24% 11/2003 12179.57586 12186.66091 2003-12-31 2004-01-31 1.81% 1.84% 12/2003 12848.40942 12825.72941 2004-01-31 2004-02-29 1.55% 1.39% 01/2004 13080.43487 13061.14532 2004-02-29 2004-03-31 -1.41% -1.51% 02/2004 13283.45714 13242.68797 2004-03-31 2004-04-30 -2.22% -1.57% 03/2004 13096.05234 13042.85581 2004-04-30 2004-05-31 1.25% 1.37% 04/2004 12805.35195 12838.08298 2004-05-31 2004-06-30 1.77% 1.94% 05/2004 12965.23716 13014.22147 2004-06-30 2004-07-31 -3.20% -3.31% 06/2004 13194.84555 13267.21794 2004-07-31 2004-08-31 0.68% 0.40% 07/2004 12772.02729 12828.07303 2004-08-31 2004-09-30 1.00% 1.08% 08/2004 12859.50693 12879.77016 2004-09-30 2004-10-31 1.58% 1.53% 09/2004 12987.71866 13019.25807 2004-10-31 2004-11-30 3.66% 4.05% 10/2004 13192.47999 13218.19233 2004-11-30 2004-12-31 3.39% 3.40% 11/2004 13675.1317 13753.0004 2004-12-31 2005-01-31 -2.62% -2.44% 12/2004 14138.25834 14221.015 2005-01-31 2005-02-28 1.93% 2.10% 01/2005 13768.53401 13874.37776 2005-02-28 2005-03-31 -2.00% -1.77% 02/2005 14034.73553 14166.29467 2005-03-31 2005-04-30 -1.72% -1.90% 03/2005 13753.74503 13915.40959 2005-04-30 2005-05-31 3.17% 3.18% 04/2005 13517.12146 13651.43427 2005-05-31 2005-06-30 0.11% 0.14% 05/2005 13946.00168 14085.82291 2005-06-30 2005-07-31 3.29% 3.72% 06/2005 13960.69676 14105.82477 2005-07-31 2005-08-31 -0.72% -0.91% 07/2005 14420.12521 14630.56146 2005-08-31 2005-09-30 0.62% 0.81% 08/2005 14316.3833 14497.13074 2005-09-30 2005-10-31 -2.07% -1.67% 09/2005 14405.02963 14614.55749 2005-10-31 2005-11-30 3.81% 3.78% 10/2005 14106.78885 14370.93282 2005-11-30 2005-12-31 0.01% 0.04% 11/2005 14643.62226 14914.4415 2005-12-31 2006-01-31 2.69% 2.65% 12/2005 14644.65404 14919.66156 2006-01-31 2006-02-28 0.00% 0.27% 01/2006 15038.00219 15314.73419 2006-02-28 2006-03-31 1.25% 1.25% 02/2006 15038.00218 15356.23712 2006-03-31 2006-04-30 1.20% 1.34% 03/2006 15226.27444 15547.42228 2006-04-30 2006-05-31 -2.96% -2.88% 04/2006 15408.44323 15756.22416 2006-05-31 2006-06-30 0.10% 0.14% 05/2006 14953.02126 15302.76003 2006-06-30 2006-07-31 0.61% 0.62% 06/2006 14968.20199 15323.57178 2006-07-31 2006-08-31 2.32% 2.38% 07/2006 15059.28639 15418.11822 2006-08-31 2006-09-30 2.56% 2.58% 08/2006 15408.44323 15784.96351 2006-09-30 2006-10-31 3.17% 3.26% 09/2006 15803.14226 16191.74202 2006-10-31 2006-11-30 1.96% 1.90% 10/2006 16304.10643 16719.43089 2006-11-30 2006-12-31 1.34% 1.40% 11/2006 16622.90181 17037.43447 2006-12-31 2007-01-31 1.42% 1.51% 12/2006 16845.30813 17276.43134 2007-01-31 2007-02-28 -1.96% -1.96% 01/2007 17084.36169 17537.70592 2007-02-28 2007-03-31 1.14% 1.12% 02/2007 16749.6867 17194.68908 2007-03-31 2007-04-30 4.33% 4.43% 03/2007 16940.92955 17387.01168 2007-04-30 2007-05-31 3.43% 3.49% 04/2007 17674.02716 18157.17406 2007-05-31 2007-06-30 -1.74% -1.66% 05/2007 18279.62954 18790.77083 2007-06-30 2007-07-31 -3.02% -3.10% 06/2007 17960.89145 18478.59355 2007-07-31 2007-08-31 1.37% 1.50% 07/2007 17419.03669 17905.66827 2007-08-31 2007-09-30 3.72% 3.74% 08/2007 17658.09026 18174.07549 2007-09-30 2007-10-31 1.60% 1.59% 09/2007 18314.84294 18853.78591 2007-10-31 2007-11-30 -4.21% -4.18% 10/2007 18608.66395 19153.74965 2007-11-30 2007-12-31 -0.71% -0.69% 11/2007 17825.14126 18352.93137 2007-12-31 2008-01-31 -6.27% -6.00% 12/2007 17698.79021 18225.56203 2008-01-31 2008-02-29 -3.24% -3.25% 01/2008 16589.26039 17132.02831 2008-02-29 2008-03-31 -0.45% -0.43% 02/2008 16052.39112 16575.40871 2008-03-31 2008-04-30 4.70% 4.87% 03/2008 15980.80855 16503.80294 2008-04-30 2008-05-31 1.39% 1.30% 04/2008 16732.42553 17307.53814 2008-05-31 2008-06-30 -8.49% -8.43% 05/2008 16965.06888 17532.53614 2008-06-30 2008-07-31 -0.82% -0.84% 06/2008 15523.93636 16054.54334 2008-07-31 2008-08-31 1.53% 1.45% 07/2008 15397.2842 15919.52463 2008-08-31 2008-09-30 -9.21% -8.91% 08/2008 15632.49536 16149.72096 2008-09-30 2008-10-31 -17.05% -16.80% 09/2008 14193.16644 14710.61933 2008-10-31 2008-11-30 -6.80% -7.18% 10/2008 11773.0496 12239.97081 2008-11-30 2008-12-31 1.17% 1.06% 11/2008 10972.40944 11361.7529 2008-12-31 2009-01-31 -8.38% -8.43% 12/2008 11101.21756 11482.64196 2009-01-31 2009-02-28 -10.93% -10.65% 01/2009 10171.0609 10514.81106 2009-02-28 2009-03-31 9.11% 8.76% 02/2009 9058.917062 9395.193977 2009-03-31 2009-04-30 9.86% 9.57% 03/2009 9883.748938 10218.16778 2009-04-30 2009-05-31 5.98% 5.59% 04/2009 10857.91721 11196.14862 2009-05-31 2009-06-30 0.35% 0.20% 05/2009 11507.36273 11822.34921 2009-06-30 2009-07-31 7.91% 7.56% 06/2009 11547.95307 11845.75746 2009-07-31 2009-08-31 3.91% 3.61% 07/2009 12461.23583 12741.73881 2009-08-31 2009-09-30 3.93% 3.73% 08/2009 12948.31996 13201.71558 2009-09-30 2009-10-31 -1.82% -1.86% 09/2009 13457.21195 13694.4036 2009-10-31 2009-11-30 6.33% 6.00% 10/2009 13212.53537 13440.00171 2009-11-30 2009-12-31 1.72% 1.93% 11/2009 14048.51369 14246.13301 2009-12-31 2010-01-31 -3.44% -3.60% 12/2009 14290.11101 14521.3683 2010-01-31 2010-02-28 3.26% 3.10% 01/2010 13798.76049 13999.03468 2010-02-28 2010-03-31 5.89% 6.03% 02/2010 14249.16513 14432.68278 2010-03-31 2010-04-30 1.63% 1.58% 03/2010 15088.5556 15303.60859 2010-04-30 2010-05-31 -7.88% -7.99% 04/2010 15334.23086 15545.20666 2010-05-31 2010-06-30 -5.14% -5.23% 05/2010 14126.3275 14303.92191 2010-06-30 2010-07-31 7.06% 7.01% 06/2010 13400.23286 13555.1402 2010-07-31 2010-08-31 -4.44% -4.51% 07/2010 14345.64806 14504.85399 2010-08-31 2010-09-30 8.94% 8.92% 08/2010 13708.52042 13850.04686 2010-09-30 2010-10-31 3.86% 3.80% 09/2010 14934.7217 15086.08045 2010-10-31 2010-11-30 -0.13% 0.01% 10/2010 15511.51095 15660.09072 2010-11-30 2010-12-31 6.69% 6.68% 11/2010 15490.91134 15662.09521 2010-12-31 2011-01-31 2.50% 2.37% 12/2010 16527.6527 16708.8087 2011-01-31 2011-02-28 3.29% 3.43% 01/2011 16940.32817 17104.82417 2011-02-28 2011-03-31 0.00% 0.04% 02/2011 17497.44006 17690.81834 2011-03-31 2011-04-30 3.18% 2.96% 03/2011 17497.44006 17697.8416 2011-04-30 2011-05-31 -0.91% -1.13% 04/2011 18054.55195 18221.96318 2011-05-31 2011-06-30 -1.73% -1.67% 05/2011 17889.48176 18015.70878 2011-06-30 2011-07-31 -1.88% -2.03% 06/2011 17579.97515 17715.40493 2011-07-31 2011-08-31 -5.50% -5.43% 07/2011 17249.83478 17355.17988 2011-08-31 2011-09-30 -7.09% -7.03% 08/2011 16300.68119 16412.42916 2011-09-30 2011-10-31 11.04% 10.93% 09/2011 15145.18987 15258.66821 2011-10-31 2011-11-30 -0.61% -0.22% 10/2011 16816.52553 16926.33384 2011-11-30 2011-12-31 1.12% 1.02% 11/2011 16713.35666 16888.94356 2011-12-31 2012-01-31 4.69% 4.48% 12/2011 16899.76673 17061.70057 2012-01-31 2012-02-29 4.36% 4.32% 01/2012 17692.59529 17826.32068 2012-02-29 2012-03-31 3.39% 3.29% 02/2012 18464.55994 18597.14861 2012-03-31 2012-04-30 -0.55% -0.63% 03/2012 19090.47723 19209.16218 2012-04-30 2012-05-31 -6.04% -6.01% 04/2012 18986.15768 19088.60547 2012-05-31 2012-06-30 4.20% 4.12% 05/2012 17838.64266 17941.38029 2012-06-30 2012-07-31 1.69% 1.39% 06/2012 18587.12395 18680.60498 2012-07-31 2012-08-31 2.33% 2.25% 07/2012 18901.09564 18940.05976 2012-08-31 2012-09-30 2.57% 2.58% 08/2012 19340.656 19366.64291 2012-09-30 2012-10-31 -1.80% -1.85% 09/2012 19837.11143 19867.11129 10/31/2012 19480.63057 19500.27841
One Year Five Years Ten Years -------- ---------- --------- 15.84% 0.92% 6.90% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. U.S. Large Cap Value Portfolio vs. Russell 1000(R) Value Index October 31, 2002 - October 31, 2012
U.S. Large Cap Value Russell 1000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2002-10-31 2002-11-30 7.07% 6.30% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.55% -4.34% 11/2002 10706.99136 10630 2002-12-31 2003-01-31 -2.32% -2.42% 12/2002 10219.55713 10168.658 2003-01-31 2003-02-28 -2.93% -2.67% 01/2003 9982.62767 9922.576476 2003-02-28 2003-03-31 -0.47% 0.17% 02/2003 9690.414676 9657.643684 2003-03-31 2003-04-30 9.20% 8.80% 03/2003 9644.954344 9674.061679 2003-04-30 2003-05-31 6.69% 6.46% 04/2003 10531.8467 10525.37911 2003-05-31 2003-06-30 1.08% 1.25% 05/2003 11236.60937 11205.3186 2003-06-30 2003-07-31 2.52% 1.49% 06/2003 11357.48184 11345.38508 2003-07-31 2003-08-31 3.55% 1.56% 07/2003 11643.40446 11514.43132 2003-08-31 2003-09-30 -2.20% -0.98% 08/2003 12056.4038 11694.05645 2003-09-30 2003-10-31 6.69% 6.12% 09/2003 11791.54621 11579.45469 2003-10-31 2003-11-30 2.22% 1.36% 10/2003 12580.30504 12288.11732 2003-11-30 2003-12-31 6.83% 6.16% 11/2003 12859.15917 12455.23571 2003-12-31 2004-01-31 1.69% 1.76% 12/2003 13737.50291 13222.47824 2004-01-31 2004-02-29 2.58% 2.14% 01/2004 13969.66351 13455.19385 2004-02-29 2004-03-31 -0.40% -0.88% 02/2004 14329.91271 13743.135 2004-03-31 2004-04-30 -1.69% -2.44% 03/2004 14272.21005 13622.19541 2004-04-30 2004-05-31 0.57% 1.02% 04/2004 14031.66718 13289.81384 2004-05-31 2004-06-30 2.99% 2.36% 05/2004 14111.84814 13425.36995 2004-06-30 2004-07-31 -3.27% -1.41% 06/2004 14533.14249 13742.20868 2004-07-31 2004-08-31 0.00% 1.42% 07/2004 14058.62373 13548.44353 2004-08-31 2004-09-30 3.08% 1.55% 08/2004 14058.62373 13740.83143 2004-09-30 2004-10-31 1.17% 1.66% 09/2004 14492.0427 13953.81432 2004-10-31 2004-11-30 6.55% 5.06% 10/2004 14661.3988 14185.44764 2004-11-30 2004-12-31 3.99% 3.35% 11/2004 15621.08332 14903.23129 2004-12-31 2005-01-31 -2.49% -1.78% 12/2004 16243.91321 15402.48954 2005-01-31 2005-02-28 3.02% 3.31% 01/2005 15838.82809 15128.32522 2005-02-28 2005-03-31 -0.26% -1.37% 02/2005 16316.82853 15629.07279 2005-03-31 2005-04-30 -3.44% -1.79% 03/2005 16274.12272 15414.95449 2005-04-30 2005-05-31 4.28% 2.41% 04/2005 15714.34482 15139.0268 2005-05-31 2005-06-30 2.03% 1.09% 05/2005 16387.70085 15503.59603 2005-06-30 2005-07-31 4.96% 2.89% 06/2005 16720.98419 15673.12716 2005-07-31 2005-08-31 -0.83% -0.43% 07/2005 17550.52718 16126.58428 2005-08-31 2005-09-30 1.54% 1.40% 08/2005 17404.13724 16056.50454 2005-09-30 2005-10-31 -2.68% -2.54% 09/2005 17672.85892 16281.94488 2005-10-31 2005-11-30 3.98% 3.27% 10/2005 17199.84285 15868.4229 2005-11-30 2005-12-31 0.13% 0.60% 11/2005 17884.9006 16387.32032 2005-12-31 2006-01-31 4.74% 3.88% 12/2005 17907.42447 16485.2089 2006-01-31 2006-02-28 -0.35% 0.61% 01/2006 18755.45422 17125.34866 2006-02-28 2006-03-31 1.76% 1.35% 02/2006 18689.58784 17229.93488 2006-03-31 2006-04-30 2.82% 2.54% 03/2006 19018.12323 17463.32185 2006-04-30 2006-05-31 -1.86% -2.53% 04/2006 19554.19348 17907.16926 2006-05-31 2006-06-30 0.87% 0.64% 05/2006 19191.31515 17454.821 2006-06-30 2006-07-31 -1.45% 2.43% 06/2006 19357.84876 17566.36245 2006-07-31 2006-08-31 1.61% 1.67% 07/2006 19076.34026 17993.46576 2006-08-31 2006-09-30 2.76% 1.99% 08/2006 19382.68774 18294.60194 2006-09-30 2006-10-31 3.96% 3.27% 09/2006 19918.56564 18659.10808 2006-10-31 2006-11-30 1.89% 2.28% 10/2006 20707.66645 19269.99021 2006-11-30 2006-12-31 2.01% 2.24% 11/2006 21098.06369 19709.86384 2006-12-31 2007-01-31 2.89% 1.28% 12/2006 21521.94168 20152.33357 2007-01-31 2007-02-28 -1.50% -1.56% 01/2007 22144.1602 20410.05615 2007-02-28 2007-03-31 0.66% 1.55% 02/2007 21811.74208 20091.86703 2007-03-31 2007-04-30 4.24% 3.70% 03/2007 21954.65413 20402.49503 2007-04-30 2007-05-31 4.10% 3.61% 04/2007 22885.44265 21156.42585 2007-05-31 2007-06-30 -1.62% -2.34% 05/2007 23824.77052 21919.52162 2007-06-30 2007-07-31 -6.21% -4.62% 06/2007 23437.69887 21407.34852 2007-07-31 2007-08-31 -1.91% 1.12% 07/2007 21981.94117 20417.39084 2007-08-31 2007-09-30 2.58% 3.43% 08/2007 21562.34043 20646.17729 2007-09-30 2007-10-31 0.54% 0.01% 09/2007 22119.60769 21355.32822 2007-10-31 2007-11-30 -5.60% -4.89% 10/2007 22239.86963 21357.68501 2007-11-30 2007-12-31 -0.32% -0.97% 11/2007 20994.29949 20313.84869 2007-12-31 2008-01-31 -3.84% -4.01% 12/2007 20926.88549 20117.41337 2008-01-31 2008-02-29 -3.09% -4.19% 01/2008 20124.08686 19311.65235 2008-02-29 2008-03-31 -0.93% -0.75% 02/2008 19501.69242 18502.53608 2008-03-31 2008-04-30 6.27% 4.87% 03/2008 19319.49295 18363.76706 2008-04-30 2008-05-31 2.38% -0.16% 04/2008 20531.48361 19258.92111 2008-05-31 2008-06-30 -10.96% -9.57% 05/2008 21019.89776 19228.35404 2008-06-30 2008-07-31 -1.12% -0.36% 06/2008 18716.30586 17387.78848 2008-07-31 2008-08-31 1.96% 1.70% 07/2008 18507.43878 17325.02215 2008-08-31 2008-09-30 -9.00% -7.35% 08/2008 18870.68586 17619.54753 2008-09-30 2008-10-31 -22.53% -17.31% 09/2008 17173.23447 16325.01114 2008-10-31 2008-11-30 -9.81% -7.17% 10/2008 13304.23797 13498.95282 2008-11-30 2008-12-31 3.25% 1.39% 11/2008 11999.36415 12530.95655 2008-12-31 2009-01-31 -11.86% -11.50% 12/2008 12388.7549 12704.88624 2009-01-31 2009-02-28 -14.04% -13.36% 01/2009 10919.84213 11243.95781 2009-02-28 2009-03-31 9.83% 8.55% 02/2009 9386.260241 9741.64674 2009-03-31 2009-04-30 16.18% 10.72% 03/2009 10309.13738 10574.58917 2009-04-30 2009-05-31 7.67% 6.18% 04/2009 11977.34324 11708.0967 2009-05-31 2009-06-30 -1.21% -0.74% 05/2009 12895.79366 12432.07598 2009-06-30 2009-07-31 9.43% 8.19% 06/2009 12739.6731 12340.27168 2009-07-31 2009-08-31 6.80% 5.23% 07/2009 13940.46703 13350.3397 2009-08-31 2009-09-30 4.35% 3.86% 08/2009 14887.96849 14048.63557 2009-09-30 2009-10-31 -4.30% -3.06% 09/2009 15536.2026 14591.41079 2009-10-31 2009-11-30 5.63% 5.64% 10/2009 14868.48445 14144.84834 2009-11-30 2009-12-31 2.70% 1.77% 11/2009 15705.48326 14942.09201 2009-12-31 2010-01-31 -2.34% -2.81% 12/2009 16128.84193 15206.51837 2010-01-31 2010-02-28 4.32% 3.16% 01/2010 15750.67447 14778.85081 2010-02-28 2010-03-31 7.80% 6.51% 02/2010 16431.37589 15245.34914 2010-03-31 2010-04-30 3.16% 2.59% 03/2010 17712.94768 16237.82243 2010-04-30 2010-05-31 -8.56% -8.22% 04/2010 18272.10441 16657.98918 2010-05-31 2010-06-30 -7.56% -5.63% 05/2010 16708.36103 15288.76974 2010-06-30 2010-07-31 7.82% 6.77% 06/2010 15444.85324 14428.09848 2010-07-31 2010-08-31 -6.11% -4.28% 07/2010 16652.6712 15404.85527 2010-08-31 2010-09-30 9.80% 7.76% 08/2010 15635.06079 14745.68693 2010-09-30 2010-10-31 3.68% 3.00% 09/2010 17167.15394 15889.70571 2010-10-31 2010-11-30 -0.75% -0.53% 10/2010 17799.42635 16366.49323 2010-11-30 2010-12-31 9.72% 7.89% 11/2010 17665.30796 16279.88285 2010-12-31 2011-01-31 3.23% 2.26% 12/2010 19382.58005 17564.43559 2011-01-31 2011-02-28 5.39% 3.69% 01/2011 20008.75684 17961.76269 2011-02-28 2011-03-31 0.45% 0.40% 02/2011 21087.70762 18624.27943 2011-03-31 2011-04-30 2.51% 2.66% 03/2011 21183.60229 18698.25097 2011-04-30 2011-05-31 -1.42% -1.06% 04/2011 21714.88279 19196.15319 2011-05-31 2011-06-30 -1.82% -2.05% 05/2011 21405.77413 18993.3429 2011-06-30 2011-07-31 -4.57% -3.32% 06/2011 21016.50944 18603.9051 2011-07-31 2011-08-31 -8.46% -6.24% 07/2011 20056.80721 17986.83479 2011-08-31 2011-09-30 -10.10% -7.56% 08/2011 18360.36387 16864.3465 2011-09-30 2011-10-31 13.81% 11.45% 09/2011 16505.29642 15589.84878 2011-10-31 2011-11-30 -0.83% -0.52% 10/2011 18783.90372 17374.76545 2011-11-30 2011-12-31 0.79% 2.02% 11/2011 18628.10151 17284.71058 2011-12-31 2012-01-31 4.96% 3.78% 12/2011 18774.55685 17633.02386 2012-01-31 2012-02-29 5.77% 3.99% 01/2012 19706.41835 18300.0833 2012-02-29 2012-03-31 1.83% 2.96% 02/2012 20844.27028 19029.58134 2012-03-31 2012-04-30 -2.09% -1.02% 03/2012 21226.09035 19593.70131 2012-04-30 2012-05-31 -7.10% -5.86% 04/2012 20783.26509 19393.89913 2012-05-31 2012-06-30 5.37% 4.96% 05/2012 19307.18093 18256.62174 2012-06-30 2012-07-31 0.97% 1.03% 06/2012 20343.19332 19163.05372 2012-07-31 2012-08-31 3.95% 2.17% 07/2012 20540.9881 19361.37516 2012-08-31 2012-09-30 3.65% 3.17% 08/2012 21351.9467 19781.74826 2012-09-30 2012-10-31 0.27% -0.49% 09/2012 22131.2698 20409.66857 10/31/2012 22190.86927 20309.47599
One Year Five Years Ten Years -------- ---------- --------- 18.14% -0.04% 8.30% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Targeted Value Portfolio - Class R1 vs. Russell 2000(R) Value Index January 31, 2008 - October 31, 2012
U.S. Targeted Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R1 Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2008-01-31 2008-02-29 -2.50% -3.97% 01/2008 10000 10000 2008-02-29 2008-03-31 0.73% 1.51% 02/2008 9750 9602.571031 2008-03-31 2008-04-30 3.37% 3.16% 03/2008 9820.726192 9747.569854 2008-04-30 2008-05-31 4.55% 3.42% 04/2008 10151.7619 10055.9908 2008-05-31 2008-06-30 -10.13% -9.60% 05/2008 10613.20563 10399.79789 2008-06-30 2008-07-31 2.64% 5.13% 06/2008 9538.430516 9401.934888 2008-07-31 2008-08-31 4.52% 4.75% 07/2008 9789.971405 9883.909387 2008-08-31 2008-09-30 -6.43% -4.69% 08/2008 10232.68337 10353.39508 2008-09-30 2008-10-31 -21.62% -19.98% 09/2008 9575.00573 9868.077303 2008-10-31 2008-11-30 -13.06% -11.58% 10/2008 7504.461241 7896.66496 2008-11-30 2008-12-31 6.45% 6.15% 11/2008 6524.740191 6982.159135 2008-12-31 2009-01-31 -13.64% -14.28% 12/2008 6945.839625 7411.67591 2009-01-31 2009-02-28 -13.24% -13.89% 01/2009 5998.679676 6352.926629 2009-02-28 2009-03-31 11.01% 8.88% 02/2009 5204.287461 5470.501141 2009-03-31 2009-04-30 19.47% 15.87% 03/2009 5777.123849 5956.201668 2009-04-30 2009-05-31 3.41% 2.16% 04/2009 6901.873626 6901.297903 2009-05-31 2009-06-30 -0.42% -0.32% 05/2009 7137.04858 7050.523798 2009-06-30 2009-07-31 11.98% 11.56% 06/2009 7107.366548 7028.295918 2009-07-31 2009-08-31 5.28% 4.73% 07/2009 7958.609583 7841.058619 2009-08-31 2009-09-30 5.55% 5.02% 08/2009 8379.10313 8212.179117 2009-09-30 2009-10-31 -7.21% -6.64% 09/2009 8844.374408 8624.054843 2009-10-31 2009-11-30 3.38% 3.18% 10/2009 8206.756719 8051.355715 2009-11-30 2009-12-31 7.84% 7.57% 11/2009 8484.42894 8307.570836 2009-12-31 2010-01-31 -2.26% -2.93% 12/2009 9149.548219 8936.791269 2010-01-31 2010-02-28 5.66% 4.64% 01/2010 8943.012141 8674.853247 2010-02-28 2010-03-31 8.25% 8.32% 02/2010 9449.025533 9077.096128 2010-03-31 2010-04-30 7.27% 7.00% 03/2010 10228.79484 9832.097741 2010-04-30 2010-05-31 -9.04% -8.45% 04/2010 10972.70719 10520.04073 2010-05-31 2010-06-30 -9.52% -8.73% 05/2010 9980.824059 9631.116786 2010-06-30 2010-07-31 7.79% 7.14% 06/2010 9031.072995 8790.367634 2010-07-31 2010-08-31 -8.08% -7.52% 07/2010 9734.524268 9417.841262 2010-08-31 2010-09-30 12.24% 10.74% 08/2010 8948.314022 8709.679853 2010-09-30 2010-10-31 3.72% 3.87% 09/2010 10043.54719 9644.828043 2010-10-31 2010-11-30 4.06% 2.54% 10/2010 10417.06754 10018.50095 2010-11-30 2010-12-31 8.91% 8.31% 11/2010 10839.56946 10273.12347 2010-12-31 2011-01-31 0.66% 0.05% 12/2010 11804.95838 11126.65959 2011-01-31 2011-02-28 5.62% 5.08% 01/2011 11883.0429 11132.73049 2011-02-28 2011-03-31 1.92% 1.39% 02/2011 12550.31054 11698.01033 2011-03-31 2011-04-30 1.61% 1.62% 03/2011 12791.66266 11860.56861 2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 12997.52183 12053.28086 2011-05-31 2011-06-30 -2.21% -2.46% 05/2011 12678.08519 11837.36467 2011-06-30 2011-07-31 -3.50% -3.31% 06/2011 12397.48354 11546.29335 2011-07-31 2011-08-31 -10.04% -8.83% 07/2011 11964.10446 11164.4843 2011-08-31 2011-09-30 -12.44% -10.92% 08/2011 10763.43127 10178.34832 2011-09-30 2011-10-31 15.71% 14.41% 09/2011 9424.709734 9066.772018 2011-10-31 2011-11-30 0.33% -0.20% 10/2011 10905.32879 10373.32073 2011-11-30 2011-12-31 0.99% 1.57% 11/2011 10940.92059 10352.59093 2011-12-31 2012-01-31 6.06% 6.65% 12/2011 11048.94425 10514.61803 2012-01-31 2012-02-29 3.63% 1.49% 01/2012 11718.79549 11213.54097 2012-02-29 2012-03-31 1.86% 3.10% 02/2012 12143.75489 11380.36042 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 12369.25099 11733.31802 2012-04-30 2012-05-31 -7.46% -6.11% 04/2012 12167.53926 11563.54379 2012-05-31 2012-06-30 4.04% 4.82% 05/2012 11259.83651 10856.92501 2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 11714.92916 11380.37242 2012-07-31 2012-08-31 4.59% 3.08% 07/2012 11657.11335 11264.07637 2012-08-31 2012-09-30 3.16% 3.56% 08/2012 12191.90962 11611.57034 2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 12577.07883 12025.24213 10/31/2012 12504.71359 11874.43621
One Year From 01/31/2008 -------- --------------- 14.67% 4.82% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. Targeted Value Portfolio - Class R2 vs. Russell 2000(R) Value Index June 30, 2008 - October 31, 2012
U.S. Targeted Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R2 Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2008-06-30 2008-07-31 2.60% 5.13% 06/2008 10000 10000 2008-07-31 2008-08-31 4.48% 4.75% 07/2008 10260 10512.63331 2008-08-31 2008-09-30 -6.36% -4.69% 08/2008 10719.99999 11011.98339 2008-09-30 2008-10-31 -21.70% -19.98% 09/2008 10038.27751 10495.79413 2008-10-31 2008-11-30 -13.03% -11.58% 10/2008 7859.971286 8398.978566 2008-11-30 2008-12-31 6.40% 6.15% 11/2008 6836.066981 7426.300244 2008-12-31 2009-01-31 -13.77% -14.28% 12/2008 7273.610771 7883.138948 2009-01-31 2009-02-28 -13.23% -13.89% 01/2009 6272.0983 6757.04172 2009-02-28 2009-03-31 10.95% 8.88% 02/2009 5442.562718 5818.484393 2009-03-31 2009-04-30 19.50% 15.87% 03/2009 6038.299653 6335.080746 2009-04-30 2009-05-31 3.38% 2.16% 04/2009 7215.514375 7340.295359 2009-05-31 2009-06-30 -0.31% -0.32% 05/2009 7459.076042 7499.013641 2009-06-30 2009-07-31 11.90% 11.56% 06/2009 7435.892168 7475.371827 2009-07-31 2009-08-31 5.38% 4.73% 07/2009 8320.875234 8339.835058 2009-08-31 2009-09-30 5.47% 5.02% 08/2009 8768.452873 8734.562848 2009-09-30 2009-10-31 -7.17% -6.64% 09/2009 9248.194818 9172.638341 2009-10-31 2009-11-30 3.33% 3.18% 10/2009 8585.424517 8563.509331 2009-11-30 2009-12-31 7.86% 7.57% 11/2009 8870.92557 8836.022516 2009-12-31 2010-01-31 -2.35% -2.93% 12/2009 9567.974328 9505.268198 2010-01-31 2010-02-28 5.59% 4.64% 01/2010 9342.845518 9226.668075 2010-02-28 2010-03-31 8.32% 8.32% 02/2010 9864.735025 9654.497969 2010-03-31 2010-04-30 7.18% 7.00% 03/2010 10685.4698 10457.52588 2010-04-30 2010-05-31 -9.03% -8.45% 04/2010 11453.10412 11189.22951 2010-05-31 2010-06-30 -9.46% -8.73% 05/2010 10419.35657 10243.76035 2010-06-30 2010-07-31 7.71% 7.14% 06/2010 9433.569278 9349.53043 2010-07-31 2010-08-31 -8.06% -7.52% 07/2010 10160.80426 10016.91819 2010-08-31 2010-09-30 12.23% 10.74% 08/2010 9341.384561 9263.710031 2010-09-30 2010-10-31 3.72% 3.87% 09/2010 10483.98851 10258.3438 2010-10-31 2010-11-30 3.97% 2.54% 10/2010 10874.18592 10655.78635 2010-11-30 2010-12-31 8.86% 8.31% 11/2010 11306.02525 10926.60564 2010-12-31 2011-01-31 0.72% 0.05% 12/2010 12307.63829 11834.43591 2011-01-31 2011-02-28 5.55% 5.08% 01/2011 12396.44867 11840.89298 2011-02-28 2011-03-31 1.92% 1.39% 02/2011 13084.72911 12442.13076 2011-03-31 2011-04-30 1.55% 1.62% 03/2011 13336.35851 12615.02952 2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 13543.58273 12820.00035 2011-05-31 2011-06-30 -2.16% -2.46% 05/2011 13210.54381 12590.34956 2011-06-30 2011-07-31 -3.56% -3.31% 06/2011 12925.76923 12280.76294 2011-07-31 2011-08-31 -10.05% -8.83% 07/2011 12466.2522 11874.66668 2011-08-31 2011-09-30 -12.43% -10.92% 08/2011 11213.69773 10825.80176 2011-09-30 2011-10-31 15.72% 14.41% 09/2011 9819.780248 9643.517134 2011-10-31 2011-11-30 0.33% -0.20% 10/2011 11363.63081 11033.17652 2011-11-30 2011-12-31 0.96% 1.57% 11/2011 11400.74261 11011.12808 2011-12-31 2012-01-31 6.07% 6.65% 12/2011 11510.29933 11183.46186 2012-01-31 2012-02-29 3.57% 1.49% 01/2012 12208.57581 11926.84389 2012-02-29 2012-03-31 1.84% 3.10% 02/2012 12644.06006 12104.27487 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 12876.81889 12479.6844 2012-04-30 2012-05-31 -7.47% -6.11% 04/2012 12666.58511 12299.11069 2012-05-31 2012-06-30 4.00% 4.82% 05/2012 11720.53311 11547.54329 2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 12189.39596 12104.28764 2012-07-31 2012-08-31 4.59% 3.08% 07/2012 12129.16423 11980.59389 2012-08-31 2012-09-30 3.12% 3.56% 08/2012 12686.30771 12350.19225 2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 13082.30363 12790.17806 10/31/2012 13006.94474 12629.77924
One Year From 06/30/2008 -------- --------------- 14.46% 6.25% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Targeted Value Portfolio - Institutional Class vs. Russell 2000(R) Value Index October 31, 2002 - October 31, 2012
U.S. Targeted Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Institutional Class Value Index --------- ---------- ----------- ----------------- ---------- ------------------------------- --------------- 2002-10-31 2002-11-30 11.00% 7.98% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.37% -4.27% 11/2002 11100.17889 10798 2002-12-31 2003-01-31 -4.64% -2.82% 12/2002 10504.42099 10336.9254 2003-01-31 2003-02-28 -4.26% -3.36% 01/2003 10017.25944 10045.4241 2003-02-28 2003-03-31 -0.32% 1.07% 02/2003 9590.993082 9707.897854 2003-03-31 2003-04-30 11.89% 9.50% 03/2003 9560.545485 9811.772361 2003-04-30 2003-05-31 11.39% 10.21% 04/2003 10697.25578 10743.89074 2003-05-31 2003-06-30 1.62% 1.69% 05/2003 11915.15966 11840.84198 2003-06-30 2003-07-31 5.78% 4.99% 06/2003 12107.99444 12040.95221 2003-07-31 2003-08-31 6.50% 3.80% 07/2003 12808.28918 12641.79572 2003-08-31 2003-09-30 -1.34% -1.15% 08/2003 13640.5235 13122.18396 2003-09-30 2003-10-31 9.65% 8.15% 09/2003 13457.83792 12971.27885 2003-10-31 2003-11-30 4.13% 3.84% 10/2003 14756.9354 14028.43807 2003-11-30 2003-12-31 5.32% 3.62% 11/2003 15365.88734 14567.13009 2003-12-31 2004-01-31 4.59% 3.46% 12/2003 16183.87646 15094.4602 2004-01-31 2004-02-29 1.55% 1.94% 01/2004 16926.78039 15616.72853 2004-02-29 2004-03-31 0.86% 1.38% 02/2004 17189.65409 15919.69306 2004-03-31 2004-04-30 -3.36% -5.17% 03/2004 17338.23488 16139.38482 2004-04-30 2004-05-31 1.50% 1.21% 04/2004 16755.34102 15304.97863 2004-05-31 2004-06-30 5.68% 5.08% 05/2004 17006.78543 15490.16887 2004-06-30 2004-07-31 -4.84% -4.60% 06/2004 17973.14744 16277.06945 2004-07-31 2004-08-31 -0.67% 0.98% 07/2004 17103.66354 15528.32425 2004-08-31 2004-09-30 4.54% 3.96% 08/2004 16989.25777 15680.50183 2004-09-30 2004-10-31 0.90% 1.55% 09/2004 17760.82034 16301.4497 2004-10-31 2004-11-30 9.20% 8.87% 10/2004 17921.13722 16554.12217 2004-11-30 2004-12-31 3.11% 2.39% 11/2004 19570.11087 18022.47281 2004-12-31 2005-01-31 -3.18% -3.87% 12/2004 20178.14283 18453.20991 2005-01-31 2005-02-28 2.77% 1.99% 01/2005 19535.7675 17739.07069 2005-02-28 2005-03-31 -0.94% -2.06% 02/2005 20077.37808 18092.07819 2005-03-31 2005-04-30 -6.78% -5.16% 03/2005 19888.44416 17719.38138 2005-04-30 2005-05-31 6.66% 6.10% 04/2005 18540.71552 16805.0613 2005-05-31 2005-06-30 3.93% 4.42% 05/2005 19775.08381 17830.02508 2005-06-30 2005-07-31 6.13% 5.69% 06/2005 20551.84516 18618.48383 2005-07-31 2005-08-31 -1.56% -2.30% 07/2005 21811.9215 19677.88612 2005-08-31 2005-09-30 0.35% -0.17% 08/2005 21471.70089 19226.10977 2005-09-30 2005-10-31 -2.65% -2.51% 09/2005 21546.90685 19194.32037 2005-10-31 2005-11-30 4.65% 4.06% 10/2005 20976.88287 18712.22181 2005-11-30 2005-12-31 0.42% -0.77% 11/2005 21952.25726 19471.29574 2005-12-31 2006-01-31 8.03% 8.27% 12/2005 22044.73668 19321.80403 2006-01-31 2006-02-28 -1.05% -0.01% 01/2006 23814.44689 20919.58842 2006-02-28 2006-03-31 4.14% 4.84% 02/2006 23563.62183 20918.16198 2006-03-31 2006-04-30 1.31% 0.27% 03/2006 24539.76853 21931.34736 2006-04-30 2006-05-31 -3.48% -4.14% 04/2006 24860.45869 21989.99474 2006-05-31 2006-06-30 0.56% 1.23% 05/2006 23995.98957 21079.39132 2006-06-30 2006-07-31 -3.07% -1.39% 06/2006 24131.55435 21338.3527 2006-07-31 2006-08-31 2.27% 2.99% 07/2006 23390.12109 21042.42594 2006-08-31 2006-09-30 1.02% 0.98% 08/2006 23921.71475 21671.36709 2006-09-30 2006-10-31 4.94% 5.09% 09/2006 24165.17839 21882.92966 2006-10-31 2006-11-30 3.43% 2.85% 10/2006 25358.00079 22996.68723 2006-11-30 2006-12-31 0.61% 0.87% 11/2006 26228.05948 23652.41933 2006-12-31 2007-01-31 2.09% 1.50% 12/2006 26387.62981 23858.48812 2007-01-31 2007-02-28 -0.51% -1.23% 01/2007 26938.32816 24215.87612 2007-02-28 2007-03-31 0.77% 1.21% 02/2007 26800.65357 23918.47933 2007-03-31 2007-04-30 2.04% 1.04% 03/2007 27006.00626 24207.13595 2007-04-30 2007-05-31 4.33% 3.67% 04/2007 27557.14924 24458.33044 2007-05-31 2007-06-30 -1.32% -2.33% 05/2007 28751.29237 25355.10988 2007-06-30 2007-07-31 -7.25% -8.51% 06/2007 28371.44268 24764.12514 2007-07-31 2007-08-31 -0.29% 2.00% 07/2007 26315.31866 22656.3737 2007-08-31 2007-09-30 0.30% 0.45% 08/2007 26238.59761 23110.31558 2007-09-30 2007-10-31 0.23% 1.09% 09/2007 26317.66852 23214.66438 2007-10-31 2007-11-30 -7.13% -7.49% 10/2007 26379.33851 23467.49264 2007-11-30 2007-12-31 -1.11% -0.85% 11/2007 24498.40379 21709.31839 2007-12-31 2008-01-31 -4.78% -4.10% 12/2007 24226.11234 21525.78068 2008-01-31 2008-02-29 -2.54% -3.97% 01/2008 23067.95504 20642.44184 2008-02-29 2008-03-31 0.85% 1.51% 02/2008 22480.9438 19822.0514 2008-03-31 2008-04-30 3.30% 3.16% 03/2008 22672.51011 20121.36438 2008-04-30 2008-05-31 4.62% 3.42% 04/2008 23419.78078 20758.02052 2008-05-31 2008-06-30 -10.11% -9.60% 05/2008 24500.93834 21467.72232 2008-06-30 2008-07-31 2.60% 5.13% 06/2008 22022.80939 19407.88941 2008-07-31 2008-08-31 4.51% 4.75% 07/2008 22596.48605 20402.80247 2008-08-31 2008-09-30 -6.33% -4.69% 08/2008 23616.35566 21371.93559 2008-09-30 2008-10-31 -21.68% -19.98% 09/2008 22121.79 20370.12118 2008-10-31 2008-11-30 -13.01% -11.58% 10/2008 17326.6043 16300.64472 2008-11-30 2008-12-31 6.43% 6.15% 11/2008 15072.86703 14412.88139 2008-12-31 2009-01-31 -13.74% -14.28% 12/2008 16042.12815 15299.50889 2009-01-31 2009-02-28 -13.14% -13.89% 01/2009 13837.74344 13113.99185 2009-02-28 2009-03-31 10.91% 8.88% 02/2009 12019.52831 11292.45016 2009-03-31 2009-04-30 19.49% 15.87% 03/2009 13330.59891 12295.05465 2009-04-30 2009-05-31 3.44% 2.16% 04/2009 15928.93599 14245.96406 2009-05-31 2009-06-30 -0.34% -0.32% 05/2009 16477.65313 14554.00274 2009-06-30 2009-07-31 11.92% 11.56% 06/2009 16420.84902 14508.11897 2009-07-31 2009-08-31 5.37% 4.73% 07/2009 18378.40836 16185.85965 2009-08-31 2009-09-30 5.56% 5.02% 08/2009 19365.27712 16951.94298 2009-09-30 2009-10-31 -7.22% -6.64% 09/2009 20442.31444 17802.15505 2009-10-31 2009-11-30 3.33% 3.18% 10/2009 18967.09587 16619.96421 2009-11-30 2009-12-31 7.94% 7.57% 11/2009 19599.3324 17148.85478 2009-12-31 2010-01-31 -2.31% -2.93% 12/2009 21155.49955 18447.7194 2010-01-31 2010-02-28 5.59% 4.64% 01/2010 20667.67097 17907.01536 2010-02-28 2010-03-31 8.32% 8.32% 02/2010 21822.19862 18737.34289 2010-03-31 2010-04-30 7.23% 7.00% 03/2010 23638.76256 20295.85058 2010-04-30 2010-05-31 -8.99% -8.45% 04/2010 25347.00073 21715.93289 2010-05-31 2010-06-30 -9.50% -8.73% 05/2010 23069.34984 19880.97681 2010-06-30 2010-07-31 7.80% 7.14% 06/2010 20877.50389 18145.46526 2010-07-31 2010-08-31 -8.10% -7.52% 07/2010 22506.01433 19440.72405 2010-08-31 2010-09-30 12.30% 10.74% 08/2010 20682.08263 17978.90598 2010-09-30 2010-10-31 3.72% 3.87% 09/2010 23225.70145 19909.28019 2010-10-31 2010-11-30 4.00% 2.54% 10/2010 24090.74866 20680.63231 2010-11-30 2010-12-31 8.94% 8.31% 11/2010 25053.72574 21206.23538 2010-12-31 2011-01-31 0.66% 0.05% 12/2010 27293.41149 22968.14234 2011-01-31 2011-02-28 5.68% 5.08% 01/2011 27473.94518 22980.67416 2011-02-28 2011-03-31 1.92% 1.39% 02/2011 29033.09977 24147.54979 2011-03-31 2011-04-30 1.55% 1.62% 03/2011 29591.113 24483.10978 2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 30050.6533 24880.91491 2011-05-31 2011-06-30 -2.15% -2.46% 05/2011 29312.10639 24435.21118 2011-06-30 2011-07-31 -3.50% -3.31% 06/2011 28682.31347 23834.3689 2011-07-31 2011-08-31 -10.04% -8.83% 07/2011 27679.66526 23046.22178 2011-08-31 2011-09-30 -12.41% -10.92% 08/2011 24901.83662 21010.59633 2011-09-30 2011-10-31 15.71% 14.41% 09/2011 21810.65748 18716.03141 2011-10-31 2011-11-30 0.33% -0.20% 10/2011 25237.10519 21413.06698 2011-11-30 2011-12-31 1.01% 1.57% 11/2011 25319.47172 21370.27561 2011-12-31 2012-01-31 6.06% 6.65% 12/2011 25576.30361 21704.73911 2012-01-31 2012-02-29 3.63% 1.49% 01/2012 27126.88785 23147.48672 2012-02-29 2012-03-31 1.88% 3.10% 02/2012 28110.59184 23491.84281 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 28639.40983 24220.43348 2012-04-30 2012-05-31 -7.46% -6.11% 04/2012 28172.37228 23869.97801 2012-05-31 2012-06-30 4.07% 4.82% 05/2012 26070.7033 22411.34432 2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 27131.31369 23491.86759 2012-07-31 2012-08-31 4.59% 3.08% 07/2012 26997.41454 23251.80414 2012-08-31 2012-09-30 3.18% 3.56% 08/2012 28235.98161 23969.11654 2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 29134.70172 24823.03614 10/31/2012 28967.06823 24511.73588
One Year Five Years Ten Years -------- ---------- --------- 14.78% 1.89% 11.22% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Small Cap Value Portfolio vs. Russell 2000(R) Value Index October 31, 2002 - October 31, 2012
U.S. Small Cap Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2002-10-31 2002-11-30 8.52% 7.98% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.58% -4.27% 11/2002 10852.23789 10798 2002-12-31 2003-01-31 -3.45% -2.82% 12/2002 10463.93353 10336.9254 2003-01-31 2003-02-28 -4.11% -3.36% 01/2003 10103.10824 10045.4241 2003-02-28 2003-03-31 -0.21% 1.07% 02/2003 9687.818748 9707.897854 2003-03-31 2003-04-30 10.56% 9.50% 03/2003 9667.394677 9811.772361 2003-04-30 2003-05-31 11.72% 10.21% 04/2003 10688.59834 10743.89074 2003-05-31 2003-06-30 3.65% 1.69% 05/2003 11941.27483 11840.84198 2003-06-30 2003-07-31 7.04% 4.99% 06/2003 12376.98839 12040.95221 2003-07-31 2003-08-31 5.14% 3.80% 07/2003 13248.41552 12641.79572 2003-08-31 2003-09-30 -0.78% -1.15% 08/2003 13929.21796 13122.18396 2003-09-30 2003-10-31 10.00% 8.15% 09/2003 13820.28957 12971.27885 2003-10-31 2003-11-30 4.16% 3.84% 10/2003 15202.31852 14028.43807 2003-11-30 2003-12-31 5.33% 3.62% 11/2003 15835.46479 14567.13009 2003-12-31 2004-01-31 4.89% 3.46% 12/2003 16679.86888 15094.4602 2004-01-31 2004-02-29 1.41% 1.94% 01/2004 17495.29678 15616.72853 2004-02-29 2004-03-31 0.94% 1.38% 02/2004 17742.83739 15919.69306 2004-03-31 2004-04-30 -3.17% -5.17% 03/2004 17910.29134 16139.38482 2004-04-30 2004-05-31 0.38% 1.21% 04/2004 17342.40406 15304.97863 2004-05-31 2004-06-30 6.69% 5.08% 05/2004 17407.92951 15490.16887 2004-06-30 2004-07-31 -5.33% -4.60% 06/2004 18573.13606 16277.06945 2004-07-31 2004-08-31 -1.49% 0.98% 07/2004 17582.56881 15528.32425 2004-08-31 2004-09-30 4.93% 3.96% 08/2004 17320.35983 15680.50183 2004-09-30 2004-10-31 0.96% 1.55% 09/2004 18174.04026 16301.4497 2004-10-31 2004-11-30 10.00% 8.87% 10/2004 18348.86069 16554.12217 2004-11-30 2004-12-31 3.62% 2.39% 11/2004 20184.47517 18022.47281 2004-12-31 2005-01-31 -3.57% -3.87% 12/2004 20914.95501 18453.20991 2005-01-31 2005-02-28 2.70% 1.99% 01/2005 20167.99233 17739.07069 2005-02-28 2005-03-31 -1.95% -2.06% 02/2005 20712.65262 18092.07819 2005-03-31 2005-04-30 -7.28% -5.16% 03/2005 20308.5008 17719.38138 2005-04-30 2005-05-31 6.65% 6.10% 04/2005 18830.10419 16805.0613 2005-05-31 2005-06-30 4.17% 4.42% 05/2005 20082.85079 17830.02508 2005-06-30 2005-07-31 7.11% 5.69% 06/2005 20920.89506 18618.48383 2005-07-31 2005-08-31 -1.67% -2.30% 07/2005 22409.12261 19677.88612 2005-08-31 2005-09-30 0.80% -0.17% 08/2005 22035.11778 19226.10977 2005-09-30 2005-10-31 -2.92% -2.51% 09/2005 22210.51079 19194.32037 2005-10-31 2005-11-30 4.21% 4.06% 10/2005 21561.62927 18712.22181 2005-11-30 2005-12-31 0.34% -0.77% 11/2005 22468.49983 19471.29574 2005-12-31 2006-01-31 8.82% 8.27% 12/2005 22543.91832 19321.80403 2006-01-31 2006-02-28 -0.35% -0.01% 01/2006 24533.08758 20919.58842 2006-02-28 2006-03-31 6.09% 4.84% 02/2006 24448.08035 20918.16198 2006-03-31 2006-04-30 0.98% 0.27% 03/2006 25938.03182 21931.34736 2006-04-30 2006-05-31 -4.39% -4.14% 04/2006 26193.41119 21989.99474 2006-05-31 2006-06-30 0.05% 1.23% 05/2006 25044.204 21079.39132 2006-06-30 2006-07-31 -3.75% -1.39% 06/2006 25056.35087 21338.3527 2006-07-31 2006-08-31 1.95% 2.99% 07/2006 24117.91076 21042.42594 2006-08-31 2006-09-30 1.19% 0.98% 08/2006 24587.13081 21671.36709 2006-09-30 2006-10-31 5.43% 5.09% 09/2006 24880.34911 21882.92966 2006-10-31 2006-11-30 3.03% 2.85% 10/2006 26232.17 22996.68723 2006-11-30 2006-12-31 1.38% 0.87% 11/2006 27027.86204 23652.41933 2006-12-31 2007-01-31 2.20% 1.50% 12/2006 27402.11065 23858.48812 2007-01-31 2007-02-28 -0.23% -1.23% 01/2007 28005.0684 24215.87612 2007-02-28 2007-03-31 1.09% 1.21% 02/2007 27940.13449 23918.47933 2007-03-31 2007-04-30 1.81% 1.04% 03/2007 28243.8074 24207.13595 2007-04-30 2007-05-31 3.65% 3.67% 04/2007 28754.29357 24458.33044 2007-05-31 2007-06-30 -1.55% -2.33% 05/2007 29803.11061 25355.10988 2007-06-30 2007-07-31 -7.64% -8.51% 06/2007 29342.2779 24764.12514 2007-07-31 2007-08-31 -0.76% 2.00% 07/2007 27099.49675 22656.3737 2007-08-31 2007-09-30 -0.28% 0.45% 08/2007 26894.76155 23110.31558 2007-09-30 2007-10-31 1.11% 1.09% 09/2007 26820.6426 23214.66438 2007-10-31 2007-11-30 -8.72% -7.49% 10/2007 27119.6881 23467.49264 2007-11-30 2007-12-31 -1.20% -0.85% 11/2007 24755.35967 21709.31839 2007-12-31 2008-01-31 -3.94% -4.10% 12/2007 24457.58481 21525.78068 2008-01-31 2008-02-29 -2.84% -3.97% 01/2008 23493.23373 20642.44184 2008-02-29 2008-03-31 0.84% 1.51% 02/2008 22826.39522 19822.0514 2008-03-31 2008-04-30 1.66% 3.16% 03/2008 23019.26592 20121.36438 2008-04-30 2008-05-31 4.14% 3.42% 04/2008 23400.34549 20758.02052 2008-05-31 2008-06-30 -10.10% -9.60% 05/2008 24368.49359 21467.72232 2008-06-30 2008-07-31 2.07% 5.13% 06/2008 21906.35792 19407.88941 2008-07-31 2008-08-31 4.15% 4.75% 07/2008 22360.16195 20402.80247 2008-08-31 2008-09-30 -6.89% -4.69% 08/2008 23288.39745 21371.93559 2008-09-30 2008-10-31 -22.14% -19.98% 09/2008 21683.2596 20370.12118 2008-10-31 2008-11-30 -12.99% -11.58% 10/2008 16883.1487 16300.64472 2008-11-30 2008-12-31 5.25% 6.15% 11/2008 14689.99458 14412.88139 2008-12-31 2009-01-31 -14.28% -14.28% 12/2008 15460.74325 15299.50889 2009-01-31 2009-02-28 -12.71% -13.89% 01/2009 13253.56001 13113.99185 2009-02-28 2009-03-31 10.40% 8.88% 02/2009 11569.40598 11292.45016 2009-03-31 2009-04-30 19.66% 15.87% 03/2009 12772.37314 12295.05465 2009-04-30 2009-05-31 3.22% 2.16% 04/2009 15282.91332 14245.96406 2009-05-31 2009-06-30 0.35% -0.32% 05/2009 15774.56077 14554.00274 2009-06-30 2009-07-31 13.44% 11.56% 06/2009 15830.36155 14508.11897 2009-07-31 2009-08-31 5.14% 4.73% 07/2009 17958.54923 16185.85965 2009-08-31 2009-09-30 6.33% 5.02% 08/2009 18881.11335 16951.94298 2009-09-30 2009-10-31 -7.53% -6.64% 09/2009 20077.00247 17802.15505 2009-10-31 2009-11-30 3.11% 3.18% 10/2009 18565.71739 16619.96421 2009-11-30 2009-12-31 7.92% 7.57% 11/2009 19142.94433 17148.85478 2009-12-31 2010-01-31 -3.16% -2.93% 12/2009 20658.88977 18447.7194 2010-01-31 2010-02-28 6.15% 4.64% 01/2010 20006.39299 17907.01536 2010-02-28 2010-03-31 8.86% 8.32% 02/2010 21237.71755 18737.34289 2010-03-31 2010-04-30 8.11% 7.00% 03/2010 23119.5823 20295.85058 2010-04-30 2010-05-31 -9.90% -8.45% 04/2010 24993.57395 21715.93289 2010-05-31 2010-06-30 -10.14% -8.73% 05/2010 22519.48386 19880.97681 2010-06-30 2010-07-31 8.69% 7.14% 06/2010 20234.89853 18145.46526 2010-07-31 2010-08-31 -8.38% -7.52% 07/2010 21993.0817 19440.72405 2010-08-31 2010-09-30 12.93% 10.74% 08/2010 20150.67419 17978.90598 2010-09-30 2010-10-31 4.17% 3.87% 09/2010 22757.07747 19909.28019 2010-10-31 2010-11-30 4.49% 2.54% 10/2010 23705.72822 20680.63231 2010-11-30 2010-12-31 9.18% 8.31% 11/2010 24770.32517 21206.23538 2010-12-31 2011-01-31 0.31% 0.05% 12/2010 27043.03564 22968.14234 2011-01-31 2011-02-28 6.28% 5.08% 01/2011 27127.64428 22980.67416 2011-02-28 2011-03-31 2.05% 1.39% 02/2011 28830.39311 24147.54979 2011-03-31 2011-04-30 1.26% 1.62% 03/2011 29422.65357 24483.10978 2011-04-30 2011-05-31 -3.12% -1.79% 04/2011 29792.81635 24880.91491 2011-05-31 2011-06-30 -1.81% -2.46% 05/2011 28862.12135 24435.21118 2011-06-30 2011-07-31 -2.88% -3.31% 06/2011 28340.10852 23834.3689 2011-07-31 2011-08-31 -10.58% -8.83% 07/2011 27524.94664 23046.22178 2011-08-31 2011-09-30 -12.58% -10.92% 08/2011 24613.65421 21010.59633 2011-09-30 2011-10-31 15.82% 14.41% 09/2011 21518.01959 18716.03141 2011-10-31 2011-11-30 -0.68% -0.20% 10/2011 24922.29967 21413.06698 2011-11-30 2011-12-31 1.01% 1.57% 11/2011 24752.61593 21370.27561 2011-12-31 2012-01-31 7.43% 6.65% 12/2011 25002.48837 21704.73911 2012-01-31 2012-02-29 3.18% 1.49% 01/2012 26859.32257 23147.48672 2012-02-29 2012-03-31 2.30% 3.10% 02/2012 27712.17084 23491.84281 2012-03-31 2012-04-30 -1.60% -1.45% 03/2012 28349.10816 24220.43348 2012-04-30 2012-05-31 -7.12% -6.11% 04/2012 27895.69516 23869.97801 2012-05-31 2012-06-30 4.38% 4.82% 05/2012 25909.31439 22411.34432 2012-06-30 2012-07-31 -0.24% -1.02% 06/2012 27044.58351 23491.86759 2012-07-31 2012-08-31 4.21% 3.08% 07/2012 26979.62455 23251.80414 2012-08-31 2012-09-30 3.31% 3.56% 08/2012 28116.40648 23969.11654 2012-09-30 2012-10-31 -0.82% -1.25% 09/2012 29048.45198 24823.03614 10/31/2012 28809.90552 24511.73588
One Year Five Years Ten Years -------- ---------- --------- 15.60% 1.22% 11.16% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. Core Equity 1 Portfolio vs. Russell 3000(R) Index September 15, 2005 - October 31, 2012
U.S. Core Equity 1 BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Russell 3000(R) Index --------- ---------- ----------- ----------------- ---------- ------------------ --------------------- 2005-09-15 2005-09-30 0.40% 0.26% 09/2005 10000 10000 2005-09-30 2005-10-31 -2.19% -1.87% 09/2005 10040 10026.07049 2005-10-31 2005-11-30 4.07% 3.89% 10/2005 9820 9838.286379 2005-11-30 2005-12-31 0.04% 0.08% 11/2005 10220 10220.99572 2005-12-31 2006-01-31 4.03% 3.34% 12/2005 10223.78844 10229.4184 2006-01-31 2006-02-28 0.19% 0.18% 01/2006 10635.9569 10571.16355 2006-02-28 2006-03-31 2.22% 1.73% 02/2006 10656.06268 10589.95797 2006-03-31 2006-04-30 1.20% 1.08% 03/2006 10892.7356 10773.02951 2006-04-30 2006-05-31 -3.47% -3.20% 04/2006 11023.6095 10889.90295 2006-05-31 2006-06-30 0.02% 0.18% 05/2006 10641.05502 10541.26651 2006-06-30 2006-07-31 -1.04% -0.09% 06/2006 10643.53355 10559.8869 2006-07-31 2006-08-31 2.40% 2.45% 07/2006 10532.45303 10550.00243 2006-08-31 2006-09-30 2.08% 2.24% 08/2006 10784.90876 10808.11243 2006-09-30 2006-10-31 3.68% 3.60% 09/2006 11008.93769 11050.03834 2006-10-31 2006-11-30 2.38% 2.18% 10/2006 11414.05039 11447.81119 2006-11-30 2006-12-31 1.22% 1.20% 11/2006 11686.05336 11696.8799 2006-12-31 2007-01-31 1.90% 1.90% 12/2006 11828.31835 11836.97558 2007-01-31 2007-02-28 -1.10% -1.64% 01/2007 12052.84208 12062.28188 2007-02-28 2007-03-31 1.00% 1.04% 02/2007 11920.16897 11864.40958 2007-03-31 2007-04-30 3.74% 3.99% 03/2007 12038.98958 11987.89834 2007-04-30 2007-05-31 3.85% 3.64% 04/2007 12489.04527 12466.77687 2007-05-31 2007-06-30 -1.62% -1.87% 05/2007 12969.78657 12921.09509 2007-06-30 2007-07-31 -4.18% -3.41% 06/2007 12760.02759 12679.15964 2007-07-31 2007-08-31 1.01% 1.44% 07/2007 12226.22113 12246.76321 2007-08-31 2007-09-30 2.87% 3.65% 08/2007 12349.40724 12422.55798 2007-09-30 2007-10-31 1.54% 1.83% 09/2007 12703.61439 12875.44803 2007-10-31 2007-11-30 -5.17% -4.50% 10/2007 12899.37163 13111.63682 2007-11-30 2007-12-31 -0.61% -0.61% 11/2007 12232.76581 12521.36708 2007-12-31 2008-01-31 -5.71% -6.06% 12/2007 12158.55538 12445.59651 2008-01-31 2008-02-29 -2.98% -3.11% 01/2008 11464.66848 11691.24967 2008-02-29 2008-03-31 -0.71% -0.59% 02/2008 11122.9033 11328.12341 2008-03-31 2008-04-30 4.99% 5.00% 03/2008 11043.48573 11261.28749 2008-04-30 2008-05-31 2.60% 2.05% 04/2008 11594.10167 11824.45152 2008-05-31 2008-06-30 -8.56% -8.25% 05/2008 11895.38209 12066.69465 2008-06-30 2008-07-31 0.00% -0.80% 06/2008 10876.7061 11070.94073 2008-07-31 2008-08-31 2.21% 1.55% 07/2008 10876.7061 10982.64391 2008-08-31 2008-09-30 -9.27% -9.40% 08/2008 11116.55677 11152.87489 2008-09-30 2008-10-31 -18.56% -17.74% 09/2008 10086.10573 10104.23524 2008-10-31 2008-11-30 -8.45% -7.89% 10/2008 8213.686378 8312.150636 2008-11-30 2008-12-31 2.63% 1.91% 11/2008 7519.572035 7655.996316 2008-12-31 2009-01-31 -9.04% -8.39% 12/2008 7717.617641 7802.460402 2009-01-31 2009-02-28 -10.69% -10.48% 01/2009 7019.860428 7147.674106 2009-02-28 2009-03-31 9.19% 8.76% 02/2009 6269.242823 6398.917567 2009-03-31 2009-04-30 12.11% 10.52% 03/2009 6845.382245 6959.42348 2009-04-30 2009-05-31 4.71% 5.34% 04/2009 7674.481336 7691.788944 2009-05-31 2009-06-30 0.45% 0.34% 05/2009 8035.883505 8102.256351 2009-06-30 2009-07-31 8.47% 7.78% 06/2009 8072.081178 8129.804088 2009-07-31 2009-08-31 3.66% 3.57% 07/2009 8755.431967 8762.595024 2009-08-31 2009-09-30 4.74% 4.19% 08/2009 9075.752648 9075.698133 2009-09-30 2009-10-31 -3.54% -2.57% 09/2009 9505.932557 9455.934523 2009-10-31 2009-11-30 5.04% 5.68% 10/2009 9169.774822 9212.730565 2009-11-30 2009-12-31 4.04% 2.85% 11/2009 9631.484794 9736.232822 2009-12-31 2010-01-31 -3.23% -3.60% 12/2009 10020.21596 10013.68879 2010-01-31 2010-02-28 3.89% 3.39% 01/2010 9696.983185 9652.71891 2010-02-28 2010-03-31 6.65% 6.30% 02/2010 10074.08808 9979.96323 2010-03-31 2010-04-30 3.12% 2.16% 03/2010 10743.73917 10608.96643 2010-04-30 2010-05-31 -7.89% -7.90% 04/2010 11078.46873 10837.91578 2010-05-31 2010-06-30 -6.44% -5.75% 05/2010 10203.85278 9981.751444 2010-06-30 2010-07-31 7.15% 6.94% 06/2010 9546.471821 9407.921189 2010-07-31 2010-08-31 -5.40% -4.71% 07/2010 10229.13666 10061.04111 2010-08-31 2010-09-30 10.20% 9.44% 08/2010 9676.503217 9587.438128 2010-09-30 2010-10-31 3.88% 3.91% 09/2010 10663.52497 10492.65506 2010-10-31 2010-11-30 1.28% 0.58% 10/2010 11077.00859 10902.67624 2010-11-30 2010-12-31 7.28% 6.78% 11/2010 11218.46352 10965.61711 2010-12-31 2011-01-31 2.00% 2.18% 12/2010 12035.13833 11708.96736 2011-01-31 2011-02-28 4.01% 3.64% 01/2011 12275.8411 11964.71007 2011-02-28 2011-03-31 1.06% 0.45% 02/2011 12768.18767 12400.3236 2011-03-31 2011-04-30 2.72% 2.98% 03/2011 12903.06532 12456.25605 2011-04-30 2011-05-31 -1.41% -1.14% 04/2011 13253.87084 12827.01189 2011-05-31 2011-06-30 -1.85% -1.80% 05/2011 13067.50541 12680.65539 2011-06-30 2011-07-31 -2.83% -2.29% 06/2011 12825.76773 12452.9236 2011-07-31 2011-08-31 -6.97% -6.00% 07/2011 12462.7743 12167.75288 2011-08-31 2011-09-30 -8.75% -7.76% 08/2011 11593.79004 11437.74633 2011-09-30 2011-10-31 12.53% 11.51% 09/2011 10579.2966 10550.2277 2011-10-31 2011-11-30 -0.19% -0.27% 10/2011 11904.46946 11764.4808 2011-11-30 2011-12-31 0.64% 0.82% 11/2011 11882.38324 11732.68431 2011-12-31 2012-01-31 5.39% 5.05% 12/2011 11958.68183 11829.12097 2012-01-31 2012-02-29 4.32% 4.23% 01/2012 12603.29479 12426.05088 2012-02-29 2012-03-31 2.65% 3.08% 02/2012 13147.8816 12951.71029 2012-03-31 2012-04-30 -0.99% -0.66% 03/2012 13496.46581 13351.22878 2012-04-30 2012-05-31 -6.58% -6.18% 04/2012 13362.83743 13263.6621 2012-05-31 2012-06-30 3.70% 3.92% 05/2012 12483.1173 12443.71622 2012-06-30 2012-07-31 0.69% 0.99% 06/2012 12944.70039 12931.07791 2012-07-31 2012-08-31 2.92% 2.50% 07/2012 13034.20567 13059.15945 2012-08-31 2012-09-30 2.85% 2.63% 08/2012 13414.60308 13385.09154 2012-09-30 2012-10-31 -1.38% -1.72% 09/2012 13796.44644 13736.58407 10/31/2012 13605.45329 13499.64779
One Year Five Years From 09/15/2005 -------- ---------- --------------- 14.29% 1.07% 4.42% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Core Equity 2 Portfolio vs. Russell 3000(R) Index September 15, 2005 - October 31, 2012
U.S. Core Equity 2 BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Russell 3000(R) Index --------- ---------- ----------- ----------------- ---------- ------------------ --------------------- 2005-09-15 2005-09-30 0.50% 0.26% 09/2005 10000 10000 2005-09-30 2005-10-31 -2.19% -1.87% 09/2005 10050 10026.07049 2005-10-31 2005-11-30 4.17% 3.89% 10/2005 9829.999999 9838.286379 2005-11-30 2005-12-31 0.07% 0.08% 11/2005 10240 10220.99572 2005-12-31 2006-01-31 4.80% 3.34% 12/2005 10246.90802 10229.4184 2006-01-31 2006-02-28 0.19% 0.18% 01/2006 10739.16145 10571.16355 2006-02-28 2006-03-31 2.39% 1.73% 02/2006 10759.25342 10589.95797 2006-03-31 2006-04-30 1.46% 1.08% 03/2006 11015.87975 10773.02951 2006-04-30 2006-05-31 -3.60% -3.20% 04/2006 11176.84238 10889.90295 2006-05-31 2006-06-30 -0.08% 0.18% 05/2006 10774.43581 10541.26651 2006-06-30 2006-07-31 -1.12% -0.09% 06/2006 10765.82634 10559.8869 2006-07-31 2006-08-31 2.27% 2.45% 07/2006 10644.74863 10550.00243 2006-08-31 2006-09-30 2.05% 2.24% 08/2006 10886.90406 10808.11243 2006-09-30 2006-10-31 3.83% 3.60% 09/2006 11109.73012 11050.03834 2006-10-31 2006-11-30 2.53% 2.18% 10/2006 11534.69247 11447.81119 2006-11-30 2006-12-31 1.37% 1.20% 11/2006 11826.7327 11696.8799 2006-12-31 2007-01-31 1.87% 1.90% 12/2006 11988.2295 11836.97558 2007-01-31 2007-02-28 -1.00% -1.64% 01/2007 12212.49909 12062.28188 2007-02-28 2007-03-31 1.06% 1.04% 02/2007 12090.17022 11864.40958 2007-03-31 2007-04-30 3.43% 3.99% 03/2007 12218.05161 11987.89834 2007-04-30 2007-05-31 4.04% 3.64% 04/2007 12636.89786 12466.77687 2007-05-31 2007-06-30 -1.61% -1.87% 05/2007 13147.68597 12921.09509 2007-06-30 2007-07-31 -4.68% -3.41% 06/2007 12936.11551 12679.15964 2007-07-31 2007-08-31 0.91% 1.44% 07/2007 12331.33674 12246.76321 2007-08-31 2007-09-30 2.51% 3.65% 08/2007 12444.09211 12422.55798 2007-09-30 2007-10-31 1.05% 1.83% 09/2007 12756.68877 12875.44803 2007-10-31 2007-11-30 -5.71% -4.50% 10/2007 12890.42825 13111.63682 2007-11-30 2007-12-31 -0.87% -0.61% 11/2007 12155.01345 12521.36708 2007-12-31 2008-01-31 -5.15% -6.06% 12/2007 12048.85772 12445.59651 2008-01-31 2008-02-29 -3.17% -3.11% 01/2008 11428.31569 11691.24967 2008-02-29 2008-03-31 -1.01% -0.59% 02/2008 11066.33284 11328.12341 2008-03-31 2008-04-30 5.02% 5.00% 03/2008 10954.96199 11261.28749 2008-04-30 2008-05-31 2.80% 2.05% 04/2008 11504.78489 11824.45152 2008-05-31 2008-06-30 -9.04% -8.25% 05/2008 11826.37942 12066.69465 2008-06-30 2008-07-31 0.29% -0.80% 06/2008 10757.16532 11070.94073 2008-07-31 2008-08-31 2.22% 1.55% 07/2008 10788.40588 10982.64391 2008-08-31 2008-09-30 -9.03% -9.40% 08/2008 11027.91682 11152.87489 2008-09-30 2008-10-31 -19.02% -17.74% 09/2008 10032.13851 10104.23524 2008-10-31 2008-11-30 -9.06% -7.89% 10/2008 8123.967743 8312.150636 2008-11-30 2008-12-31 2.97% 1.91% 11/2008 7388.291492 7655.996316 2008-12-31 2009-01-31 -10.42% -8.39% 12/2008 7607.356497 7802.460402 2009-01-31 2009-02-28 -11.63% -10.48% 01/2009 6814.923529 7147.674106 2009-02-28 2009-03-31 9.84% 8.76% 02/2009 6022.490561 6398.917567 2009-03-31 2009-04-30 13.96% 10.52% 03/2009 6614.967726 6959.42348 2009-04-30 2009-05-31 4.79% 5.34% 04/2009 7538.727264 7691.788944 2009-05-31 2009-06-30 -0.13% 0.34% 05/2009 7899.736738 8102.256351 2009-06-30 2009-07-31 9.05% 7.78% 06/2009 7889.104933 8129.804088 2009-07-31 2009-08-31 4.09% 3.57% 07/2009 8603.38876 8762.595024 2009-08-31 2009-09-30 4.99% 4.19% 08/2009 8955.200198 9075.698133 2009-09-30 2009-10-31 -4.38% -2.57% 09/2009 9401.701866 9455.934523 2009-10-31 2009-11-30 4.53% 5.68% 10/2009 8990.274958 9212.730565 2009-11-30 2009-12-31 4.55% 2.85% 11/2009 9397.46262 9736.232822 2009-12-31 2010-01-31 -3.06% -3.60% 12/2009 9825.026675 10013.68879 2010-01-31 2010-02-28 4.18% 3.39% 01/2010 9524.041175 9652.71891 2010-02-28 2010-03-31 7.14% 6.30% 02/2010 9921.772015 9979.96323 2010-03-31 2010-04-30 3.65% 2.16% 03/2010 10630.6719 10608.96643 2010-04-30 2010-05-31 -7.92% -7.90% 04/2010 11018.41677 10837.91578 2010-05-31 2010-06-30 -7.04% -5.75% 05/2010 10145.99081 9981.751444 2010-06-30 2010-07-31 7.33% 6.94% 06/2010 9432.164173 9407.921189 2010-07-31 2010-08-31 -5.98% -4.71% 07/2010 10123.64013 10061.04111 2010-08-31 2010-09-30 10.57% 9.44% 08/2010 9518.598667 9587.438128 2010-09-30 2010-10-31 3.71% 3.91% 09/2010 10524.41695 10492.65506 2010-10-31 2010-11-30 1.59% 0.58% 10/2010 10915.01387 10902.67624 2010-11-30 2010-12-31 7.93% 6.78% 11/2010 11088.6125 10965.61711 2010-12-31 2011-01-31 1.91% 2.18% 12/2010 11968.23215 11708.96736 2011-01-31 2011-02-28 4.47% 3.64% 01/2011 12197.34143 11964.71007 2011-02-28 2011-03-31 1.21% 0.45% 02/2011 12742.83971 12400.3236 2011-03-31 2011-04-30 2.29% 2.98% 03/2011 12896.98515 12456.25605 2011-04-30 2011-05-31 -1.57% -1.14% 04/2011 13192.08565 12827.01189 2011-05-31 2011-06-30 -1.97% -1.80% 05/2011 12984.42234 12680.65539 2011-06-30 2011-07-31 -3.36% -2.29% 06/2011 12729.15378 12452.9236 2011-07-31 2011-08-31 -7.58% -6.00% 07/2011 12301.55947 12167.75288 2011-08-31 2011-09-30 -9.49% -7.76% 08/2011 11369.62315 11437.74633 2011-09-30 2011-10-31 13.48% 11.51% 09/2011 10290.37171 10550.2277 2011-10-31 2011-11-30 -0.38% -0.27% 10/2011 11677.0956 11764.4808 2011-11-30 2011-12-31 0.73% 0.82% 11/2011 11633.07262 11732.68431 2011-12-31 2012-01-31 5.57% 5.05% 12/2011 11717.78196 11829.12097 2012-01-31 2012-02-29 4.29% 4.23% 01/2012 12370.61401 12426.05088 2012-02-29 2012-03-31 2.41% 3.08% 02/2012 12901.73161 12951.71029 2012-03-31 2012-04-30 -1.01% -0.66% 03/2012 13213.27714 13351.22878 2012-04-30 2012-05-31 -6.86% -6.18% 04/2012 13080.25757 13263.6621 2012-05-31 2012-06-30 3.95% 3.92% 05/2012 12182.37548 12443.71622 2012-06-30 2012-07-31 0.53% 0.99% 06/2012 12663.02274 12931.07791 2012-07-31 2012-08-31 3.15% 2.50% 07/2012 12729.84608 13059.15945 2012-08-31 2012-09-30 3.04% 2.63% 08/2012 13130.78612 13385.09154 2012-09-30 2012-10-31 -0.91% -1.72% 09/2012 13529.76511 13736.58407 10/31/2012 13406.76724 13499.64779
One Year Five Years From 09/15/2005 -------- ---------- --------------- 14.81% 0.79% 4.20% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Vector Equity Portfolio vs. Russell 2500(R) Index December 30, 2005 - October 31, 2012
U.S. Vector Equity Russell Russell BeginDate EndDate FundReturns Benchmark0Returns Benchmark1Returns EndDate Portfolio 2500(R) Index 3000(R) Index --------- ---------- ----------- ----------------- ----------------- ---------- ----------- ------------- ------------- 2005-12-30. 2005-12-31 0.00% 0.00% 0.00% 12/2005 10000 10000 10000 2005-12-31. 2006-01-31 8.10% 7.07% 3.34% 12/2005 10000 10000 10000 2006-01-31. 2006-02-28 -0.09% -0.08% 0.18% 01/2006 10810 10707.36924 10334.08073 2006-02-28. 2006-03-31 3.66% 3.89% 1.73% 02/2006 10800 10698.42504 10352.45363 2006-03-31. 2006-04-30 1.07% 0.35% 1.08% 03/2006 11195.70224 11114.26534 10531.41937 2006-04-30. 2006-05-31 -3.98% -4.72% -3.20% 04/2006 11315.87078 11153.28278 10645.67165 2006-05-31. 2006-06-30 -0.19% 0.05% 0.18% 05/2006 10865.23876 10626.4826 10304.85419 2006-06-30. 2006-07-31 -2.04% -3.15% -0.09% 06/2006 10844.61829 10631.79726 10323.05698 2006-07-31. 2006-08-31 2.27% 2.53% 2.45% 07/2006 10623.7094 10297.36211 10313.39419 2006-08-31. 2006-09-30 1.71% 1.22% 2.24% 08/2006 10864.70092 10558.29931 10565.71547 2006-09-30. 2006-10-31 4.37% 4.80% 3.60% 09/2006 11050.09171 10686.88833 10802.21564 2006-10-31. 2006-11-30 2.88% 3.26% 2.18% 10/2006 11533.15583 11200.38745 11191.06751 2006-11-30. 2006-12-31 1.14% 0.44% 1.20% 11/2006 11865.26241 11565.75267 11434.55028 2006-12-31. 2007-01-31 1.97% 2.70% 1.90% 12/2006 12000.89116 11616.4765 11571.50398 2007-01-31. 2007-02-28 -0.67% -0.14% -1.64% 01/2007 12236.80611 11929.91056 11791.75727 2007-02-28. 2007-03-31 0.93% 0.97% 1.04% 02/2007 12154.74873 11913.14706 11598.32272 2007-03-31. 2007-04-30 2.93% 2.58% 3.99% 03/2007 12267.96271 12029.07706 11719.04195 2007-04-30. 2007-05-31 4.15% 4.18% 3.64% 04/2007 12627.57636 12339.03312 12187.18052 2007-05-31. 2007-06-30 -1.52% -1.79% -1.87% 05/2007 13151.58482 12854.61469 12631.30961 2007-06-30. 2007-07-31 -5.65% -5.75% -3.41% 06/2007 12951.14302 12623.93608 12394.80012 2007-07-31. 2007-08-31 0.51% 1.06% 1.44% 07/2007 12219.61465 11898.6634 11972.10118 2007-08-31. 2007-09-30 1.75% 2.35% 3.65% 08/2007 12281.43395 12024.84163 12143.95334 2007-09-30. 2007-10-31 0.66% 2.57% 1.83% 09/2007 12496.25247 12307.98885 12586.68629 2007-10-31. 2007-11-30 -6.49% -6.13% -4.50% 10/2007 12578.94066 12624.15904 12817.578 2007-11-30. 2007-12-31 -1.11% -0.62% -0.61% 11/2007 11762.3948 11850.46476 12240.54642 2007-12-31. 2008-01-31 -4.73% -6.11% -6.06% 12/2007 11631.77062 11776.64626 12166.47518 2008-01-31. 2008-02-29 -3.37% -2.75% -3.11% 01/2008 11081.33861 11057.29114 11429.04632 2008-02-29. 2008-03-31 -0.41% -0.74% -0.59% 02/2008 10707.46027 10753.5381 11074.06401 2008-03-31. 2008-04-30 4.49% 5.38% 5.00% 03/2008 10663.12107 10673.96192 11008.72703 2008-04-30. 2008-05-31 3.36% 4.75% 2.05% 04/2008 11142.12846 11248.63068 11559.26081 2008-05-31. 2008-06-30 -9.55% -8.15% -8.25% 05/2008 11517.00381 11782.78761 11796.07107 2008-06-30. 2008-07-31 0.80% 0.69% -0.80% 06/2008 10416.82936 10821.90896 10822.64924 2008-07-31. 2008-08-31 2.89% 2.86% 1.55% 07/2008 10500.41476 10896.98502 10736.33268 2008-08-31. 2008-09-30 -8.43% -9.94% -9.40% 08/2008 10803.4118 11208.63879 10902.74583 2008-09-30. 2008-10-31 -20.68% -21.54% -17.74% 09/2008 9892.436576 10094.83988 9877.624365 2008-10-31. 2008-11-30 -10.96% -10.84% -7.89% 10/2008 7846.810771 7920.144418 8125.731405 2008-11-30. 2008-12-31 4.58% 5.43% 1.91% 11/2008 6986.598894 7061.280989 7484.292866 2008-12-31. 2009-01-31 -12.17% -9.00% -8.39% 12/2008 7306.839275 7444.662323 7627.472155 2009-01-31. 2009-02-28 -12.54% -10.81% -10.48% 01/2009 6417.311015 6774.568834 6987.370958 2009-02-28. 2009-03-31 10.08% 9.13% 8.76% 02/2009 5612.499733 6042.101693 6255.407019 2009-03-31. 2009-04-30 16.18% 15.41% 10.52% 03/2009 6178.308306 6593.63287 6803.342288 2009-04-30. 2009-05-31 4.30% 3.05% 5.34% 04/2009 7177.896914 7609.72032 7519.282761 2009-05-31. 2009-06-30 0.04% 1.13% 0.34% 05/2009 7486.280631 7841.521026 7920.544486 2009-06-30. 2009-07-31 10.26% 9.02% 7.78% 06/2009 7489.588964 7930.383589 7947.4744 2009-07-31. 2009-08-31 4.65% 4.09% 3.57% 07/2009 8257.751935 8645.898145 8566.073534 2009-08-31. 2009-09-30 5.22% 5.80% 4.19% 08/2009 8641.833419 8999.115137 8872.154581 2009-09-30. 2009-10-31 -5.53% -5.79% -2.57% 09/2009 9092.773536 9521.240112 9243.863288 2009-10-31. 2009-11-30 3.74% 4.03% 5.68% 10/2009 8589.996646 8970.170257 9006.113742 2009-11-30. 2009-12-31 5.96% 7.21% 2.85% 11/2009 8910.918066 9331.898712 9517.875249 2009-12-31. 2010-01-31 -2.84% -3.35% -3.60% 12/2009 9441.991047 10004.75497 9789.108621 2010-01-31. 2010-02-28 4.92% 4.97% 3.39% 01/2010 9173.447502 9669.835496 9436.23433 2010-02-28. 2010-03-31 7.50% 7.64% 6.30% 02/2010 9624.600658 10150.60386 9756.139438 2010-03-31. 2010-04-30 5.09% 4.74% 2.16% 03/2010 10346.73337 10926.39959 10371.03579 2010-04-30. 2010-05-31 -8.01% -7.45% -7.90% 04/2010 10873.74994 11443.95706 10594.85042 2010-05-31. 2010-06-30 -7.76% -7.14% -5.75% 05/2010 10002.55929 10591.65383 9757.887548 2010-06-30. 2010-07-31 7.36% 7.04% 6.94% 06/2010 9226.60273 9835.732521 9196.926765 2010-07-31. 2010-08-31 -6.86% -5.92% -4.71% 07/2010 9905.663442 10527.7909 9835.398958 2010-08-31. 2010-09-30 11.01% 11.44% 9.44% 08/2010 9226.602729 9904.491459 9372.41762 2010-09-30. 2010-10-31 3.70% 3.83% 3.91% 09/2010 10242.66637 11037.13948 10257.33296 2010-10-31. 2010-11-30 2.44% 2.81% 0.58% 10/2010 10621.22321 11460.40038 10658.15847 2010-11-30. 2010-12-31 8.57% 7.59% 6.78% 11/2010 10880.80504 11782.82606 10719.68775 2010-12-31. 2011-01-31 1.38% 1.34% 2.18% 12/2010 11813.40659 12676.91163 11446.36665 2011-01-31. 2011-02-28 5.08% 4.88% 3.64% 01/2011 11976.42508 12846.87019 11696.37373 2011-02-28. 2011-03-31 1.66% 2.27% 0.45% 02/2011 12585.02744 13473.74101 12122.21762 2011-03-31. 2011-04-30 2.04% 2.89% 2.98% 03/2011 12793.91674 13779.87363 12176.89566 2011-04-30. 2011-05-31 -1.92% -1.20% -1.14% 04/2011 13055.01708 14177.73147 12539.33644 2011-05-31. 2011-06-30 -2.15% -2.20% -1.80% 05/2011 12804.79592 14007.77822 12396.26232 2011-06-30. 2011-07-31 -3.66% -3.81% -2.29% 06/2011 12529.69789 13699.1729 12173.63794 2011-07-31. 2011-08-31 -8.76% -8.19% -6.00% 07/2011 12071.69327 13177.70985 11894.86284 2011-08-31. 2011-09-30 -10.82% -10.80% -7.76% 08/2011 11013.92069 12098.97731 11181.22838 2011-09-30. 2011-10-31 14.48% 14.66% 11.51% 09/2011 9821.942629 10792.05018 10313.6144 2011-10-31. 2011-11-30 -0.49% -0.35% -0.27% 10/2011 11243.82742 12373.93866 11500.63507 2011-11-30. 2011-12-31 0.76% 0.23% 0.82% 11/2011 11189.13954 12330.94292 11469.55169 2011-12-31. 2012-01-31 6.15% 6.65% 5.05% 12/2011 11274.36654 12358.85589 11563.82553 2012-01-31. 2012-02-29 4.14% 3.71% 4.23% 01/2012 11967.32761 13180.32386 12147.36791 2012-02-29. 2012-03-31 2.40% 2.15% 3.08% 02/2012 12462.2998 13669.36943 12661.23818 2012-03-31. 2012-04-30 -1.47% -0.73% -0.66% 03/2012 12761.84573 13963.72374 13051.79655 2012-04-30. 2012-05-31 -7.27% -6.83% -6.18% 04/2012 12574.65732 13862.18174 12966.19375 2012-05-31. 2012-06-30 3.95% 3.64% 3.92% 05/2012 11660.73739 12914.77197 12164.63706 2012-06-30. 2012-07-31 -0.18% -0.68% 0.99% 06/2012 12121.55642 13385.2662 12641.06854 2012-07-31. 2012-08-31 3.66% 3.59% 2.50% 07/2012 12099.43679 13293.98253 12766.27755 2012-08-31. 2012-09-30 3.23% 2.60% 2.63% 08/2012 12541.82936 13771.47288 13084.89986 2012-09-30. 2012-10-31 -0.51% -1.05% -1.72% 09/2012 12946.68691 14130.21579 13428.50935 10/31/2012 12880.12296 13982.27365 13196.88692
One Year Five Years From 12/30/2005 -------- ---------- --------------- 14.55% 0.47% 3.77% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. Small Cap Portfolio vs. Russell 2000(R) Index October 31, 2002 - October 31, 2012
U.S. Small Cap Russell BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio 2000(R) Index --------- ---------- ----------- ----------------- ---------- -------------- ------------- 2002-10-31 2002-11-30 8.92% 8.92% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.50% -5.57% 11/2002 10891.71975 10892 2002-12-31 2003-01-31 -2.69% -2.77% 12/2002 10292.91741 10285.3156 2003-01-31 2003-02-28 -3.22% -3.02% 01/2003 10016.22608 10000.41236 2003-02-28 2003-03-31 0.95% 1.29% 02/2003 9693.419529 9698.399905 2003-03-31 2003-04-30 10.08% 9.48% 03/2003 9785.649973 9823.509263 2003-04-30 2003-05-31 11.22% 10.73% 04/2003 10772.51571 10754.77794 2003-05-31 2003-06-30 2.69% 1.81% 05/2003 11980.73451 11908.76561 2003-06-30 2003-07-31 6.30% 6.26% 06/2003 12303.54106 12124.31427 2003-07-31 2003-08-31 5.01% 4.58% 07/2003 13078.27678 12883.29635 2003-08-31 2003-09-30 -1.54% -1.85% 08/2003 13733.11292 13473.35132 2003-09-30 2003-10-31 8.73% 8.40% 09/2003 13520.9829 13224.09432 2003-10-31 2003-11-30 3.64% 3.55% 10/2003 14701.53256 14334.91824 2003-11-30 2003-12-31 2.34% 2.03% 11/2003 15236.46913 14843.80784 2003-12-31 2004-01-31 4.46% 4.34% 12/2003 15592.72663 15145.13714 2004-01-31 2004-02-29 0.85% 0.90% 01/2004 16287.58968 15802.43609 2004-02-29 2004-03-31 0.51% 0.93% 02/2004 16426.56229 15944.65802 2004-03-31 2004-04-30 -4.10% -5.10% 03/2004 16509.94585 16092.94333 2004-04-30 2004-05-31 1.05% 1.59% 04/2004 15833.61249 15272.20322 2004-05-31 2004-06-30 4.37% 4.21% 05/2004 16000.37962 15515.03126 2004-06-30 2004-07-31 -7.17% -6.73% 06/2004 16699.54476 16168.21407 2004-07-31 2004-08-31 -1.44% -0.51% 07/2004 15502.74405 15080.09326 2004-08-31 2004-09-30 4.89% 4.69% 08/2004 15280.08346 15003.18479 2004-09-30 2004-10-31 1.91% 1.97% 09/2004 16027.35649 15706.83416 2004-10-31 2004-11-30 8.75% 8.67% 10/2004 16333.78915 16016.25879 2004-11-30 2004-12-31 3.47% 2.96% 11/2004 17763.80821 17404.86843 2004-12-31 2005-01-31 -3.93% -4.17% 12/2004 18379.47152 17920.05253 2005-01-31 2005-02-28 1.75% 1.69% 01/2005 17656.68331 17172.78634 2005-02-28 2005-03-31 -2.89% -2.86% 02/2005 17966.44969 17463.00643 2005-03-31 2005-04-30 -6.24% -5.73% 03/2005 17448.05253 16963.56445 2005-04-30 2005-05-31 6.89% 6.55% 04/2005 16358.7231 15991.5522 2005-05-31 2005-06-30 3.77% 3.86% 05/2005 17485.61562 17038.21166 2005-06-30 2005-07-31 6.84% 6.34% 06/2005 18145.49922 17695.41334 2005-07-31 2005-08-31 -1.41% -1.85% 07/2005 19386.53855 18816.48682 2005-08-31 2005-09-30 0.64% 0.31% 08/2005 19113.88597 18467.60033 2005-09-30 2005-10-31 -3.09% -3.10% 09/2005 19235.96278 18525.55932 2005-10-31 2005-11-30 4.85% 4.85% 10/2005 18642.49282 17950.36629 2005-11-30 2005-12-31 -0.25% -0.46% 11/2005 19546.828 18821.74976 2005-12-31 2006-01-31 9.09% 8.97% 12/2005 19497.6084 18735.74394 2006-01-31 2006-02-28 -0.19% -0.28% 01/2006 21269.20834 20415.82191 2006-02-28 2006-03-31 4.59% 4.85% 02/2006 21229.17218 20359.59502 2006-03-31 2006-04-30 0.23% -0.02% 03/2006 22202.76237 21347.36282 2006-04-30 2006-05-31 -5.45% -5.62% 04/2006 22252.83626 21343.8986 2006-05-31 2006-06-30 -0.59% 0.64% 05/2006 21041.04815 20145.21337 2006-06-30 2006-07-31 -3.84% -3.25% 06/2006 20917.32016 20274.78836 2006-07-31 2006-08-31 2.79% 2.96% 07/2006 20114.73714 19615.05514 2006-08-31 2006-09-30 0.82% 0.83% 08/2006 20676.54526 20195.7776 2006-09-30 2006-10-31 5.64% 5.76% 09/2006 20846.99814 20363.92529 2006-10-31 2006-11-30 2.51% 2.63% 10/2006 22023.03419 21536.43877 2006-11-30 2006-12-31 0.71% 0.33% 11/2006 22575.87165 22102.96181 2006-12-31 2007-01-31 1.50% 1.67% 12/2006 22736.62171 22176.96705 2007-01-31 2007-02-28 -0.51% -0.79% 01/2007 23076.76752 22548.08794 2007-02-28 2007-03-31 1.05% 1.07% 02/2007 22959.8424 22369.16506 2007-03-31 2007-04-30 1.83% 1.80% 03/2007 23200.51036 22608.63756 2007-04-30 2007-05-31 3.78% 4.10% 04/2007 23626.01261 23014.74343 2007-05-31 2007-06-30 -1.09% -1.46% 05/2007 24519.56735 23958.4963 2007-06-30 2007-07-31 -6.02% -6.84% 06/2007 24251.58244 23608.0126 2007-07-31 2007-08-31 1.40% 2.27% 07/2007 22790.51525 21993.34851 2007-08-31 2007-09-30 1.26% 1.72% 08/2007 23110.45697 22491.84506 2007-09-30 2007-10-31 1.97% 2.87% 09/2007 23402.45803 22877.91405 2007-10-31 2007-11-30 -7.44% -7.18% 10/2007 23862.58866 23534.29322 2007-11-30 2007-12-31 -0.20% -0.06% 11/2007 22086.2704 21844.39548 2007-12-31 2008-01-31 -6.92% -6.82% 12/2007 22041.16399 21830.76512 2008-01-31 2008-02-29 -3.22% -3.71% 01/2008 20516.37515 20342.02883 2008-02-29 2008-03-31 0.36% 0.42% 02/2008 19856.39192 19588.01376 2008-03-31 2008-04-30 3.15% 4.19% 03/2008 19927.63569 19670.28342 2008-04-30 2008-05-31 4.77% 4.59% 04/2008 20555.00831 20493.88577 2008-05-31 2008-06-30 -8.95% -7.70% 05/2008 21535.99095 21435.31061 2008-06-30 2008-07-31 3.15% 3.70% 06/2008 19608.33588 19785.05283 2008-07-31 2008-08-31 3.62% 3.61% 07/2008 20225.74121 20517.22512 2008-08-31 2008-09-30 -7.99% -7.97% 08/2008 20957.48086 21257.89694 2008-09-30 2008-10-31 -20.58% -20.80% 09/2008 19282.02183 19564.06071 2008-10-31 2008-11-30 -12.21% -11.83% 10/2008 15313.20591 15494.16034 2008-11-30 2008-12-31 4.91% 5.80% 11/2008 13443.50362 13661.40461 2008-12-31 2009-01-31 -11.07% -11.12% 12/2008 14104.22393 14454.32762 2009-01-31 2009-02-28 -12.07% -12.15% 01/2009 12543.51063 12846.69817 2009-02-28 2009-03-31 10.30% 8.93% 02/2009 11029.04068 11285.52348 2009-03-31 2009-04-30 18.57% 15.46% 03/2009 12164.59349 12292.94776 2009-04-30 2009-05-31 3.53% 3.01% 04/2009 14423.73228 14193.2203 2009-05-31 2009-06-30 2.59% 1.47% 05/2009 14933.48668 14621.13219 2009-06-30 2009-07-31 10.39% 9.63% 06/2009 15320.43063 14835.88748 2009-07-31 2009-08-31 3.57% 2.87% 07/2009 16911.71115 16264.73903 2009-08-31 2009-09-30 6.23% 5.77% 08/2009 17515.70083 16731.12244 2009-09-30 2009-10-31 -6.94% -6.79% 09/2009 18607.1229 17696.12409 2009-10-31 2009-11-30 2.55% 3.14% 10/2009 17316.25374 16494.64373 2009-11-30 2009-12-31 8.29% 8.05% 11/2009 17758.17291 17012.41775 2009-12-31 2010-01-31 -3.03% -3.68% 12/2009 19229.91145 18381.81652 2010-01-31 2010-02-28 4.88% 4.50% 01/2010 18646.47967 17705.15506 2010-02-28 2010-03-31 8.19% 8.14% 02/2010 19556.63324 18502.69792 2010-03-31 2010-04-30 6.79% 5.66% 03/2010 21158.96636 20008.60791 2010-04-30 2010-05-31 -7.80% -7.59% 04/2010 22595.25381 21140.97975 2010-05-31 2010-06-30 -7.99% -7.75% 05/2010 20832.00662 19537.36598 2010-06-30 2010-07-31 7.20% 6.87% 06/2010 19166.54291 18023.33753 2010-07-31 2010-08-31 -7.63% -7.40% 07/2010 20546.44045 19261.88844 2010-08-31 2010-09-30 13.05% 12.46% 08/2010 18979.43816 17835.77807 2010-09-30 2010-10-31 4.10% 4.09% 09/2010 21456.93018 20058.05111 2010-10-31 2010-11-30 4.20% 3.47% 10/2010 22335.83229 20878.85552 2010-11-30 2010-12-31 7.99% 7.94% 11/2010 23273.32788 21602.80043 2010-12-31 2011-01-31 0.09% -0.26% 12/2010 25133.8852 23318.23325 2011-01-31 2011-02-28 5.61% 5.48% 01/2011 25157.41881 23258.1475 2011-02-28 2011-03-31 2.86% 2.59% 02/2011 26569.43483 24533.65872 2011-03-31 2011-04-30 2.37% 2.64% 03/2011 27330.04413 25169.47203 2011-04-30 2011-05-31 -2.02% -1.87% 04/2011 27977.67551 25834.09819 2011-05-31 2011-06-30 -1.60% -2.31% 05/2011 27412.46995 25349.74104 2011-06-30 2011-07-31 -3.50% -3.61% 06/2011 26974.5315 24765.28256 2011-07-31 2011-08-31 -8.97% -8.70% 07/2011 26030.95366 23870.13558 2011-08-31 2011-09-30 -11.10% -11.21% 08/2011 23695.59851 21793.37793 2011-09-30 2011-10-31 15.32% 15.14% 09/2011 21064.22164 19350.29789 2011-10-31 2011-11-30 -0.34% -0.36% 10/2011 24291.23202 22279.12145 2011-11-30 2011-12-31 0.55% 0.66% 11/2011 24208.48816 22197.90975 2011-12-31 2012-01-31 6.73% 7.07% 12/2011 24342.35457 22344.54025 2012-01-31 2012-02-29 2.88% 2.39% 01/2012 25979.4135 23923.20436 2012-02-29 2012-03-31 2.61% 2.56% 02/2012 26726.7665 24495.74347 2012-03-31 2012-04-30 -1.38% -1.54% 03/2012 27424.60552 25123.38149 2012-04-30 2012-05-31 -6.49% -6.62% 04/2012 27044.86195 24735.30378 2012-05-31 2012-06-30 4.22% 4.99% 05/2012 25288.54797 23098.08293 2012-06-30 2012-07-31 -0.81% -1.38% 06/2012 26356.59007 24250.67455 2012-07-31 2012-08-31 3.51% 3.33% 07/2012 26142.11511 23915.55258 2012-08-31 2012-09-30 3.26% 3.28% 08/2012 27059.59134 24713.06845 2012-09-30 2012-10-31 -1.24% -2.17% 09/2012 27942.43548 25524.5992 10/31/2012 27596.14033 24970.85273
One Year Five Years Ten Years -------- ---------- --------- 13.61% 2.95% 10.68% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Micro Cap Portfolio vs. Russell 2000(R) Index October 31, 2002 - October 31, 2012
U.S. Micro Cap Russell BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio 2000(R) Index --------- ---------- ----------- ----------------- ---------- -------------- ------------- 2002-10-31 2002-11-30 8.36% 8.92% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.29% -5.57% 11/2002 10836.32019 10892 2002-12-31 2003-01-31 -2.23% -2.77% 12/2002 10371.96979 10285.3156 2003-01-31 2003-02-28 -2.88% -3.02% 01/2003 10140.94115 10000.41236 2003-02-28 2003-03-31 1.11% 1.29% 02/2003 9849.115507 9698.399905 2003-03-31 2003-04-30 9.28% 9.48% 03/2003 9958.550124 9823.509263 2003-04-30 2003-05-31 11.62% 10.73% 04/2003 10882.66466 10754.77794 2003-05-31 2003-06-30 4.40% 1.81% 05/2003 12147.24246 11908.76561 2003-06-30 2003-07-31 7.38% 6.26% 06/2003 12682.25614 12124.31427 2003-07-31 2003-08-31 4.73% 4.58% 07/2003 13618.53008 12883.29635 2003-08-31 2003-09-30 0.09% -1.85% 08/2003 14262.97838 13473.35132 2003-09-30 2003-10-31 8.94% 8.40% 09/2003 14275.13778 13224.09432 2003-10-31 2003-11-30 4.30% 3.55% 10/2003 15551.87497 14334.91824 2003-11-30 2003-12-31 2.77% 2.03% 11/2003 16220.64208 14843.80784 2003-12-31 2004-01-31 5.78% 4.34% 12/2003 16669.54407 15145.13714 2004-01-31 2004-02-29 0.50% 0.90% 01/2004 17633.17387 15802.43609 2004-02-29 2004-03-31 0.14% 0.93% 02/2004 17720.77658 15944.65802 2004-03-31 2004-04-30 -4.09% -5.10% 03/2004 17745.80593 16092.94333 2004-04-30 2004-05-31 0.00% 1.59% 04/2004 17019.9549 15272.20322 2004-05-31 2004-06-30 4.41% 4.21% 05/2004 17019.95491 15515.03126 2004-06-30 2004-07-31 -7.47% -6.73% 06/2004 17771.17033 16168.21407 2004-07-31 2004-08-31 -1.52% -0.51% 07/2004 16443.65514 15080.09326 2004-08-31 2004-09-30 5.01% 4.69% 08/2004 16193.18057 15003.18479 2004-09-30 2004-10-31 1.84% 1.97% 09/2004 17003.75956 15706.83416 2004-10-31 2004-11-30 8.97% 8.67% 10/2004 17317.01969 16016.25879 2004-11-30 2004-12-31 4.58% 2.96% 11/2004 18870.7899 17404.86843 2004-12-31 2005-01-31 -4.10% -4.17% 12/2004 19734.74342 17920.05253 2005-01-31 2005-02-28 0.83% 1.69% 01/2005 18925.51453 17172.78634 2005-02-28 2005-03-31 -3.23% -2.86% 02/2005 19082.13948 17463.00643 2005-03-31 2005-04-30 -6.22% -5.73% 03/2005 18466.11724 16963.56445 2005-04-30 2005-05-31 6.03% 6.55% 04/2005 17316.88222 15991.5522 2005-05-31 2005-06-30 4.52% 3.86% 05/2005 18361.64132 17038.21166 2005-06-30 2005-07-31 7.63% 6.34% 06/2005 19191.65259 17695.41334 2005-07-31 2005-08-31 -1.39% -1.85% 07/2005 20655.86587 18816.48682 2005-08-31 2005-09-30 0.61% 0.31% 08/2005 20368.25255 18467.60033 2005-09-30 2005-10-31 -2.81% -3.10% 09/2005 20492.34954 18525.55932 2005-10-31 2005-11-30 4.53% 4.85% 10/2005 19916.57471 17950.36629 2005-11-30 2005-12-31 0.18% -0.46% 11/2005 20819.49433 18821.74976 2005-12-31 2006-01-31 9.14% 8.97% 12/2005 20856.83868 18735.74394 2006-01-31 2006-02-28 0.25% -0.28% 01/2006 22763.18481 20415.82191 2006-02-28 2006-03-31 4.55% 4.85% 02/2006 22819.66914 20359.59502 2006-03-31 2006-04-30 -0.41% -0.02% 03/2006 23857.98949 21347.36282 2006-04-30 2006-05-31 -5.89% -5.62% 04/2006 23759.1109 21343.8986 2006-05-31 2006-06-30 -0.89% 0.64% 05/2006 22360.68523 20145.21337 2006-06-30 2006-07-31 -3.45% -3.25% 06/2006 22161.75746 20274.78836 2006-07-31 2006-08-31 2.78% 2.96% 07/2006 21398.04661 19615.05514 2006-08-31 2006-09-30 0.56% 0.83% 08/2006 21992.04393 20195.7776 2006-09-30 2006-10-31 5.45% 5.76% 09/2006 22114.4661 20363.92529 2006-10-31 2006-11-30 2.25% 2.63% 10/2006 23318.64908 21536.43877 2006-11-30 2006-12-31 1.61% 0.33% 11/2006 23842.82284 22102.96181 2006-12-31 2007-01-31 1.15% 1.67% 12/2006 24227.49838 22176.96705 2007-01-31 2007-02-28 -0.50% -0.79% 01/2007 24505.26587 22548.08794 2007-02-28 2007-03-31 1.02% 1.07% 02/2007 24381.81365 22369.16506 2007-03-31 2007-04-30 1.50% 1.80% 03/2007 24630.73155 22608.63756 2007-04-30 2007-05-31 3.15% 4.10% 04/2007 25001.35071 23014.74343 2007-05-31 2007-06-30 -0.33% -1.46% 05/2007 25788.91643 23958.4963 2007-06-30 2007-07-31 -6.51% -6.84% 06/2007 25702.89187 23608.0126 2007-07-31 2007-08-31 1.16% 2.27% 07/2007 24030.65554 21993.34851 2007-08-31 2007-09-30 1.48% 1.72% 08/2007 24309.36159 22491.84506 2007-09-30 2007-10-31 1.70% 2.87% 09/2007 24667.95852 22877.91405 2007-10-31 2007-11-30 -8.42% -7.18% 10/2007 25087.11201 23534.29322 2007-11-30 2007-12-31 -0.06% -0.06% 11/2007 22975.8204 21844.39548 2007-12-31 2008-01-31 -7.65% -6.82% 12/2007 22962.87539 21830.76512 2008-01-31 2008-02-29 -3.14% -3.71% 01/2008 21206.99108 20342.02883 2008-02-29 2008-03-31 0.31% 0.42% 02/2008 20542.14169 19588.01376 2008-03-31 2008-04-30 2.07% 4.19% 03/2008 20605.37102 19670.28342 2008-04-30 2008-05-31 3.98% 4.59% 04/2008 21032.15998 20493.88577 2008-05-31 2008-06-30 -9.05% -7.70% 05/2008 21868.66634 21435.31061 2008-06-30 2008-07-31 4.48% 3.70% 06/2008 19889.47911 19785.05283 2008-07-31 2008-08-31 3.38% 3.61% 07/2008 20779.54185 20517.22512 2008-08-31 2008-09-30 -7.37% -7.97% 08/2008 21481.32209 21257.89694 2008-09-30 2008-10-31 -20.71% -20.80% 09/2008 19898.99257 19564.06071 2008-10-31 2008-11-30 -12.84% -11.83% 10/2008 15778.4074 15494.16034 2008-11-30 2008-12-31 5.66% 5.80% 11/2008 13752.45302 13661.40461 2008-12-31 2009-01-31 -11.91% -11.12% 12/2008 14530.53864 14454.32762 2009-01-31 2009-02-28 -13.11% -12.15% 01/2009 12799.46364 12846.69817 2009-02-28 2009-03-31 9.58% 8.93% 02/2009 11120.84546 11285.52348 2009-03-31 2009-04-30 17.39% 15.46% 03/2009 12186.37237 12292.94776 2009-04-30 2009-05-31 3.43% 3.01% 04/2009 14304.98022 14193.2203 2009-05-31 2009-06-30 2.76% 1.47% 05/2009 14795.23658 14621.13219 2009-06-30 2009-07-31 9.82% 9.63% 06/2009 15203.81764 14835.88748 2009-07-31 2009-08-31 2.73% 2.87% 07/2009 16696.10921 16264.73903 2009-08-31 2009-09-30 5.76% 5.77% 08/2009 17152.57487 16731.12244 2009-09-30 2009-10-31 -7.27% -6.79% 09/2009 18139.91711 17696.12409 2009-10-31 2009-11-30 1.78% 3.14% 10/2009 16821.60918 16494.64373 2009-11-30 2009-12-31 8.69% 8.05% 11/2009 17120.42564 17012.41775 2009-12-31 2010-01-31 -2.94% -3.68% 12/2009 18607.8118 18381.81652 2010-01-31 2010-02-28 4.39% 4.50% 01/2010 18061.55975 17705.15506 2010-02-28 2010-03-31 8.08% 8.14% 02/2010 18854.50627 18502.69792 2010-03-31 2010-04-30 7.27% 5.66% 03/2010 20378.81035 20008.60791 2010-04-30 2010-05-31 -7.42% -7.59% 04/2010 21859.62356 21140.97975 2010-05-31 2010-06-30 -7.24% -7.75% 05/2010 20237.78052 19537.36598 2010-06-30 2010-07-31 7.14% 6.87% 06/2010 18772.78855 18023.33753 2010-07-31 2010-08-31 -7.98% -7.40% 07/2010 20113.70202 19261.88844 2010-08-31 2010-09-30 12.16% 12.46% 08/2010 18508.13458 17835.77807 2010-09-30 2010-10-31 4.34% 4.09% 09/2010 20758.90123 20058.05111 2010-10-31 2010-11-30 4.24% 3.47% 10/2010 21660.69336 20878.85552 2010-11-30 2010-12-31 8.19% 7.94% 11/2010 22580.16769 21602.80043 2010-12-31 2011-01-31 -1.09% -0.26% 12/2010 24429.79005 23318.23325 2011-01-31 2011-02-28 5.87% 5.48% 01/2011 24163.67033 23258.1475 2011-02-28 2011-03-31 3.25% 2.59% 02/2011 25582.97549 24533.65872 2011-03-31 2011-04-30 1.68% 2.64% 03/2011 26413.67116 25169.47203 2011-04-30 2011-05-31 -1.92% -1.87% 04/2011 26857.44924 25834.09819 2011-05-31 2011-06-30 -2.16% -2.31% 05/2011 26342.66667 25349.74104 2011-06-30 2011-07-31 -2.69% -3.61% 06/2011 25774.64362 24765.28256 2011-07-31 2011-08-31 -8.93% -8.70% 07/2011 25081.39458 23870.13558 2011-08-31 2011-09-30 -10.58% -11.21% 08/2011 22841.66693 21793.37793 2011-09-30 2011-10-31 15.43% 15.14% 09/2011 20425.2482 19350.29789 2011-10-31 2011-11-30 -0.60% -0.36% 10/2011 23577.18276 22279.12145 2011-11-30 2011-12-31 0.86% 0.66% 11/2011 23434.72244 22197.90975 2011-12-31 2012-01-31 6.96% 7.07% 12/2011 23635.2929 22344.54025 2012-01-31 2012-02-29 1.91% 2.39% 01/2012 25280.10905 23923.20436 2012-02-29 2012-03-31 2.98% 2.56% 02/2012 25762.82683 24495.74347 2012-03-31 2012-04-30 -1.42% -1.54% 03/2012 26531.59959 25123.38149 2012-04-30 2012-05-31 -6.97% -6.62% 04/2012 26156.15242 24735.30378 2012-05-31 2012-06-30 5.12% 4.99% 05/2012 24332.55191 23098.08293 2012-06-30 2012-07-31 -0.91% -1.38% 06/2012 25578.82737 24250.67455 2012-07-31 2012-08-31 3.12% 3.33% 07/2012 25345.47667 23915.55258 2012-08-31 2012-09-30 4.19% 3.28% 08/2012 26135.27906 24713.06845 2012-09-30 2012-10-31 -2.05% -2.17% 09/2012 27230.56722 25524.5992 10/31/2012 26673.3741 24970.85273
One Year Five Years Ten Years -------- ---------- --------- 13.13% 1.23% 10.31% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. DFA Real Estate Securities Portfolio vs. S&P 500(R) IndexSM, Dow Jones U.S. Select REIT IndexSM October 31, 2002 - October 31, 2012
DFA Real Dow Jones Estate U.S. Select Securities S&P 500(R) REIT BeginDate EndDate FundReturns Benchmark0Returns Benchmark1Returns EndDate Portfolio IndexSM IndexSM --------- ---------- ----------- ----------------- ----------------- ---------- ----------- ----------- ----------- 2002-10-31 2002-11-30 4.48% 5.89% 4.78% 10/2002 10000 10000 10000 2002-11-30 2002-12-31 1.31% -5.88% 1.36% 11/2002 10448.49334 10588.59043 10478.07353 2002-12-31 2003-01-31 -2.52% -2.62% -2.91% 12/2002 10585.79466 9966.404855 10620.27231 2003-01-31 2003-02-28 1.80% -1.50% 1.82% 01/2003 10318.73887 9705.285048 10311.10978 2003-02-28 2003-03-31 2.40% 0.97% 2.43% 02/2003 10504.19428 9559.705772 10498.84414 2003-03-31 2003-04-30 3.79% 8.24% 3.85% 03/2003 10756.41363 9652.530516 10754.43248 2003-04-30 2003-05-31 5.51% 5.27% 5.66% 04/2003 11164.41553 10447.60945 11168.94594 2003-05-31 2003-06-30 2.08% 1.28% 2.16% 05/2003 11780.12748 10998.094 11801.40102 2003-06-30 2003-07-31 5.12% 1.76% 5.32% 06/2003 12024.92862 11138.8696 12056.14056 2003-07-31 2003-08-31 0.70% 1.95% 0.83% 07/2003 12640.64057 11335.24787 12697.23342 2003-08-31 2003-09-30 3.44% -1.06% 3.52% 08/2003 12729.65917 11556.2852 12802.98378 2003-09-30 2003-10-31 1.35% 5.66% 1.48% 09/2003 13167.33393 11433.55746 13253.19673 2003-10-31 2003-11-30 4.50% 0.88% 4.41% 10/2003 13345.37112 12080.3538 13449.06957 2003-11-30 2003-12-31 2.92% 5.24% 3.00% 11/2003 13946.24664 12186.66091 14041.68102 2003-12-31 2004-01-31 4.11% 1.84% 4.00% 12/2003 14353.75345 12825.72941 14462.6853 2004-01-31 2004-02-29 1.77% 1.39% 1.67% 01/2004 14944.37893 13061.14532 15041.46633 2004-02-29 2004-03-31 5.72% -1.51% 6.01% 02/2004 15208.60612 13242.68797 15291.91195 2004-03-31 2004-04-30 -14.35% -1.57% -14.64% 03/2004 16079.00156 13042.85581 16210.91156 2004-04-30 2004-05-31 7.22% 1.37% 7.59% 04/2004 13770.89936 12838.08298 13837.56984 2004-05-31 2004-06-30 2.89% 1.94% 2.99% 05/2004 14765.63701 13014.22147 14888.08336 2004-06-30 2004-07-31 0.41% -3.31% 0.50% 06/2004 15191.97543 13267.21794 15333.75274 2004-07-31 2004-08-31 7.96% 0.40% 8.26% 07/2004 15254.62276 12828.07303 15410.39429 2004-08-31 2004-09-30 -0.34% 1.08% -0.48% 08/2004 16468.41461 12879.77016 16682.94364 2004-09-30 2004-10-31 5.40% 1.53% 5.57% 09/2004 16413.14684 13019.25807 16603.35625 2004-10-31 2004-11-30 4.35% 4.05% 4.45% 10/2004 17299.28425 13218.19233 17528.49718 2004-11-30 2004-12-31 5.01% 3.40% 5.19% 11/2004 18052.10895 13753.0004 18309.1925 2004-12-31 2005-01-31 -8.37% -2.44% -8.82% 12/2004 18956.98995 14221.015 19258.99852 2005-01-31 2005-02-28 3.14% 2.10% 3.23% 01/2005 17369.6624 13874.37776 17560.35211 2005-02-28 2005-03-31 -1.52% -1.77% -1.51% 02/2005 17915.30624 14166.29467 18127.05023 2005-03-31 2005-04-30 5.67% -1.90% 6.00% 03/2005 17642.48431 13915.40959 17852.4388 2005-04-30 2005-05-31 3.28% 3.18% 3.31% 04/2005 18642.83136 13651.43427 18924.27216 2005-05-31 2005-06-30 5.11% 0.14% 5.21% 05/2005 19254.61386 14085.82291 19550.43614 2005-06-30 2005-07-31 7.27% 3.72% 7.63% 06/2005 20238.42625 14105.82477 20569.69389 2005-07-31 2005-08-31 -3.73% -0.91% -3.84% 07/2005 21710.01116 14630.56146 22138.92343 2005-08-31 2005-09-30 0.47% 0.81% 0.43% 08/2005 20899.81273 14497.13074 21289.07596 2005-09-30 2005-10-31 -2.26% -1.67% -2.12% 09/2005 20997.05183 14614.55749 21380.9959 2005-10-31 2005-11-30 4.50% 3.78% 4.64% 10/2005 20522.3069 14370.93282 20926.7886 2005-11-30 2005-12-31 0.02% 0.04% 0.10% 11/2005 21446.81017 14914.4415 21898.81318 2005-12-31 2006-01-31 7.68% 2.65% 7.84% 12/2005 21450.1551 14919.66156 21920.53245 2006-01-31 2006-02-28 1.89% 0.27% 2.14% 01/2006 23097.527 15314.73419 23638.75117 2006-02-28 2006-03-31 5.18% 1.25% 5.12% 02/2006 23535.11016 15356.23712 24144.7352 2006-03-31 2006-04-30 -3.78% 1.34% -3.78% 03/2006 24753.47897 15547.42228 25380.83612 2006-04-30 2006-05-31 -2.99% -2.88% -2.77% 04/2006 23818.25221 15756.22416 24420.495 2006-05-31 2006-06-30 5.53% 0.14% 5.69% 05/2006 23106.10706 15302.76003 23744.50153 2006-06-30 2006-07-31 3.43% 0.62% 3.55% 06/2006 24383.49767 15323.57178 25095.43995 2006-07-31 2006-08-31 3.52% 2.38% 3.36% 07/2006 25220.14404 15418.11822 25986.47914 2006-08-31 2006-09-30 2.00% 2.58% 1.95% 08/2006 26108.54172 15784.96351 26859.74347 2006-09-30 2006-10-31 6.27% 3.26% 6.30% 09/2006 26630.1451 16191.74202 27382.35397 2006-10-31 2006-11-30 4.75% 1.90% 4.77% 10/2006 28299.96478 16719.43089 29108.21188 2006-11-30 2006-12-31 -2.13% 1.40% -2.26% 11/2006 29645.5812 17037.43447 30496.49746 2006-12-31 2007-01-31 8.66% 1.51% 8.91% 12/2006 29014.47587 17276.43134 29806.32406 2007-01-31 2007-02-28 -2.33% -1.96% -2.24% 01/2007 31526.82655 17537.70592 32461.0676 2007-02-28 2007-03-31 -2.48% 1.12% -2.56% 02/2007 30792.16805 17194.68908 31733.89654 2007-03-31 2007-04-30 -0.09% 4.43% -0.04% 03/2007 30027.4398 17387.01168 30920.89694 2007-04-30 2007-05-31 0.00% 3.49% 0.07% 04/2007 30000.109 18157.17406 30908.16495 2007-05-31 2007-06-30 -9.38% -1.66% -9.39% 05/2007 30000.109 18790.77083 30928.93556 2007-06-30 2007-07-31 -7.87% -3.10% -7.85% 06/2007 27186.06541 18478.59355 28025.39407 2007-07-31 2007-08-31 6.05% 1.50% 5.91% 07/2007 25045.35799 17905.66827 25825.95627 2007-08-31 2007-09-30 3.91% 3.74% 3.91% 08/2007 26561.30959 18174.07549 27353.37772 2007-09-30 2007-10-31 1.13% 1.59% 1.14% 09/2007 27599.50675 18853.78591 28423.13624 2007-10-31 2007-11-30 -10.20% -4.18% -9.72% 10/2007 27911.88466 19153.74965 28748.58023 2007-11-30 2007-12-31 -5.86% -0.69% -5.32% 11/2007 25064.34349 18352.93137 25954.2448 2007-12-31 2008-01-31 0.04% -6.00% -0.48% 12/2007 23596.60345 18225.56203 24573.83552 2008-01-31 2008-02-29 -3.80% -3.25% -3.77% 01/2008 23606.67886 17132.02831 24456.16147 2008-02-29 2008-03-31 6.29% -0.43% 6.65% 02/2008 22709.96763 16575.40871 23534.41245 2008-03-31 2008-04-30 5.90% 4.87% 6.16% 03/2008 24138.10102 16503.80294 25098.8384 2008-04-30 2008-05-31 0.20% 1.30% 0.22% 04/2008 25561.5524 17307.53814 26645.99374 2008-05-31 2008-06-30 -10.98% -8.43% -11.08% 05/2008 25612.0294 17532.53614 26705.91029 2008-06-30 2008-07-31 2.90% -0.84% 2.89% 06/2008 22800.50275 16054.54334 23747.19731 2008-07-31 2008-08-31 2.47% 1.45% 2.27% 07/2008 23461.23957 15919.52463 24432.73885 2008-08-31 2008-09-30 -0.21% -8.91% -0.42% 08/2008 24040.65492 16149.72096 24986.53629 2008-09-30 2008-10-31 -31.53% -16.80% -32.38% 09/2008 23989.82901 14710.61933 24881.95536 2008-10-31 2008-11-30 -23.14% -7.18% -24.55% 10/2008 16426.93377 12239.97081 16824.2482 2008-11-30 2008-12-31 17.07% 1.06% 17.70% 11/2008 12625.15578 11361.7529 12693.71697 2008-12-31 2009-01-31 -17.75% -8.43% -18.08% 12/2008 14779.83928 11482.64196 14940.84023 2009-01-31 2009-02-28 -20.97% -10.65% -21.85% 01/2009 12156.76018 10514.81106 12239.3431 2009-02-28 2009-03-31 3.54% 8.76% 3.22% 02/2009 9607.422257 9395.193977 9564.923583 2009-03-31 2009-04-30 31.30% 9.57% 32.81% 03/2009 9947.685128 10218.16778 9872.954195 2009-04-30 2009-05-31 2.60% 5.59% 2.57% 04/2009 13061.65067 11196.14862 13112.10416 2009-05-31 2009-06-30 -3.10% 0.20% -3.49% 05/2009 13401.74247 11822.34921 13448.50935 2009-06-30 2009-07-31 10.49% 7.56% 10.42% 06/2009 12986.53968 11845.75746 12978.54612 2009-07-31 2009-08-31 13.53% 3.61% 14.64% 07/2009 14348.46416 12741.73881 14330.36399 2009-08-31 2009-09-30 6.69% 3.73% 7.00% 08/2009 16289.47464 13201.71558 16428.47469 2009-09-30 2009-10-31 -4.56% -1.86% -4.54% 09/2009 17379.73432 13694.4036 17578.4399 2009-10-31 2009-11-30 6.87% 6.00% 6.88% 10/2009 16587.77389 13440.00171 16781.21736 2009-11-30 2009-12-31 6.87% 1.93% 7.00% 11/2009 17726.89505 14246.13301 17936.23389 2009-12-31 2010-01-31 -5.22% -3.60% -5.72% 12/2009 18943.86788 14521.3683 19192.34652 2010-01-31 2010-02-28 5.51% 3.10% 5.68% 01/2010 17954.34489 13999.03468 18094.53057 2010-02-28 2010-03-31 10.17% 6.03% 10.22% 02/2010 18943.86788 14432.68278 19122.21312 2010-03-31 2010-04-30 7.03% 1.58% 7.07% 03/2010 20870.06111 15303.60859 21075.85088 2010-04-30 2010-05-31 -5.34% -7.99% -5.39% 04/2010 22337.9184 15545.20666 22565.59453 2010-05-31 2010-06-30 -5.18% -5.23% -5.36% 05/2010 21145.97414 14303.92191 21350.31281 2010-06-30 2010-07-31 9.87% 7.01% 9.89% 06/2010 20050.52756 13555.1402 20205.28177 2010-07-31 2010-08-31 -1.26% -4.51% -1.34% 07/2010 22028.90555 14504.85399 22203.05712 2010-08-31 2010-09-30 4.33% 8.92% 4.43% 08/2010 21751.04347 13850.04686 21906.07702 2010-09-30 2010-10-31 4.68% 3.80% 4.63% 09/2010 22693.27172 15086.08045 22876.30521 2010-10-31 2010-11-30 -1.98% 0.01% -1.95% 10/2010 23755.79554 15660.09072 23934.60888 2010-11-30 2010-12-31 4.68% 6.68% 4.74% 11/2010 23286.04817 15662.09521 23468.56781 2010-12-31 2011-01-31 3.53% 2.37% 3.55% 12/2010 24375.0746 16708.8087 24580.44573 2011-01-31 2011-02-28 4.53% 3.43% 4.57% 01/2011 25234.30729 17104.82417 25453.46137 2011-02-28 2011-03-31 -1.50% 0.04% -1.46% 02/2011 26376.1823 17690.81834 26616.01764 2011-03-31 2011-04-30 5.79% 2.96% 5.93% 03/2011 25980.48304 17697.8416 26226.2687 2011-04-30 2011-05-31 1.36% -1.13% 1.55% 04/2011 27484.14024 18221.96318 27781.27009 2011-05-31 2011-06-30 -3.29% -1.67% -3.35% 05/2011 27857.22812 18015.70878 28212.71008 2011-06-30 2011-07-31 1.64% -2.03% 1.82% 06/2011 26940.68806 17715.40493 27266.89736 2011-07-31 2011-08-31 -5.38% -5.43% -5.48% 07/2011 27382.52441 17355.17988 27763.14572 2011-08-31 2011-09-30 -10.98% -7.03% -11.20% 08/2011 25909.73658 16412.42916 26241.84668 2011-09-30 2011-10-31 14.42% 10.93% 14.69% 09/2011 23063.77879 15258.66821 23303.1517 2011-10-31 2011-11-30 -3.78% -0.22% -3.93% 10/2011 26389.41225 16926.33384 26727.21042 2011-11-30 2011-12-31 4.59% 1.02% 4.70% 11/2011 25390.58718 16888.94356 25675.9468 2011-12-31 2012-01-31 6.32% 4.48% 6.43% 12/2011 26556.7638 17061.70057 26883.04009 2012-01-31 2012-02-29 -1.06% 4.32% -1.11% 01/2012 28235.97017 17826.32068 28611.84573 2012-02-29 2012-03-31 5.15% 3.29% 5.24% 02/2012 27936.93342 18597.14861 28292.8967 2012-03-31 2012-04-30 2.86% -0.63% 3.01% 03/2012 29374.6101 19209.16218 29774.402 2012-04-30 2012-05-31 -4.57% -6.01% -4.56% 04/2012 30214.21329 19088.60547 30669.88587 2012-05-31 2012-06-30 5.64% 4.12% 5.53% 05/2012 28834.04367 17941.38029 29270.76409 2012-06-30 2012-07-31 1.97% 1.39% 1.90% 06/2012 30460.20266 18680.60498 30890.22434 2012-07-31 2012-08-31 -0.15% 2.25% -0.27% 07/2012 31061.31481 18940.05976 31477.59386 2012-08-31 2012-09-30 -1.87% 2.58% -1.97% 08/2012 31015.07541 19366.64291 31393.1133 2012-09-30 2012-10-31 -0.77% -1.85% -0.91% 09/2012 30436.39907 19867.11129 30774.13847 10/31/2012 30202.54275 19500.27841 30492.83621
One Year Five Years Ten Years -------- ---------- --------- 14.45% 1.59% 11.69% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. Dow Jones data provided by Dow Jones Indexes. 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Large Cap International Portfolio vs. MSCI World ex USA Index (net div.) October 31, 2002 - October 31, 2012
Large Cap International MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------- -------------------- 2002-10-31 2002-11-30 4.40% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.11% -3.23% 11/2002 10440.03451 10460.38388 2002-12-31 2003-01-31 -4.00% -3.81% 12/2002 10114.91391 10122.31597 2003-01-31 2003-02-28 -2.44% -1.97% 01/2003 9710.668868 9736.633173 2003-02-28 2003-03-31 -1.95% -1.93% 02/2003 9473.394604 9544.699524 2003-03-31 2003-04-30 9.46% 9.60% 03/2003 9288.847955 9360.754077 2003-04-30 2003-05-31 5.96% 6.20% 04/2003 10167.64152 10259.0855 2003-05-31 2003-06-30 2.37% 2.43% 05/2003 10774.00908 10895.37242 2003-06-30 2003-07-31 2.31% 2.29% 06/2003 11028.85921 11160.05075 2003-07-31 2003-08-31 2.26% 2.58% 07/2003 11283.70935 11416.08512 2003-08-31 2003-09-30 3.05% 3.00% 08/2003 11538.55948 11710.45636 2003-09-30 2003-10-31 5.99% 6.26% 09/2003 11890.07691 12061.78555 2003-10-31 2003-11-30 2.16% 2.27% 10/2003 12601.89969 12817.10429 2003-11-30 2003-12-31 7.40% 7.67% 11/2003 12874.3257 13107.63318 2003-12-31 2004-01-31 1.29% 1.39% 12/2003 13827.55284 14112.72688 2004-01-31 2004-02-29 2.23% 2.30% 01/2004 14006.31888 14309.22909 2004-02-29 2004-03-31 0.75% 0.50% 02/2004 14319.15944 14638.3333 2004-03-31 2004-04-30 -3.10% -2.62% 03/2004 14426.41906 14711.61449 2004-04-30 2004-05-31 0.77% 0.47% 04/2004 13979.50397 14326.52241 2004-05-31 2004-06-30 2.78% 2.31% 05/2004 14086.7636 14393.48999 2004-06-30 2004-07-31 -3.75% -3.05% 06/2004 14478.06171 14725.88378 2004-07-31 2004-08-31 0.65% 0.42% 07/2004 13935.81221 14276.8102 2004-08-31 2004-09-30 1.96% 2.91% 08/2004 14026.18713 14336.16895 2004-09-30 2004-10-31 3.37% 3.59% 09/2004 14301.48347 14754.05385 2004-10-31 2004-11-30 6.33% 6.65% 10/2004 14782.73974 15284.2776 2004-11-30 2004-12-31 4.52% 4.22% 11/2004 15718.01137 16300.75747 2004-12-31 2005-01-31 -1.78% -1.97% 12/2004 16428.92772 16989.40669 2005-01-31 2005-02-28 3.86% 4.45% 01/2005 16135.88107 16654.94269 2005-02-28 2005-03-31 -2.36% -2.27% 02/2005 16758.6052 17395.84581 2005-03-31 2005-04-30 -2.02% -2.55% 03/2005 16363.82933 17000.98254 2005-04-30 2005-05-31 -0.63% 0.18% 04/2005 16033.61753 16567.48433 2005-05-31 2005-06-30 1.44% 1.63% 05/2005 15932.71948 16597.69751 2005-06-30 2005-07-31 3.04% 3.23% 06/2005 16162.25476 16869.00377 2005-07-31 2005-08-31 3.68% 2.76% 07/2005 16654.27056 17413.79488 2005-08-31 2005-09-30 3.31% 4.56% 08/2005 17266.96947 17894.53946 2005-09-30 2005-10-31 -2.20% -3.23% 09/2005 17839.10808 18711.18961 2005-10-31 2005-11-30 1.55% 2.65% 10/2005 17447.44967 18106.58452 2005-11-30 2005-12-31 5.22% 4.64% 11/2005 17717.88047 18586.07722 2005-12-31 2006-01-31 5.84% 6.32% 12/2005 18642.62603 19447.8385 2006-01-31 2006-02-28 -0.67% -0.34% 01/2006 19731.5206 20677.90796 2006-02-28 2006-03-31 3.69% 3.17% 02/2006 19600.10229 20608.4637 2006-03-31 2006-04-30 4.85% 4.78% 03/2006 20322.88337 21262.03853 2006-04-30 2006-05-31 -3.62% -3.80% 04/2006 21309.43111 22278.72975 2006-05-31 2006-06-30 -0.39% -0.13% 05/2006 20538.98431 21432.31082 2006-06-30 2006-07-31 1.07% 0.94% 06/2006 20458.14278 21404.7152 2006-07-31 2006-08-31 2.63% 2.84% 07/2006 20677.20111 21605.26571 2006-08-31 2006-09-30 -0.04% -0.08% 08/2006 21220.08478 22219.30598 2006-09-30 2006-10-31 3.84% 3.95% 09/2006 21211.58156 22201.41652 2006-10-31 2006-11-30 2.96% 2.98% 10/2006 22025.93767 23078.81278 2006-11-30 2006-12-31 2.64% 2.87% 11/2006 22678.90385 23766.23179 2006-12-31 2007-01-31 1.28% 0.61% 12/2006 23277.04445 24447.67862 2007-01-31 2007-02-28 0.29% 0.80% 01/2007 23575.59156 24596.81523 2007-02-28 2007-03-31 2.77% 2.56% 02/2007 23643.00543 24793.58307 2007-03-31 2007-04-30 3.53% 4.55% 03/2007 24296.80678 25428.87548 2007-04-30 2007-05-31 3.10% 2.22% 04/2007 25154.9083 26585.83302 2007-05-31 2007-06-30 -0.19% 0.10% 05/2007 25935.87709 27176.22708 2007-06-30 2007-07-31 -1.89% -1.38% 06/2007 25887.55844 27203.4992 2007-07-31 2007-08-31 -0.69% -1.45% 07/2007 25399.11395 26827.45133 2007-08-31 2007-09-30 5.49% 5.68% 08/2007 25223.27393 26439.13227 2007-09-30 2007-10-31 4.46% 4.35% 09/2007 26607.05793 27941.23223 2007-10-31 2007-11-30 -3.57% -3.91% 10/2007 27795.04833 29155.8544 2007-11-30 2007-12-31 -2.33% -1.88% 11/2007 26802.95817 28015.69869 2007-12-31 2008-01-31 -7.57% -9.02% 12/2007 26177.5541 27489.05893 2008-01-31 2008-02-29 -0.08% 1.81% 01/2008 24194.70953 25010.60702 2008-02-29 2008-03-31 -0.35% -1.43% 02/2008 24174.6808 25463.85563 2008-03-31 2008-04-30 5.29% 5.56% 03/2008 24090.135 25100.36419 2008-04-30 2008-05-31 2.10% 1.52% 04/2008 25364.37371 26495.58367 2008-05-31 2008-06-30 -7.96% -7.78% 05/2008 25896.14262 26897.647 2008-06-30 2008-07-31 -3.64% -3.56% 06/2008 23833.69433 24806.01124 2008-07-31 2008-08-31 -4.27% -3.87% 07/2008 22966.08661 23923.25865 2008-08-31 2008-09-30 -12.16% -14.44% 08/2008 21986.20025 22998.07514 2008-09-30 2008-10-31 -21.08% -20.80% 09/2008 19312.46685 19677.65227 2008-10-31 2008-11-30 -6.01% -5.42% 10/2008 15240.53244 15584.31425 2008-11-30 2008-12-31 7.01% 5.27% 11/2008 14324.6598 14739.1788 2008-12-31 2009-01-31 -11.23% -9.33% 12/2008 15328.53788 15516.16027 2009-01-31 2009-02-28 -10.06% -10.12% 01/2009 13606.92943 14068.39209 2009-02-28 2009-03-31 7.69% 6.59% 02/2009 12237.93958 12644.22388 2009-03-31 2009-04-30 11.37% 12.90% 03/2009 13179.3387 13477.42184 2009-04-30 2009-05-31 13.97% 12.65% 04/2009 14678.4104 15215.45069 2009-05-31 2009-06-30 -1.39% -1.04% 05/2009 16729.22377 17139.69107 2009-06-30 2009-07-31 9.60% 9.39% 06/2009 16497.15383 16962.2042 2009-07-31 2009-08-31 3.91% 4.79% 07/2009 18081.38755 18554.91583 2009-08-31 2009-09-30 4.26% 4.13% 08/2009 18789.01194 19444.16669 2009-09-30 2009-10-31 -2.59% -1.61% 09/2009 19589.36786 20246.4017 2009-10-31 2009-11-30 3.72% 2.47% 10/2009 19081.10318 19921.38374 2009-11-30 2009-12-31 1.19% 1.59% 11/2009 19790.55596 20414.28949 2009-12-31 2010-01-31 -5.17% -4.69% 12/2009 20025.42962 20739.71496 2010-01-31 2010-02-28 0.67% -0.10% 01/2010 18989.4474 19767.55316 2010-02-28 2010-03-31 6.30% 6.44% 02/2010 19117.61015 19747.74296 2010-03-31 2010-04-30 -1.95% -1.49% 03/2010 20322.10055 21018.97237 2010-04-30 2010-05-31 -10.90% -11.03% 04/2010 19926.14598 20705.5737 2010-05-31 2010-06-30 -1.63% -1.45% 05/2010 17753.7466 18420.71863 2010-06-30 2010-07-31 10.32% 9.24% 06/2010 17465.22624 18154.24072 2010-07-31 2010-08-31 -3.44% -2.99% 07/2010 19268.22845 19832.15152 2010-08-31 2010-09-30 9.84% 9.59% 08/2010 18605.67944 19239.37361 2010-09-30 2010-10-31 3.63% 3.56% 09/2010 20436.61425 21084.94731 2010-10-31 2010-11-30 -4.38% -4.23% 10/2010 21178.17762 21836.08012 2010-11-30 2010-12-31 8.03% 8.05% 11/2010 20251.2234 20911.33371 2010-12-31 2011-01-31 2.26% 2.15% 12/2010 21877.75571 22595.14698 2011-01-31 2011-02-28 3.93% 3.71% 01/2011 22372.23036 23081.88961 2011-02-28 2011-03-31 -2.29% -2.00% 02/2011 23251.29638 23937.75502 2011-03-31 2011-04-30 5.72% 5.45% 03/2011 22718.78263 23458.22183 2011-04-30 2011-05-31 -2.84% -2.96% 04/2011 24018.88755 24735.79508 2011-05-31 2011-06-30 -1.42% -1.42% 05/2011 23335.78157 24002.51829 2011-06-30 2011-07-31 -2.04% -1.65% 06/2011 23005.27812 23660.6711 2011-07-31 2011-08-31 -8.39% -8.45% 07/2011 22535.5544 23270.36799 2011-08-31 2011-09-30 -11.01% -10.04% 08/2011 20645.47564 21303.01857 2011-09-30 2011-10-31 9.68% 9.73% 09/2011 18372.40266 19163.70779 2011-10-31 2011-11-30 -2.51% -4.62% 10/2011 20150.01419 21027.44381 2011-11-30 2011-12-31 -2.30% -1.09% 11/2011 19643.73242 20055.70845 2011-12-31 2012-01-31 6.04% 5.40% 12/2011 19191.87442 19836.86573 2012-01-31 2012-02-29 4.85% 5.50% 01/2012 20350.20057 20907.86348 2012-02-29 2012-03-31 -0.17% -0.74% 02/2012 21338.18464 22057.34745 2012-03-31 2012-04-30 -1.93% -1.70% 03/2012 21300.88292 21894.09324 2012-04-30 2012-05-31 -11.07% -11.40% 04/2012 20890.81245 21522.48712 2012-05-31 2012-06-30 6.63% 6.55% 05/2012 18578.47062 19068.8287 2012-06-30 2012-07-31 0.29% 1.25% 06/2012 19809.36437 20318.28267 2012-07-31 2012-08-31 3.38% 2.85% 07/2012 19867.32038 20571.27444 2012-08-31 2012-09-30 2.98% 3.04% 08/2012 20539.61011 21158.19849 2012-09-30 2012-10-31 0.88% 0.70% 09/2012 21151.05982 21800.59481 10/31/2012 21337.31022 21953.36604
One Year Five Years Ten Years -------- ---------- --------- 5.89% -5.15% 7.87% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. International Core Equity Portfolio vs. MSCI World ex USA Index (net div.) September 15, 2005 - October 31, 2012
International Core Equity MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------------- -------------------- 2005-09-15 2005-09-30 1.00% 1.71% 09/2005 10000 10000 2005-09-30 2005-10-31 -2.38% -3.23% 09/2005 10100 10170.83717 2005-10-31 2005-11-30 2.13% 2.65% 10/2005 9859.999997 9842.192116 2005-11-30 2005-12-31 5.62% 4.64% 11/2005 10070 10102.82986 2005-12-31 2006-01-31 6.51% 6.32% 12/2005 10636.30827 10571.25724 2006-01-31 2006-02-28 0.09% -0.34% 01/2006 11328.67174 11239.88582 2006-02-28 2006-03-31 3.90% 3.17% 02/2006 11338.70599 11202.13802 2006-03-31 2006-04-30 4.77% 4.78% 03/2006 11781.27728 11557.40155 2006-04-30 2006-05-31 -4.07% -3.80% 04/2006 12343.24621 12110.04417 2006-05-31 2006-06-30 -1.17% -0.13% 05/2006 11841.48824 11649.95642 2006-06-30 2006-07-31 0.52% 0.94% 06/2006 11702.58559 11634.95628 2006-07-31 2006-08-31 2.93% 2.84% 07/2006 11763.43092 11743.96947 2006-08-31 2006-09-30 0.54% -0.08% 08/2006 12108.22114 12077.7432 2006-09-30 2006-10-31 3.93% 3.95% 09/2006 12173.07014 12068.01903 2006-10-31 2006-11-30 3.52% 2.98% 10/2006 12651.84361 12544.94512 2006-11-30 2006-12-31 3.09% 2.87% 11/2006 13096.89114 12918.60532 2006-12-31 2007-01-31 1.83% 0.61% 12/2006 13502.22208 13289.01922 2007-01-31 2007-02-28 0.52% 0.80% 01/2007 13748.65047 13370.08538 2007-02-28 2007-03-31 3.17% 2.56% 02/2007 13820.52541 13477.04243 2007-03-31 2007-04-30 3.75% 4.55% 03/2007 14258.15172 13822.36819 2007-04-30 2007-05-31 2.78% 2.22% 04/2007 14792.31879 14451.25534 2007-05-31 2007-06-30 -0.60% 0.10% 05/2007 15203.21654 14772.1757 2007-06-30 2007-07-31 -1.72% -1.38% 06/2007 15111.54693 14787.00001 2007-07-31 2007-08-31 -1.89% -1.45% 07/2007 14851.71979 14582.59174 2007-08-31 2007-09-30 4.27% 5.68% 08/2007 14571.10647 14371.51324 2007-09-30 2007-10-31 4.74% 4.35% 09/2007 15193.08335 15188.00938 2007-10-31 2007-11-30 -5.49% -3.91% 10/2007 15913.08524 15848.24128 2007-11-30 2007-12-31 -2.60% -1.88% 11/2007 15039.99798 15228.4871 2007-12-31 2008-01-31 -7.54% -9.02% 12/2007 14649.06518 14942.22164 2008-01-31 2008-02-29 0.16% 1.81% 01/2008 13545.07766 13595.01009 2008-02-29 2008-03-31 0.46% -1.43% 02/2008 13566.30819 13841.38234 2008-03-31 2008-04-30 4.13% 5.56% 03/2008 13628.76581 13643.79937 2008-04-30 2008-05-31 1.65% 1.52% 04/2008 14192.20152 14402.19851 2008-05-31 2008-06-30 -9.29% -7.78% 05/2008 14426.0805 14620.74799 2008-06-30 2008-07-31 -3.97% -3.56% 06/2008 13085.99796 13483.798 2008-07-31 2008-08-31 -3.79% -3.87% 07/2008 12566.88399 13003.96038 2008-08-31 2008-09-30 -12.76% -14.44% 08/2008 12091.02952 12501.05858 2008-09-30 2008-10-31 -22.66% -20.80% 09/2008 10548.31334 10696.17706 2008-10-31 2008-11-30 -6.03% -5.42% 10/2008 8157.763078 8471.162225 2008-11-30 2008-12-31 6.99% 5.27% 11/2008 7665.672812 8011.772138 2008-12-31 2009-01-31 -10.84% -9.33% 12/2008 8201.798787 8434.115781 2009-01-31 2009-02-28 -10.51% -10.12% 01/2009 7312.447111 7647.152754 2009-02-28 2009-03-31 8.43% 6.59% 02/2009 6543.871588 6873.017959 2009-03-31 2009-04-30 15.06% 12.90% 03/2009 7095.446521 7325.91919 2009-04-30 2009-05-31 15.11% 12.65% 04/2009 8164.170608 8270.659143 2009-05-31 2009-06-30 -0.84% -1.04% 05/2009 9398.161306 9316.618056 2009-06-30 2009-07-31 9.94% 9.39% 06/2009 9319.178937 9220.141559 2009-07-31 2009-08-31 5.56% 4.79% 07/2009 10245.51648 10085.89147 2009-08-31 2009-09-30 4.86% 4.13% 08/2009 10814.71184 10569.26136 2009-09-30 2009-10-31 -3.02% -1.61% 09/2009 11340.07285 11005.33206 2009-10-31 2009-11-30 2.66% 2.47% 10/2009 10997.28168 10828.66212 2009-11-30 2009-12-31 1.20% 1.59% 11/2009 11289.34432 11096.59079 2009-12-31 2010-01-31 -4.24% -4.69% 12/2009 11424.47812 11273.48224 2010-01-31 2010-02-28 0.10% -0.10% 01/2010 10940.00814 10745.04447 2010-02-28 2010-03-31 7.46% 6.44% 02/2010 10951.27488 10734.27624 2010-03-31 2010-04-30 -0.48% -1.49% 03/2010 11768.61429 11425.27813 2010-04-30 2010-05-31 -11.75% -11.03% 04/2010 11712.19716 11254.92409 2010-05-31 2010-06-30 -1.67% -1.45% 05/2010 10335.61907 10012.94593 2010-06-30 2010-07-31 10.57% 9.24% 06/2010 10163.34335 9868.096585 2010-07-31 2010-08-31 -4.07% -2.99% 07/2010 11237.98258 10780.15819 2010-08-31 2010-09-30 10.69% 9.59% 08/2010 10780.68929 10457.94203 2010-09-30 2010-10-31 3.65% 3.56% 09/2010 11933.21274 11461.14011 2010-10-31 2010-11-30 -3.99% -4.23% 10/2010 12369.23398 11869.43321 2010-11-30 2010-12-31 9.58% 8.05% 11/2010 11875.84152 11366.76901 2010-12-31 2011-01-31 2.58% 2.15% 12/2010 13013.38097 12282.03901 2011-01-31 2011-02-28 3.38% 3.71% 01/2011 13348.5391 12546.61759 2011-02-28 2011-03-31 -1.75% -2.00% 02/2011 13799.26898 13011.84017 2011-03-31 2011-04-30 5.38% 5.45% 03/2011 13557.4505 12751.18042 2011-04-30 2011-05-31 -3.08% -2.96% 04/2011 14287.46707 13445.63062 2011-05-31 2011-06-30 -1.77% -1.42% 05/2011 13847.13962 13047.04352 2011-06-30 2011-07-31 -2.25% -1.65% 06/2011 13602.18115 12861.22572 2011-07-31 2011-08-31 -8.83% -8.45% 07/2011 13296.77811 12649.06875 2011-08-31 2011-09-30 -11.66% -10.04% 08/2011 12122.15107 11579.67706 2011-09-30 2011-10-31 9.16% 9.73% 09/2011 10709.04568 10416.81238 2011-10-31 2011-11-30 -3.03% -4.62% 10/2011 11690.11719 11429.88295 2011-11-30 2011-12-31 -2.55% -1.09% 11/2011 11335.51303 10901.67697 2011-12-31 2012-01-31 7.34% 5.40% 12/2011 11046.57488 10782.72069 2012-01-31 2012-02-29 5.13% 5.50% 01/2012 11857.77045 11364.8827 2012-02-29 2012-03-31 -0.01% -0.74% 02/2012 12466.16712 11989.70744 2012-03-31 2012-04-30 -2.21% -1.70% 03/2012 12465.06145 11900.96739 2012-04-30 2012-05-31 -11.96% -11.40% 04/2012 12190.18473 11698.97353 2012-05-31 2012-06-30 6.13% 6.55% 05/2012 10732.14303 10365.23897 2012-06-30 2012-07-31 -0.11% 1.25% 06/2012 11389.6719 11044.40439 2012-07-31 2012-08-31 3.53% 2.85% 07/2012 11377.51643 11181.92306 2012-08-31 2012-09-30 3.55% 3.04% 08/2012 11778.64682 11500.95724 2012-09-30 2012-10-31 1.10% 0.70% 09/2012 12197.22662 11850.14447 10/31/2012 12331.53042 11933.18629
One Year Five Years From 09/15/2005 -------- ---------- --------------- 5.49% -4.97% 2.98% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. International Small Company Portfolio vs. MSCI World ex USA Small Cap Index (net div.) October 31, 2002 - October 31, 2012
International Small Company Portfolio- MSCI World ex USA BeginDate EndDate FundReturns Benchmark0Returns EndDate Institutional Class Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------- -------------------------- 2002-10-31 2002-11-30 2.63% 2.80% 10/2002 10000 10000 2002-11-30 2002-12-31 0.67% -1.63% 11/2002 10263.1579 10280.361 2002-12-31 2003-01-31 -0.27% -1.08% 12/2002 10331.88937 10112.682 2003-01-31 2003-02-28 0.55% -0.73% 01/2003 10303.66016 10003.911 2003-02-28 2003-03-31 -0.41% -0.97% 02/2003 10360.11858 9930.5819 2003-03-31 2003-04-30 8.21% 9.17% 03/2003 10317.77476 9834.5209 2003-04-30 2003-05-31 9.23% 8.84% 04/2003 11164.65095 10735.979 2003-05-31 2003-06-30 4.51% 5.21% 05/2003 12195.01696 11685.101 2003-06-30 2003-07-31 3.43% 3.02% 06/2003 12745.48648 12294.465 2003-07-31 2003-08-31 5.14% 6.58% 07/2003 13183.03917 12665.51 2003-08-31 2003-09-30 5.70% 5.72% 08/2003 13860.54011 13499.138 2003-09-30 2003-10-31 5.39% 7.97% 09/2003 14650.95788 14270.804 2003-10-31 2003-11-30 0.55% 0.09% 10/2003 15441.37564 15408.626 2003-11-30 2003-12-31 5.66% 6.10% 11/2003 15526.06326 15422.192 2003-12-31 2004-01-31 5.59% 4.30% 12/2003 16405.05144 16363.492 2004-01-31 2004-02-29 2.98% 3.03% 01/2004 17322.81656 17067.328 2004-02-29 2004-03-31 4.02% 3.85% 02/2004 17839.05943 17584.053 2004-03-31 2004-04-30 -3.01% -3.57% 03/2004 18556.06343 18261.736 2004-04-30 2004-05-31 -1.12% -1.08% 04/2004 17996.80031 17609.596 2004-05-31 2004-06-30 4.66% 5.05% 05/2004 17796.03919 17419.674 2004-06-30 2004-07-31 -3.65% -4.41% 06/2004 18625.06862 18299.378 2004-07-31 2004-08-31 0.89% 0.52% 07/2004 17944.89907 17492.392 2004-08-31 2004-09-30 2.38% 2.74% 08/2004 18104.08768 17583.076 2004-09-30 2004-10-31 3.21% 3.70% 09/2004 18534.81537 18064.114 2004-10-31 2004-11-30 7.21% 8.00% 10/2004 19130.36979 18732.508 2004-11-30 2004-12-31 4.71% 4.66% 11/2004 20510.31294 20230.498 2004-12-31 2005-01-31 2.37% 1.54% 12/2004 21477.25337 21173.631 2005-01-31 2005-02-28 4.43% 4.25% 01/2005 21986.47695 21499.823 2005-02-28 2005-03-31 -1.76% -1.63% 02/2005 22959.99262 22413.38 2005-03-31 2005-04-30 -2.39% -2.82% 03/2005 22555.60919 22048.446 2005-04-30 2005-05-31 -1.70% 0.24% 04/2005 22016.43128 21427.471 2005-05-31 2005-06-30 2.52% 2.65% 05/2005 21642.00218 21477.946 2005-06-30 2005-07-31 3.61% 4.34% 06/2005 22187.2913 22047.591 2005-07-31 2005-08-31 4.41% 3.07% 07/2005 22988.87715 23005.512 2005-08-31 2005-09-30 2.39% 4.05% 08/2005 24002.20265 23711.548 2005-09-30 2005-10-31 -1.98% -3.64% 09/2005 24574.66963 24672.769 2005-10-31 2005-11-30 1.95% 3.33% 10/2005 24089.24405 23773.878 2005-11-30 2005-12-31 6.65% 7.77% 11/2005 24559.50008 24566.442 2005-12-31 2006-01-31 6.91% 7.13% 12/2005 26192.91935 26476.052 2006-01-31 2006-02-28 -0.63% -1.26% 01/2006 28003.19451 28363.541 2006-02-28 2006-03-31 4.61% 4.70% 02/2006 27826.97304 28007.528 2006-03-31 2006-04-30 4.73% 4.65% 03/2006 29108.58376 29324.273 2006-04-30 2006-05-31 -5.04% -5.53% 04/2006 30486.3153 30689.171 2006-05-31 2006-06-30 -1.92% -2.44% 05/2006 28948.38242 28993.193 2006-06-30 2006-07-31 -1.08% -2.44% 06/2006 28392.62357 28287.156 2006-07-31 2006-08-31 2.65% 2.92% 07/2006 28085.23904 27596.275 2006-08-31 2006-09-30 0.74% -0.27% 08/2006 28829.43317 28403.138 2006-09-30 2006-10-31 3.97% 3.97% 09/2006 29042.73182 28326.754 2006-10-31 2006-11-30 4.52% 4.30% 10/2006 30195.99466 29451.377 2006-11-30 2006-12-31 3.64% 2.96% 11/2006 31560.41831 30718.135 2006-12-31 2007-01-31 2.80% 2.04% 12/2006 32709.04391 31627.537 2007-01-31 2007-02-28 1.41% 1.75% 01/2007 33624.21923 32272.711 2007-02-28 2007-03-31 3.74% 3.31% 02/2007 34098.75459 32838.967 2007-03-31 2007-04-30 3.31% 3.86% 03/2007 35374.02149 33927.454 2007-04-30 2007-05-31 2.04% 1.48% 04/2007 36544.11136 35235.682 2007-05-31 2007-06-30 -0.16% -0.22% 05/2007 37290.25563 35756.404 2007-06-30 2007-07-31 0.05% -0.62% 06/2007 37229.96027 35678.494 2007-07-31 2007-08-31 -3.86% -5.27% 07/2007 37247.0775 35458.883 2007-08-31 2007-09-30 2.20% 2.26% 08/2007 35809.23076 33588.853 2007-09-30 2007-10-31 5.40% 6.75% 09/2007 36596.47595 34347.375 2007-10-31 2007-11-30 -7.31% -8.22% 10/2007 38573.2701 36666.456 2007-11-30 2007-12-31 -3.34% -2.93% 11/2007 35754.18976 33651.894 2007-12-31 2008-01-31 -7.61% -9.69% 12/2007 34560.52272 32665.849 2008-01-31 2008-02-29 2.53% 4.75% 01/2008 31931.71701 29499.344 2008-02-29 2008-03-31 0.13% -1.10% 02/2008 32740.58032 30900.251 2008-03-31 2008-04-30 2.13% 2.43% 03/2008 32783.46742 30559.071 2008-04-30 2008-05-31 2.64% 2.02% 04/2008 33483.3392 31302.661 2008-05-31 2008-06-30 -7.40% -7.72% 05/2008 34367.38776 31934.986 2008-06-30 2008-07-31 -4.81% -5.04% 06/2008 31822.6109 29469.086 2008-07-31 2008-08-31 -3.94% -3.70% 07/2008 30292.13929 27983.115 2008-08-31 2008-09-30 -15.16% -17.59% 08/2008 29097.62486 26948.389 2008-09-30 2008-10-31 -23.42% -24.69% 09/2008 24686.0938 22208.126 2008-10-31 2008-11-30 -5.16% -4.85% 10/2008 18904.10377 16725.993 2008-11-30 2008-12-31 8.21% 6.67% 11/2008 17927.92364 15915.498 2008-12-31 2009-01-31 -7.90% -5.81% 12/2008 19399.00778 16976.822 2009-01-31 2009-02-28 -9.11% -9.13% 01/2009 17866.01302 15990.854 2009-02-28 2009-03-31 6.62% 6.42% 02/2009 16238.38895 14530.258 2009-03-31 2009-04-30 13.25% 15.42% 03/2009 17312.62084 15463.346 2009-04-30 2009-05-31 14.89% 14.80% 04/2009 19607.06456 17847.053 2009-05-31 2009-06-30 1.05% 1.20% 05/2009 22527.26566 20488.083 2009-06-30 2009-07-31 7.50% 8.04% 06/2009 22764.07949 20734.192 2009-07-31 2009-08-31 6.35% 7.71% 07/2009 24470.906 22400.383 2009-08-31 2009-09-30 5.32% 5.62% 08/2009 26024.30991 24126.942 2009-09-30 2009-10-31 -1.82% -1.54% 09/2009 27408.43525 25482.953 2009-10-31 2009-11-30 1.36% 0.78% 10/2009 26908.35152 25089.837 2009-11-30 2009-12-31 0.97% 1.26% 11/2009 27273.79732 25285.398 2009-12-31 2010-01-31 -1.55% -1.32% 12/2009 27538.60659 25605.138 2010-01-31 2010-02-28 -0.14% -0.57% 01/2010 27112.8516 25267.753 2010-02-28 2010-03-31 7.14% 7.43% 02/2010 27074.1466 25123.106 2010-03-31 2010-04-30 1.54% 1.98% 03/2010 29008.05027 26990.811 2010-04-30 2010-05-31 -11.83% -12.02% 04/2010 29453.43423 27524.185 2010-05-31 2010-06-30 -0.23% -0.94% 05/2010 25967.82071 24217.067 2010-06-30 2010-07-31 9.14% 8.58% 06/2010 25906.84332 23989.846 2010-07-31 2010-08-31 -2.98% -2.60% 07/2010 28274.46268 26047.283 2010-08-31 2010-09-30 11.00% 11.35% 08/2010 27433.07728 25370.528 2010-09-30 2010-10-31 3.93% 4.12% 09/2010 30450.27879 28249.163 2010-10-31 2010-11-30 -2.79% -2.62% 10/2010 31646.32965 29413.479 2010-11-30 2010-12-31 10.92% 11.31% 11/2010 30763.99704 28642.447 2010-12-31 2011-01-31 1.22% 0.52% 12/2010 34123.45077 31880.684 2011-01-31 2011-02-28 3.05% 2.84% 01/2011 34540.5593 32047.936 2011-02-28 2011-03-31 -0.16% -0.09% 02/2011 35593.2618 32959.15 2011-03-31 2011-04-30 4.75% 4.96% 03/2011 35537.66066 32928.708 2011-04-30 2011-05-31 -2.78% -2.77% 04/2011 37227.09084 34561.329 2011-05-31 2011-06-30 -2.03% -2.16% 05/2011 36193.55708 33604.255 2011-06-30 2011-07-31 -0.96% -0.55% 06/2011 35458.95786 32877.185 2011-07-31 2011-08-31 -7.84% -7.90% 07/2011 35117.42682 32697.801 2011-08-31 2011-09-30 -11.82% -11.48% 08/2011 32365.08845 30114.811 2011-09-30 2011-10-31 7.64% 8.12% 09/2011 28539.6961 26657.384 2011-10-31 2011-11-30 -3.16% -5.02% 10/2011 30721.07414 28821.611 2011-11-30 2011-12-31 -2.91% -1.95% 11/2011 29751.57279 27373.738 2011-12-31 2012-01-31 8.53% 8.26% 12/2011 28886.43886 26841.005 2012-01-31 2012-02-29 5.06% 5.66% 01/2012 31349.29998 29057.812 2012-02-29 2012-03-31 0.39% -0.66% 02/2012 32935.54951 30703.773 2012-03-31 2012-04-30 -1.20% -0.52% 03/2012 33063.02757 30500.407 2012-04-30 2012-05-31 -11.64% -11.75% 04/2012 32666.18769 30341.793 2012-05-31 2012-06-30 3.91% 3.45% 05/2012 28864.87941 26776.218 2012-06-30 2012-07-31 -0.28% 0.77% 06/2012 29992.89831 27700.112 2012-07-31 2012-08-31 3.47% 2.87% 07/2012 29908.17261 27914.059 2012-08-31 2012-09-30 4.17% 4.74% 08/2012 30946.06246 28715.677 2012-09-30 2012-10-31 0.66% 0.49% 09/2012 32237.33829 30076.125 10/31/2012 32449.70547 30222.68
One Year Five Years Ten Years -------- ---------- --------- 5.63% -3.40% 12.49% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Japanese Small Company Portfolio vs. MSCI Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
Japanese Small Company MSCI Japan BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ---------------------- -------------------------- 2002-10-31 2002-11-30 -0.66% 0.75% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.77% -2.23% 11/2002 9933.687003 10075.08187 2002-12-31 2003-01-31 0.00% -0.58% 12/2002 9857.65444 9849.969381 2003-01-31 2003-02-28 7.36% 5.07% 01/2003 9857.654442 9792.859234 2003-02-28 2003-03-31 0.76% -1.62% 02/2003 10582.87698 10289.41133 2003-03-31 2003-04-30 4.41% 3.12% 03/2003 10663.45726 10122.74022 2003-04-30 2003-05-31 6.15% 4.57% 04/2003 11133.5089 10438.51008 2003-05-31 2003-06-30 7.73% 11.22% 05/2003 11818.4413 10915.49296 2003-06-30 2003-07-31 1.27% 1.17% 06/2003 12731.68449 12140.63207 2003-07-31 2003-08-31 8.65% 12.61% 07/2003 12892.84505 12283.20775 2003-08-31 2003-09-30 6.33% 7.28% 08/2003 14007.53894 13831.70478 2003-09-30 2003-10-31 3.88% 7.41% 09/2003 14893.92204 14837.98823 2003-10-31 2003-11-30 -6.25% -6.87% 10/2003 15471.41406 15937.72465 2003-11-30 2003-12-31 5.88% 7.15% 11/2003 14504.45068 14842.64757 2003-12-31 2004-01-31 4.72% 3.64% 12/2003 15357.47439 15903.77806 2004-01-31 2004-02-29 0.59% -0.26% 01/2004 16081.62576 16482.86696 2004-02-29 2004-03-31 20.10% 18.33% 02/2004 16177.2684 16440.26731 2004-03-31 2004-04-30 -3.23% -3.18% 03/2004 19429.11797 19454.19207 2004-04-30 2004-05-31 -4.80% -4.97% 04/2004 18800.60923 18835.29913 2004-05-31 2004-06-30 9.47% 10.52% 05/2004 17898.83582 17899.83759 2004-06-30 2004-07-31 -6.28% -8.19% 06/2004 19593.07676 19782.60869 2004-07-31 2004-08-31 1.49% 1.04% 07/2004 18363.38575 18161.42602 2004-08-31 2004-09-30 -2.42% -3.02% 08/2004 18636.65042 18350.99444 2004-09-30 2004-10-31 1.95% 1.85% 09/2004 18185.76372 17797.06595 2004-10-31 2004-11-30 3.10% 4.35% 10/2004 18541.00779 18126.14819 2004-11-30 2004-12-31 4.78% 4.84% 11/2004 19114.86359 18914.90721 2004-12-31 2005-01-31 4.00% 3.40% 12/2004 20028.11817 19830.53329 2005-01-31 2005-02-28 3.65% 1.91% 01/2005 20829.79578 20505.07202 2005-02-28 2005-03-31 0.58% -0.23% 02/2005 21590.0073 20897.12186 2005-03-31 2005-04-30 -2.74% -0.81% 03/2005 21714.40556 20848.39852 2005-04-30 2005-05-31 -1.77% -1.84% 04/2005 21120.05836 20678.93181 2005-05-31 2005-06-30 1.88% 1.35% 05/2005 20746.86361 20298.06438 2005-06-30 2005-07-31 2.10% 2.83% 06/2005 21136.50604 20572.69895 2005-07-31 2005-08-31 5.45% 3.43% 07/2005 21579.44526 21155.3822 2005-08-31 2005-09-30 4.08% 6.25% 08/2005 22756.00257 21881.43987 2005-09-30 2005-10-31 3.04% 2.00% 09/2005 23683.40657 23249.02154 2005-10-31 2005-11-30 1.93% 4.27% 10/2005 24403.18281 23713.49078 2005-11-30 2005-12-31 11.35% 13.52% 11/2005 24873.80574 24726.96291 2005-12-31 2006-01-31 4.22% 3.19% 12/2005 27696.48745 28070.90178 2006-01-31 2006-02-28 -6.03% -6.51% 01/2006 28866.17319 28965.62742 2006-02-28 2006-03-31 4.41% 4.49% 02/2006 27125.56941 27079.52821 2006-03-31 2006-04-30 1.92% 0.50% 03/2006 28323.10482 28294.28366 2006-04-30 2006-05-31 -7.09% -8.02% 04/2006 28866.17321 28434.72936 2006-05-31 2006-06-30 -3.83% -3.13% 05/2006 26819.22316 26153.78472 2006-06-30 2006-07-31 -4.77% -6.61% 06/2006 25791.03783 25334.67345 2006-07-31 2006-08-31 1.60% 2.66% 07/2006 24559.56125 23659.84185 2006-08-31 2006-09-30 -1.78% -2.19% 08/2006 24951.39471 24289.11846 2006-09-30 2006-10-31 -0.80% -0.64% 09/2006 24508.26736 23757.55478 2006-10-31 2006-11-30 -0.69% -0.84% 10/2006 24312.08912 23605.12794 2006-11-30 2006-12-31 0.87% 0.58% 11/2006 24143.93634 23406.37397 2006-12-31 2007-01-31 2.03% 1.94% 12/2006 24353.59365 23542.69283 2007-01-31 2007-02-28 4.03% 3.95% 01/2007 24847.15229 24000.37275 2007-02-28 2007-03-31 -0.82% -0.92% 02/2007 25848.37125 24947.40195 2007-03-31 2007-04-30 -1.38% -1.71% 03/2007 25636.84612 24717.55696 2007-04-30 2007-05-31 -2.06% -2.38% 04/2007 25284.30423 24294.40116 2007-05-31 2007-06-30 1.61% 0.66% 05/2007 24762.54224 23715.33754 2007-06-30 2007-07-31 0.51% -0.03% 06/2007 25161.78359 23871.04781 2007-07-31 2007-08-31 -4.21% -6.09% 07/2007 25289.43639 23864.94367 2007-08-31 2007-09-30 -0.14% -0.61% 08/2007 24225.66313 22411.08335 2007-09-30 2007-10-31 0.65% 3.62% 09/2007 24190.62418 22275.03884 2007-10-31 2007-11-30 -2.33% -4.20% 10/2007 24346.78432 23080.52444 2007-11-30 2007-12-31 -6.32% -5.98% 11/2007 23778.92929 22110.18267 2007-12-31 2008-01-31 -2.76% -4.91% 12/2007 22276.1423 20787.37617 2008-01-31 2008-02-29 -0.86% 1.10% 01/2008 21661.33221 19766.37958 2008-02-29 2008-03-31 1.96% 0.03% 02/2008 21475.4594 19983.05381 2008-03-31 2008-04-30 0.72% 1.24% 03/2008 21897.06899 19989.52537 2008-04-30 2008-05-31 3.63% 3.08% 04/2008 22054.4989 20237.73298 2008-05-31 2008-06-30 -4.75% -6.14% 05/2008 22855.96025 20861.33463 2008-06-30 2008-07-31 -2.79% -3.27% 06/2008 21771.22763 19580.38503 2008-07-31 2008-08-31 -5.53% -4.42% 07/2008 21164.06192 18939.5221 2008-08-31 2008-09-30 -6.57% -9.76% 08/2008 19993.09948 18102.73475 2008-09-30 2008-10-31 -7.28% -10.56% 09/2008 18680.10966 16335.0643 2008-10-31 2008-11-30 2.59% 4.08% 10/2008 17319.97774 14610.87139 2008-11-30 2008-12-31 10.18% 7.79% 11/2008 17768.53188 15207.58848 2008-12-31 2009-01-31 -6.87% -5.24% 12/2008 19576.80123 16391.82817 2009-01-31 2009-02-28 -13.06% -13.15% 01/2009 18232.72234 15532.69167 2009-02-28 2009-03-31 4.63% 3.53% 02/2009 15851.36517 13490.5956 2009-03-31 2009-04-30 3.97% 5.12% 03/2009 16585.88307 13966.68196 2009-04-30 2009-05-31 12.30% 12.24% 04/2009 17244.05303 14681.2359 2009-05-31 2009-06-30 6.62% 6.36% 05/2009 19364.82292 16477.8381 2009-06-30 2009-07-31 2.07% 2.50% 06/2009 20646.25165 17526.07854 2009-07-31 2009-08-31 5.25% 5.61% 07/2009 21074.2297 17964.79588 2009-08-31 2009-09-30 -1.08% -0.39% 08/2009 22181.0695 18971.85596 2009-09-30 2009-10-31 -3.63% -3.66% 09/2009 21941.92888 18896.95379 2009-10-31 2009-11-30 -4.05% -3.57% 10/2009 21144.5775 18205.29095 2009-11-30 2009-12-31 -0.41% -1.87% 11/2009 20288.16305 17554.53077 2009-12-31 2010-01-31 1.33% 2.16% 12/2009 20204.16741 17226.74007 2010-01-31 2010-02-28 1.89% 1.90% 01/2010 20471.96934 17598.31424 2010-02-28 2010-03-31 5.08% 4.55% 02/2010 20858.79434 17932.44578 2010-03-31 2010-04-30 2.92% 2.71% 03/2010 21918.19995 18748.39441 2010-04-30 2010-05-31 -8.38% -6.94% 04/2010 22558.03879 19256.15939 2010-05-31 2010-06-30 1.54% 0.44% 05/2010 20668.28224 17920.38247 2010-06-30 2010-07-31 1.72% 1.21% 06/2010 20987.31276 17999.54236 2010-07-31 2010-08-31 -2.74% -2.12% 07/2010 21347.60998 18217.74964 2010-08-31 2010-09-30 4.42% 4.09% 08/2010 20762.127 17832.12461 2010-09-30 2010-10-31 -2.15% -0.82% 09/2010 21679.4166 18561.32287 2010-10-31 2010-11-30 2.48% 1.95% 10/2010 21213.99976 18408.83566 2010-11-30 2010-12-31 9.20% 10.09% 11/2010 21739.47038 18767.41745 2010-12-31 2011-01-31 2.23% 1.19% 12/2010 23739.91273 20661.01405 2011-01-31 2011-02-28 4.61% 4.02% 01/2011 24268.80957 20906.71999 2011-02-28 2011-03-31 -6.25% -6.17% 02/2011 25387.04862 21747.69396 2011-03-31 2011-04-30 -0.51% 0.09% 03/2011 23800.35808 20405.73235 2011-04-30 2011-05-31 -1.66% -1.49% 04/2011 23679.46736 20424.23355 2011-05-31 2011-06-30 4.98% 3.72% 05/2011 23286.57256 20120.65268 2011-06-30 2011-07-31 3.62% 4.15% 06/2011 24445.13868 20870.11031 2011-07-31 2011-08-31 -2.71% -4.09% 07/2011 25329.61657 21737.00781 2011-08-31 2011-09-30 -0.54% 0.09% 08/2011 24643.38373 20848.50785 2011-09-30 2011-10-31 -5.16% -3.69% 09/2011 24509.27495 20867.42386 2011-10-31 2011-11-30 1.64% -2.71% 10/2011 23243.39454 20097.71099 2011-11-30 2011-12-31 -0.53% 1.56% 11/2011 23624.68382 19553.25552 2011-12-31 2012-01-31 6.28% 4.10% 12/2011 23499.87679 19858.08869 2012-01-31 2012-02-29 0.12% 1.09% 01/2012 24976.30885 20673.25987 2012-02-29 2012-03-31 2.83% 2.67% 02/2012 25007.06785 20897.89665 2012-03-31 2012-04-30 -2.09% -1.45% 03/2012 25714.52487 21455.93331 2012-04-30 2012-05-31 -8.37% -8.30% 04/2012 25176.24235 21145.10649 2012-05-31 2012-06-30 5.29% 4.27% 05/2012 23069.25079 19389.29527 2012-06-30 2012-07-31 -3.39% -1.56% 06/2012 24290.64032 20216.46374 2012-07-31 2012-08-31 0.00% -0.57% 07/2012 23467.49202 19900.07911 2012-08-31 2012-09-30 1.43% 2.77% 08/2012 23467.49202 19786.64947 2012-09-30 2012-10-31 -2.15% -2.16% 09/2012 23803.19441 20333.93316 10/31/2012 23290.46241 19894.1037
One Year Five Years Ten Years -------- ---------- --------- 0.20% -0.88% 8.82% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Asia Pacific Small Company Portfolio vs. MSCI Pacific ex Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
Asia Pacific Small Company MSCI Pacific ex Japan BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------------- -------------------------- 2002-10-31 2002-11-30 1.02% 2.23% 10/2002 10000 10000 2002-11-30 2002-12-31 1.25% 1.63% 11/2002 10102.04082 10222.94441 2002-12-31 2003-01-31 3.28% 3.70% 12/2002 10228.44337 10389.69329 2003-01-31 2003-02-28 0.51% -1.56% 01/2003 10563.58241 10774.1636 2003-02-28 2003-03-31 -2.02% -0.24% 02/2003 10617.20465 10605.86716 2003-03-31 2003-04-30 2.84% 5.52% 03/2003 10402.71567 10580.71942 2003-04-30 2003-05-31 10.15% 7.11% 04/2003 10697.63802 11164.43722 2003-05-31 2003-06-30 4.66% 5.34% 05/2003 11783.4885 11958.2354 2003-06-30 2003-07-31 6.74% 2.28% 06/2003 12333.11651 12596.40774 2003-07-31 2003-08-31 7.03% 4.86% 07/2003 13164.26132 12883.57562 2003-08-31 2003-09-30 7.99% 7.96% 08/2003 14089.24506 13509.07737 2003-09-30 2003-10-31 5.81% 8.26% 09/2003 15215.31222 14584.14338 2003-10-31 2003-11-30 0.75% -0.44% 10/2003 16100.07928 15788.91371 2003-11-30 2003-12-31 4.42% 6.55% 11/2003 16220.72933 15719.08037 2003-12-31 2004-01-31 6.26% 4.09% 12/2003 16937.04762 16749.07389 2004-01-31 2004-02-29 2.94% 3.02% 01/2004 17996.48434 17434.54333 2004-02-29 2004-03-31 -3.16% 0.20% 02/2004 18526.2027 17961.48526 2004-03-31 2004-04-30 -7.30% -5.66% 03/2004 17940.72451 17996.98227 2004-04-30 2004-05-31 -0.75% -0.45% 04/2004 16630.36856 16979.07901 2004-05-31 2004-06-30 0.34% 0.12% 05/2004 16504.90895 16902.18495 2004-06-30 2004-07-31 1.78% 3.77% 06/2004 16561.62194 16922.1097 2004-07-31 2004-08-31 2.34% 3.29% 07/2004 16856.86307 17560.66893 2004-08-31 2004-09-30 6.14% 5.97% 08/2004 17250.51793 18139.16374 2004-09-30 2004-10-31 4.71% 6.40% 09/2004 18309.08796 19221.96752 2004-10-31 2004-11-30 7.23% 7.70% 10/2004 19171.52376 20452.36921 2004-11-30 2004-12-31 2.25% 4.23% 11/2004 20557.07636 22026.32775 2004-12-31 2005-01-31 2.27% 0.87% 12/2004 21019.6936 22957.37457 2005-01-31 2005-02-28 2.82% 3.19% 01/2005 21496.42893 23157.68602 2005-02-28 2005-03-31 -3.40% -2.84% 02/2005 22103.18297 23895.28867 2005-03-31 2005-04-30 -3.38% -1.63% 03/2005 21351.96368 23215.91272 2005-04-30 2005-05-31 -2.31% 1.28% 04/2005 20629.63744 22838.30968 2005-05-31 2005-06-30 4.50% 5.47% 05/2005 20152.90213 23131.7645 2005-06-30 2005-07-31 3.32% 4.16% 06/2005 21059.61874 24396.40581 2005-07-31 2005-08-31 2.61% -0.08% 07/2005 21758.2101 25412.08446 2005-08-31 2005-09-30 3.66% 5.04% 08/2005 22325.81559 25391.96627 2005-09-30 2005-10-31 -5.69% -5.88% 09/2005 23142.77252 26672.76016 2005-10-31 2005-11-30 2.48% 3.79% 10/2005 21825.34714 25105.66888 2005-11-30 2005-12-31 1.49% 1.96% 11/2005 22366.95535 26057.80112 2005-12-31 2006-01-31 6.73% 5.72% 12/2005 22700.77758 26569.26752 2006-01-31 2006-02-28 1.42% 1.00% 01/2006 24228.1386 28089.73876 2006-02-28 2006-03-31 5.06% 4.23% 02/2006 24572.54354 28371.87709 2006-03-31 2006-04-30 5.68% 6.45% 03/2006 25815.39615 29573.16543 2006-04-30 2006-05-31 -5.65% -5.11% 04/2006 27282.86066 31480.62173 2006-05-31 2006-06-30 -0.70% -1.22% 05/2006 25740.52551 29873.19735 2006-06-30 2006-07-31 1.89% 1.03% 06/2006 25561.04377 29509.32885 2006-07-31 2006-08-31 2.43% 3.26% 07/2006 26044.18223 29812.16571 2006-08-31 2006-09-30 1.01% 1.65% 08/2006 26678.30145 30784.60958 2006-09-30 2006-10-31 8.17% 6.97% 09/2006 26948.22351 31293.56121 2006-10-31 2006-11-30 5.52% 6.08% 10/2006 29149.62769 33475.41808 2006-11-30 2006-12-31 2.82% 3.73% 11/2006 30758.93006 35510.06393 2006-12-31 2007-01-31 2.59% 2.54% 12/2006 31625.56796 36835.73688 2007-01-31 2007-02-28 2.62% 1.91% 01/2007 32446.00609 37771.32964 2007-02-28 2007-03-31 5.21% 5.16% 02/2007 33297.40415 38491.52928 2007-03-31 2007-04-30 6.98% 6.93% 03/2007 35031.16019 40477.38445 2007-04-30 2007-05-31 8.51% 3.93% 04/2007 37476.99462 43284.20999 2007-05-31 2007-06-30 4.08% 2.60% 05/2007 40665.86735 44983.41006 2007-06-30 2007-07-31 1.55% -0.03% 06/2007 42324.45641 46153.21619 2007-07-31 2007-08-31 -7.51% -6.44% 07/2007 42979.68205 46140.90182 2007-08-31 2007-09-30 11.70% 8.87% 08/2007 39750.35566 43171.53026 2007-09-30 2007-10-31 8.73% 6.84% 09/2007 44402.98984 47002.60658 2007-10-31 2007-11-30 -6.63% -8.03% 10/2007 48278.44514 50215.50421 2007-11-30 2007-12-31 -1.74% -1.38% 11/2007 45077.66425 46181.72607 2007-12-31 2008-01-31 -10.08% -13.40% 12/2007 44292.30802 45546.18965 2008-01-31 2008-02-29 3.03% 5.94% 01/2008 39829.72697 39443.03773 2008-02-29 2008-03-31 -4.86% -6.31% 02/2008 41036.68839 41786.09735 2008-03-31 2008-04-30 6.95% 6.69% 03/2008 39042.69123 39150.03399 2008-04-30 2008-05-31 4.36% 1.08% 04/2008 41757.31597 41769.12844 2008-05-31 2008-06-30 -9.88% -11.19% 05/2008 43577.71138 42219.7361 2008-06-30 2008-07-31 -5.91% -4.60% 06/2008 39271.38057 37496.3338 2008-07-31 2008-08-31 -7.03% -8.12% 07/2008 36948.96628 35772.06782 2008-08-31 2008-09-30 -17.19% -19.52% 08/2008 34352.37808 32866.37089 2008-09-30 2008-10-31 -33.30% -35.32% 09/2008 28448.71866 26450.30161 2008-10-31 2008-11-30 -9.59% -10.91% 10/2008 18976.64386 17107.99184 2008-11-30 2008-12-31 10.90% 11.62% 11/2008 17156.96568 15240.90591 2008-12-31 2009-01-31 -12.37% -11.01% 12/2008 19026.86225 17011.6769 2009-01-31 2009-02-28 -5.51% -6.21% 01/2009 16673.53982 15138.38093 2009-02-28 2009-03-31 15.50% 14.33% 02/2009 15755.57717 14198.33404 2009-03-31 2009-04-30 14.89% 17.90% 03/2009 18198.31801 16233.2625 2009-04-30 2009-05-31 25.84% 23.98% 04/2009 20907.99403 19138.9839 2009-05-31 2009-06-30 0.72% 2.82% 05/2009 26310.61968 23727.9327 2009-06-30 2009-07-31 14.40% 14.44% 06/2009 26500.51813 24395.89769 2009-07-31 2009-08-31 4.57% 5.14% 07/2009 30317.6737 27918.80754 2009-08-31 2009-09-30 7.76% 8.38% 08/2009 31702.65934 29353.56318 2009-09-30 2009-10-31 2.18% 2.40% 09/2009 34162.2454 31812.29559 2009-10-31 2009-11-30 4.66% 2.88% 10/2009 34908.21999 32574.95601 2009-11-30 2009-12-31 2.61% 4.00% 11/2009 36535.80092 33511.53396 2009-12-31 2010-01-31 -5.44% -6.39% 12/2009 37490.87022 34850.68161 2010-01-31 2010-02-28 1.74% 1.25% 01/2010 35449.96741 32622.21372 2010-02-28 2010-03-31 8.22% 8.24% 02/2010 36067.38339 33031.08649 2010-03-31 2010-04-30 1.32% 2.80% 03/2010 39032.74785 35753.24456 2010-04-30 2010-05-31 -13.86% -15.10% 04/2010 39548.14504 36753.03781 2010-05-31 2010-06-30 -1.26% -0.57% 05/2010 34067.75484 31203.76406 2010-06-30 2010-07-31 11.07% 10.17% 06/2010 33639.59447 31025.8813 2010-07-31 2010-08-31 -0.14% -0.22% 07/2010 37363.7917 34182.58827 2010-08-31 2010-09-30 15.17% 15.01% 08/2010 37311.58333 34106.50072 2010-09-30 2010-10-31 4.27% 4.44% 09/2010 42971.5342 39227.22466 2010-10-31 2010-11-30 -1.37% -1.34% 10/2010 44806.43095 40968.50656 2010-11-30 2010-12-31 9.78% 10.09% 11/2010 44194.79869 40421.36451 2010-12-31 2011-01-31 -2.16% -2.91% 12/2010 48518.23493 44501.01994 2011-01-31 2011-02-28 0.61% 0.55% 01/2011 47468.60509 43206.90568 2011-02-28 2011-03-31 2.10% 3.07% 02/2011 47758.15816 43443.45509 2011-03-31 2011-04-30 4.20% 4.05% 03/2011 48760.12577 44776.95098 2011-04-30 2011-05-31 -2.96% -2.29% 04/2011 50807.65243 46588.20093 2011-05-31 2011-06-30 -3.40% -3.56% 05/2011 49303.71692 45521.78147 2011-06-30 2011-07-31 1.61% 1.48% 06/2011 47627.74843 43902.98932 2011-07-31 2011-08-31 -7.00% -6.96% 07/2011 48396.82395 44550.56657 2011-08-31 2011-09-30 -18.67% -18.18% 08/2011 45009.22937 41451.93249 2011-09-30 2011-10-31 15.55% 16.38% 09/2011 36607.20677 33915.26065 2011-10-31 2011-11-30 -2.69% -6.82% 10/2011 42301.25299 39471.81922 2011-11-30 2011-12-31 -5.85% -3.21% 11/2011 41162.44374 36780.00112 2011-12-31 2012-01-31 10.31% 10.38% 12/2011 38752.60065 35600.90329 2012-01-31 2012-02-29 7.56% 7.78% 01/2012 42748.30541 39297.23236 2012-02-29 2012-03-31 -1.50% -3.13% 02/2012 45979.28198 42352.65578 2012-03-31 2012-04-30 -0.42% 0.54% 03/2012 45291.35121 41026.60855 2012-04-30 2012-05-31 -12.49% -12.98% 04/2012 45099.76342 41248.3563 2012-05-31 2012-06-30 2.07% 1.40% 05/2012 39467.08269 35894.03867 2012-06-30 2012-07-31 1.44% 3.29% 06/2012 40285.54758 36396.50327 2012-07-31 2012-08-31 3.32% 1.60% 07/2012 40867.42838 37593.17588 2012-08-31 2012-09-30 4.92% 5.32% 08/2012 42225.15026 38194.19868 2012-09-30 2012-10-31 2.25% 2.06% 09/2012 44303.72967 40226.10709 10/31/2012 45298.66151 41055.3557
One Year Five Years Ten Years -------- ---------- --------- 7.09% -1.27% 16.31% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. United Kingdom Small Company Portfolio vs. MSCI UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
United Kingdom Small Company MSCI UK BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ---------------------------- -------------------------- 2002-10-31 2002-11-30 3.26% 1.85% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.25% -2.90% 11/2002 10326.32342 10184.73327 2002-12-31 2003-01-31 -2.47% -7.52% 12/2002 10300.26699 9889.741677 2003-01-31 2003-02-28 -3.31% -2.90% 01/2003 10045.46278 9146.50954 2003-02-28 2003-03-31 -0.95% -0.12% 02/2003 9713.445179 8880.979174 2003-03-31 2003-04-30 9.39% 13.39% 03/2003 9620.789103 8870.105074 2003-04-30 2003-05-31 11.96% 14.56% 04/2003 10524.18583 10057.78446 2003-05-31 2003-06-30 5.64% 3.29% 05/2003 11782.76418 11522.12121 2003-06-30 2003-07-31 4.03% 6.33% 06/2003 12446.79938 11901.70319 2003-07-31 2003-08-31 4.17% 4.76% 07/2003 12948.68646 12654.92432 2003-08-31 2003-09-30 3.84% 2.62% 08/2003 13489.18022 13257.17248 2003-09-30 2003-10-31 5.68% 8.11% 09/2003 14006.50998 13605.01726 2003-10-31 2003-11-30 0.47% 0.83% 10/2003 14801.80795 14708.35915 2003-11-30 2003-12-31 5.53% 5.61% 11/2003 14871.3 14830.88245 2003-12-31 2004-01-31 7.44% 8.47% 12/2003 15693.25537 15662.49826 2004-01-31 2004-02-29 5.73% 6.77% 01/2004 16860.18974 16989.77076 2004-02-29 2004-03-31 -1.35% -0.38% 02/2004 17825.92854 18140.78167 2004-03-31 2004-04-30 -3.66% -3.48% 03/2004 17584.49384 18071.61733 2004-04-30 2004-05-31 0.14% -0.06% 04/2004 16940.66798 17442.81614 2004-05-31 2004-06-30 3.38% 3.47% 05/2004 16964.81145 17432.82714 2004-06-30 2004-07-31 -3.75% -4.53% 06/2004 17537.98014 18037.60416 2004-07-31 2004-08-31 -0.72% -1.37% 07/2004 16880.30589 17221.28795 2004-08-31 2004-09-30 2.81% 3.29% 08/2004 16758.51436 16985.59814 2004-09-30 2004-10-31 3.13% 3.81% 09/2004 17229.02192 17543.84412 2004-10-31 2004-11-30 8.01% 8.09% 10/2004 17768.70651 18211.46333 2004-11-30 2004-12-31 4.11% 5.77% 11/2004 19191.51136 19683.89242 2004-12-31 2005-01-31 2.80% 2.25% 12/2004 19980.49121 20819.35084 2005-01-31 2005-02-28 3.39% 2.37% 01/2005 20540.04827 21286.81073 2005-02-28 2005-03-31 -2.29% -1.25% 02/2005 21237.34245 21790.68621 2005-03-31 2005-04-30 -3.41% -4.52% 03/2005 20751.25102 21518.58081 2005-04-30 2005-05-31 -1.98% -0.89% 04/2005 20044.31185 20545.98101 2005-05-31 2005-06-30 1.80% 1.54% 05/2005 19647.73622 20363.7766 2005-06-30 2005-07-31 1.95% 2.97% 06/2005 20001.56596 20677.10243 2005-07-31 2005-08-31 5.62% 4.84% 07/2005 20392.22154 21291.23624 2005-08-31 2005-09-30 -1.19% 0.17% 08/2005 21538.14459 22321.6205 2005-09-30 2005-10-31 -2.84% -3.05% 09/2005 21281.07436 22360.43851 2005-10-31 2005-11-30 4.27% 4.99% 10/2005 20677.54204 21679.54278 2005-11-30 2005-12-31 4.37% 4.32% 11/2005 21560.97341 22761.64224 2005-12-31 2006-01-31 7.79% 8.14% 12/2005 22503.36549 23745.11614 2006-01-31 2006-02-28 1.35% 1.57% 01/2006 24256.63226 25678.80942 2006-02-28 2006-03-31 1.63% 2.02% 02/2006 24583.0383 26081.40403 2006-03-31 2006-04-30 5.00% 5.29% 03/2006 24984.05145 26609.0508 2006-04-30 2006-05-31 -2.06% -2.22% 04/2006 26233.72031 28017.24683 2006-05-31 2006-06-30 -0.12% -0.85% 05/2006 25692.81887 27395.40001 2006-06-30 2006-07-31 0.69% -0.78% 06/2006 25661.97335 27162.87127 2006-07-31 2006-08-31 4.17% 3.60% 07/2006 25840.11639 26951.71141 2006-08-31 2006-09-30 2.88% 2.93% 08/2006 26918.35056 27921.52946 2006-09-30 2006-10-31 5.62% 5.73% 09/2006 27694.82892 28740.12164 2006-10-31 2006-11-30 6.25% 6.48% 10/2006 29250.1886 30386.15702 2006-11-30 2006-12-31 5.43% 4.69% 11/2006 31078.91455 32355.38079 2006-12-31 2007-01-31 0.64% -0.23% 12/2006 32765.53058 33873.58226 2007-01-31 2007-02-28 -0.03% 0.31% 01/2007 32975.50193 33794.55537 2007-02-28 2007-03-31 4.64% 4.14% 02/2007 32965.5033 33900.02177 2007-03-31 2007-04-30 3.42% 4.96% 03/2007 34495.29462 35302.18758 2007-04-30 2007-05-31 1.32% 0.64% 04/2007 35675.13369 37054.44065 2007-05-31 2007-06-30 -3.69% -2.91% 05/2007 36145.06959 37292.47839 2007-06-30 2007-07-31 -0.58% -0.56% 06/2007 34810.99155 36207.10124 2007-07-31 2007-08-31 -0.61% -3.67% 07/2007 34609.53905 36003.55839 2007-08-31 2007-09-30 -3.48% -5.67% 08/2007 34398.01393 34683.7346 2007-09-30 2007-10-31 7.96% 10.99% 09/2007 33200.40601 32718.25112 2007-10-31 2007-11-30 -11.61% -11.57% 10/2007 35843.07328 36313.48132 2007-11-30 2007-12-31 -5.30% -5.02% 11/2007 31681.63172 32111.56657 2007-12-31 2008-01-31 -6.75% -8.05% 12/2007 30002.6359 30499.3662 2008-01-31 2008-02-29 1.41% 3.39% 01/2008 27976.87156 28045.22453 2008-02-29 2008-03-31 -0.41% -1.26% 02/2008 28371.36251 28995.40235 2008-03-31 2008-04-30 1.66% 1.86% 03/2008 28253.66968 28630.99404 2008-04-30 2008-05-31 0.26% 0.47% 04/2008 28723.49638 29163.51692 2008-05-31 2008-06-30 -7.99% -6.84% 05/2008 28798.24153 29301.51708 2008-06-30 2008-07-31 -3.55% -3.99% 06/2008 26497.28678 27298.28546 2008-07-31 2008-08-31 -1.69% -2.62% 07/2008 25557.51346 26209.1302 2008-08-31 2008-09-30 -15.47% -18.39% 08/2008 25125.43378 25523.09577 2008-09-30 2008-10-31 -26.86% -27.75% 09/2008 21239.653 20829.83263 2008-10-31 2008-11-30 -7.15% -9.27% 10/2008 15535.10243 15050.14501 2008-11-30 2008-12-31 -2.29% -2.54% 11/2008 14424.67464 13654.45043 2008-12-31 2009-01-31 -2.42% -0.55% 12/2008 14094.70451 13308.06844 2009-01-31 2009-02-28 -4.16% -3.32% 01/2009 13753.88092 13235.0837 2009-02-28 2009-03-31 4.29% 5.80% 02/2009 13182.17684 12796.33037 2009-03-31 2009-04-30 20.91% 22.97% 03/2009 13747.40017 13538.45221 2009-04-30 2009-05-31 10.21% 10.56% 04/2009 16622.45741 16648.44171 2009-05-31 2009-06-30 0.43% 0.71% 05/2009 18318.85134 18406.87658 2009-06-30 2009-07-31 8.66% 9.20% 06/2009 18398.42995 18536.80413 2009-07-31 2009-08-31 7.74% 9.64% 07/2009 19991.03012 20242.59082 2009-08-31 2009-09-30 2.90% 2.31% 08/2009 21539.08204 22194.30581 2009-09-30 2009-10-31 0.10% 0.14% 09/2009 22163.64848 22706.30182 2009-10-31 2009-11-30 -0.35% -1.04% 10/2009 22186.02471 22739.17824 2009-11-30 2009-12-31 2.06% 2.47% 11/2009 22107.70793 22502.57727 2009-12-31 2010-01-31 -1.00% -0.46% 12/2009 22562.62069 23058.42647 2010-01-31 2010-02-28 -3.44% -4.48% 01/2010 22336.76863 22951.40342 2010-02-28 2010-03-31 8.34% 8.81% 02/2010 21568.87163 21923.41454 2010-03-31 2010-04-30 3.63% 3.99% 03/2010 23367.418 23855.6759 2010-04-30 2010-05-31 -11.35% -12.02% 04/2010 24215.70278 24807.83622 2010-05-31 2010-06-30 1.89% 0.43% 05/2010 21467.2601 21825.88192 2010-06-30 2010-07-31 13.47% 12.03% 06/2010 21872.41063 21920.17077 2010-07-31 2010-08-31 -3.73% -2.72% 07/2010 24817.65174 24556.84503 2010-08-31 2010-09-30 10.65% 11.02% 08/2010 23892.98302 23889.83015 2010-09-30 2010-10-31 5.21% 4.26% 09/2010 26436.69202 26521.98383 2010-10-31 2010-11-30 -4.95% -4.16% 10/2010 27813.60307 27652.52891 2010-11-30 2010-12-31 10.16% 10.46% 11/2010 26436.69202 26500.89745 2010-12-31 2011-01-31 1.43% 0.97% 12/2010 29123.50956 29273.77513 2011-01-31 2011-02-28 2.98% 2.64% 01/2011 29540.38683 29556.91796 2011-02-28 2011-03-31 -1.90% -1.73% 02/2011 30420.46106 30336.40823 2011-03-31 2011-04-30 8.83% 9.17% 03/2011 29840.98573 29812.97875 2011-04-30 2011-05-31 -0.64% -1.27% 04/2011 32475.72077 32545.73053 2011-05-31 2011-06-30 -3.19% -3.37% 05/2011 32266.79904 32133.8104 2011-06-30 2011-07-31 -0.71% -0.28% 06/2011 31236.125 31051.37887 2011-07-31 2011-08-31 -10.01% -10.20% 07/2011 31013.59543 30965.45914 2011-08-31 2011-09-30 -10.12% -10.55% 08/2011 27909.89347 27806.69897 2011-09-30 2011-10-31 10.57% 10.93% 09/2011 25085.00601 24874.3008 2011-10-31 2011-11-30 -3.07% -3.88% 10/2011 27735.49722 27592.49812 2011-11-30 2011-12-31 -3.15% -3.34% 11/2011 26883.55361 26521.47755 2011-12-31 2012-01-31 8.79% 10.15% 12/2011 26038.03525 25636.24738 2012-01-31 2012-02-29 8.17% 9.29% 01/2012 28327.3581 28237.12768 2012-02-29 2012-03-31 2.11% 0.33% 02/2012 30640.7791 30859.75401 2012-03-31 2012-04-30 1.70% 1.70% 03/2012 31287.24996 30961.08612 2012-04-30 2012-05-31 -11.30% -12.39% 04/2012 31817.95119 31488.06169 2012-05-31 2012-06-30 4.86% 4.76% 05/2012 28223.65648 27586.66253 2012-06-30 2012-07-31 1.65% 1.82% 06/2012 29596.29533 28900.19337 2012-07-31 2012-08-31 5.44% 5.29% 07/2012 30084.88461 29426.59945 2012-08-31 2012-09-30 5.11% 5.34% 08/2012 31721.65868 30984.44922 2012-09-30 2012-10-31 2.17% 2.07% 09/2012 33343.21472 32637.78817 10/31/2012 34065.93686 33313.32062
One Year Five Years Ten Years -------- ---------- --------- 22.82% -1.01% 13.04% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Continental Small Company Portfolio vs. MSCI Europe ex UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
Continental Small Company MSCI Europe ex UK BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------------- -------------------------- 2002-10-31 2002-11-30 5.43% 5.48% 10/2002 10000 10000 2002-11-30 2002-12-31 1.88% -2.35% 11/2002 10543.09327 10548.1194 2002-12-31 2003-01-31 -0.83% -1.33% 12/2002 10741.33796 10300.47589 2003-01-31 2003-02-28 -2.87% -4.40% 01/2003 10652.25104 10163.741 2003-02-28 2003-03-31 -0.74% -0.23% 02/2003 10346.81015 9716.82901 2003-03-31 2003-04-30 12.52% 14.70% 03/2003 10270.44992 9694.149111 2003-04-30 2003-05-31 10.02% 9.83% 04/2003 11555.847 11119.0498 2003-05-31 2003-06-30 1.70% 1.49% 05/2003 12713.97704 12212.14227 2003-06-30 2003-07-31 3.44% 3.56% 06/2003 12930.33101 12393.71256 2003-07-31 2003-08-31 2.19% 2.88% 07/2003 13375.76564 12834.98735 2003-08-31 2003-09-30 5.12% 5.67% 08/2003 13668.47982 13204.94501 2003-09-30 2003-10-31 6.11% 8.35% 09/2003 14368.44853 13953.64386 2003-10-31 2003-11-30 5.18% 5.32% 10/2003 15246.59108 15119.23334 2003-11-30 2003-12-31 6.14% 5.23% 11/2003 16035.64672 15923.77981 2003-12-31 2004-01-31 4.86% 5.03% 12/2003 17019.56102 16756.77447 2004-01-31 2004-02-29 3.26% 3.37% 01/2004 17846.79441 17599.60146 2004-02-29 2004-03-31 -2.08% -3.45% 02/2004 18428.92161 18193.34286 2004-03-31 2004-04-30 -1.19% -1.57% 03/2004 18045.94318 17565.51607 2004-04-30 2004-05-31 1.03% 0.32% 04/2004 17831.47527 17288.89996 2004-05-31 2004-06-30 3.02% 3.57% 05/2004 18015.30491 17343.96099 2004-06-30 2004-07-31 -3.31% -4.02% 06/2004 18559.62698 17962.61095 2004-07-31 2004-08-31 0.60% 0.32% 07/2004 17945.0698 17240.78711 2004-08-31 2004-09-30 5.16% 5.58% 08/2004 18052.61731 17295.45485 2004-09-30 2004-10-31 3.74% 4.24% 09/2004 18984.26096 18259.67829 2004-10-31 2004-11-30 10.66% 11.10% 10/2004 19694.24145 19033.679 2004-11-30 2004-12-31 5.14% 5.00% 11/2004 21793.31421 21146.18703 2004-12-31 2005-01-31 1.42% 1.12% 12/2004 22912.62867 22203.35873 2005-01-31 2005-02-28 6.35% 7.01% 01/2005 23236.94047 22452.31322 2005-02-28 2005-03-31 -2.76% -2.55% 02/2005 24712.55916 24025.35429 2005-03-31 2005-04-30 -2.70% -2.94% 03/2005 24031.50438 23411.81715 2005-04-30 2005-05-31 0.21% 1.42% 04/2005 23382.88078 22723.02993 2005-05-31 2005-06-30 2.71% 3.20% 05/2005 23431.52754 23046.7101 2005-06-30 2005-07-31 6.17% 6.86% 06/2005 24066.17065 23784.26566 2005-07-31 2005-08-31 3.32% 2.84% 07/2005 25549.92507 25416.03849 2005-08-31 2005-09-30 2.53% 3.41% 08/2005 26397.78474 26137.73122 2005-09-30 2005-10-31 -4.95% -6.90% 09/2005 27066.33877 27030.24424 2005-10-31 2005-11-30 0.32% 1.28% 10/2005 25725.28754 25164.72424 2005-11-30 2005-12-31 5.12% 5.80% 11/2005 25807.05895 25485.65136 2005-12-31 2006-01-31 9.59% 11.16% 12/2005 27127.87536 26962.59783 2006-01-31 2006-02-28 2.82% 2.82% 01/2006 29729.67695 29971.15851 2006-02-28 2006-03-31 6.43% 6.46% 02/2006 30566.62012 30817.39404 2006-03-31 2006-04-30 6.88% 7.09% 03/2006 32531.61712 32808.37452 2006-04-30 2006-05-31 -4.87% -5.14% 04/2006 34769.53038 35133.1297 2006-05-31 2006-06-30 -1.85% -2.28% 05/2006 33077.44963 33327.25914 2006-06-30 2006-07-31 -0.28% -1.09% 06/2006 32464.39117 32567.81027 2006-07-31 2006-08-31 2.61% 2.35% 07/2006 32372.52815 32211.48678 2006-08-31 2006-09-30 1.30% 1.05% 08/2006 33217.66794 32969.36247 2006-09-30 2006-10-31 4.99% 5.34% 09/2006 33648.91069 33315.32925 2006-10-31 2006-11-30 6.89% 7.00% 10/2006 35327.66665 35095.89795 2006-11-30 2006-12-31 4.76% 4.72% 11/2006 37762.78519 37551.88191 2006-12-31 2007-01-31 4.61% 3.20% 12/2006 39559.39578 39323.27377 2007-01-31 2007-02-28 0.09% 0.43% 01/2007 41383.46014 40582.59809 2007-02-28 2007-03-31 5.83% 5.32% 02/2007 41421.46148 40756.26296 2007-03-31 2007-04-30 5.24% 6.05% 03/2007 43834.54661 42923.45286 2007-04-30 2007-05-31 1.89% 1.74% 04/2007 46133.62774 45521.16427 2007-05-31 2007-06-30 -1.12% -0.96% 05/2007 47007.65858 46314.80908 2007-06-30 2007-07-31 -0.58% -0.73% 06/2007 46481.20983 45872.16695 2007-07-31 2007-08-31 -3.61% -4.53% 07/2007 46212.97532 45536.38588 2007-08-31 2007-09-30 2.20% 1.99% 08/2007 44546.08939 43475.46067 2007-09-30 2007-10-31 4.82% 5.98% 09/2007 45525.12436 44340.52536 2007-10-31 2007-11-30 -7.42% -7.15% 10/2007 47719.5701 46993.8839 2007-11-30 2007-12-31 -1.99% -2.03% 11/2007 44177.65768 43631.74618 2007-12-31 2008-01-31 -9.54% -12.04% 12/2007 43296.76564 42747.93808 2008-01-31 2008-02-29 4.27% 6.05% 01/2008 39166.54835 37600.02267 2008-02-29 2008-03-31 3.15% 2.03% 02/2008 40838.78266 39875.47704 2008-03-31 2008-04-30 1.15% 1.71% 03/2008 42125.19475 40686.35254 2008-04-30 2008-05-31 1.89% 1.55% 04/2008 42608.92904 41381.35231 2008-05-31 2008-06-30 -8.46% -9.24% 05/2008 43415.15286 42024.81106 2008-06-30 2008-07-31 -5.31% -5.68% 06/2008 39740.17505 38141.055 2008-07-31 2008-08-31 -2.78% -2.73% 07/2008 37630.25854 35975.57986 2008-08-31 2008-09-30 -17.43% -20.70% 08/2008 36585.5426 34993.1562 2008-09-30 2008-10-31 -26.71% -28.14% 09/2008 30207.63165 27748.03106 2008-10-31 2008-11-30 -7.83% -8.29% 10/2008 22139.88303 19940.70552 2008-11-30 2008-12-31 10.42% 9.24% 11/2008 20406.65827 18287.65983 2008-12-31 2009-01-31 -11.37% -8.98% 12/2008 22533.64314 19977.57567 2009-01-31 2009-02-28 -8.69% -8.80% 01/2009 19972.53247 18183.55312 2009-02-28 2009-03-31 7.18% 7.73% 02/2009 18237.58652 16582.57441 2009-03-31 2009-04-30 16.28% 20.82% 03/2009 19547.89437 17864.77253 2009-04-30 2009-05-31 14.55% 14.93% 04/2009 22730.10974 21583.40132 2009-05-31 2009-06-30 -1.29% -1.28% 05/2009 26036.30752 24805.40199 2009-06-30 2009-07-31 7.93% 8.98% 06/2009 25700.3939 24487.43905 2009-07-31 2009-08-31 8.33% 10.26% 07/2009 27738.77347 26685.87974 2009-08-31 2009-09-30 8.53% 9.58% 08/2009 30050.33792 29424.58439 2009-09-30 2009-10-31 -2.85% -2.73% 09/2009 32614.96231 32244.66525 2009-10-31 2009-11-30 3.00% 2.06% 10/2009 31686.72276 31364.64914 2009-11-30 2009-12-31 -0.35% 0.45% 11/2009 32636.05867 32009.47746 2009-12-31 2010-01-31 -1.69% -1.33% 12/2009 32522.67922 32153.78839 2010-01-31 2010-02-28 -2.12% -2.85% 01/2010 31972.16512 31725.0131 2010-02-28 2010-03-31 7.37% 8.11% 02/2010 31294.60931 30821.97022 2010-03-31 2010-04-30 -0.95% -0.63% 03/2010 33602.5338 33321.86211 2010-04-30 2010-05-31 -14.25% -15.47% 04/2010 33284.92951 33111.4966 2010-05-31 2010-06-30 -0.70% -1.49% 05/2010 28542.03878 27989.11207 2010-06-30 2010-07-31 11.98% 11.98% 06/2010 28341.0236 27570.69336 2010-07-31 2010-08-31 -4.60% -4.75% 07/2010 31735.93015 30874.03721 2010-08-31 2010-09-30 13.82% 15.43% 08/2010 30274.83113 29406.79431 2010-09-30 2010-10-31 5.61% 6.42% 09/2010 34457.43487 33944.46414 2010-10-31 2010-11-30 -7.80% -7.58% 10/2010 36392.03819 36122.0978 2010-11-30 2010-12-31 12.99% 14.00% 11/2010 33554.61997 33385.52507 2010-12-31 2011-01-31 2.79% 2.26% 12/2010 37912.48199 38059.63329 2011-01-31 2011-02-28 1.66% 1.70% 01/2011 38971.61062 38920.23437 2011-02-28 2011-03-31 3.38% 3.37% 02/2011 39620.05672 39580.17969 2011-03-31 2011-04-30 6.70% 6.99% 03/2011 40960.17866 40915.82839 2011-04-30 2011-05-31 -3.41% -3.81% 04/2011 43705.26715 43773.90829 2011-05-31 2011-06-30 -3.25% -3.23% 05/2011 42213.84111 42104.23024 2011-06-30 2011-07-31 -5.69% -6.07% 06/2011 40842.0281 40744.73056 2011-07-31 2011-08-31 -10.25% -10.45% 07/2011 38516.97171 38271.79312 2011-08-31 2011-09-30 -15.15% -15.02% 08/2011 34568.76276 34273.42512 2011-09-30 2011-10-31 10.31% 10.96% 09/2011 29331.23693 29124.54759 2011-10-31 2011-11-30 -6.68% -7.81% 10/2011 32354.84826 32316.29841 2011-11-30 2011-12-31 -3.91% -3.40% 11/2011 30191.973 29790.89992 2011-12-31 2012-01-31 9.47% 9.92% 12/2011 29011.83514 28778.2188 2012-01-31 2012-02-29 6.35% 7.67% 01/2012 31757.99358 31632.41729 2012-02-29 2012-03-31 0.20% -0.81% 02/2012 33773.31953 34060.10035 2012-03-31 2012-04-30 -2.36% -1.67% 03/2012 33839.91954 33784.16926 2012-04-30 2012-05-31 -13.68% -13.71% 04/2012 33042.12183 33220.96598 2012-05-31 2012-06-30 4.30% 4.93% 05/2012 28521.26813 28665.408 2012-06-30 2012-07-31 -0.99% -0.36% 06/2012 29746.85042 30077.80583 2012-07-31 2012-08-31 4.46% 4.36% 07/2012 29452.32715 29970.97203 2012-08-31 2012-09-30 5.26% 5.38% 08/2012 30766.35404 31277.87995 2012-09-30 2012-10-31 1.75% 1.72% 09/2012 32384.95122 32961.53496 10/31/2012 32952.70984 33529.17158
One Year Five Years Ten Years -------- ---------- --------- 1.85% -7.14% 12.66% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. DFA International Real Estate Securities Portfolio vs. S&P Global ex US REIT Index (net div.) March 1, 2007 - October 31, 2012
DFA International Real Estate S&P Global ex US BeginDate EndDate FundReturns Benchmark0Returns EndDate Securities Portfolio REIT Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------------- --------------------- 2007-03-01 2007-03-31 4.80% 3.43% 03/2007 10000 10000 2007-03-31 2007-04-30 0.86% 1.44% 03/2007 10480 10343.27182 2007-04-30 2007-05-31 1.99% 1.48% 04/2007 10570 10491.71529 2007-05-31 2007-06-30 -6.67% -6.12% 05/2007 10780 10646.63491 2007-06-30 2007-07-31 -5.99% -4.83% 06/2007 10061.01755 9995.032835 2007-07-31 2007-08-31 2.34% 1.57% 07/2007 9458.561405 9512.547111 2007-08-31 2007-09-30 4.66% 5.04% 08/2007 9679.461991 9662.108035 2007-09-30 2007-10-31 0.80% 0.98% 09/2007 10130.21217 10149.19055 2007-10-31 2007-11-30 -7.33% -7.96% 10/2007 10211.17291 10249.07561 2007-11-30 2007-12-31 -4.94% -3.95% 11/2007 9462.286097 9432.928586 2007-12-31 2008-01-31 -4.08% -5.87% 12/2007 8994.757351 9060.715155 2008-01-31 2008-02-29 -0.49% 1.24% 01/2008 8627.410202 8529.163087 2008-02-29 2008-03-31 0.24% -0.96% 02/2008 8585.42767 8635.041758 2008-03-31 2008-04-30 0.61% 1.77% 03/2008 8606.073165 8552.223253 2008-04-30 2008-05-31 -3.77% -4.09% 04/2008 8658.741912 8703.485753 2008-05-31 2008-06-30 -10.59% -10.10% 05/2008 8332.195683 8347.70396 2008-06-30 2008-07-31 -3.15% -2.71% 06/2008 7449.797292 7504.992029 2008-07-31 2008-08-31 -3.40% -2.92% 07/2008 7214.989929 7301.260032 2008-08-31 2008-09-30 -7.35% -10.16% 08/2008 6969.509501 7087.953495 2008-09-30 2008-10-31 -30.91% -28.75% 09/2008 6457.202524 6367.958219 2008-10-31 2008-11-30 -6.94% -6.69% 10/2008 4461.339926 4537.392452 2008-11-30 2008-12-31 4.16% 3.05% 11/2008 4151.821128 4233.75 2008-12-31 2009-01-31 -10.43% -9.53% 12/2008 4324.566724 4362.993596 2009-01-31 2009-02-28 -13.35% -13.02% 01/2009 3873.403275 3947.402672 2009-02-28 2009-03-31 6.89% 5.90% 02/2009 3356.215906 3433.414816 2009-03-31 2009-04-30 10.12% 11.45% 03/2009 3587.299624 3636.039527 2009-04-30 2009-05-31 13.37% 11.12% 04/2009 3950.431182 4052.542435 2009-05-31 2009-06-30 2.21% 2.37% 05/2009 4478.622538 4503.143502 2009-06-30 2009-07-31 8.89% 8.94% 06/2009 4577.658417 4609.943595 2009-07-31 2009-08-31 11.04% 12.18% 07/2009 4984.805921 5022.019097 2009-08-31 2009-09-30 6.36% 6.79% 08/2009 5535.00525 5633.816682 2009-09-30 2009-10-31 -2.06% -1.58% 09/2009 5887.132821 6016.632 2009-10-31 2009-11-30 1.15% 0.07% 10/2009 5766.088969 5921.551199 2009-11-30 2009-12-31 1.60% 1.72% 11/2009 5832.112889 5925.690117 2009-12-31 2010-01-31 -3.73% -3.25% 12/2009 5925.173157 6027.380187 2010-01-31 2010-02-28 0.43% -0.38% 01/2010 5703.901131 5831.46623 2010-02-28 2010-03-31 3.43% 3.48% 02/2010 5728.486912 5809.069866 2010-03-31 2010-04-30 0.83% 1.17% 03/2010 5925.173158 6011.152528 2010-04-30 2010-05-31 -10.49% -10.98% 04/2010 5974.344721 6081.700689 2010-05-31 2010-06-30 0.23% 0.39% 05/2010 5347.407312 5413.772495 2010-06-30 2010-07-31 11.70% 10.89% 06/2010 5359.700203 5434.678068 2010-07-31 2010-08-31 0.21% 0.29% 07/2010 5986.637612 6026.398411 2010-08-31 2010-09-30 9.63% 9.59% 08/2010 5998.930502 6043.942257 2010-09-30 2010-10-31 4.30% 4.09% 09/2010 6576.69635 6623.547569 2010-10-31 2010-11-30 -6.27% -6.14% 10/2010 6859.432829 6894.463204 2010-11-30 2010-12-31 8.84% 8.89% 11/2010 6429.181666 6471.120421 2010-12-31 2011-01-31 0.40% -0.02% 12/2010 6997.235115 7046.482953 2011-01-31 2011-02-28 4.17% 4.03% 01/2011 7025.112546 7045.186568 2011-02-28 2011-03-31 0.19% 0.25% 02/2011 7317.825569 7329.355956 2011-03-31 2011-04-30 6.27% 6.21% 03/2011 7331.764284 7347.92639 2011-04-30 2011-05-31 -0.54% -0.55% 04/2011 7791.741893 7804.14478 2011-05-31 2011-06-30 -0.72% -0.98% 05/2011 7749.925748 7760.854089 2011-06-30 2011-07-31 -1.63% -1.44% 06/2011 7694.170885 7685.015219 2011-07-31 2011-08-31 -4.05% -4.14% 07/2011 7568.722446 7574.711428 2011-08-31 2011-09-30 -12.86% -12.32% 08/2011 7262.070709 7261.428915 2011-09-30 2011-10-31 7.93% 8.20% 09/2011 6328.176779 6367.000016 2011-10-31 2011-11-30 -2.04% -4.12% 10/2011 6829.970531 6889.281131 2011-11-30 2011-12-31 -3.52% -2.51% 11/2011 6690.583378 6605.679049 2011-12-31 2012-01-31 6.85% 6.48% 12/2011 6454.829161 6439.872824 2012-01-31 2012-02-29 3.42% 4.02% 01/2012 6896.940748 6857.089596 2012-02-29 2012-03-31 1.24% 0.38% 02/2012 7132.733593 7132.597052 2012-03-31 2012-04-30 2.04% 2.40% 03/2012 7221.15591 7159.344852 2012-04-30 2012-05-31 -5.80% -6.52% 04/2012 7368.526439 7331.359588 2012-05-31 2012-06-30 6.58% 6.84% 05/2012 6941.151906 6853.460017 2012-06-30 2012-07-31 4.58% 5.43% 06/2012 7398.000546 7322.026425 2012-07-31 2012-08-31 1.52% 0.94% 07/2012 7736.952761 7719.405494 2012-08-31 2012-09-30 2.25% 2.67% 08/2012 7854.849184 7791.951809 2012-09-30 2012-10-31 4.04% 3.68% 09/2012 8031.69382 7999.77718 10/31/2012 8355.908984 8294.554257
One Year Five Years From 03/01/2007 -------- ---------- --------------- 22.34% -3.93% -3.12% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. DFA Global Real Estate Securities Portfolio vs. S&P Global REIT Index (net div.) June 4, 2008 - October 31, 2012
DFA Global S&P Global REIT BeginDate EndDate FundReturns Benchmark0Returns EndDate Real Estate Securities Portfolio Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------------------- ---------------- 2008-06-04 2008-06-30 -10.00% -10.30% 06/2008 10000 10000 2008-06-30 2008-07-31 0.22% 0.27% 06/2008 9000 8970.16008 2008-07-31 2008-08-31 -0.22% -0.17% 07/2008 9020 8994.617996 2008-08-31 2008-09-30 -3.22% -4.76% 08/2008 9000.000001 8979.202338 2008-09-30 2008-10-31 -30.65% -30.56% 09/2008 8709.999998 8552.065137 2008-10-31 2008-11-30 -16.56% -16.57% 10/2008 6039.999999 5938.93191 2008-11-30 2008-12-31 11.74% 10.30% 11/2008 5039.999999 4954.839345 2008-12-31 2009-01-31 -14.47% -14.04% 12/2008 5631.592804 5465.268898 2009-01-31 2009-02-28 -17.34% -17.26% 01/2009 4816.895834 4697.672714 2009-02-28 2009-03-31 5.12% 4.72% 02/2009 3981.831441 3886.936588 2009-03-31 2009-04-30 20.68% 20.90% 03/2009 4185.505683 4070.43606 2009-04-30 2009-05-31 7.66% 6.37% 04/2009 5051.121214 4921.278726 2009-05-31 2009-06-30 -0.56% -0.51% 05/2009 5438.102273 5234.902563 2009-06-30 2009-07-31 9.79% 9.74% 06/2009 5407.551138 5208.161978 2009-07-31 2009-08-31 12.35% 13.03% 07/2009 5937.104168 5715.596453 2009-08-31 2009-09-30 6.56% 6.64% 08/2009 6670.33144 6460.227522 2009-09-30 2009-10-31 -3.30% -3.13% 09/2009 7108.231062 6888.887147 2009-10-31 2009-11-30 4.15% 3.35% 10/2009 6874.005684 6673.052512 2009-11-30 2009-12-31 4.36% 4.38% 11/2009 7159.149623 6896.880445 2009-12-31 2010-01-31 -4.53% -4.37% 12/2009 7471.244084 7198.878092 2010-01-31 2010-02-28 3.21% 2.63% 01/2010 7133.129388 6884.343501 2010-02-28 2010-03-31 6.96% 6.95% 02/2010 7362.174828 7065.680397 2010-03-31 2010-04-30 4.16% 4.36% 03/2010 7874.800332 7556.929558 2010-04-30 2010-05-31 -7.45% -7.82% 04/2010 8202.008102 7886.770518 2010-05-31 2010-06-30 -2.87% -2.96% 05/2010 7591.220265 7269.795161 2010-06-30 2010-07-31 10.65% 10.17% 06/2010 7373.081751 7054.408182 2010-07-31 2010-08-31 -0.53% -0.64% 07/2010 8158.380397 7771.860493 2010-08-31 2010-09-30 6.59% 6.58% 08/2010 8114.752693 7722.44567 2010-09-30 2010-10-31 4.41% 4.43% 09/2010 8649.19205 8230.819452 2010-10-31 2010-11-30 -3.86% -3.85% 10/2010 9030.934449 8595.326764 2010-11-30 2010-12-31 6.53% 6.35% 11/2010 8681.912829 8264.420094 2010-12-31 2011-01-31 2.15% 1.80% 12/2010 9248.981237 8788.835512 2011-01-31 2011-02-28 4.33% 4.32% 01/2011 9447.507351 8947.220621 2011-02-28 2011-03-31 -0.71% -0.82% 02/2011 9856.237583 9333.786833 2011-03-31 2011-04-30 5.97% 5.91% 03/2011 9786.169542 9257.528121 2011-04-30 2011-05-31 0.56% 0.49% 04/2011 10370.06987 9804.232076 2011-05-31 2011-06-30 -2.24% -2.39% 05/2011 10428.4599 9852.533063 2011-06-30 2011-07-31 0.23% 0.31% 06/2011 10194.89977 9617.216142 2011-07-31 2011-08-31 -4.80% -5.12% 07/2011 10218.25579 9646.76484 2011-08-31 2011-09-30 -11.76% -11.58% 08/2011 9727.77951 9152.79548 2011-09-30 2011-10-31 11.70% 11.84% 09/2011 8583.334861 8093.322045 2011-10-31 2011-11-30 -3.05% -3.97% 10/2011 9587.643429 9051.923334 2011-11-30 2011-12-31 1.30% 1.72% 11/2011 9295.693265 8692.952504 2011-12-31 2012-01-31 6.40% 6.44% 12/2011 9416.755791 8842.563223 2012-01-31 2012-02-29 0.72% 0.81% 01/2012 10019.62108 9412.152305 2012-02-29 2012-03-31 3.58% 3.19% 02/2012 10091.96491 9488.739703 2012-03-31 2012-04-30 2.54% 2.69% 03/2012 10453.68409 9791.430141 2012-04-30 2012-05-31 -5.06% -5.34% 04/2012 10718.94481 10054.95509 2012-05-31 2012-06-30 6.04% 6.00% 05/2012 10176.36606 9518.194729 2012-06-30 2012-07-31 2.91% 3.21% 06/2012 10791.28865 10089.60469 2012-07-31 2012-08-31 0.43% 0.33% 07/2012 11104.7786 10413.17889 2012-08-31 2012-09-30 -0.32% -0.23% 08/2012 11153.00782 10447.58394 2012-09-30 2012-10-31 1.19% 0.92% 09/2012 11116.8359 10423.83382 10/31/2012 11249.46627 10519.92204
One Year From 06/04/2008 -------- --------------- 17.33% 2.71% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS DFA International Small Cap Value Portfolio vs. MSCI World ex USA Small Cap Index (net div.) October 31, 2002 - October 31, 2012
DFA International MSCI World ex USA BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Value Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------------- -------------------------- 2002-10-31 2002-11-30 2.20% 2.80% 10/2002 10000 10000 2002-11-30 2002-12-31 1.23% -1.63% 11/2002 10220.38567 10280.36127 2002-12-31 2003-01-31 0.27% -1.08% 12/2002 10345.87623 10112.68225 2003-01-31 2003-02-28 0.54% -0.73% 01/2003 10373.99002 10003.91088 2003-02-28 2003-03-31 -0.94% -0.97% 02/2003 10430.21761 9930.581866 2003-03-31 2003-04-30 9.52% 9.17% 03/2003 10331.81933 9834.520856 2003-04-30 2003-05-31 10.06% 8.84% 04/2003 11315.80213 10735.97888 2003-05-31 2003-06-30 5.64% 5.21% 05/2003 12454.41079 11685.10077 2003-06-30 2003-07-31 4.06% 3.02% 06/2003 13157.25564 12294.46488 2003-07-31 2003-08-31 5.54% 6.58% 07/2003 13691.41773 12665.5097 2003-08-31 2003-09-30 5.64% 5.72% 08/2003 14450.49017 13499.13838 2003-09-30 2003-10-31 5.71% 7.97% 09/2003 15265.7902 14270.80405 2003-10-31 2003-11-30 0.44% 0.09% 10/2003 16137.31782 15408.62594 2003-11-30 2003-12-31 6.27% 6.10% 11/2003 16207.60231 15422.1918 2003-12-31 2004-01-31 6.10% 4.30% 12/2003 17223.89293 16363.49193 2004-01-31 2004-02-29 3.07% 3.03% 01/2004 18274.30578 17067.32826 2004-02-29 2004-03-31 4.20% 3.85% 02/2004 18835.48525 17584.05338 2004-03-31 2004-04-30 -3.52% -3.57% 03/2004 19626.8922 18261.7357 2004-04-30 2004-05-31 -0.99% -1.08% 04/2004 18936.20977 17609.59632 2004-05-31 2004-06-30 4.55% 5.05% 05/2004 18749.14995 17419.67417 2004-06-30 2004-07-31 -3.48% -4.41% 06/2004 19602.0768 18299.37792 2004-07-31 2004-08-31 1.23% 0.52% 07/2004 18920.13926 17492.39211 2004-08-31 2004-09-30 2.66% 2.74% 08/2004 19152.28821 17583.07566 2004-09-30 2004-10-31 3.26% 3.70% 09/2004 19661.20496 18064.114 2004-10-31 2004-11-30 8.75% 8.00% 10/2004 20302.0146 18732.50797 2004-11-30 2004-12-31 5.16% 4.66% 11/2004 22078.80498 20230.49754 2004-12-31 2005-01-31 2.79% 1.54% 12/2004 23218.50509 21173.63089 2005-01-31 2005-02-28 4.74% 4.25% 01/2005 23866.814 21499.82279 2005-02-28 2005-03-31 -0.94% -1.63% 02/2005 24997.58535 22413.3801 2005-03-31 2005-04-30 -1.95% -2.82% 03/2005 24762.08069 22048.44603 2005-04-30 2005-05-31 -1.49% 0.24% 04/2005 24279.50664 21427.47149 2005-05-31 2005-06-30 2.35% 2.65% 05/2005 23917.57611 21477.9463 2005-06-30 2005-07-31 3.80% 4.34% 06/2005 24479.11656 22047.59053 2005-07-31 2005-08-31 3.90% 3.07% 07/2005 25409.4755 23005.5119 2005-08-31 2005-09-30 2.34% 4.05% 08/2005 26400.84159 23711.5481 2005-09-30 2005-10-31 -2.32% -3.64% 09/2005 27017.81428 24672.76927 2005-10-31 2005-11-30 1.86% 3.33% 10/2005 26390.56038 23773.87776 2005-11-30 2005-12-31 6.44% 7.77% 11/2005 26880.1244 24566.4422 2005-12-31 2006-01-31 7.33% 7.13% 12/2005 28611.84883 26476.05196 2006-01-31 2006-02-28 0.21% -1.26% 01/2006 30708.54575 28363.54081 2006-02-28 2006-03-31 4.77% 4.70% 02/2006 30773.0595 28007.52844 2006-03-31 2006-04-30 4.15% 4.65% 03/2006 32240.74735 29324.27312 2006-04-30 2006-05-31 -4.80% -5.53% 04/2006 33579.4077 30689.17052 2006-05-31 2006-06-30 -1.86% -2.44% 05/2006 31966.56392 28993.19262 2006-06-30 2006-07-31 -0.36% -2.44% 06/2006 31371.49468 28287.15642 2006-07-31 2006-08-31 2.55% 2.92% 07/2006 31257.71206 27596.27488 2006-08-31 2006-09-30 0.95% -0.27% 08/2006 32054.19042 28403.13848 2006-09-30 2006-10-31 4.39% 3.97% 09/2006 32358.39765 28326.75409 2006-10-31 2006-11-30 4.83% 4.30% 10/2006 33777.33948 29451.37675 2006-11-30 2006-12-31 3.75% 2.96% 11/2006 35408.3071 30718.13549 2006-12-31 2007-01-31 2.67% 2.04% 12/2006 36736.01328 31627.53749 2007-01-31 2007-02-28 1.81% 1.75% 01/2007 37715.17404 32272.7106 2007-02-28 2007-03-31 4.35% 3.31% 02/2007 38397.08958 32838.96678 2007-03-31 2007-04-30 2.97% 3.86% 03/2007 40065.44585 33927.45354 2007-04-30 2007-05-31 1.91% 1.48% 04/2007 41254.64284 35235.68238 2007-05-31 2007-06-30 -0.42% -0.22% 05/2007 42041.61144 35756.40447 2007-06-30 2007-07-31 -0.25% -0.62% 06/2007 41864.28685 35678.49384 2007-07-31 2007-08-31 -4.10% -5.27% 07/2007 41758.34601 35458.88265 2007-08-31 2007-09-30 2.08% 2.26% 08/2007 40045.63584 33588.85261 2007-09-30 2007-10-31 3.94% 6.75% 09/2007 40878.91553 34347.37477 2007-10-31 2007-11-30 -8.12% -8.22% 10/2007 42489.99449 36666.45619 2007-11-30 2007-12-31 -3.12% -2.93% 11/2007 39037.68244 33651.89447 2007-12-31 2008-01-31 -6.60% -9.69% 12/2007 37818.16915 32665.84943 2008-01-31 2008-02-29 2.19% 4.75% 01/2008 35324.0261 29499.34371 2008-02-29 2008-03-31 0.93% -1.10% 02/2008 36097.40379 30900.25113 2008-03-31 2008-04-30 1.70% 2.43% 03/2008 36432.92044 30559.07123 2008-04-30 2008-05-31 2.20% 2.02% 04/2008 37052.72557 31302.66056 2008-05-31 2008-06-30 -8.74% -7.72% 05/2008 37866.21982 31934.98609 2008-06-30 2008-07-31 -4.44% -5.04% 06/2008 34558.3639 29469.08612 2008-07-31 2008-08-31 -3.22% -3.70% 07/2008 33022.43662 27983.11507 2008-08-31 2008-09-30 -14.39% -17.59% 08/2008 31959.10235 26948.38903 2008-09-30 2008-10-31 -21.76% -24.69% 09/2008 27359.58617 22208.12594 2008-10-31 2008-11-30 -5.55% -4.85% 10/2008 21404.96908 16725.9932 2008-11-30 2008-12-31 9.09% 6.67% 11/2008 20218.00222 15915.4982 2008-12-31 2009-01-31 -8.43% -5.81% 12/2008 22056.30379 16976.82197 2009-01-31 2009-02-28 -10.99% -9.13% 01/2009 20196.61544 15990.85442 2009-02-28 2009-03-31 6.52% 6.42% 02/2009 17976.98741 14530.25847 2009-03-31 2009-04-30 16.21% 15.42% 03/2009 19149.83234 15463.34586 2009-04-30 2009-05-31 13.77% 14.80% 04/2009 22254.66917 17847.05291 2009-05-31 2009-06-30 -0.33% 1.20% 05/2009 25319.4436 20488.08275 2009-06-30 2009-07-31 9.31% 8.04% 06/2009 25235.54408 20734.19195 2009-07-31 2009-08-31 8.66% 7.71% 07/2009 27584.92058 22400.38324 2009-08-31 2009-09-30 4.71% 5.62% 08/2009 29974.80356 24126.94183 2009-09-30 2009-10-31 -3.56% -1.54% 09/2009 31387.09855 25482.95277 2009-10-31 2009-11-30 0.47% 0.78% 10/2009 30271.203 25089.83656 2009-11-30 2009-12-31 1.17% 1.26% 11/2009 30413.22607 25285.39782 2009-12-31 2010-01-31 -1.92% -1.32% 12/2009 30770.32764 25605.13818 2010-01-31 2010-02-28 -0.95% -0.57% 01/2010 30178.98271 25267.75281 2010-02-28 2010-03-31 8.12% 7.43% 02/2010 29893.50584 25123.10577 2010-03-31 2010-04-30 1.26% 1.98% 03/2010 32320.05917 26990.81055 2010-04-30 2010-05-31 -13.46% -12.02% 04/2010 32727.88326 27524.18506 2010-05-31 2010-06-30 -2.01% -0.94% 05/2010 28323.38308 24217.06723 2010-06-30 2010-07-31 9.73% 8.58% 06/2010 27754.01313 23989.84633 2010-07-31 2010-08-31 -4.67% -2.60% 07/2010 30453.17847 26047.28284 2010-08-31 2010-09-30 11.23% 11.35% 08/2010 29031.4807 25370.52793 2010-09-30 2010-10-31 3.13% 4.12% 09/2010 32291.35236 28249.16302 2010-10-31 2010-11-30 -2.85% -2.62% 10/2010 33301.10109 29413.47921 2010-11-30 2010-12-31 12.32% 11.31% 11/2010 32353.1737 28642.44678 2010-12-31 2011-01-31 2.09% 0.52% 12/2010 36340.06099 31880.68407 2011-01-31 2011-02-28 2.90% 2.84% 01/2011 37100.66693 32047.93572 2011-02-28 2011-03-31 0.50% -0.09% 02/2011 38178.19199 32959.15007 2011-03-31 2011-04-30 4.30% 4.96% 03/2011 38368.34347 32928.70757 2011-04-30 2011-05-31 -3.43% -2.77% 04/2011 40016.32298 34561.32949 2011-05-31 2011-06-30 -2.18% -2.16% 05/2011 38643.00672 33604.25511 2011-06-30 2011-07-31 -1.92% -0.55% 06/2011 37800.09835 32877.18471 2011-07-31 2011-08-31 -9.51% -7.90% 07/2011 37073.58431 32697.80079 2011-08-31 2011-09-30 -11.80% -11.48% 08/2011 33547.8544 30114.81104 2011-09-30 2011-10-31 7.61% 8.12% 09/2011 29589.60546 26657.38383 2011-10-31 2011-11-30 -3.23% -5.02% 10/2011 31840.98849 28821.61096 2011-11-30 2011-12-31 -2.66% -1.95% 11/2011 30811.78482 27373.73844 2011-12-31 2012-01-31 10.01% 8.26% 12/2011 29993.36925 26841.00507 2012-01-31 2012-02-29 5.96% 5.66% 01/2012 32997.12346 29057.81172 2012-02-29 2012-03-31 0.13% -0.66% 02/2012 34962.81555 30703.77339 2012-03-31 2012-04-30 -2.78% -0.52% 03/2012 35006.98841 30500.40725 2012-04-30 2012-05-31 -12.72% -11.75% 04/2012 34035.18558 30341.79301 2012-05-31 2012-06-30 4.93% 3.45% 05/2012 29706.2457 26776.21775 2012-06-30 2012-07-31 -0.29% 0.77% 06/2012 31171.05716 27700.1125 2012-07-31 2012-08-31 3.67% 2.87% 07/2012 31081.48516 27914.05878 2012-08-31 2012-09-30 4.67% 4.74% 08/2012 32223.52821 28715.67731 2012-09-30 2012-10-31 0.93% 0.49% 09/2012 33729.92979 30076.12527 10/31/2012 34044.32328 30222.67959
One Year Five Years Ten Years -------- ---------- --------- 6.92% -4.33% 13.03% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. International Vector Equity Portfolio vs. MSCI World ex USA Index (net div.) August 14, 2008 - October 31, 2012
International Vector MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Equity Portfolio USA Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- -------------------- 2008-08-14 2008-08-31 0.50% 0.52% 08/2008 10000 10000 2008-08-31 2008-09-30 -12.94% -14.44% 08/2008 10050 10052.06939 2008-09-30 2008-10-31 -22.97% -20.80% 09/2008 8750.000002 8600.768752 2008-10-31 2008-11-30 -5.93% -5.42% 10/2008 6740.000001 6811.639984 2008-11-30 2008-12-31 7.22% 5.27% 11/2008 6340.000002 6442.245585 2008-12-31 2009-01-31 -10.78% -9.33% 12/2008 6797.589343 6781.851034 2009-01-31 2009-02-28 -11.09% -10.12% 01/2009 6064.61442 6149.056066 2009-02-28 2009-03-31 9.48% 6.59% 02/2009 5391.884013 5526.576248 2009-03-31 2009-04-30 17.21% 12.90% 03/2009 5902.989202 5890.752975 2009-04-30 2009-05-31 15.41% 12.65% 04/2009 6918.665368 6650.415967 2009-05-31 2009-06-30 -0.66% -1.04% 05/2009 7984.622531 7491.468867 2009-06-30 2009-07-31 9.87% 9.39% 06/2009 7931.868696 7413.892361 2009-07-31 2009-08-31 6.42% 4.79% 07/2009 8714.886503 8110.039659 2009-08-31 2009-09-30 5.03% 4.13% 08/2009 9274.184936 8498.716158 2009-09-30 2009-10-31 -3.46% -1.61% 09/2009 9740.444039 8849.359501 2009-10-31 2009-11-30 2.17% 2.47% 10/2009 9403.863248 8707.299651 2009-11-30 2009-12-31 1.12% 1.59% 11/2009 9607.851608 8922.740415 2009-12-31 2010-01-31 -3.48% -4.69% 12/2009 9715.325668 9064.978379 2010-01-31 2010-02-28 -0.22% -0.10% 01/2010 9377.490319 8640.06291 2010-02-28 2010-03-31 7.93% 6.44% 02/2010 9357.015448 8631.404207 2010-03-31 2010-04-30 0.20% -1.49% 03/2010 10099.39563 9187.037066 2010-04-30 2010-05-31 -12.35% -11.03% 04/2010 10119.88122 9050.055812 2010-05-31 2010-06-30 -1.51% -1.45% 05/2010 8870.260261 8051.384335 2010-06-30 2010-07-31 10.56% 9.24% 06/2010 8736.260406 7934.911348 2010-07-31 2010-08-31 -4.18% -2.99% 07/2010 9658.593948 8668.297762 2010-08-31 2010-09-30 11.18% 9.59% 08/2010 9254.425317 8409.204567 2010-09-30 2010-10-31 3.84% 3.56% 09/2010 10289.41938 9215.873596 2010-10-31 2010-11-30 -3.60% -4.23% 10/2010 10684.36679 9544.181032 2010-11-30 2010-12-31 10.65% 8.05% 11/2010 10299.81273 9139.990028 2010-12-31 2011-01-31 2.31% 2.15% 12/2010 11396.5556 9875.956309 2011-01-31 2011-02-28 3.34% 3.71% 01/2011 11659.87712 10088.70327 2011-02-28 2011-03-31 -1.40% -2.00% 02/2011 12049.59298 10462.78756 2011-03-31 2011-04-30 5.06% 5.45% 03/2011 11880.95555 10253.19172 2011-04-30 2011-05-31 -3.30% -2.96% 04/2011 12482.38935 10811.59736 2011-05-31 2011-06-30 -2.06% -1.42% 05/2011 12070.88201 10491.09449 2011-06-30 2011-07-31 -2.35% -1.65% 06/2011 11822.7466 10341.67887 2011-07-31 2011-08-31 -8.89% -8.45% 07/2011 11544.81585 10171.08399 2011-08-31 2011-09-30 -11.97% -10.04% 08/2011 10518.61 9311.188853 2011-09-30 2011-10-31 8.48% 9.73% 09/2011 9259.564258 8376.132319 2011-10-31 2011-11-30 -3.10% -4.62% 10/2011 10044.63765 9190.739787 2011-11-30 2011-12-31 -2.76% -1.09% 11/2011 9732.759178 8766.010708 2011-12-31 2012-01-31 8.18% 5.40% 12/2011 9464.12349 8670.35826 2012-01-31 2012-02-29 5.29% 5.50% 01/2012 10238.05882 9138.473251 2012-02-29 2012-03-31 0.00% -0.74% 02/2012 10779.81355 9640.89324 2012-03-31 2012-04-30 -2.46% -1.70% 03/2012 10779.8706 9569.537587 2012-04-30 2012-05-31 -12.32% -11.40% 04/2012 10514.24751 9407.114841 2012-05-31 2012-06-30 5.70% 6.55% 05/2012 9219.334921 8334.662277 2012-06-30 2012-07-31 -0.46% 1.25% 06/2012 9745.079301 8880.777458 2012-07-31 2012-08-31 3.48% 2.85% 07/2012 9700.067389 8991.355876 2012-08-31 2012-09-30 3.96% 3.04% 08/2012 10037.65674 9247.890447 2012-09-30 2012-10-31 0.97% 0.70% 09/2012 10435.29317 9528.671005 10/31/2012 10536.93564 9595.444724
One Year From 08/14/2008 -------- --------------- 4.90% 1.25% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. World Ex U.S. Value Portfolio vs. MSCI All Country World ex USA Index (net div.) August 23, 2010 - October 31, 2012
World Ex U.S. MSCI All Country BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Portfolio World ex USA Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------- ----------------------------- 2010-08-23 2010-08-31 -1.10% -0.80% 08/2010 10000 10000 2010-08-31 2010-09-30 11.02% 9.95% 08/2010 9890 9919.63902 2010-09-30 2010-10-31 3.37% 3.41% 09/2010 10980 10906.45191 2010-10-31 2010-11-30 -4.41% -3.86% 10/2010 11350 11277.9668 2010-11-30 2010-12-31 9.30% 7.83% 11/2010 10850 10842.76388 2010-12-31 2011-01-31 2.22% 0.98% 12/2010 11859.03339 11691.82335 2011-01-31 2011-02-28 2.17% 2.63% 01/2011 12122.11775 11806.89963 2011-02-28 2011-03-31 -0.60% -0.23% 02/2011 12385.2021 12117.90216 2011-03-31 2011-04-30 4.77% 4.89% 03/2011 12311.32196 12090.03991 2011-04-30 2011-05-31 -3.61% -2.88% 04/2011 12899.02293 12680.68759 2011-05-31 2011-06-30 -1.57% -1.45% 05/2011 12432.91527 12315.00308 2011-06-30 2011-07-31 -2.60% -1.36% 06/2011 12237.65652 12136.31095 2011-07-31 2011-08-31 -10.49% -8.57% 07/2011 11919.92842 11970.71607 2011-08-31 2011-09-30 -12.71% -11.13% 08/2011 10669.5146 10944.85409 2011-09-30 2011-10-31 10.18% 10.53% 09/2011 9313.529931 9727.230334 2011-10-31 2011-11-30 -3.71% -5.10% 10/2011 10261.36705 10751.94292 2011-11-30 2011-12-31 -2.94% -1.12% 11/2011 9880.171687 10203.25329 2011-12-31 2012-01-31 8.68% 6.78% 12/2011 9589.990747 10089.17208 2012-01-31 2012-02-29 5.39% 5.62% 01/2012 10422.09407 10773.674 2012-02-29 2012-03-31 -1.57% -1.38% 02/2012 10983.76381 11378.90666 2012-03-31 2012-04-30 -3.46% -1.58% 03/2012 10811.07453 11222.40248 2012-04-30 2012-05-31 -12.06% -11.36% 04/2012 10436.48484 11045.46269 2012-05-31 2012-06-30 6.30% 5.90% 05/2012 9177.447286 9791.158967 2012-06-30 2012-07-31 -0.54% 1.41% 06/2012 9755.419868 10368.62815 2012-07-31 2012-08-31 3.49% 2.09% 07/2012 9702.573605 10515.15608 2012-08-31 2012-09-30 4.32% 3.74% 08/2012 10040.78968 10735.02446 2012-09-30 2012-10-31 0.61% 0.39% 09/2012 10474.51887 11136.0532 10/31/2012 10538.12931 11179.33451
One Year From 08/23/2010 -------- --------------- 2.70% 2.42% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Selectively Hedged Global Equity Portfolio vs. MSCI All Country World Index (Net Div) November 14, 2011 - October 31, 2012
Selectively Hedged MSCI All Country BeginDate EndDate FundReturns Benchmark0Returns EndDate Global Equity Portfolio World Index (Net Div) --------- ---------- ----------- ----------------- ---------- ----------------------- --------------------- 2011-11-14 2011-11-30 -0.80% -1.27% 11/2011 10000 10000 2011-11-30 2011-12-31 -0.92% -0.20% 11/2011 9920 9873.3175 2011-12-31 2012-01-31 7.17% 5.81% 12/2011 9828.401674 9853.398339 2012-01-31 2012-02-29 5.16% 5.03% 01/2012 10533.30753 10426.3073 2012-02-29 2012-03-31 0.57% 0.66% 02/2012 11077.09205 10950.89422 2012-03-31 2012-04-30 -1.81% -1.14% 03/2012 11140.56114 11023.62419 2012-04-30 2012-05-31 -8.93% -8.97% 04/2012 10939.10434 10897.59352 2012-05-31 2012-06-30 4.82% 4.94% 05/2012 9962.038852 9920.511187 2012-06-30 2012-07-31 0.19% 1.37% 06/2012 10442.36564 10410.49989 2012-07-31 2012-08-31 2.72% 2.17% 07/2012 10462.72113 10552.99319 2012-08-31 2012-09-30 3.48% 3.15% 08/2012 10747.69797 10782.4894 2012-09-30 2012-10-31 -0.09% -0.67% 09/2012 11121.75467 11122.1116 10/31/2012 11111.53246 11047.92843
From 11/14/2011 --------------- 11.11% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Portfolio vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
MSCI Emerging Emerging Markets Markets Index BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio (net div.) --------- ---------- ----------- ----------------- ---------- ----------- ------------- 2002-10-31 2002-11-30 7.45% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.00% -3.33% 11/2002 10745.34162 10688.20463 2002-12-31 2003-01-31 -0.12% -0.44% 12/2002 10315.11682 10332.68124 2003-01-31 2003-02-28 -1.59% -2.81% 01/2003 10302.52205 10287.11002 2003-02-28 2003-03-31 -1.61% -2.86% 02/2003 10138.79004 9998.077641 2003-03-31 2003-04-30 13.38% 8.89% 03/2003 9975.058025 9712.550745 2003-04-30 2003-05-31 7.35% 7.15% 04/2003 11310.10367 10576.25547 2003-05-31 2003-06-30 3.84% 5.67% 05/2003 12141.35851 11332.42116 2003-06-30 2003-07-31 2.00% 6.22% 06/2003 12607.36501 11974.8284 2003-07-31 2003-08-31 4.51% 6.69% 07/2003 12859.26042 12719.45993 2003-08-31 2003-09-30 4.40% 0.73% 08/2003 13438.61985 13570.61278 2003-09-30 2003-10-31 7.63% 8.51% 09/2003 14030.57405 13669.44466 2003-10-31 2003-11-30 -1.00% 1.22% 10/2003 15101.12952 14832.47204 2003-11-30 2003-12-31 10.51% 7.24% 11/2003 14949.99228 15012.94766 2003-12-31 2004-01-31 1.85% 3.49% 12/2003 16521.50097 16099.9853 2004-01-31 2004-02-29 4.39% 4.59% 01/2004 16827.4547 16662.21886 2004-02-29 2004-03-31 0.65% 1.25% 02/2004 17566.84286 17426.29823 2004-03-31 2004-04-30 -6.34% -8.19% 03/2004 17681.5755 17644.0921 2004-04-30 2004-05-31 -1.23% -2.00% 04/2004 16559.74519 16199.38255 2004-05-31 2004-06-30 1.80% 0.43% 05/2004 16355.77604 15876.20003 2004-06-30 2004-07-31 -0.08% -1.83% 06/2004 16650.95828 15943.82184 2004-07-31 2004-08-31 2.78% 4.15% 07/2004 16638.10041 15651.96247 2004-08-31 2004-09-30 5.58% 5.77% 08/2004 17100.98419 16301.04143 2004-09-30 2004-10-31 2.79% 2.39% 09/2004 18055.80847 17241.52745 2004-10-31 2004-11-30 8.70% 9.26% 10/2004 18559.87184 17653.47774 2004-11-30 2004-12-31 6.40% 4.80% 11/2004 20175.45957 19287.7093 2004-12-31 2005-01-31 0.79% 0.25% 12/2004 21467.04118 20214.06032 2005-01-31 2005-02-28 7.46% 8.72% 01/2005 21636.17545 20265.39862 2005-02-28 2005-03-31 -6.88% -6.61% 02/2005 23249.45612 22033.51685 2005-03-31 2005-04-30 -2.41% -2.68% 03/2005 21650.40595 20577.38623 2005-04-30 2005-05-31 2.96% 3.48% 04/2005 21129.33722 20024.99063 2005-05-31 2005-06-30 2.97% 3.40% 05/2005 21754.6197 20722.01549 2005-06-30 2005-07-31 6.41% 6.99% 06/2005 22400.82669 21426.05132 2005-07-31 2005-08-31 0.61% 0.86% 07/2005 23836.27061 22923.68229 2005-08-31 2005-09-30 7.92% 9.31% 08/2005 23981.13192 23119.9891 2005-09-30 2005-10-31 -5.02% -6.54% 09/2005 25881.50169 25272.80535 2005-10-31 2005-11-30 7.22% 8.27% 10/2005 24582.78834 23620.93331 2005-11-30 2005-12-31 5.76% 5.91% 11/2005 26358.58006 25574.955 2005-12-31 2006-01-31 9.52% 11.17% 12/2005 27876.37477 27086.60788 2006-01-31 2006-02-28 -0.31% -0.12% 01/2006 30529.99122 30111.9491 2006-02-28 2006-03-31 1.36% 0.88% 02/2006 30436.17649 30076.21583 2006-03-31 2006-04-30 5.96% 7.12% 03/2006 30850.06928 30341.27525 2006-04-30 2006-05-31 -11.57% -10.48% 04/2006 32687.66036 32501.78094 2006-05-31 2006-06-30 -0.15% -0.24% 05/2006 28905.17361 29096.49107 2006-06-30 2006-07-31 1.83% 1.43% 06/2006 28860.37114 29025.36378 2006-07-31 2006-08-31 3.13% 2.55% 07/2006 29387.56293 29440.93262 2006-08-31 2006-09-30 1.35% 0.83% 08/2006 30306.76913 30191.10507 2006-09-30 2006-10-31 5.94% 4.75% 09/2006 30714.43419 30442.48182 2006-10-31 2006-11-30 6.37% 7.43% 10/2006 32540.40321 31887.98293 2006-11-30 2006-12-31 4.03% 4.50% 11/2006 34611.65166 34258.36502 2006-12-31 2007-01-31 1.45% -1.08% 12/2006 36006.71469 35800.88873 2007-01-31 2007-02-28 -1.58% -0.59% 01/2007 36530.1482 35415.39915 2007-02-28 2007-03-31 4.56% 3.98% 02/2007 35951.61644 35205.20002 2007-03-31 2007-04-30 6.34% 4.63% 03/2007 37590.03764 36607.13479 2007-04-30 2007-05-31 6.69% 4.95% 04/2007 39973.86335 38301.93602 2007-05-31 2007-06-30 1.63% 4.69% 05/2007 42647.05519 40199.01976 2007-06-30 2007-07-31 2.37% 5.28% 06/2007 43340.76112 42083.39264 2007-07-31 2007-08-31 -1.75% -2.13% 07/2007 44367.7276 44303.84785 2007-08-31 2007-09-30 8.81% 11.04% 08/2007 43590.56378 43362.3024 2007-09-30 2007-10-31 10.92% 11.15% 09/2007 47431.78844 48150.94986 2007-10-31 2007-11-30 -6.53% -7.09% 10/2007 52610.47988 53520.78318 2007-11-30 2007-12-31 -0.41% 0.35% 11/2007 49176.63056 49726.86787 2007-12-31 2008-01-31 -8.74% -12.48% 12/2007 48975.27654 49901.25085 2008-01-31 2008-02-29 3.17% 7.38% 01/2008 44695.59983 43673.8733 2008-02-29 2008-03-31 -3.12% -5.29% 02/2008 46112.42113 46897.54641 2008-03-31 2008-04-30 7.11% 8.12% 03/2008 44673.03969 44415.76252 2008-04-30 2008-05-31 0.58% 1.86% 04/2008 47848.2934 48020.26653 2008-05-31 2008-06-30 -10.29% -9.97% 05/2008 48126.31101 48911.10737 2008-06-30 2008-07-31 -1.33% -3.77% 06/2008 43173.37154 44032.83828 2008-07-31 2008-08-31 -5.96% -7.99% 07/2008 42598.11992 42371.91524 2008-08-31 2008-09-30 -13.95% -17.50% 08/2008 40061.11278 38987.53211 2008-09-30 2008-10-31 -26.35% -27.37% 09/2008 34471.94699 32164.58346 2008-10-31 2008-11-30 -9.09% -7.53% 10/2008 25388.62618 23361.83389 2008-11-30 2008-12-31 7.79% 7.80% 11/2008 23080.56925 21603.22571 2008-12-31 2009-01-31 -7.65% -6.46% 12/2008 24879.66464 23288.18785 2009-01-31 2009-02-28 -6.56% -5.64% 01/2009 22977.54961 21784.22273 2009-02-28 2009-03-31 14.45% 14.37% 02/2009 21471.0745 20555.33038 2009-03-31 2009-04-30 14.77% 16.64% 03/2009 24574.41705 23509.27602 2009-04-30 2009-05-31 17.04% 17.09% 04/2009 28204.902 27421.45939 2009-05-31 2009-06-30 -0.88% -1.35% 05/2009 33009.95561 32106.85072 2009-06-30 2009-07-31 11.40% 11.24% 06/2009 32719.45461 31674.35664 2009-07-31 2009-08-31 0.34% -0.36% 07/2009 36450.48581 35236.07119 2009-08-31 2009-09-30 8.76% 9.08% 08/2009 36573.3181 35109.92688 2009-09-30 2009-10-31 -2.10% 0.12% 09/2009 39777.95592 38296.8602 2009-10-31 2009-11-30 5.95% 4.30% 10/2009 38944.42484 38344.23233 2009-11-30 2009-12-31 3.58% 3.95% 11/2009 41259.78898 39991.33055 2009-12-31 2010-01-31 -5.48% -5.58% 12/2009 42735.73871 41570.63621 2010-01-31 2010-02-28 1.21% 0.35% 01/2010 40394.70009 39252.15628 2010-02-28 2010-03-31 8.34% 8.07% 02/2010 40881.76181 39390.3133 2010-03-31 2010-04-30 0.57% 1.21% 03/2010 44291.67311 42570.3986 2010-04-30 2010-05-31 -9.33% -8.80% 04/2010 44543.50921 43086.13887 2010-05-31 2010-06-30 0.15% -0.74% 05/2010 40388.21366 39296.4307 2010-06-30 2010-07-31 8.78% 8.33% 06/2010 40449.89618 39007.56331 2010-07-31 2010-08-31 -2.34% -1.94% 07/2010 44001.74908 42255.92483 2010-08-31 2010-09-30 11.34% 11.11% 08/2010 42971.07748 41435.27509 2010-09-30 2010-10-31 3.00% 2.90% 09/2010 47842.98284 46039.95583 2010-10-31 2010-11-30 -2.27% -2.64% 10/2010 49278.27233 47376.79589 2010-11-30 2010-12-31 8.09% 7.14% 11/2010 48161.93606 46126.15023 2010-12-31 2011-01-31 -2.61% -2.71% 12/2010 52059.25944 49417.68963 2011-01-31 2011-02-28 -0.74% -0.93% 01/2011 50700.89651 48076.93112 2011-02-28 2011-03-31 5.53% 5.88% 02/2011 50327.34671 47628.60177 2011-03-31 2011-04-30 3.48% 3.10% 03/2011 53111.99073 50428.86654 2011-04-30 2011-05-31 -2.78% -2.62% 04/2011 54962.76022 51993.18073 2011-05-31 2011-06-30 -1.22% -1.54% 05/2011 53434.60192 50629.43612 2011-06-30 2011-07-31 -0.81% -0.44% 06/2011 52783.60604 49850.56795 2011-07-31 2011-08-31 -8.12% -8.94% 07/2011 52356.69237 49629.16113 2011-08-31 2011-09-30 -15.14% -14.58% 08/2011 48104.63223 45194.09196 2011-09-30 2011-10-31 12.48% 13.25% 09/2011 40823.31789 38605.04085 2011-10-31 2011-11-30 -3.52% -6.66% 10/2011 45917.62736 43718.55662 2011-11-30 2011-12-31 -2.95% -1.21% 11/2011 44299.83988 40804.88147 2011-12-31 2012-01-31 10.73% 11.34% 12/2011 42993.82498 40313.07288 2012-01-31 2012-02-29 5.40% 5.99% 01/2012 47606.12004 44885.64739 2012-02-29 2012-03-31 -2.63% -3.34% 02/2012 50174.53534 47574.28607 2012-03-31 2012-04-30 -1.81% -1.20% 03/2012 48854.15283 45986.28864 2012-04-30 2012-05-31 -10.78% -11.21% 04/2012 47967.86869 45436.70648 2012-05-31 2012-06-30 4.89% 3.86% 05/2012 42794.86325 40341.21113 2012-06-30 2012-07-31 0.81% 1.95% 06/2012 44887.31089 41898.19616 2012-07-31 2012-08-31 0.60% -0.33% 07/2012 45251.36045 42715.46911 2012-08-31 2012-09-30 5.58% 6.03% 08/2012 45524.39763 42573.22844 2012-09-30 2012-10-31 -0.57% -0.61% 09/2012 48066.69862 45142.17877 10/31/2012 47791.61259 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 4.08% -1.90% 16.93% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Small Cap Portfolio vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
Emerging Markets MSCI Emerging BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Portfolio Markets Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------- ------------------------ 2002-10-31 2002-11-30 7.68% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.40% -3.33% 11/2002 10767.8245 10688.20463 2002-12-31 2003-01-31 1.80% -0.44% 12/2002 10401.29308 10332.68124 2003-01-31 2003-02-28 -1.06% -2.81% 01/2003 10588.3667 10287.11002 2003-02-28 2003-03-31 -0.89% -2.86% 02/2003 10476.12253 9998.077641 2003-03-31 2003-04-30 12.97% 8.89% 03/2003 10382.58572 9712.550745 2003-04-30 2003-05-31 7.50% 7.15% 04/2003 11729.51576 10576.25547 2003-05-31 2003-06-30 4.30% 5.67% 05/2003 12608.76176 11332.42116 2003-06-30 2003-07-31 1.99% 6.22% 06/2003 13151.27524 11974.8284 2003-07-31 2003-08-31 6.00% 6.69% 07/2003 13413.17831 12719.45993 2003-08-31 2003-09-30 3.82% 0.73% 08/2003 14217.59485 13570.61278 2003-09-30 2003-10-31 8.62% 8.51% 09/2003 14760.10834 13669.44466 2003-10-31 2003-11-30 1.98% 1.22% 10/2003 16032.20893 14832.47204 2003-11-30 2003-12-31 9.93% 7.24% 11/2003 16350.23408 15012.94766 2003-12-31 2004-01-31 2.97% 3.49% 12/2003 17973.65769 16099.9853 2004-01-31 2004-02-29 4.22% 4.59% 01/2004 18506.77466 16662.21886 2004-02-29 2004-03-31 1.68% 1.25% 02/2004 19287.41022 17426.29823 2004-03-31 2004-04-30 -5.63% -8.19% 03/2004 19611.08838 17644.0921 2004-04-30 2004-05-31 -4.22% -2.00% 04/2004 18506.77467 16199.38255 2004-05-31 2004-06-30 0.83% 0.43% 05/2004 17726.13911 15876.20003 2004-06-30 2004-07-31 0.64% -1.83% 06/2004 17873.22791 15943.82184 2004-07-31 2004-08-31 3.30% 4.15% 07/2004 17988.04522 15651.96247 2004-08-31 2004-09-30 5.56% 5.77% 08/2004 18581.26799 16301.04143 2004-09-30 2004-10-31 2.45% 2.39% 09/2004 19615.25972 17241.52745 2004-10-31 2004-11-30 9.47% 9.26% 10/2004 20096.02589 17653.47774 2004-11-30 2004-12-31 5.30% 4.80% 11/2004 21999.85993 19287.7093 2004-12-31 2005-01-31 2.78% 0.25% 12/2004 23165.02671 20214.06032 2005-01-31 2005-02-28 6.33% 8.72% 01/2005 23808.49966 20265.39862 2005-02-28 2005-03-31 -6.97% -6.61% 02/2005 25316.63943 22033.51685 2005-03-31 2005-04-30 -3.68% -2.68% 03/2005 23550.83068 20577.38623 2005-04-30 2005-05-31 1.95% 3.48% 04/2005 22684.54692 20024.99063 2005-05-31 2005-06-30 2.53% 3.40% 05/2005 23127.76186 20722.01549 2005-06-30 2005-07-31 5.48% 6.99% 06/2005 23713.88192 21426.05132 2005-07-31 2005-08-31 0.65% 0.86% 07/2005 25013.27271 22923.68229 2005-08-31 2005-09-30 6.56% 9.31% 08/2005 25175.69655 23119.9891 2005-09-30 2005-10-31 -4.88% -6.54% 09/2005 26827.17702 25272.80535 2005-10-31 2005-11-30 7.13% 8.27% 10/2005 25518.53424 23620.93331 2005-11-30 2005-12-31 6.55% 5.91% 11/2005 27338.36561 25574.955 2005-12-31 2006-01-31 9.65% 11.17% 12/2005 29129.72841 27086.60788 2006-01-31 2006-02-28 1.05% -0.12% 01/2006 31941.96443 30111.9491 2006-02-28 2006-03-31 1.83% 0.88% 02/2006 32277.75381 30076.21583 2006-03-31 2006-04-30 8.12% 7.12% 03/2006 32867.3813 30341.27525 2006-04-30 2006-05-31 -10.53% -10.48% 04/2006 35536.27991 32501.78094 2006-05-31 2006-06-30 -4.41% -0.24% 05/2006 31795.61887 29096.49107 2006-06-30 2006-07-31 2.30% 1.43% 06/2006 30392.25289 29025.36378 2006-07-31 2006-08-31 3.47% 2.55% 07/2006 31091.16881 29440.93262 2006-08-31 2006-09-30 2.77% 0.83% 08/2006 32171.31161 30191.10507 2006-09-30 2006-10-31 7.54% 4.75% 09/2006 33061.93462 30442.48182 2006-10-31 2006-11-30 7.61% 7.43% 10/2006 35554.3614 31887.98293 2006-11-30 2006-12-31 4.54% 4.50% 11/2006 38259.8161 34258.36502 2006-12-31 2007-01-31 1.88% -1.08% 12/2006 39997.46853 35800.88873 2007-01-31 2007-02-28 0.89% -0.59% 01/2007 40749.12938 35415.39915 2007-02-28 2007-03-31 4.43% 3.98% 02/2007 41113.57101 35205.20002 2007-03-31 2007-04-30 7.64% 4.63% 03/2007 42935.77914 36607.13479 2007-04-30 2007-05-31 7.93% 4.95% 04/2007 46215.75377 38301.93602 2007-05-31 2007-06-30 2.99% 4.69% 05/2007 49882.94765 40199.01976 2007-06-30 2007-07-31 4.86% 5.28% 06/2007 51373.07789 42083.39264 2007-07-31 2007-08-31 -4.17% -2.13% 07/2007 53869.58503 44303.84785 2007-08-31 2007-09-30 6.87% 11.04% 08/2007 51625.01898 43362.3024 2007-09-30 2007-10-31 7.50% 11.15% 09/2007 55172.5344 48150.94986 2007-10-31 2007-11-30 -8.02% -7.09% 10/2007 59308.75106 53520.78318 2007-11-30 2007-12-31 1.19% 0.35% 11/2007 54552.1019 49726.86787 2007-12-31 2008-01-31 -12.06% -12.48% 12/2007 55203.09732 49901.25085 2008-01-31 2008-02-29 2.89% 7.38% 01/2008 48546.18072 43673.8733 2008-02-29 2008-03-31 -4.74% -5.29% 02/2008 49951.52978 46897.54641 2008-03-31 2008-04-30 6.12% 8.12% 03/2008 47584.93673 44415.76252 2008-04-30 2008-05-31 -0.64% 1.86% 04/2008 50495.78304 48020.26653 2008-05-31 2008-06-30 -11.52% -9.97% 05/2008 50175.09659 48911.10737 2008-06-30 2008-07-31 -1.57% -3.77% 06/2008 44393.86212 44032.83828 2008-07-31 2008-08-31 -6.04% -7.99% 07/2008 43696.70668 42371.91524 2008-08-31 2008-09-30 -18.06% -17.50% 08/2008 41057.4754 38987.53211 2008-09-30 2008-10-31 -30.34% -27.37% 09/2008 33640.76609 32164.58346 2008-10-31 2008-11-30 -6.12% -7.53% 10/2008 23432.88041 23361.83389 2008-11-30 2008-12-31 14.08% 7.80% 11/2008 21999.75361 21603.22571 2008-12-31 2009-01-31 -7.69% -6.46% 12/2008 25098.21276 23288.18785 2009-01-31 2009-02-28 -6.14% -5.64% 01/2009 23167.581 21784.22273 2009-02-28 2009-03-31 13.76% 14.37% 02/2009 21745.01024 20555.33038 2009-03-31 2009-04-30 20.25% 16.64% 03/2009 24737.14625 23509.27602 2009-04-30 2009-05-31 22.91% 17.09% 04/2009 29745.59209 27421.45939 2009-05-31 2009-06-30 -0.50% -1.35% 05/2009 36559.11234 32106.85072 2009-06-30 2009-07-31 12.68% 11.24% 06/2009 36377.95602 31674.35664 2009-07-31 2009-08-31 1.19% -0.36% 07/2009 40992.49589 35236.07119 2009-08-31 2009-09-30 8.34% 9.08% 08/2009 41479.58621 35109.92688 2009-09-30 2009-10-31 -0.11% 0.12% 09/2009 44939.17255 38296.8602 2009-10-31 2009-11-30 5.85% 4.30% 10/2009 44887.72531 38344.23233 2009-11-30 2009-12-31 5.51% 3.95% 11/2009 47511.53504 39991.33055 2009-12-31 2010-01-31 -4.43% -5.58% 12/2009 50130.46794 41570.63621 2010-01-31 2010-02-28 1.72% 0.35% 01/2010 47910.47812 39252.15628 2010-02-28 2010-03-31 8.54% 8.07% 02/2010 48736.52084 39390.3133 2010-03-31 2010-04-30 1.61% 1.21% 03/2010 52898.58192 42570.3986 2010-04-30 2010-05-31 -10.09% -8.80% 04/2010 53750.95164 43086.13887 2010-05-31 2010-06-30 2.65% -0.74% 05/2010 48326.78065 39296.4307 2010-06-30 2010-07-31 9.18% 8.33% 06/2010 49605.02608 39007.56331 2010-07-31 2010-08-31 0.48% -1.94% 07/2010 54157.13911 42255.92483 2010-08-31 2010-09-30 12.11% 11.11% 08/2010 54417.25986 41435.27509 2010-09-30 2010-10-31 3.99% 2.90% 09/2010 61007.92681 46039.95583 2010-10-31 2010-11-30 -2.72% -2.64% 10/2010 63439.87587 47376.79589 2010-11-30 2010-12-31 5.75% 7.14% 11/2010 61713.97653 46126.15023 2010-12-31 2011-01-31 -4.24% -2.71% 12/2010 65262.00898 49417.68963 2011-01-31 2011-02-28 -2.95% -0.93% 01/2011 62495.29039 48076.93112 2011-02-28 2011-03-31 5.55% 5.88% 02/2011 60650.81133 47628.60177 2011-03-31 2011-04-30 5.25% 3.10% 03/2011 64014.27315 50428.86654 2011-04-30 2011-05-31 -2.29% -2.62% 04/2011 67377.73496 51993.18073 2011-05-31 2011-06-30 -0.81% -1.54% 05/2011 65831.62751 50629.43612 2011-06-30 2011-07-31 1.13% -0.44% 06/2011 65298.14039 49850.56795 2011-07-31 2011-08-31 -9.51% -8.94% 07/2011 66035.20134 49629.16113 2011-08-31 2011-09-30 -17.79% -14.58% 08/2011 59756.534 45194.09196 2011-09-30 2011-10-31 11.02% 13.25% 09/2011 49128.28936 38605.04085 2011-10-31 2011-11-30 -4.89% -6.66% 10/2011 54541.19372 43718.55662 2011-11-30 2011-12-31 -2.65% -1.21% 11/2011 51875.95656 40804.88147 2011-12-31 2012-01-31 11.27% 11.34% 12/2011 50498.74336 40313.07288 2012-01-31 2012-02-29 8.17% 5.99% 01/2012 56191.53497 44885.64739 2012-02-29 2012-03-31 -2.61% -3.34% 02/2012 60779.75506 47574.28607 2012-03-31 2012-04-30 -2.39% -1.20% 03/2012 59193.70367 45986.28864 2012-04-30 2012-05-31 -9.17% -11.21% 04/2012 57777.58636 45436.70648 2012-05-31 2012-06-30 3.83% 3.86% 05/2012 52481.30761 40341.21113 2012-06-30 2012-07-31 -1.26% 1.95% 06/2012 54491.14635 41898.19616 2012-07-31 2012-08-31 2.60% -0.33% 07/2012 53807.15707 42715.46911 2012-08-31 2012-09-30 5.85% 6.03% 08/2012 55203.6352 42573.22844 2012-09-30 2012-10-31 -0.39% -0.61% 09/2012 58430.911 45142.17877 10/31/2012 58201.88243 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 6.71% -0.38% 19.26% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Emerging Markets Value Portfolio - Class R2 vs. MSCI Emerging Markets Index (net div.) January 29, 2008 - October 31,2012
MSCI Emerging Emerging Markets Markets Index BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Portfolio - Class R2 (net div.) --------- ---------- ----------- ----------------- ------- -------------------------- ------------- 01/29/2008 01/31/2008 0.50% -1.29% 01/2008 $10,000 $10,000 02/29/2008 3.98% 7.38% 01/2008 $10,050 $ 9,871 03/31/2008 -3.38% -5.29% 02/2008 $10,450 $10,599 04/30/2008 7.67% 8.12% 03/2008 $10,097 $10,038 05/31/2008 0.83% 1.86% 04/2008 $10,872 $10,853 06/30/2008 -11.72% -9.97% 05/2008 $10,962 $11,054 07/31/2008 -1.94% -3.77% 06/2008 $ 9,677 $ 9,952 08/31/2008 -8.59% -7.99% 07/2008 $ 9,489 $ 9,576 09/30/2008 -17.29% -17.50% 08/2008 $ 8,674 $ 8,811 10/31/2008 -31.01% -27.37% 09/2008 $ 7,174 $ 7,269 11/30/2008 -7.68% -7.53% 10/2008 $ 4,949 $ 5,280 12/31/2008 12.06% 7.80% 11/2008 $ 4,569 $ 4,882 01/31/2009 -8.70% -6.46% 12/2008 $ 5,120 $ 5,263 02/28/2009 -8.84% -5.64% 01/2009 $ 4,675 $ 4,923 03/31/2009 17.37% 14.37% 02/2009 $ 4,262 $ 4,646 04/30/2009 19.87% 16.64% 03/2009 $ 5,002 $ 5,313 05/31/2009 22.46% 17.09% 04/2009 $ 5,996 $ 6,197 06/30/2009 -1.38% -1.35% 05/2009 $ 7,342 $ 7,256 07/31/2009 13.21% 11.24% 06/2009 $ 7,241 $ 7,159 08/31/2009 0.83% -0.36% 07/2009 $ 8,197 $ 7,964 09/30/2009 9.31% 9.08% 08/2009 $ 8,265 $ 7,935 10/31/2009 -2.34% 0.12% 09/2009 $ 9,035 $ 8,655 11/30/2009 6.40% 4.30% 10/2009 $ 8,823 $ 8,666 12/31/2009 4.89% 3.95% 11/2009 $ 9,388 $ 9,038 01/31/2010 -5.58% -5.58% 12/2009 $ 9,847 $ 9,395 02/28/2010 0.54% 0.35% 01/2010 $ 9,297 $ 8,871 03/31/2010 8.56% 8.07% 02/2010 $ 9,347 $ 8,902 04/30/2010 0.99% 1.21% 03/2010 $10,147 $ 9,621 05/31/2010 -10.73% -8.80% 04/2010 $10,246 $ 9,738 06/30/2010 0.57% -0.74% 05/2010 $ 9,147 $ 8,881 07/31/2010 9.64% 8.33% 06/2010 $ 9,199 $ 8,816 08/31/2010 -2.20% -1.94% 07/2010 $10,085 $ 9,550 09/30/2010 11.84% 11.11% 08/2010 $ 9,864 $ 9,365 10/31/2010 3.74% 2.90% 09/2010 $11,031 $10,405 11/30/2010 -3.61% -2.64% 10/2010 $11,444 $10,707 12/31/2010 8.42% 7.14% 11/2010 $11,031 $10,425 01/31/2011 -3.15% -2.71% 12/2010 $11,960 $11,169 02/28/2011 -1.66% -0.93% 01/2011 $11,583 $10,866 03/31/2011 5.72% 5.88% 02/2011 $11,391 $10,764 04/30/2011 3.51% 3.10% 03/2011 $12,043 $11,397 05/31/2011 -3.82% -2.62% 04/2011 $12,466 $11,751 06/30/2011 -2.10% -1.54% 05/2011 $11,990 $11,443 07/31/2011 -0.85% -0.44% 06/2011 $11,738 $11,267 08/31/2011 -10.18% -8.94% 07/2011 $11,639 $11,217 09/30/2011 -17.95% -14.58% 08/2011 $10,454 $10,214 10/31/2011 13.09% 13.25% 09/2011 $ 8,577 $ 8,725 11/30/2011 -5.10% -6.66% 10/2011 $ 9,701 $ 9,881 12/31/2011 -3.59% -1.21% 11/2011 $ 9,206 $ 9,222 01/31/2012 13.83% 11.34% 12/2011 $ 8,875 $ 9,111 02/29/2012 6.06% 5.99% 01/2012 $10,102 $10,144 03/31/2012 -4.31% -3.34% 02/2012 $10,714 $10,752 04/30/2012 -3.27% -1.20% 03/2012 $10,253 $10,393 05/31/2012 -11.10% -11.21% 04/2012 $ 9,918 $10,269 06/30/2012 4.50% 3.86% 05/2012 $ 8,817 $ 9,117 07/31/2012 -0.63% 1.95% 06/2012 $ 9,214 $ 9,469 08/31/2012 1.35% -0.33% 07/2012 $ 9,155 $ 9,654 09/30/2012 6.40% 6.03% 08/2012 $ 9,279 $ 9,622 10/31/2012 -1.33% -0.61% 09/2012 $ 9,873 $10,202 10/2012 $ 9,742 $10,140
One Year Since 1/29/2008 -------- --------------- 0.43% -0.55% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Value Portfolio-Institutional Class vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
Emerging Markets Value Portfolio- MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Institutional Class Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------- --------------------- 2002-10-31 2002-11-30 7.81% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.98% -3.33% 11/2002 10781.04994 10688.20463 2002-12-31 2003-01-31 1.51% -0.44% 12/2002 10459.32273 10332.68124 2003-01-31 2003-02-28 -0.87% -2.81% 01/2003 10617.00096 10287.11002 2003-02-28 2003-03-31 -2.25% -2.86% 02/2003 10525.02199 9998.077641 2003-03-31 2003-04-30 13.15% 8.89% 03/2003 10288.50464 9712.550745 2003-04-30 2003-05-31 7.45% 7.15% 04/2003 11641.90947 10576.25547 2003-05-31 2003-06-30 4.41% 5.67% 05/2003 12509.13975 11332.42116 2003-06-30 2003-07-31 2.31% 6.22% 06/2003 13061.01356 11974.8284 2003-07-31 2003-08-31 6.59% 6.69% 07/2003 13363.23017 12719.45993 2003-08-31 2003-09-30 4.89% 0.73% 08/2003 14243.6003 13570.61278 2003-09-30 2003-10-31 8.88% 8.51% 09/2003 14940.01249 13669.44466 2003-10-31 2003-11-30 1.13% 1.22% 10/2003 16267.13761 14832.47204 2003-11-30 2003-12-31 12.03% 7.24% 11/2003 16451.09555 15012.94766 2003-12-31 2004-01-31 2.75% 3.49% 12/2003 18430.57107 16099.9853 2004-01-31 2004-02-29 6.47% 4.59% 01/2004 18936.61276 16662.21886 2004-02-29 2004-03-31 1.25% 1.25% 02/2004 20161.76633 17426.29823 2004-03-31 2004-04-30 -7.05% -8.19% 03/2004 20414.78718 17644.0921 2004-04-30 2004-05-31 -2.95% -2.00% 04/2004 18976.56342 16199.38255 2004-05-31 2004-06-30 1.82% 0.43% 05/2004 18417.25419 15876.20003 2004-06-30 2004-07-31 1.29% -1.83% 06/2004 18752.83395 15943.82184 2004-07-31 2004-08-31 4.44% 4.15% 07/2004 18993.94182 15651.96247 2004-08-31 2004-09-30 6.59% 5.77% 08/2004 19837.81934 16301.04143 2004-09-30 2004-10-31 3.12% 2.39% 09/2004 21144.61687 17241.52745 2004-10-31 2004-11-30 10.82% 9.26% 10/2004 21804.96501 17653.47774 2004-11-30 2004-12-31 6.43% 4.80% 11/2004 24163.35121 19287.7093 2004-12-31 2005-01-31 1.64% 0.25% 12/2004 25716.54763 20214.06032 2005-01-31 2005-02-28 9.11% 8.72% 01/2005 26138.57674 20265.39862 2005-02-28 2005-03-31 -7.31% -6.61% 02/2005 28520.9991 22033.51685 2005-03-31 2005-04-30 -3.56% -2.68% 03/2005 26435.86373 20577.38623 2005-04-30 2005-05-31 1.44% 3.48% 04/2005 25495.13417 20024.99063 2005-05-31 2005-06-30 3.29% 3.40% 05/2005 25863.24574 20722.01549 2005-06-30 2005-07-31 7.28% 6.99% 06/2005 26713.04067 21426.05132 2005-07-31 2005-08-31 1.59% 0.86% 07/2005 28656.55911 22923.68229 2005-08-31 2005-09-30 8.02% 9.31% 08/2005 29111.42512 23119.9891 2005-09-30 2005-10-31 -6.26% -6.54% 09/2005 31447.29509 25272.80535 2005-10-31 2005-11-30 7.38% 8.27% 10/2005 29480.10746 23620.93331 2005-11-30 2005-12-31 6.27% 5.91% 11/2005 31655.0966 25574.955 2005-12-31 2006-01-31 9.56% 11.17% 12/2005 33640.94678 27086.60788 2006-01-31 2006-02-28 0.38% -0.12% 01/2006 36855.5888 30111.9491 2006-02-28 2006-03-31 3.38% 0.88% 02/2006 36996.58187 30076.21583 2006-03-31 2006-04-30 8.72% 7.12% 03/2006 38246.39699 30341.27525 2006-04-30 2006-05-31 -10.84% -10.48% 04/2006 41582.00293 32501.78094 2006-05-31 2006-06-30 -0.91% -0.24% 05/2006 37073.28134 29096.49107 2006-06-30 2006-07-31 2.36% 1.43% 06/2006 36736.37926 29025.36378 2006-07-31 2006-08-31 1.82% 2.55% 07/2006 37604.27978 29440.93262 2006-08-31 2006-09-30 2.03% 0.83% 08/2006 38287.21788 30191.10507 2006-09-30 2006-10-31 6.94% 4.75% 09/2006 39063.54995 30442.48182 2006-10-31 2006-11-30 7.31% 7.43% 10/2006 41773.9064 31887.98293 2006-11-30 2006-12-31 3.51% 4.50% 11/2006 44828.43509 34258.36502 2006-12-31 2007-01-31 1.54% -1.08% 12/2006 46400.03293 35800.88873 2007-01-31 2007-02-28 0.56% -0.59% 01/2007 47113.65553 35415.39915 2007-02-28 2007-03-31 5.21% 3.98% 02/2007 47375.80261 35205.20002 2007-03-31 2007-04-30 7.97% 4.63% 03/2007 49842.20782 36607.13479 2007-04-30 2007-05-31 7.60% 4.95% 04/2007 53813.23316 38301.93602 2007-05-31 2007-06-30 2.84% 4.69% 05/2007 57901.05337 40199.01976 2007-06-30 2007-07-31 4.74% 5.28% 06/2007 59545.27699 42083.39264 2007-07-31 2007-08-31 -3.23% -2.13% 07/2007 62366.07472 44303.84785 2007-08-31 2007-09-30 9.01% 11.04% 08/2007 60353.31802 43362.3024 2007-09-30 2007-10-31 10.97% 11.15% 09/2007 65792.44111 48150.94986 2007-10-31 2007-11-30 -7.30% -7.09% 10/2007 73010.86241 53520.78318 2007-11-30 2007-12-31 -0.16% 0.35% 11/2007 67681.92563 49726.86787 2007-12-31 2008-01-31 -9.96% -12.48% 12/2007 67575.81224 49901.25085 2008-01-31 2008-02-29 3.99% 7.38% 01/2008 60847.09008 43673.8733 2008-02-29 2008-03-31 -3.36% -5.29% 02/2008 63277.32834 46897.54641 2008-03-31 2008-04-30 7.71% 8.12% 03/2008 61148.20583 44415.76252 2008-04-30 2008-05-31 0.85% 1.86% 04/2008 65863.61473 48020.26653 2008-05-31 2008-06-30 -11.63% -9.97% 05/2008 66426.4216 48911.10737 2008-06-30 2008-07-31 -1.96% -3.77% 06/2008 58698.85541 44032.83828 2008-07-31 2008-08-31 -8.57% -7.99% 07/2008 57546.99404 42371.91524 2008-08-31 2008-09-30 -17.25% -17.50% 08/2008 52617.02737 38987.53211 2008-09-30 2008-10-31 -31.05% -27.37% 09/2008 43539.68508 32164.58346 2008-10-31 2008-11-30 -7.59% -7.53% 10/2008 30018.81421 23361.83389 2008-11-30 2008-12-31 12.21% 7.80% 11/2008 27739.49309 21603.22571 2008-12-31 2009-01-31 -9.03% -6.46% 12/2008 31125.33622 23288.18785 2009-01-31 2009-02-28 -8.50% -5.64% 01/2009 28315.7926 21784.22273 2009-02-28 2009-03-31 17.30% 14.37% 02/2009 25910.23564 20555.33038 2009-03-31 2009-04-30 19.66% 16.64% 03/2009 30392.29689 23509.27602 2009-04-30 2009-05-31 22.50% 17.09% 04/2009 36367.79386 27421.45939 2009-05-31 2009-06-30 -1.23% -1.35% 05/2009 44549.62816 32106.85072 2009-06-30 2009-07-31 13.41% 11.24% 06/2009 44000.80518 31674.35664 2009-07-31 2009-08-31 0.74% -0.36% 07/2009 49900.8711 35236.07119 2009-08-31 2009-09-30 9.23% 9.08% 08/2009 50270.78119 35109.92688 2009-09-30 2009-10-31 -2.36% 0.12% 09/2009 54908.62011 38296.8602 2009-10-31 2009-11-30 6.37% 4.30% 10/2009 53610.10546 38344.23233 2009-11-30 2009-12-31 4.95% 3.95% 11/2009 57023.34402 39991.33055 2009-12-31 2010-01-31 -5.69% -5.58% 12/2009 59847.87712 41570.63621 2010-01-31 2010-02-28 0.78% 0.35% 01/2010 56440.50752 39252.15628 2010-02-28 2010-03-31 8.80% 8.07% 02/2010 56878.32595 39390.3133 2010-03-31 2010-04-30 0.65% 1.21% 03/2010 61884.68462 42570.3986 2010-04-30 2010-05-31 -10.48% -8.80% 04/2010 62284.43189 43086.13887 2010-05-31 2010-06-30 0.62% -0.74% 05/2010 55755.22646 39296.4307 2010-06-30 2010-07-31 9.25% 8.33% 06/2010 56103.20789 39007.56331 2010-07-31 2010-08-31 -1.81% -1.94% 07/2010 61294.04753 42255.92483 2010-08-31 2010-09-30 12.01% 11.11% 08/2010 60183.09292 41435.27509 2010-09-30 2010-10-31 3.42% 2.90% 09/2010 67408.34523 46039.95583 2010-10-31 2010-11-30 -3.25% -2.64% 10/2010 69714.87543 47376.79589 2010-11-30 2010-12-31 8.31% 7.14% 11/2010 67446.78741 46126.15023 2010-12-31 2011-01-31 -3.13% -2.71% 12/2010 73048.92262 49417.68963 2011-01-31 2011-02-28 -1.68% -0.93% 01/2011 70766.14378 48076.93112 2011-02-28 2011-03-31 5.75% 5.88% 02/2011 69574.25042 47628.60177 2011-03-31 2011-04-30 3.57% 3.10% 03/2011 73574.16377 50428.86654 2011-04-30 2011-05-31 -3.82% -2.62% 04/2011 76200.36951 51993.18073 2011-05-31 2011-06-30 -2.05% -1.54% 05/2011 73291.34161 50629.43612 2011-06-30 2011-07-31 -0.85% -0.44% 06/2011 71790.26867 49850.56795 2011-07-31 2011-08-31 -10.15% -8.94% 07/2011 71181.36054 49629.16113 2011-08-31 2011-09-30 -17.95% -14.58% 08/2011 63955.65069 45194.09196 2011-09-30 2011-10-31 13.14% 13.25% 09/2011 52473.60679 38605.04085 2011-10-31 2011-11-30 -5.07% -6.66% 10/2011 59367.79997 43718.55662 2011-11-30 2011-12-31 -3.59% -1.21% 11/2011 56360.54063 40804.88147 2011-12-31 2012-01-31 13.87% 11.34% 12/2011 54335.88274 40313.07288 2012-01-31 2012-02-29 6.09% 5.99% 01/2012 61870.905 44885.64739 2012-02-29 2012-03-31 -4.30% -3.34% 02/2012 65638.41615 47574.28607 2012-03-31 2012-04-30 -3.27% -1.20% 03/2012 62812.7828 45986.28864 2012-04-30 2012-05-31 -11.06% -11.21% 04/2012 60761.5823 45436.70648 2012-05-31 2012-06-30 4.52% 3.86% 05/2012 54042.8541 40341.21113 2012-06-30 2012-07-31 -0.63% 1.95% 06/2012 56485.77879 41898.19616 2012-07-31 2012-08-31 1.39% -0.33% 07/2012 56128.00748 42715.46911 2012-08-31 2012-09-30 6.43% 6.03% 08/2012 56906.68624 42573.22844 2012-09-30 2012-10-31 -1.29% -0.61% 09/2012 60566.63705 45142.17877 10/31/2012 59782.80859 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 0.70% -3.92% 19.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Core Equity Portfolio vs. MSCI Emerging Markets Index (net div.) April 5, 2005 - October 31, 2012
Emerging Markets Core MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Equity Portfolio Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------------- --------------------- 2005-04-05 2005-04-30 -4.20% -3.18% 04/2005 10000 10000 2005-04-30 2005-05-31 1.46% 3.48% 04/2005 9580.000002 9681.97524 2005-05-31 2005-06-30 2.68% 3.40% 05/2005 9720.000001 10018.98301 2005-06-30 2005-07-31 6.73% 6.99% 06/2005 9980.459186 10359.38055 2005-07-31 2005-08-31 1.04% 0.86% 07/2005 10652.51021 11083.47706 2005-08-31 2005-09-30 6.95% 9.31% 08/2005 10762.84694 11178.39035 2005-09-30 2005-10-31 -5.33% -6.54% 09/2005 11511.36663 12219.26543 2005-10-31 2005-11-30 6.56% 8.27% 10/2005 10897.56124 11420.59418 2005-11-30 2005-12-31 5.88% 5.91% 11/2005 11611.99047 12365.35316 2005-12-31 2006-01-31 8.95% 11.17% 12/2005 12295.11976 13096.22919 2006-01-31 2006-02-28 0.15% -0.12% 01/2006 13395.42194 14558.96539 2006-02-28 2006-03-31 2.00% 0.88% 02/2006 13415.61097 14541.68855 2006-03-31 2006-04-30 6.86% 7.12% 03/2006 13684.42534 14669.84336 2006-04-30 2006-05-31 -11.19% -10.48% 04/2006 14623.65158 15714.43624 2006-05-31 2006-06-30 -1.64% -0.24% 05/2006 12987.58006 14067.9969 2006-06-30 2006-07-31 1.91% 1.43% 06/2006 12774.97105 14033.60724 2006-07-31 2006-08-31 2.42% 2.55% 07/2006 13018.69069 14234.53254 2006-08-31 2006-09-30 1.98% 0.83% 08/2006 13333.49522 14597.23688 2006-09-30 2006-10-31 6.54% 4.75% 09/2006 13597.95927 14718.77619 2006-10-31 2006-11-30 6.92% 7.43% 10/2006 14487.44983 15417.6682 2006-11-30 2006-12-31 3.94% 4.50% 11/2006 15489.81837 16563.73519 2006-12-31 2007-01-31 1.41% -1.08% 12/2006 16100.27146 17309.5371 2007-01-31 2007-02-28 -0.76% -0.59% 01/2007 16327.47222 17123.15497 2007-02-28 2007-03-31 4.33% 3.98% 02/2007 16203.54454 17021.52482 2007-03-31 2007-04-30 6.72% 4.63% 03/2007 16905.8014 17699.35274 2007-04-30 2007-05-31 7.27% 4.95% 04/2007 18041.80516 18518.78001 2007-05-31 2007-06-30 2.36% 4.69% 05/2007 19353.37314 19436.00979 2007-06-30 2007-07-31 3.40% 5.28% 06/2007 19810.94669 20347.09394 2007-07-31 2007-08-31 -2.58% -2.13% 07/2007 20485.49437 21420.67209 2007-08-31 2007-09-30 8.59% 11.04% 08/2007 19956.23388 20965.43993 2007-09-30 2007-10-31 10.39% 11.15% 09/2007 21671.05173 23280.72522 2007-10-31 2007-11-30 -7.28% -7.09% 10/2007 23923.67309 25877.01074 2007-11-30 2007-12-31 -0.21% 0.35% 11/2007 22181.20446 24042.6731 2007-12-31 2008-01-31 -9.79% -12.48% 12/2007 22135.55448 24126.98633 2008-01-31 2008-02-29 3.27% 7.38% 01/2008 19968.29012 21116.08279 2008-02-29 2008-03-31 -3.63% -5.29% 02/2008 20620.57356 22674.7114 2008-03-31 2008-04-30 7.58% 8.12% 03/2008 19871.14193 21474.78223 2008-04-30 2008-05-31 0.44% 1.86% 04/2008 21377.80858 23217.54053 2008-05-31 2008-06-30 -11.15% -9.97% 05/2008 21472.63375 23648.25729 2008-06-30 2008-07-31 -1.06% -3.77% 06/2008 19078.7608 21289.64042 2008-07-31 2008-08-31 -6.64% -7.99% 07/2008 18876.92536 20486.59307 2008-08-31 2008-09-30 -15.67% -17.50% 08/2008 17623.42103 18850.26203 2008-09-30 2008-10-31 -28.26% -27.37% 09/2008 14860.95355 15551.40307 2008-10-31 2008-11-30 -6.68% -7.53% 10/2008 10661.49818 11295.321 2008-11-30 2008-12-31 9.78% 7.80% 11/2008 9949.292835 10445.04341 2008-12-31 2009-01-31 -8.92% -6.46% 12/2008 10921.91573 11259.71354 2009-01-31 2009-02-28 -6.75% -5.64% 01/2009 9947.711157 10532.5545 2009-02-28 2009-03-31 15.78% 14.37% 02/2009 9276.592451 9938.391657 2009-03-31 2009-04-30 18.26% 16.64% 03/2009 10740.54489 11366.60848 2009-04-30 2009-05-31 19.71% 17.09% 04/2009 12702.23876 13258.1281 2009-05-31 2009-06-30 -0.97% -1.35% 05/2009 15205.83701 15523.4896 2009-06-30 2009-07-31 12.10% 11.24% 06/2009 15058.12449 15314.38103 2009-07-31 2009-08-31 0.39% -0.36% 07/2009 16880.37579 17036.45086 2009-08-31 2009-09-30 8.63% 9.08% 08/2009 16945.84589 16975.46077 2009-09-30 2009-10-31 -1.85% 0.12% 09/2009 18407.63348 18516.32588 2009-10-31 2009-11-30 6.12% 4.30% 10/2009 18067.96881 18539.23005 2009-11-30 2009-12-31 4.57% 3.95% 11/2009 19174.6182 19335.59318 2009-12-31 2010-01-31 -5.49% -5.58% 12/2009 20050.0833 20099.17897 2010-01-31 2010-02-28 1.10% 0.35% 01/2010 18950.24329 18978.20639 2010-02-28 2010-03-31 8.62% 8.07% 02/2010 19159.21289 19045.00457 2010-03-31 2010-04-30 0.95% 1.21% 03/2010 20811.52367 20582.55871 2010-04-30 2010-05-31 -9.69% -8.80% 04/2010 21009.62384 20831.91635 2010-05-31 2010-06-30 0.85% -0.74% 05/2010 18973.59429 18999.61284 2010-06-30 2010-07-31 9.03% 8.33% 06/2010 19134.07371 18859.94701 2010-07-31 2010-08-31 -1.33% -1.94% 07/2010 20862.45559 20430.51233 2010-08-31 2010-09-30 11.95% 11.11% 08/2010 20585.47131 20033.7326 2010-09-30 2010-10-31 2.95% 2.90% 09/2010 23044.98243 22260.07096 2010-10-31 2010-11-30 -2.67% -2.64% 10/2010 23724.08577 22906.42594 2010-11-30 2010-12-31 7.35% 7.14% 11/2010 23089.51379 22301.74549 2010-12-31 2011-01-31 -3.16% -2.71% 12/2010 24785.44438 23893.18708 2011-01-31 2011-02-28 -1.72% -0.93% 01/2011 24002.51067 23244.93756 2011-02-28 2011-03-31 5.69% 5.88% 02/2011 23588.67427 23028.17273 2011-03-31 2011-04-30 3.95% 3.10% 03/2011 24930.84636 24382.08568 2011-04-30 2011-05-31 -2.76% -2.62% 04/2011 25915.10588 25138.42318 2011-05-31 2011-06-30 -1.39% -1.54% 05/2011 25199.28078 24479.05999 2011-06-30 2011-07-31 -0.23% -0.44% 06/2011 24848.78742 24102.48142 2011-07-31 2011-08-31 -9.02% -8.94% 07/2011 24792.56844 23995.43241 2011-08-31 2011-09-30 -16.55% -14.58% 08/2011 22555.05319 21851.10033 2011-09-30 2011-10-31 12.70% 13.25% 09/2011 18823.00689 18665.32957 2011-10-31 2011-11-30 -4.27% -6.66% 10/2011 21212.69067 21137.68693 2011-11-30 2011-12-31 -3.14% -1.21% 11/2011 20306.64943 19728.94067 2011-12-31 2012-01-31 11.77% 11.34% 12/2011 19668.44126 19491.15387 2012-01-31 2012-02-29 6.28% 5.99% 01/2012 21984.3888 21701.96904 2012-02-29 2012-03-31 -3.13% -3.34% 02/2012 23364.83044 23001.91138 2012-03-31 2012-04-30 -2.22% -1.20% 03/2012 22634.67949 22234.12317 2012-04-30 2012-05-31 -10.52% -11.21% 04/2012 22132.7007 21968.40315 2012-05-31 2012-06-30 4.48% 3.86% 05/2012 19805.34455 19504.75856 2012-06-30 2012-07-31 0.06% 1.95% 06/2012 20693.31546 20257.55244 2012-07-31 2012-08-31 1.05% -0.33% 07/2012 20704.79898 20652.69952 2012-08-31 2012-09-30 5.70% 6.03% 08/2012 20922.98599 20583.92692 2012-09-30 2012-10-31 -0.68% -0.61% 09/2012 22115.39118 21826.00058 10/31/2012 21965.10362 21693.49798
One Year Five Years From 04/05/2005 -------- ---------- --------------- 3.55% -1.69% 10.95% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 12 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. Equity Market Review 12 Months Ended October 31, 2012 The year ending October 31, 2012, saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 3000(R) Index.................................. 14.75% Russell Microcap(R) Index (micro cap stocks)........... 16.49% Russell 2000(R) Index (small cap stocks)............... 12.08% Russell 1000(R) Index (large cap stocks)............... 14.97% Dow Jones US Select REIT Index......................... 14.09% The value premium was positive across both large cap and small cap stocks. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 14.47% Russell 2000(R) Growth Index (small cap growth stocks). 9.70% Russell 1000(R) Value Index (large cap value stocks)... 16.89% Russell 1000(R) Growth Index (large cap growth stocks). 13.02% -------- Source: Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. 13 Master-Feeder Structure Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Portfolio seeks to outperform the total return of the S&P 500(R) Index. This strategy combines investment in investment grade, short-term fixed income instruments with an overlay of S&P 500(R) Index futures contracts, swaps, and/or ETFs. For the 12 months ended October 31, 2012, approximately 97% of the equity exposure consisted of S&P 500(R) Index futures contracts. ETFs accounted for the remaining exposure. The behavior of S&P 500(R) Index futures contracts and ETFs linked to the S&P 500(R) Index is determined principally by the performance of the S&P 500(R) Index. For the 12 months ended October 31, 2012, the total return was 15.84% for the Portfolio and 15.21% for the S&P 500(R) Index. Relative to the Index, the Portfolio's outperformance was primarily due to the fixed income component of the Portfolio exceeding the interest rate embedded in the Portfolio's S&P 500(R) futures contracts. The Portfolio's concentration in government agency and corporate fixed income securities with maturities between one and two years had the most significant contribution to the outperformance. As credit spreads narrowed during the period, these securities generated excess return, adding to the positive return of the S&P 500(R) Index. The Portfolio also benefited from increasing exposure to Euro-denominated securities during a year when Euro-denominated sovereign and corporate interest rates decreased. U.S. Large Cap Value Portfolio The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of The U.S. Large Cap Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Master Fund held approximately 250 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 18.14% for the Portfolio and 16.89% for the Russell 1000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. Value stocks, particularly in the largest size category, generally outperformed during the period. The Master Fund had significantly greater exposure than the Index to value stocks, which contributed to the relative outperformance. The Master Fund's exclusion of REITs and highly regulated utilities also helped performance as both of these sectors underperformed the overall Index during the period. U.S. Targeted Value Portfolio The U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small- and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small and mid-cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 1,500 securities, and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.67% for the Portfolio's Class R1 shares, 14.46% for the Portfolio's Class R2 shares, 14.78% for the Portfolio's Institutional Class shares, and 14.47% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure than the Index to deep value stocks in the mid-cap size range 14 was the primary contributor to relative outperformance. Mid-caps generally outperformed small cap stocks over the period. The Portfolio's exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. U.S. Small Cap Value Portfolio The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small capitalization and value stocks, and does not attempt to closely track a specific index. As of October 31, 2012, the Portfolio held approximately 1,300 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 15.60% for the Portfolio and 14.47% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure to deep value stocks at both the larger and smaller ends of the eligible market capitalization range helped relative outperformance. The Portfolio's exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. U.S. Core Equity 1 Portfolio The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total U.S. market universe with increased exposure to smaller company stocks and value stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 3,000 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.29% for the Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had less exposure than the Index to large cap stocks and greater exposure to small cap stocks, both of which contributed to relative underperformance as large cap stocks outperformed small caps during the period. The Portfolio's exclusion of REITs detracted from relative performance as this sector outperformed the overall Index. U.S. Core Equity 2 Portfolio The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe with increased exposure to smaller company stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the market. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 3,100 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.81% for the Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's emphasis on value stocks across all size categories was the primary contributor to relative outperformance. U.S. Vector Equity Portfolio The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly diversified portfolio of U.S. stocks with increased exposure to smaller company stocks and value stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to closely track a specific equity 15 index. As of October 31, 2012, the Portfolio held approximately 2,900 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.55% for the Portfolio, 14.75% for the Russell 3000(R) Index, and 13.00% for the Russell 2500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. Relative to the Russell 3000(R) Index, the Portfolio had less exposure to large cap stocks which was the primary contributor to relative underperformance. Large cap stocks outperformed the other size categories as well as the overall Index during the period. The Portfolio's exclusion of REITs also detracted from relative performance as this sector outperformed the overall Index. Relative to the Russell 2500(R) Index, the Portfolio's emphasis on value stocks across all size categories was the primary contributor to relative outperformance. As of February 28, 2012, the Russell 3000(R) Index has been selected to replace the Russell 2500(R) Index as the appropriate benchmark for the Portfolio because this index better reflects the universe of securities in which the Portfolio invests. U.S. Small Cap Portfolio The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small capitalization stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,300 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 13.61% for the Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure than the Index to the smallest micro cap stocks was a primary contributor to relative outperformance. The Portfolio also had less exposure than the Index to mid-cap stocks which was also beneficial as these stocks underperformed small cap and micro cap stocks. U.S. Micro Cap Portfolio The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S. company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to very small company stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,000 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 13.13% for the Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio focuses on micro cap stocks while the Index has exposure to small and mid-cap stocks. The outperformance of micro cap stocks relative to small and mid cap stocks was the primary driver of outperformance relative to the benchmark. DFA Real Estate Securities Portfolio The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities (i.e., REITs), but does not attempt to closely track a specific index. As of October 31, 2012, the Portfolio held approximately 115 REITs. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.45% for the Portfolio, 14.09% for the Dow Jones U.S. Select REIT IndexSM, and 15.21% for the S&P 500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. real estate 16 securities market rather than the behavior of a limited number of securities. The Portfolio has a lower market cap floor than the Dow Jones U.S. Select REIT Index/SM/ and invests in small cap REITs that may not be included in the Index. The Dow Jones U.S. Select REIT Index/SM/ also excludes net lease REITS which are eligible for the Portfolio. Securities held by the Portfolio and excluded by the Index generally outperformed the Dow Jones U.S. Select REIT Index/SM/ over the period, benefiting relative performance. International Equity Market Review 12 Months Ended October 31, 2012 The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return - ----------- MSCI World ex USA Index...................... 4.40% MSCI World ex USA Small Cap Index............ 4.86% MSCI World ex USA Value Index................ 4.74% MSCI World ex USA Growth Index............... 3.99% -------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar. 12 Months Ended October 31, 2012 -------------------------------- Local U.S. Ten Largest Foreign Developed Markets by Market Currency Dollar Cap Return Return ----------------------------------------------- -------- ------ United Kingdom.................................... 8.61% 8.41% Japan............................................. -0.86% -3.28% Canada............................................ 3.34% 2.69% France............................................ 10.04% 2.23% Australia......................................... 10.20% 7.71% Switzerland....................................... 17.41% 9.79% Germany........................................... 18.18% 9.79% Spain............................................. -6.40% -13.04% Sweden............................................ 9.26% 6.47% Hong Kong......................................... 16.12% 16.34% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 17 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return - ----------- MSCI Emerging Markets Index............. 2.63% MSCI Emerging Markets Small Cap Index... 3.74% MSCI Emerging Markets Value Index....... 1.36% MSCI Emerging Markets Growth Index...... 3.89% The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 Months Ended October 31, 2012 -------------------------------- Local U.S. Currency Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ------ China............................................. 7.71% 7.92% South Korea....................................... 1.71% 3.35% Brazil............................................ 4.65% -12.68% Taiwan............................................ -1.78% 0.59% South Africa...................................... 17.70% 6.84% India............................................. 5.24% -4.73% Russia............................................ -1.42% -4.50% Mexico............................................ 16.32% 17.03% Malaysia.......................................... 11.39% 12.19% Indonesia......................................... 12.64% 3.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Global REIT Market Review 12 Months Ended October 31, 2012 The publicly traded global REIT market produced positive overall returns during the one-year period ending October 31, 2012. Country-level dispersion of returns was high as there were definite winners and losers. The largest REIT market, the United States, advanced significantly, but not to the extent of non-US REITs. Pacific Rim-based REITs produced some of the strongest returns. Still struggling with a debt crisis now entering its third year, Continental Europe underperformed, although REITs in this region did manage a positive return. Dispersion was prevalent across REIT sub-sectors as well. Residential REITs, which on a global basis are disproportionately US based, was the poorest performing REIT sub-sector. Industrial and retail REITs fared among the best. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- S&P Global ex U.S. REIT Index (net dividends). 20.40% S&P Global REIT Index (net dividends)......... 16.22% -------- Source: Standard and Poor's. Copyright S&P, 2012. All rights reserved. Master-Feeder Structure Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called a "Master Fund." The Master Funds, in turn, purchase stocks and/or other securities. 18 Large Cap International Portfolio The Large Cap International Portfolio seeks to capture the returns of a broadly diversified basket of international large company stocks. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 1,400 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 5.89% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Core Equity Portfolio The International Core Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with value characteristics. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 4,900 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 5.49% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Small Company Portfolio The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of five Master Funds that invest individually in Canada, the United Kingdom, Continental Europe (including Israel and excluding the U.K.), Japan, and the Asia Pacific region ex Japan. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Funds collectively held approximately 4,600 securities in 23 developed market countries. In general, the Portfolio was mostly invested in the Master Funds throughout the year. The combined average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 5.63% for the Portfolio and 4.86% for the MSCI World ex USA Small Cap Index (net dividends). As a result of each Master Fund's diversified investment approach, the Portfolio's performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Master Funds (other than the Master Fund for Canadian small cap securities) and the Index. The Master Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 19 Japanese Small Company Portfolio The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of The Japanese Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,400 securities. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 0.20% for the Portfolio and -1.01% for the MSCI Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to the Master Fund's holdings of companies with a market capitalization below $500 million. These stocks are generally considered too small to be included in the Index and outperformed other stocks, contributing to the Portfolio's relative performance. The Master Fund's outperformance was also attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Asia Pacific Small Company Portfolio The Asia Pacific Small Company Portfolio seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by purchasing shares of The Asia Pacific Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,000 securities across the eligible countries. In general, the Master Fund was mostly invested in equities during the period. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 7.09% for the Portfolio and 4.01% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. In particular, the Index held a number of larger Australian companies at higher weights than the Series and these stocks underperformed, benefitting the Series' relative performance. The Master Fund's outperformance was also attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. United Kingdom Small Company Portfolio The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of The United Kingdom Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 360 securities. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 22.82% for the Portfolio and 20.73% for the MSCI UK Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Master Fund generally excluded stocks not listed on the London Stock Exchange whereas the Index held a number of stocks listed on other exchanges. The stocks that were excluded by the Master Fund significantly underperformed, contributing to the Master Fund's relative performance. In addition, the 20 Master Fund held a number of stocks that were considered to be too large for the Index. These larger names outperformed, which had a positive impact on relative performance. The Master Fund's outperformance was also attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Continental Small Company Portfolio The Continental Small Company Portfolio seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares of The Continental Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,400 securities in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 1.85% for the Portfolio and 3.75% for the MSCI Europe ex UK Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. The Master Fund defines the small cap universe differently than the Index. For the one-year period, this led to differences in country weights as well as holdings within certain countries. In particular, the Master Fund had a lower allocation to Norway, one of the best performing countries, which detracted from relative performance. Differences in the Master Fund's definition of the small cap universe also resulted in the exclusion or lower weighting of larger securities in Norway, Germany and Sweden which also outperformed, and detracted from the Series' relative performance. For the period, differences in the valuation timing and methodology between the Master Fund and the Index contributed positively to the Master Fund's performance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA International Real Estate Securities Portfolio The DFA International Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities in international markets but does not attempt to track a specific index. As of October 31, 2012, the Portfolio held approximately 200 securities in 20 developed and emerging market countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 22.34% for the Portfolio and 20.40% for the S&P Global ex US REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was determined principally by structural trends in international real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's relative outperformance. Differences in the valuation timing and methodology between the Portfolio and the Index also benefited relative performance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 21 DFA Global Real Estate Securities Portfolio The DFA Global Real Estate Securities Portfolio, a fund of funds, is designed to capture the returns of a broadly diversified portfolio of real estate securities in U.S. and international markets, but does not attempt to track a specific index. As of October 31, 2012, the Portfolio invested in the DFA International Real Estate Securities Portfolio and the DFA Real Estate Securities Portfolio (the "Underlying Funds"). As of October 31, 2012, the Underlying Funds held approximately 320 securities in 21 developed and emerging markets countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 17.33% for the Portfolio and 16.22% for the S&P Global REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was principally determined by structural trends in global real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's relative outperformance. Differences in the valuation timing and methodology between one of the Underlying Funds-The DFA International Real Estate Securities Portfolio and the Index also benefited relative performance. The DFA International Real Estate Securities Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The DFA International Real Estate Securities Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA International Small Cap Value Portfolio The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,100 securities in 23 developed market countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 6.92% for the Portfolio and 4.86% for the MSCI World ex USA Small Cap Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. The primary reason for the Portfolio's relative outperformance against the Index was that the Portfolio held a number of larger U.K. value stocks that were not present in the Index's holdings of U.K. securities. These U.K. issuers significantly outperformed, contributing to the Portfolio's relative outperformance. To a lesser extent, the Portfolio's outperformance was also attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Vector Equity Portfolio The International Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with value characteristics than the International Core Equity Portfolio. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 4,000 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 4.90% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange 22 rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. World ex U.S. Value Portfolio The World ex U.S. Value Portfolio seeks to capture the returns of value stocks across all market capitalizations in international developed and emerging markets by purchasing shares of three funds managed by Dimensional: The DFA International Value Series, DFA International Small Cap Value Portfolio, and Dimensional Emerging Markets Value Fund (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Underlying Funds collectively held approximately 4,800 securities. In general, the Portfolio was mostly invested in equities. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 2.70% for the Portfolio and 3.98% for the MSCI All Country World ex USA Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in the international and emerging equity markets rather than the behavior of a limited number of stocks. The Portfolio focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Although small-cap value stocks in developed markets performed relatively well, value stocks in both developed and emerging markets, as measured by high book-to-market ratios, generally underperformed during the period. The Portfolio had significantly greater exposure than the Index to value stocks, which was the primary reason for the Portfolio's relative underperformance. For the period, differences in the valuation timing and methodology between the Underlying Funds and the Index contributed positively to the Portfolio's relative performance. The Underlying Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Underlying Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Selectively Hedged Global Equity Portfolio The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of mutual funds managed by Dimensional. As of the date of this report, the mutual funds invested in by the Portfolio include the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification and consistent exposure in each Underlying Fund to stocks with desired asset class characteristics. As of October 31, 2012, the Underlying Funds held more than 11,000 equity securities in 44 countries. From the Portfolio's inception on November 14, 2011, through October 31, 2012, total returns were 11.11% for the Portfolio and 10.48% for the MSCI All Country World Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. Differences in the valuation timing and methodology between the international Underlying Funds and the Index contributed significantly to relative outperformance. The international Underlying Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The international Underlying Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Portfolio's relative outperformance, as compared to the Index, was also attributable to its currency hedging with respect to the euro, Swiss franc, and Japanese yen. Emerging Markets Portfolio The Emerging Markets Portfolio seeks to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large 23 cap emerging markets stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 970 securities across 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 4.08% for the Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. Differences in the valuation timing and methodology between the Master Fund and the Index were the primary reason for the Portfolio's outperformance relative to the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of the Emerging Markets Small Cap Series, a Master Fund that invests in such securities. The Master Fund's investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 2,900 securities across 16 emerging markets. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country upon purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 6.71% for the Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund focuses on small cap stocks while the Index primarily holds mid-cap and large cap stocks. Emerging markets small cap stocks outperformed larger companies over the period. The Master Fund's significantly greater exposure than the Index to small cap stocks contributed to the relative outperformance. In addition, differences in country weights between the Master Fund and the Index also contributed to the Master Fund's relative outperformance. To a lesser extent, differences in the valuation timing and methodology between the Master Fund and the Index also contributed to outperformance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Emerging Markets Value Portfolio The Emerging Markets Value Portfolio seeks to capture the returns of value stocks of any market capitalization size in selected emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund that invests in such securities. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to emerging markets value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 2,200 securities across 18 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 0.43% for the Portfolio's Class R2 shares, 0.70% for the Portfolio's Institutional Class shares, and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was generally determined 24 by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks in emerging markets significantly underperformed during the period. The Master Fund had significantly greater exposure than the Index to value stocks, which was the primary contributor to relative underperformance. In particular, the Master Fund had lower exposure than the Index to large cap growth stocks in the Information Technology sector, which significantly outperformed and detracted from the Portfolio's relative performance. Differences in the valuation timing and methodology between the Master Fund and the Index contributed positively to performance of the Master Fund. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Emerging Markets Core Equity Portfolio The Emerging Markets Core Equity Portfolio seeks to capture the returns of a broad universe of stocks in selected emerging markets with increased exposure to smaller company stocks and those stocks with value characteristics, as measured by book-to-market. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to selected emerging markets countries, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 3,600 securities across 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. The Portfolio's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 3.55% for the Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Portfolio's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Emerging markets small cap stocks outperformed large caps during the period. The Portfolio's greater exposure to small cap stocks contributed to the Portfolio's relative outperformance. This was partially offset by the Portfolio's greater exposure to value stocks, which underperformed. Differences in the valuation timing and methodology between the Portfolio and the Index also had a positive impact on relative performance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 25 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2012 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,026.04 0.24% $1.22 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.93 0.24% $1.22 26 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,067.74 0.27% $1.40 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.78 0.27% $1.37 U.S. Targeted Value Portfolio ----------------------------- Actual Fund Return Class R1 Shares.................... $1,000.00 $1,027.73 0.48% $2.45 Class R2 Shares.................... $1,000.00 $1,026.88 0.63% $3.21 Institutional Class Shares......... $1,000.00 $1,028.21 0.37% $1.89 Hypothetical 5% Annual Return Class R1 Shares.................... $1,000.00 $1,022.72 0.48% $2.44 Class R2 Shares.................... $1,000.00 $1,021.97 0.63% $3.20 Institutional Class Shares......... $1,000.00 $1,023.28 0.37% $1.88 U.S. Small Cap Value Portfolio ------------------------------ Actual Fund Return Institutional Class Shares......... $1,000.00 $1,032.78 0.52% $2.66 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,022.52 0.52% $2.64 U.S. Core Equity 1 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,018.16 0.19% $0.96 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,024.18 0.19% $0.97 U.S. Core Equity 2 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,024.98 0.22% $1.12 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,024.03 0.22% $1.12 U.S. Vector Equity Portfolio ---------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,024.30 0.32% $1.63 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.53 0.32% $1.63 U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares......... $1,000.00 $1,020.40 0.37% $1.88 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.28 0.37% $1.88 27 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- U.S. Micro Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares............ $1,000.00 $1,019.78 0.52% $2.64 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.52 0.52% $2.64 DFA Real Estate Securities Portfolio ------------------------------------ Actual Fund Return Institutional Class Shares............ $1,000.00 $ 999.60 0.18% $0.90 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,024.23 0.18% $0.92 Large Cap International Portfolio --------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,021.38 0.30% $1.52 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,023.63 0.30% $1.53 International Core Equity Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,011.60 0.40% $2.02 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,023.13 0.40% $2.03 International Small Company Portfolio*** ---------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $ 993.37 0.56% $2.81 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.32 0.56% $2.85 Japanese Small Company Portfolio** ---------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $ 925.09 0.58% $2.81 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.22 0.58% $2.95 Asia Pacific Small Company Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,004.40 0.58% $2.92 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.22 0.58% $2.95
28 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,070.69 0.60% $3.12 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.12 0.60% $3.05 Continental Small Company Portfolio** ------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $ 997.27 0.57% $2.86 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.27 0.57% $2.90 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,134.00 0.41% $2.20 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,023.08 0.41% $2.08 DFA Global Real Estate Securities Portfolio*** ---------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,049.49 0.32% $1.65 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,023.53 0.32% $1.63 DFA International Small Cap Value Portfolio ------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,000.27 0.71% $3.57 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,021.57 0.71% $3.61 International Vector Equity Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,002.15 0.54% $2.72 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.42 0.54% $2.75 World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,009.74 0.60% $3.03 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.12 0.60% $3.05 Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,015.76 0.40% $2.03 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,023.13 0.40% $2.03
29 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Emerging Markets Portfolio** ---------------------------- Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 996.33 0.62% $3.11 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.02 0.62% $3.15 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares.......... $1,000.00 $1,007.35 0.85% $4.29 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,020.86 0.85% $4.32 Emerging Markets Value Portfolio** ---------------------------------- Actual Fund Return Class R2 Shares..................... $1,000.00 $ 982.24 0.87% $4.33 Institutional Class Shares.......... $1,000.00 $ 983.89 0.62% $3.09 Hypothetical 5% Annual Return Class R2 Shares..................... $1,000.00 $1,020.76 0.87% $4.42 Institutional Class Shares.......... $1,000.00 $1,022.02 0.62% $3.15 Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 992.43 0.69% $3.46 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,021.67 0.69% $3.51 -------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (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). 30 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 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%
31 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FIXED INCOME PORTFOLIO Enhanced U.S. Large Company Portfolio Corporate.......................... 25.3% Government......................... 7.6% Foreign Corporate.................. 28.0% Foreign Government................. 32.9% Supranational...................... 6.20% ----- 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Targeted Value Portfolio Consumer Discretionary............. 16.3% Consumer Staples................... 4.7% Energy............................. 8.2% Financials......................... 25.7% Health Care........................ 6.8% Industrials........................ 15.1% Information Technology............. 12.6% Materials.......................... 8.3% Other.............................. -- Telecommunication Services......... 1.3% Utilities.......................... 1.0% ----- 100.0% U.S. Small Cap Value Portfolio Consumer Discretionary............. 18.4% Consumer Staples................... 4.5% Energy............................. 8.8% Financials......................... 25.5% Health Care........................ 4.3% Industrials........................ 17.2% Information Technology............. 12.5% Materials.......................... 8.4% Other.............................. -- Telecommunication Services......... 0.3% Utilities.......................... 0.1% ----- 100.0% U.S. Core Equity 1 Portfolio Consumer Discretionary............. 13.9% Consumer Staples................... 8.1% Energy............................. 10.1% Financials......................... 16.5% Health Care........................ 11.1% Industrials........................ 12.9% Information Technology............. 16.2% Materials.......................... 5.0% Other.............................. -- Telecommunication Services......... 2.7% Utilities.......................... 3.5% ----- 100.0% U.S. Core Equity 2 Portfolio Consumer Discretionary............. 14.4% Consumer Staples................... 6.6% Energy............................. 11.1% Financials......................... 19.6% Health Care........................ 10.8% Industrials........................ 13.8% Information Technology............. 12.8% Materials.......................... 5.2% Other.............................. -- Telecommunication Services......... 3.3% Utilities.......................... 2.4% ----- 100.0% U.S. Vector Equity Portfolio Consumer Discretionary............. 15.9% Consumer Staples................... 5.5% Energy............................. 9.9% Financials......................... 24.1% Health Care........................ 8.7% Industrials........................ 14.3% Information Technology............. 11.6% Materials.......................... 6.2% Other.............................. -- Telecommunication Services......... 2.4% Utilities.......................... 1.4% ----- 100.0% U.S. Small Cap Portfolio Consumer Discretionary............. 18.6% Consumer Staples................... 4.5% Energy............................. 4.6% Financials......................... 16.3% Health Care........................ 10.2% Industrials........................ 18.4% Information Technology............. 17.7% Materials.......................... 5.7% Other.............................. -- Telecommunication Services......... 0.5% Utilities.......................... 3.5% ----- 100.0% U.S. Micro Cap Portfolio Consumer Discretionary............. 17.8% Consumer Staples................... 4.6% Energy............................. 4.5% Financials......................... 17.8% Health Care........................ 11.5% Industrials........................ 17.0% Information Technology............. 17.4% Materials.......................... 6.2% Other.............................. -- Telecommunication Services......... 1.2% Utilities.......................... 2.0% ----- 100.0% DFA Real Estate Securities Portfolio Real Estate Investment Trusts...... 100.0% ----- 100.0% Large Cap International Portfolio Consumer Discretionary............. 9.8% Consumer Staples................... 10.9% Energy............................. 10.8% Financials......................... 24.1% Health Care........................ 9.0% Industrials........................ 11.9% Information Technology............. 4.1% Materials.......................... 11.1% Real Estate Investment Trusts...... -- Telecommunication Services......... 4.9% Utilities.......................... 3.4% ----- 100.0% 32 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED International Core Equity Portfolio Consumer Discretionary..... 12.6% Consumer Staples........... 7.2% Energy..................... 10.0% Financials................. 25.3% Health Care................ 5.1% Industrials................ 16.4% Information Technology..... 5.0% Materials.................. 12.1% Other...................... -- Telecommunication Services. 3.3% Utilities.................. 3.0% ----- 100.0% DFA International Real Estate Securities Portfolio Consumer Discretionary........ 0.2% Financials.................... 0.2% Health Care................... 0.2% Real Estate Investment Trusts. 99.4% ----- 100.0% DFA International Small Cap Value Portfolio Consumer Discretionary..... 19.6% Consumer Staples........... 4.5% Energy..................... 5.7% Financials................. 20.6% Health Care................ 2.2% Industrials................ 25.1% Information Technology..... 4.9% Materials.................. 16.7% Other...................... -- Telecommunication Services. 0.3% Utilities.................. 0.4% ----- 100.0% International Vector Equity Portfolio Consumer Discretionary..... 14.5% Consumer Staples........... 6.3% Energy..................... 8.6% Financials................. 25.0% Health Care................ 4.3% Industrials................ 17.9% Information Technology..... 5.8% Materials.................. 13.1% Telecommunication Services. 2.6% Utilities.................. 1.9% ----- 100.0% Emerging Markets Core Equity Portfolio Consumer Discretionary........ 10.3% Consumer Staples.............. 8.3% Energy........................ 9.8% Financials.................... 24.6% Health Care................... 2.3% Industrials................... 10.9% Information Technology........ 11.5% Materials..................... 13.6% Real Estate Investment Trusts. -- Telecommunication Services.... 5.0% Utilities..................... 3.7% ----- 100.0% 33 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012
Face Amount^ Value+ ------- ----------- (000) BONDS -- (87.6%) AUSTRALIA -- (2.8%) BHP Billiton Finance USA, Ltd. (u) 4.800%, 04/15/13...................................... 600 $ 611,920 Westpac Banking Corp. (e) 6.500%, 06/24/13...................................... 3,500 4,712,942 ----------- TOTAL AUSTRALIA........................................... 5,324,862 ----------- AUSTRIA -- (5.0%) KA Finanz AG 2.250%, 03/24/14 4,300 5,714,421 Republic of Austria (u) 5.000%, 05/19/14...................................... 3,500 3,737,020 ----------- TOTAL AUSTRIA............................................. 9,451,441 ----------- CANADA -- (9.9%) British Columbia, Province of Canada 5.500%, 04/24/13 2,000 2,042,253 Canadian Imperial Bank of Commerce (u) 1.450%, 09/13/13...................................... 600 605,757 Canadian National Railway Co. (u) 4.400%, 03/15/13...................................... 600 608,845 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13...................................... 600 606,725 Enbridge, Inc. (u) 5.800%, 06/15/14...................................... 1,100 1,187,024 Encana Corp. (u) 4.750%, 10/15/13...................................... 800 829,381 Husky Energy, Inc. (u) 5.900%, 06/15/14...................................... 1,000 1,079,701 Ontario, Province of Canada 5.500%, 04/17/13...................................... 4,000 4,080,300 (u) 4.100%, 06/16/14...................................... 1,000 1,059,480 Thomson Reuters Corp. (u) 5.700%, 10/01/14...................................... 800 873,418 Toronto-Dominion Bank (The) (u) 1.375%, 07/14/14...................................... 5,000 5,074,870 TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13...................................... 685 700,760 ----------- TOTAL CANADA.............................................. 18,748,514 ----------- DENMARK -- (2.1%) Kommunekredit A.S. (u) 1.250%, 09/03/13...................................... 4,000 4,030,200 ----------- Face Amount^ Value+ ------- ----------- (000) FINLAND -- (0.3%) Nordea Bank Finland P.L.C. Floating Rate Note (r)(u)0.919%, 02/07/13.................................... 500 $ 500,490 ----------- FRANCE -- (9.5%) Caisse d'Amortissement de la Dette Sociale (u) 1.625%, 03/17/14...................................... 5,000 5,076,700 Reseau Ferre de France 4.625%, 03/17/14...................................... 3,000 4,106,417 Societe Financement del'Economie Francaise SA 3.250%, 01/16/14...................................... 3,500 4,699,469 Total Capital SA (g) 5.500%, 01/29/13...................................... 2,500 4,076,653 ----------- TOTAL FRANCE.............................................. 17,959,239 ----------- GERMANY -- (9.0%) Deutsche Bank AG (u) 2.375%, 01/11/13...................................... 600 602,063 Kreditanstalt fur Wiederaufbau (u) 4.000%, 10/15/13...................................... 3,000 3,104,040 Landeskreditbank Baden-Wuerttemberg Foerderbank 3.250%, 01/29/14...................................... 3,000 4,036,103 Landwirtschaftliche Rentenbank (u) 4.125%, 07/15/13...................................... 4,000 4,104,920 NRW.Bank (u) 1.375%, 08/26/13...................................... 5,000 5,028,500 ----------- TOTAL GERMANY............................................. 16,875,626 ----------- NETHERLANDS -- (9.7%) Bank Nederlandse Gemeenten NV 3.750%, 03/14/14...................................... 3,000 4,071,480 Diageo Finance BV (u) 5.500%, 04/01/13...................................... 600 612,566 Koninklijke Philips Electronics NV (u) 7.250%, 08/15/13...................................... 1,000 1,049,837 Nederlandse Waterschapsbank NV (u) 1.375%, 05/16/14...................................... 3,000 3,037,260 Rabobank Nederland NV (u) 2.500%, 12/12/13...................................... 2,000 2,039,200
34 Enhanced U.S. Large Company Portfolio CONTINUED
Face Amount^ Value+ ------- ----------- (000) NETHERLANDS -- (Continued) 4.375%, 01/22/14....................................... 2,000 $ 2,714,268 SNS Bank NV 3.500%, 03/10/14....................................... 3,500 4,730,194 ----------- TOTAL NETHERLANDS......................................... 18,254,805 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.2%) Eurofima (c) 4.875%, 12/04/12...................................... 2,500 2,510,180 (u) 4.250%, 02/04/14...................................... 2,500 2,615,400 European Financial Stability Facility (e) 1.000%, 03/12/14...................................... 1,000 1,309,475 European Investment Bank (u) 3.125%, 06/04/14...................................... 5,000 5,210,500 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 11,645,555 ----------- SWEDEN -- (4.7%) Nordea Bank AB (e) 4.500%, 05/12/14...................................... 3,000 4,115,889 Svenska Handelsbanken AB (e) 4.875%, 03/25/14...................................... 3,500 4,807,111 ----------- TOTAL SWEDEN.............................................. 8,923,000 ----------- SWITZERLAND -- (0.3%) Credit Suisse New York AG (u) 5.000%, 05/15/13...................................... 600 614,423 ----------- UNITED KINGDOM -- (1.7%) Barclays Bank P.L.C. (u) 5.200%, 07/10/14...................................... 300 320,759 BP Capital Markets P.L.C. (u) 5.250%, 11/07/13...................................... 1,750 1,834,655 Vodafone Group P.L.C. (u) 5.000%, 12/16/13...................................... 1,000 1,050,091 ----------- TOTAL UNITED KINGDOM...................................... 3,205,505 ----------- UNITED STATES -- (26.4%) Allstate Corp. (The) 7.500%, 06/15/13....................................... $ 489 509,999 American Express Credit Corp. 7.300%, 08/20/13....................................... 500 526,881 Anheuser-Busch Cos., Inc. 4.375%, 01/15/13....................................... 700 704,560 Face Amount Value+ ------- ----------- (000) UNITED STATES -- (Continued) Apache Corp. 5.250%, 04/15/13....................................... $ 700 $ 714,979 Assurant, Inc. 5.625%, 02/15/14....................................... 1,000 1,039,081 Avery Dennison Corp. 4.875%, 01/15/13....................................... 600 605,079 Bank of America Corp. 7.375%, 05/15/14....................................... 1,000 1,092,637 BB&T Corp. 3.375%, 09/25/13....................................... 600 615,264 BlackRock, Inc. 2.250%, 12/10/12....................................... 600 601,075 Bristol-Myers Squibb Co. 5.250%, 08/15/13....................................... 345 358,344 Burlington Northern Santa Fe LLC 4.300%, 07/01/13....................................... 600 615,069 Campbell Soup Co. 4.875%, 10/01/13....................................... 251 260,966 Caterpillar Financial Services Corp. 2.000%, 04/05/13....................................... 650 654,612 CenterPoint Energy Resources Corp. 7.875%, 04/01/13....................................... 600 616,874 Cisco Systems, Inc. 1.625%, 03/14/14....................................... 1,000 1,016,508 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13....................................... 1,921 1,929,767 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13....................................... 600 617,165 Consolidated Edison Co. of New York, Inc. 3.850%, 06/15/13....................................... 250 255,277 Daimler Finance North America LLC 6.500%, 11/15/13....................................... 1,500 1,589,066 Dell, Inc. 1.400%, 09/10/13....................................... 600 604,380 Dominion Resources, Inc. 5.000%, 03/15/13....................................... 600 609,840 Duke Energy Corp. 3.950%, 09/15/14....................................... 1,600 1,693,368 Enterprise Products Operating LLC 9.750%, 01/31/14....................................... 1,000 1,108,983 Express Scripts Holding Co. 6.250%, 06/15/14....................................... 1,500 1,629,700
35 Enhanced U.S. Large Company Portfolio CONTINUED
Face Amount Value+ ---------- ------------ (000) UNITED STATES -- (Continued) Fifth Third Bancorp 6.250%, 05/01/13.................................... $ 600 $ 616,747 General Electric Capital Corp. 1.875%, 09/16/13.................................... 1,500 1,519,674 2.100%, 01/07/14.................................... 3,500 3,563,497 Georgia Power Co. 1.300%, 09/15/13.................................... 700 705,591 Goldman Sachs Group, Inc. (The) 5.450%, 11/01/12.................................... 1,360 1,360,000 Hartford Financial Services Group, Inc. 4.750%, 03/01/14.................................... 1,580 1,647,902 Hewlett-Packard Co. 4.500%, 03/01/13.................................... 600 606,523 1.250%, 09/13/13.................................... 500 500,189 Historic TW, Inc. 9.125%, 01/15/13.................................... 600 609,689 HSBC Finance Corp. 6.375%, 11/27/12.................................... 600 602,174 John Deere Capital Corp. 4.500%, 04/03/13.................................... 700 712,121 JPMorgan Chase & Co. 2.050%, 01/24/14.................................... 1,000 1,017,470 Kimberly-Clark Corp. 5.000%, 08/15/13.................................... 600 622,312 Kroger Co. (The) 5.500%, 02/01/13.................................... 600 606,935 MetLife, Inc. 5.375%, 12/15/12.................................... 1,000 1,005,474 5.000%, 11/24/13.................................... 350 366,694 Nisource Finance Corp. 6.150%, 03/01/13.................................... 273 277,575 PACCAR Financial Corp. 2.050%, 06/17/13.................................... 600 606,548 Philip Morris International, Inc. 4.875%, 05/16/13.................................... 600 613,841 Praxair, Inc. 2.125%, 06/14/13.................................... 815 822,937 Principal Financial Group, Inc. 7.875%, 05/15/14.................................... 1,500 1,658,754 Prudential Financial, Inc. 5.150%, 01/15/13.................................... 600 605,562 Reynolds American, Inc. 7.250%, 06/01/13.................................... 600 622,630 Spectra Energy Capital LLC 5.500%, 03/01/14.................................... 1,500 1,581,377 St. Jude Medical, Inc. 2.200%, 09/15/13.................................... 1,800 1,823,054 Face Amount Value+ ---------- ------------ (000) UNITED STATES -- (Continued) SunTrust Banks, Inc. 5.250%, 11/05/12.................................... $ 500 $ 500,000 TD Ameritrade Holding Corp. 2.950%, 12/01/12.................................... 700 701,342 Travelers Property Casualty Corp. 5.000%, 03/15/13.................................... 700 711,375 Union Bank NA 2.125%, 12/16/13.................................... 1,050 1,070,104 UnitedHealth Group, Inc. 4.875%, 04/01/13.................................... 600 610,383 Wachovia Corp. 5.500%, 05/01/13.................................... 1,000 1,024,648 Wells Fargo Bank & Co. 4.375%, 01/31/13.................................... 500 504,843 ------------ TOTAL UNITED STATES.................................... 49,767,439 ------------ TOTAL BONDS............................................ 165,301,099 ------------ AGENCY OBLIGATIONS -- (8.0%) Federal Home Loan Mortgage Corporation Discount Note ^^1.000%, 12/31/12..................................... 5,000 4,999,250 Federal National Mortgage Association 0.750%, 12/18/13.................................... 5,500 5,533,462 Federal National Mortgage Association Discount Note ^^1.000%, 12/26/12..................................... 4,600 4,599,437 ------------ TOTAL AGENCY OBLIGATIONS............................... 15,132,149 ------------ Shares ---------- EXCHANGE-TRADED FUND -- (3.3%) UNITED STATES -- (3.3%) SPDR Trust Series I................................. 44,100 6,226,038 ------------ TEMPORARY CASH INVESTMENTS -- (1.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.............................. 1,964,613 1,964,613 ------------ TOTAL INVESTMENTS --(100.0%) (Cost $186,485,930).................................. $188,623,899 ============
36 Enhanced U.S. Large Company Portfolio CONTINUED Summary of the Portfolio's investments as of October 31, 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......................... -- $165,301,099 -- $165,301,099 Agency Obligations............ -- 15,132,149 -- 15,132,149 Exchange-Traded Fund.......... $ 6,226,038 -- -- 6,226,038 Temporary Cash Investments.... 1,964,613 -- -- 1,964,613 Forward Currency Contracts**.. -- (1,181,307) -- (1,181,307) Futures Contracts**........... 2,825,538 -- -- 2,825,538 ----------- ------------ -- ------------ TOTAL......................... $11,016,189 $179,251,941 -- $190,268,130 =========== ============ == ============ ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 37 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%)...................... Investment in The U.S. Large Cap Value Series of............... The DFA Investment Trust Company............................ $8,335,906,814 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $6,139,973,441) $8,335,906,814 ============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 38 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (88.1%) Consumer Discretionary -- (14.4%) *Cabela's, Inc....................... 326,469 $ 14,629,076 0.5% Dillard's, Inc. Class A............. 230,083 17,716,391 0.6% #GameStop Corp. Class A.............. 635,798 14,515,268 0.5% #Lennar Corp. Class A................ 638,026 23,906,834 0.8% *Mohawk Industries, Inc.............. 298,339 24,902,356 0.8% *Toll Brothers, Inc.................. 358,683 11,840,126 0.4% Other Securities.................... 389,593,136 12.7% ------------ ---- Total Consumer Discretionary............ 497,103,187 16.3% ------------ ---- Consumer Staples -- (4.1%) *Constellation Brands, Inc. Class A.. 373,609 13,203,342 0.4% *Hain Celestial Group, Inc. (The).... 217,855 12,592,019 0.4% *Ralcorp Holdings, Inc............... 153,458 11,078,133 0.4% #*Smithfield Foods, Inc............... 767,800 15,716,866 0.5% Other Securities.................... 89,905,302 3.0% ------------ ---- Total Consumer Staples.................. 142,495,662 4.7% ------------ ---- Energy -- (7.2%) *Rowan Cos. P.L.C. Class A........... 630,839 20,003,905 0.7% Tesoro Corp......................... 728,585 27,474,940 0.9% Tidewater, Inc...................... 256,438 12,183,369 0.4% #Western Refining, Inc............... 423,850 10,541,150 0.3% Other Securities.................... 178,509,585 5.8% ------------ ---- Total Energy............................ 248,712,949 8.1% ------------ ---- Financials -- (22.7%) Allied World Assurance Co. Holdings AG....................... 192,146 15,429,324 0.5% Alterra Capital Holdings, Ltd....... 443,922 10,845,014 0.3% *American Capital, Ltd............... 1,347,022 15,881,389 0.5% #American Financial Group, Inc....... 465,600 18,065,280 0.6% Aspen Insurance Holdings, Ltd....... 342,379 11,075,961 0.4% #Assurant, Inc....................... 429,284 16,231,228 0.5% Axis Capital Holdings, Ltd.......... 593,046 21,480,126 0.7% CNO Financial Group, Inc............ 1,174,038 11,247,284 0.4% Everest Re Group, Ltd............... 155,023 17,215,304 0.6% #Legg Mason, Inc..................... 686,279 17,486,389 0.6% NASDAQ OMX Group, Inc. (The)........ 858,799 20,448,004 0.7% Old Republic International Corp..... 1,125,422 11,119,169 0.4% PartnerRe, Ltd...................... 301,355 24,409,755 0.8% People's United Financial, Inc...... 1,422,378 17,111,207 0.5% #Protective Life Corp................ 383,246 10,462,616 0.3% Reinsurance Group of America, Inc... 356,518 18,866,933 0.6% Validus Holdings, Ltd............... 380,327 13,615,707 0.4% #Zions Bancorporation................ 669,978 14,384,428 0.5% Other Securities.................... 496,802,727 16.3% ------------ ---- Total Financials........................ 782,177,845 25.6% ------------ ---- Health Care -- (6.0%) Coventry Health Care, Inc........... 662,402 28,907,223 1.0% #Omnicare, Inc....................... 551,404 19,039,980 0.6% Teleflex, Inc....................... 166,382 11,305,657 0.4% Other Securities.................... 146,830,421 4.8% ------------ ---- Total Health Care....................... 206,083,281 6.8% ------------ ---- Industrials -- (13.3%) *Owens Corning, Inc.................. 567,793 19,072,167 0.6% 39 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) *Quanta Services, Inc........................................................ 507,693 $ 13,164,479 0.4% Ryder System, Inc........................................................... 245,750 11,088,240 0.4% Trinity Industries, Inc..................................................... 409,075 12,795,866 0.4% Other Securities............................................................ 404,389,894 13.3% -------------- ---- Total Industrials............................................................... 460,510,646 15.1% -------------- ---- Information Technology -- (11.1%) *AOL, Inc.................................................................... 465,034 15,964,617 0.5% *Arrow Electronics, Inc...................................................... 463,696 16,336,010 0.6% #*Avnet, Inc.................................................................. 540,580 15,487,617 0.5% *Tech Data Corp.............................................................. 261,278 11,577,228 0.4% Other Securities............................................................ 324,457,825 10.6% -------------- ---- Total Information Technology.................................................... 383,823,297 12.6% -------------- ---- Materials -- (7.3%) Ashland, Inc................................................................ 237,924 16,928,293 0.6% *Coeur d'Alene Mines Corp.................................................... 421,417 13,025,999 0.4% #Domtar Corp................................................................. 168,731 13,456,297 0.4% #*Louisiana-Pacific Corp...................................................... 736,661 11,631,877 0.4% Reliance Steel & Aluminum Co................................................ 352,172 19,137,026 0.6% Rock-Tenn Co. Class A....................................................... 245,760 17,987,174 0.6% Other Securities............................................................ 160,968,085 5.3% -------------- ---- Total Materials................................................................. 253,134,751 8.3% -------------- ---- Other -- (0.0%) Other Securities............................................................ -- 0.0% -------------- ---- Telecommunication Services -- (1.1%) Other Securities............................................................ 39,185,854 1.3% -------------- ---- Utilities -- (0.9%) #NRG Energy, Inc............................................................. 657,780 14,181,737 0.4% Other Securities............................................................ 17,332,727 0.6% -------------- ---- Total Utilities................................................................. 31,514,464 1.0% -------------- ---- TOTAL COMMON STOCKS............................................................. 3,044,741,936 99.8% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities............................................................ 62,038 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 3,983,433 3,983,433 0.1% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (11.8%) (S)@DFA Short Term Investment Fund.............................................. 34,988,807 404,820,495 13.3% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,100,507 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,103,818) to be repurchased at $1,068,435.................................................. $ 1,068 1,068,426 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL............................................. 405,888,921 13.3% -------------- ----
40 U.S. TARGETED VALUE PORTFOLIO CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,024,832,050)..................... $3,454,676,328 113.2% ============== ===== Summary of the Portfolio's investments as of October 31, 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... $ 497,098,796 $ 4,391 -- $ 497,103,187 Consumer Staples......... 142,495,662 -- -- 142,495,662 Energy................... 248,610,889 102,060 -- 248,712,949 Financials............... 782,177,845 -- -- 782,177,845 Health Care.............. 205,941,961 141,320 -- 206,083,281 Industrials.............. 460,399,468 111,178 -- 460,510,646 Information Technology... 383,823,297 -- -- 383,823,297 Materials................ 253,134,751 -- -- 253,134,751 Other.................... -- -- -- -- Telecommunication Services............... 39,185,854 -- -- 39,185,854 Utilities................ 31,514,464 -- -- 31,514,464 Rights/Warrants............. 61,997 41 -- 62,038 Temporary Cash Investments.. 3,983,433 -- -- 3,983,433 Securities Lending Collateral................ -- 405,888,921 -- 405,888,921 -------------- ------------ -- -------------- TOTAL....................... $3,048,428,417 $406,247,911 -- $3,454,676,328 ============== ============ == ============== See accompanying Notes to Financial Statements. 41 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- -------------- --------------- COMMON STOCKS -- (88.8%) Consumer Discretionary -- (16.4%) #*Cabela's, Inc................... 1,287,489 $ 57,692,382 0.8% #Dillard's, Inc. Class A......... 1,136,061 87,476,697 1.2% #Group 1 Automotive, Inc......... 524,432 32,520,028 0.5% #*Iconix Brand Group, Inc......... 2,044,664 37,846,731 0.5% #Penske Automotive Group, Inc.... 1,277,301 39,085,411 0.6% #Rent-A-Center, Inc.............. 1,626,484 54,210,712 0.8% #*Ryman Hospitality Properties.... 1,272,691 49,647,676 0.7% #Scholastic Corp................. 1,436,861 47,402,044 0.7% Other Securities................ 895,541,723 12.6% -------------- ---- Total Consumer Discretionary........ 1,301,423,404 18.4% -------------- ---- Consumer Staples -- (4.0%) #Fresh Del Monte Produce, Inc.... 1,551,187 39,043,377 0.6% *Hain Celestial Group, Inc. (The).......................... 1,084,318 62,673,580 0.9% #Universal Corp.................. 851,741 42,212,284 0.6% Other Securities................ 172,594,212 2.4% -------------- ---- Total Consumer Staples.............. 316,523,453 4.5% -------------- ---- Energy -- (7.8%) Bristow Group, Inc.............. 1,272,598 63,528,092 0.9% #*Exterran Holdings, Inc.......... 1,914,243 38,246,575 0.6% *Helix Energy Solutions Group, Inc............................ 3,726,588 64,432,707 0.9% #*Hornbeck Offshore Services, Inc. 1,304,913 45,202,186 0.6% #*SEACOR Holdings, Inc............ 457,937 40,165,654 0.6% #Western Refining, Inc........... 1,985,639 49,382,842 0.7% Other Securities................ 319,626,231 4.5% -------------- ---- Total Energy........................ 620,584,287 8.8% -------------- ---- Financials -- (22.6%) *Alexander & Baldwin, Inc........ 1,217,868 35,232,921 0.5% #CNO Financial Group, Inc........ 8,673,411 83,091,277 1.2% Endurance Specialty Holdings, Ltd........................... 1,001,612 40,615,367 0.6% Kemper Corp..................... 1,575,685 48,846,235 0.7% #*MBIA, Inc....................... 3,627,943 35,916,636 0.5% Montpelier Re Holdings, Ltd..... 2,238,256 51,188,915 0.7% #*PHH Corp........................ 1,987,912 41,368,449 0.6% Provident Financial Services, Inc........................... 2,329,292 34,939,380 0.5% #Selective Insurance Group, Inc.. 1,837,838 33,981,625 0.5% #Susquehanna Bancshares, Inc..... 4,754,073 49,299,737 0.7% #Umpqua Holdings Corp............ 3,734,973 45,155,824 0.6% #Webster Financial Corp.......... 1,831,262 40,287,764 0.6% #Wintrust Financial Corp......... 1,249,333 46,162,854 0.6% Other Securities................ 1,214,320,698 17.1% -------------- ---- Total Financials.................... 1,800,407,682 25.4% -------------- ---- Health Care -- (3.8%) *LifePoint Hospitals, Inc........ 1,931,002 68,241,611 1.0% Other Securities................ 236,870,745 3.3% -------------- ---- Total Health Care................... 305,112,356 4.3% -------------- ---- Industrials -- (15.2%) #Amerco, Inc..................... 346,723 40,060,375 0.6% #*Atlas Air Worldwide Holdings, Inc............................. 660,670 36,330,243 0.5% #*Avis Budget Group, Inc.......... 4,147,655 68,560,737 1.0% *Esterline Technologies Corp..... 1,171,847 67,721,038 0.9% #GATX Corp....................... 1,710,701 70,925,663 1.0% 42 U.S. Small Cap Value Portfolio CONTINUED Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) #*General Cable Corp............ 1,261,950 $ 36,003,433 0.5% #*JetBlue Airways Corp.......... 10,210,930 54,015,820 0.7% *Seaboard Corp................. 18,588 42,405,362 0.6% #Trinity Industries, Inc....... 1,061,083 33,190,676 0.5% Other Securities.............. 763,015,204 10.8% -------------- ---- Total Industrials................. 1,212,228,551 17.1% -------------- ---- Information Technology -- (11.1%) *Benchmark Electronics, Inc.... 2,338,129 34,651,072 0.5% #*CACI International, Inc. Class A....................... 780,164 39,343,671 0.5% #Convergys Corp................ 4,073,697 68,478,847 1.0% #*Fairchild Semiconductor International, Inc............ 2,958,679 34,794,065 0.5% #*SYNNEX Corp................... 1,143,432 37,035,762 0.5% Other Securities.............. 667,384,640 9.4% -------------- ---- Total Information Technology...... 881,688,057 12.4% -------------- ---- Materials -- (7.5%) #*Coeur d'Alene Mines Corp...... 1,657,693 51,239,291 0.7% *Graphic Packaging Holding Co.. 5,936,036 35,141,333 0.5% #Kaiser Aluminum Corp.......... 632,304 38,304,976 0.5% #*Louisiana-Pacific Corp........ 5,305,120 83,767,845 1.2% #Westlake Chemical Corp........ 1,074,932 81,759,328 1.2% Other Securities.............. 306,988,842 4.3% -------------- ---- Total Materials................... 597,201,615 8.4% -------------- ---- Other -- (0.0%) Other Securities.............. 6,156 0.0% -------------- ---- Telecommunication Services -- (0.3%) Other Securities.............. 24,522,710 0.3% -------------- ---- Utilities -- (0.1%) Other Securities.............. 7,667,599 0.1% -------------- ---- TOTAL COMMON STOCKS............... 7,067,365,870 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities.............. 84,611 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.............. 154,410 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares........ 33,889,756 33,889,756 0.5% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (10.8%) (S)@DFA Short Term Investment Fund............................ 73,743,297 853,209,950 12.1% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $2,319,458 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $2,326,438) to be repurchased at $2,251,863...................... $ 2,252 2,251,844 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL...................... 855,461,794 12.1% -------------- ---- 43 U.S. Small Cap Value Portfolio CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%)................... (Cost $7,171,018,202) $7,956,956,441 112.3% ============== ===== Summary of the Portfolio's investments as of October 31, 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... $1,301,423,404 -- -- $1,301,423,404 Consumer Staples......... 316,523,453 -- -- 316,523,453 Energy................... 620,413,455 $ 170,832 -- 620,584,287 Financials............... 1,800,407,682 -- -- 1,800,407,682 Health Care.............. 304,260,154 852,202 -- 305,112,356 Industrials.............. 1,211,592,934 635,617 -- 1,212,228,551 Information Technology... 881,688,057 -- -- 881,688,057 Materials................ 597,201,615 -- -- 597,201,615 Other.................... -- 6,156 -- 6,156 Telecommunication Services............... 24,522,710 -- -- 24,522,710 Utilities................ 7,667,599 -- -- 7,667,599 Preferred Stocks Energy................... -- 84,611 -- 84,611 Rights/Warrants............. 145,936 8,474 -- 154,410 Temporary Cash Investments.. 33,889,756 -- -- 33,889,756 Securities Lending Collateral................ -- 855,461,794 -- 855,461,794 -------------- ------------ -- -------------- TOTAL....................... $7,099,736,755 $857,219,686 -- $7,956,956,441 ============== ============ == ============== See accompanying Notes to Financial Statements. 44 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (86.8%) Consumer Discretionary -- (12.1%) *Amazon.com, Inc.................... 73,170 $ 17,035,439 0.3% Comcast Corp. Class A.............. 598,894 22,464,514 0.5% Home Depot, Inc. (The)............. 297,267 18,246,248 0.4% McDonald's Corp.................... 201,938 17,528,218 0.4% #News Corp. Class A................. 450,943 10,786,557 0.2% Time Warner, Inc................... 272,477 11,839,126 0.2% Walt Disney Co. (The).............. 447,208 21,944,497 0.5% Other Securities................... 556,857,657 11.4% ------------ ---- Total Consumer Discretionary........... 676,702,256 13.9% ------------ ---- Consumer Staples -- (7.1%) Altria Group, Inc.................. 386,613 12,294,293 0.3% #Coca-Cola Co. (The)................ 820,326 30,499,721 0.6% CVS Caremark Corp.................. 355,692 16,504,109 0.3% Mondelez International, Inc. Class A.......................... 481,707 12,784,504 0.3% PepsiCo, Inc....................... 310,570 21,503,867 0.4% Philip Morris International, Inc... 341,453 30,239,078 0.6% Procter & Gamble Co. (The)......... 444,296 30,763,055 0.6% Wal-Mart Stores, Inc............... 499,081 37,441,057 0.8% Other Securities................... 203,000,171 4.2% ------------ ---- Total Consumer Staples................. 395,029,855 8.1% ------------ ---- Energy -- (8.8%) Chevron Corp....................... 555,913 61,267,172 1.2% ConocoPhillips..................... 343,340 19,862,219 0.4% Exxon Mobil Corp................... 906,263 82,623,998 1.7% Occidental Petroleum Corp.......... 210,492 16,620,448 0.3% Schlumberger, Ltd.................. 255,671 17,776,805 0.4% Other Securities................... 291,110,605 6.0% ------------ ---- Total Energy........................... 489,261,247 10.0% ------------ ---- Financials -- (14.3%) American Express Co................ 195,451 10,939,392 0.2% Bank of America Corp............... 3,021,536 28,160,716 0.6% *Berkshire Hathaway, Inc. Class B... 354,267 30,590,955 0.6% Citigroup, Inc..................... 811,834 30,354,473 0.6% Goldman Sachs Group, Inc. (The).... 131,829 16,134,551 0.3% JPMorgan Chase & Co................ 1,045,479 43,575,565 0.9% U.S. Bancorp....................... 508,644 16,892,067 0.4% Wells Fargo & Co................... 1,421,763 47,899,195 1.0% Other Securities................... 577,479,985 11.8% ------------ ---- Total Financials....................... 802,026,899 16.4% ------------ ---- Health Care -- (9.6%) Abbott Laboratories................ 313,084 20,513,264 0.4% Amgen, Inc......................... 198,736 17,199,607 0.4% Johnson & Johnson.................. 586,544 41,539,046 0.9% Merck & Co., Inc................... 801,185 36,558,072 0.7% #Pfizer, Inc........................ 2,124,032 52,824,676 1.1% UnitedHealth Group, Inc............ 245,508 13,748,448 0.3% Other Securities................... 356,532,581 7.3% ------------ ---- Total Health Care...................... 538,915,694 11.1% ------------ ---- Industrials -- (11.2%) 3M Co.............................. 128,759 11,279,288 0.2% General Electric Co................ 2,949,640 62,119,418 1.3% 45 U.S. Core Equity 1 Portfolio CONTINUED Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) Union Pacific Corp............. 133,124 $ 16,378,246 0.3% United Technologies Corp....... 170,046 13,290,795 0.3% Other Securities............... 522,468,562 10.7% -------------- ---- Total Industrials.................. 625,536,309 12.8% -------------- ---- Information Technology -- (14.0%) Apple, Inc..................... 192,709 114,681,126 2.4% *Cisco Systems, Inc............. 1,163,085 19,935,277 0.4% *eBay, Inc...................... 225,590 10,893,741 0.2% *Google, Inc. Class A........... 51,548 35,040,784 0.7% Intel Corp..................... 977,362 21,135,453 0.4% International Business Machines Corp................ 219,826 42,762,752 0.9% Microsoft Corp................. 1,530,121 43,662,003 0.9% Oracle Corp.................... 776,113 24,098,309 0.5% QUALCOMM, Inc.................. 339,292 19,874,029 0.4% Visa, Inc...................... 114,676 15,912,442 0.3% Other Securities............... 436,758,642 9.0% -------------- ---- Total Information Technology....... 784,754,558 16.1% -------------- ---- Materials -- (4.4%) Other Securities............... 243,570,457 5.0% -------------- ---- Other -- (0.0%) Other Securities............... -- 0.0% -------------- ---- Telecommunication Services -- (2.3%) AT&T, Inc...................... 1,637,332 56,635,314 1.1% Verizon Communications, Inc.... 729,538 32,566,576 0.7% Other Securities............... 39,819,239 0.8% -------------- ---- Total Telecommunication Services... 129,021,129 2.6% -------------- ---- Utilities -- (3.0%) Other Securities............... 169,532,898 3.5% -------------- ---- TOTAL COMMON STOCKS................ 4,854,351,302 99.5% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities............... 6,330 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities............... 16,931 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 18,707,243 18,707,243 0.4% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.9%) (S)@DFA Short Term Investment Fund. 62,379,366 721,729,267 14.8% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,962,028 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,967,932) to be repurchased at $1,904,849..... $ 1,905 1,904,833 0.1% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL....................... 723,634,100 14.9% -------------- ---- 46 U.S. Core Equity 1 Portfolio CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,846,823,008)...................... $5,596,715,906 114.8% ============== ===== Summary of the Portfolio's investments as of October 31, 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.. $ 676,674,520 $ 27,736 -- $ 676,702,256 Consumer Staples........ 395,029,855 -- -- 395,029,855 Energy.................. 489,242,390 18,857 -- 489,261,247 Financials.............. 802,026,899 -- -- 802,026,899 Health Care............. 538,900,236 15,458 -- 538,915,694 Industrials............. 625,519,189 17,120 -- 625,536,309 Information Technology.. 784,754,558 -- -- 784,754,558 Materials............... 243,570,457 -- -- 243,570,457 Other................... -- -- -- -- Telecommunication Services.............. 129,021,129 -- -- 129,021,129 Utilities............... 169,532,898 -- -- 169,532,898 Preferred Stocks Energy.................. -- 6,330 -- 6,330 Rights/Warrants............. 16,711 220 -- 16,931 Temporary Cash Investments.. 18,707,243 -- -- 18,707,243 Securities Lending Collateral................ -- 723,634,100 -- 723,634,100 -------------- ------------ -- -------------- TOTAL....................... $4,872,996,085 $723,719,821 -- $5,596,715,906 ============== ============ == ============== See accompanying Notes to Financial Statements. 47 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** --------- -------------- --------------- COMMON STOCKS -- (87.6%) Consumer Discretionary -- (12.6%) Comcast Corp. Class A............ 1,069,364 $ 40,111,844 0.6% Home Depot, Inc. (The)........... 301,629 18,513,988 0.3% *Liberty Media Corp. - Liberty Capital Class A................. 135,703 15,153,954 0.2% #News Corp. Class A............... 846,333 20,244,285 0.3% #Time Warner Cable, Inc........... 159,874 15,845,112 0.2% #Time Warner, Inc................. 505,637 21,969,928 0.3% Walt Disney Co. (The)............ 830,524 40,753,813 0.6% Other Securities................. 817,352,451 11.8% -------------- ---- Total Consumer Discretionary......... 989,945,375 14.3% -------------- ---- Consumer Staples -- (5.8%) Coca-Cola Co. (The).............. 439,242 16,331,018 0.2% #CVS Caremark Corp................ 661,528 30,694,899 0.5% Mondelez International, Inc. Class A........................ 875,793 23,243,546 0.3% Procter & Gamble Co. (The)....... 610,480 42,269,635 0.6% #Wal-Mart Stores, Inc............. 387,774 29,090,805 0.4% Other Securities................. 314,210,762 4.6% -------------- ---- Total Consumer Staples............... 455,840,665 6.6% -------------- ---- Energy -- (9.7%) Anadarko Petroleum Corp.......... 243,678 16,767,483 0.3% #Apache Corp...................... 188,754 15,619,394 0.2% Chevron Corp..................... 1,020,634 112,484,073 1.6% ConocoPhillips................... 632,838 36,609,678 0.5% EOG Resources, Inc............... 129,393 15,072,991 0.2% Exxon Mobil Corp................. 1,268,253 115,626,626 1.7% National Oilwell Varco, Inc...... 213,355 15,724,264 0.2% Occidental Petroleum Corp........ 382,913 30,234,810 0.5% Phillips 66...................... 316,419 14,922,320 0.2% Other Securities................. 394,972,370 5.7% -------------- ---- Total Energy......................... 768,034,009 11.1% -------------- ---- Financials -- (17.2%) Bank of America Corp............. 5,244,183 48,875,786 0.7% Bank of New York Mellon Corp. (The).......................... 588,370 14,538,623 0.2% *Berkshire Hathaway, Inc. Class B............................... 231,623 20,000,646 0.3% Capital One Financial Corp....... 279,908 16,842,064 0.3% Citigroup, Inc................... 1,250,596 46,759,784 0.7% Goldman Sachs Group, Inc. (The).. 225,842 27,640,802 0.4% JPMorgan Chase & Co.............. 1,897,065 79,069,669 1.1% MetLife, Inc..................... 512,756 18,197,710 0.3% PNC Financial Services Group, Inc............................ 268,801 15,641,530 0.2% Travelers Cos., Inc. (The)....... 235,445 16,702,468 0.2% U.S. Bancorp..................... 907,771 30,147,075 0.4% Wells Fargo & Co................. 2,607,433 87,844,418 1.3% Other Securities................. 930,203,391 13.4% -------------- ---- Total Financials..................... 1,352,463,966 19.5% -------------- ---- Health Care -- (9.4%) Amgen, Inc....................... 259,507 22,459,033 0.3% Johnson & Johnson................ 360,790 25,551,148 0.4% Merck & Co., Inc................. 1,401,705 63,959,799 0.9% Pfizer, Inc...................... 3,820,885 95,025,410 1.4% UnitedHealth Group, Inc.......... 453,978 25,422,768 0.4% Other Securities................. 509,664,669 7.3% -------------- ---- Total Health Care.................... 742,082,827 10.7% -------------- ----
48 U.S. Core Equity 2 Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (12.1%) General Electric Co............. 5,244,073 $ 110,440,177 1.6% Union Pacific Corp.............. 245,011 30,143,703 0.4% Other Securities................ 814,093,083 11.8% -------------- ---- Total Industrials................... 954,676,963 13.8% -------------- ---- Information Technology -- (11.2%) Apple, Inc...................... 102,298 60,877,540 0.9% *Cisco Systems, Inc.............. 1,115,185 19,114,271 0.3% *Google, Inc. Class A............ 29,049 19,746,639 0.3% #Intel Corp...................... 1,282,072 27,724,807 0.4% International Business Machines Corp................. 104,155 20,261,272 0.3% Microsoft Corp.................. 928,949 26,507,560 0.4% Oracle Corp..................... 517,147 16,057,414 0.2% #Visa, Inc....................... 232,750 32,296,390 0.5% Other Securities................ 662,078,081 9.5% -------------- ---- Total Information Technology........ 884,663,974 12.8% -------------- ---- Materials -- (4.6%) Other Securities................ 361,593,575 5.2% -------------- ---- Other -- (0.0%) Other Securities................ -- 0.0% -------------- ---- Telecommunication Services -- (2.9%) #AT&T, Inc....................... 2,989,398 103,403,277 1.5% Verizon Communications, Inc..... 1,386,217 61,880,727 0.9% Other Securities................ 60,471,763 0.9% -------------- ---- Total Telecommunication Services.... 225,755,767 3.3% -------------- ---- Utilities -- (2.1%) Other Securities................ 164,427,703 2.4% -------------- ---- TOTAL COMMON STOCKS................. 6,899,484,824 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities................ 14,911 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities................ 41,489 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.. 25,908,240 25,908,240 0.4% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.1%) (S)@DFA Short Term Investment Fund.. 81,993,994 948,670,516 13.7% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $2,920,082 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $2,928,869) to be repurchased at $2,834,983........................ $ 2,835 2,834,959 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL. 951,505,475 13.7% -------------- ----
49 U.S. Core Equity 2 Portfolio CONTINUED
Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS --(100.0%) (Cost $6,883,487,825).................... $7,876,954,939 113.8% ============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 989,880,654 $ 64,721 -- $ 989,945,375 Consumer Staples........ 455,840,665 -- -- 455,840,665 Energy.................. 768,012,042 21,967 -- 768,034,009 Financials.............. 1,352,463,966 -- -- 1,352,463,966 Health Care............. 742,046,854 35,973 -- 742,082,827 Industrials............. 954,633,938 43,025 -- 954,676,963 Information Technology.. 884,663,974 -- -- 884,663,974 Materials............... 361,593,575 -- -- 361,593,575 Other................... -- -- -- -- Telecommunication Services.............. 225,755,767 -- -- 225,755,767 Utilities............... 164,427,703 -- -- 164,427,703 Preferred Stocks Energy.................. -- 14,911 -- 14,911 Rights/Warrants............. 40,617 872 -- 41,489 Temporary Cash Investments.. 25,908,240 -- -- 25,908,240 Securities Lending Collateral................ -- 951,505,475 -- 951,505,475 -------------- ------------ -- -------------- TOTAL....................... $6,925,267,995 $951,686,944 -- $7,876,954,939 ============== ============ == ==============
See accompanying Notes to Financial Statements. 50 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (87.3%) Consumer Discretionary -- (13.9%) Comcast Corp. Class A.............. 303,818 $ 11,396,213 0.6% Dillard's, Inc. Class A............ 62,205 4,789,785 0.2% #Lennar Corp. Class A............... 134,243 5,030,085 0.3% *Liberty Interactive Corp. Class A.. 267,922 5,358,440 0.3% *Mohawk Industries, Inc............. 54,426 4,542,938 0.2% #Time Warner, Inc................... 135,201 5,874,483 0.3% *Toll Brothers, Inc................. 151,825 5,011,743 0.2% Walt Disney Co. (The).............. 118,253 5,802,675 0.3% Other Securities................... 271,340,250 13.5% ------------ ---- Total Consumer Discretionary........... 319,146,612 15.9% ------------ ---- Consumer Staples -- (4.8%) Beam, Inc.......................... 76,533 4,252,173 0.2% Bunge, Ltd......................... 76,701 5,448,072 0.3% CVS Caremark Corp.................. 121,704 5,647,066 0.3% Procter & Gamble Co. (The)......... 91,517 6,336,637 0.3% Wal-Mart Stores, Inc............... 58,500 4,388,670 0.2% Other Securities................... 84,469,435 4.2% ------------ ---- Total Consumer Staples................. 110,542,053 5.5% ------------ ---- Energy -- (8.7%) Anadarko Petroleum Corp............ 72,636 4,998,083 0.3% #Apache Corp........................ 55,888 4,624,732 0.2% Chevron Corp....................... 153,038 16,866,318 0.8% ConocoPhillips..................... 175,685 10,163,377 0.5% Exxon Mobil Corp................... 154,985 14,129,982 0.7% HollyFrontier Corp................. 109,681 4,236,977 0.2% Murphy Oil Corp.................... 106,439 6,386,340 0.3% Noble Corp......................... 132,385 4,996,210 0.3% Phillips 66........................ 91,273 4,304,435 0.2% Tesoro Corp........................ 131,157 4,945,930 0.3% Other Securities................... 123,451,407 6.1% ------------ ---- Total Energy........................... 199,103,791 9.9% ------------ ---- Financials -- (21.0%) American Financial Group, Inc...... 127,737 4,956,196 0.2% Bank of America Corp............... 1,263,850 11,779,082 0.6% #Bank of New York Mellon Corp. (The)............................. 163,628 4,043,248 0.2% Capital One Financial Corp......... 70,527 4,243,610 0.2% Citigroup, Inc..................... 207,090 7,743,095 0.4% Fidelity National Financial, Inc. Class A.......................... 187,838 4,021,612 0.2% Goldman Sachs Group, Inc. (The).... 47,945 5,867,989 0.3% Hartford Financial Services Group, Inc....................... 190,397 4,133,519 0.2% Invesco, Ltd....................... 186,136 4,526,828 0.2% JPMorgan Chase & Co................ 570,669 23,785,484 1.2% KeyCorp............................ 499,016 4,201,715 0.2% MetLife, Inc....................... 141,103 5,007,745 0.3% PNC Financial Services Group, Inc.. 76,226 4,435,591 0.2% #Principal Financial Group, Inc..... 157,281 4,331,519 0.2% Regions Financial Corp............. 634,241 4,135,251 0.2% Wells Fargo & Co................... 351,390 11,838,329 0.6% XL Group P.L.C..................... 162,997 4,032,546 0.2% Other Securities................... 368,806,067 18.4% ------------ ---- Total Financials....................... 481,889,426 24.0% ------------ ----
51 U.S. Vector Equity Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Health Care -- (7.6%) Merck & Co., Inc............... 149,737 $ 6,832,499 0.3% Pfizer, Inc.................... 563,682 14,018,771 0.7% Other Securities............... 152,553,891 7.6% -------------- ---- Total Health Care.................. 173,405,161 8.6% -------------- ---- Industrials -- (12.5%) General Electric Co............ 826,374 17,403,436 0.8% Union Pacific Corp............. 33,180 4,082,135 0.2% Other Securities............... 264,760,266 13.2% -------------- ---- Total Industrials.................. 286,245,837 14.2% -------------- ---- Information Technology -- (10.1%) Fidelity National Information Services, Inc................ 150,228 4,937,994 0.3% #IAC/InterActiveCorp............ 115,491 5,583,990 0.3% Visa, Inc...................... 37,703 5,231,668 0.3% Xerox Corp..................... 731,469 4,710,660 0.2% Other Securities............... 211,816,925 10.5% -------------- ---- Total Information Technology....... 232,281,237 11.6% -------------- ---- Materials -- (5.4%) Other Securities............... 123,573,134 6.2% -------------- ---- Other -- (0.0%) Other Securities............... -- 0.0% -------------- ---- Telecommunication Services -- (2.1%) AT&T, Inc...................... 570,322 19,727,438 1.0% #Verizon Communications, Inc.... 200,794 8,963,444 0.4% Other Securities............... 20,446,270 1.0% -------------- ---- Total Telecommunication Services... 49,137,152 2.4% -------------- ---- Utilities -- (1.2%) Other Securities............... 27,481,514 1.4% -------------- ---- TOTAL COMMON STOCKS................ 2,002,805,917 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities............... 16,458 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities................... 29,967 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............. 5,428,356 5,428,356 0.2% Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.4%) (S)@DFA Short Term Investment Fund. 24,567,468 284,245,602 14.2% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $775,049) to be repurchased at $750,204....... $ 750 750,198 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL....................... 284,995,800 14.2% -------------- ----
52 U.S. Vector Equity Portfolio CONTINUED
Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,050,058,109)......................... $2,293,276,498 114.1% ============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 319,120,585 $ 26,027 -- $ 319,146,612 Consumer Staples........ 110,542,053 -- -- 110,542,053 Energy.................. 199,079,511 24,280 -- 199,103,791 Financials.............. 481,889,426 -- -- 481,889,426 Health Care............. 173,379,098 26,063 -- 173,405,161 Industrials............. 286,213,395 32,442 -- 286,245,837 Information Technology.. 232,281,237 -- -- 232,281,237 Materials............... 123,573,134 -- -- 123,573,134 Other................... -- -- -- -- Telecommunication Services.............. 49,137,152 -- -- 49,137,152 Utilities............... 27,481,514 -- -- 27,481,514 Preferred Stocks Energy.................. -- 16,458 -- 16,458 Rights/Warrants............. 29,415 552 -- 29,967 Temporary Cash Investments.. 5,428,356 -- -- 5,428,356 Securities Lending Collateral................ -- 284,995,800 -- 284,995,800 -------------- ------------ -- -------------- TOTAL....................... $2,008,154,876 $285,121,622 -- $2,293,276,498 ============== ============ == ============== See accompanying Notes to Financial Statements. 53 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** ------- ------------ --------------- COMMON STOCKS -- (82.6%) Consumer Discretionary -- (15.4%) #Aaron's, Inc.......................... 301,837 $ 9,305,635 0.2% #*Bally Technologies, Inc............... 194,000 9,684,480 0.2% #Brinker International, Inc............ 322,412 9,930,290 0.2% #Brunswick Corp........................ 401,911 9,481,080 0.2% #Buckle, Inc. (The).................... 218,663 9,877,008 0.2% *Cabela's, Inc......................... 277,885 12,452,027 0.3% Dillard's, Inc. Class A............... 173,931 13,392,687 0.3% Domino's Pizza, Inc................... 270,452 10,985,760 0.2% #HSN, Inc.............................. 228,644 11,894,061 0.3% #Penske Automotive Group, Inc.......... 337,541 10,328,755 0.2% #Pier 1 Imports, Inc................... 641,193 13,080,337 0.3% #*Ryman Hospitality Properties.......... 228,431 8,911,093 0.2% Six Flags Entertainment Corp.......... 182,712 10,434,682 0.2% #Thor Industries, Inc.................. 243,435 9,257,833 0.2% #Vail Resorts, Inc..................... 163,736 9,296,930 0.2% *Warnaco Group, Inc. (The)............. 125,848 8,882,352 0.2% Other Securities...................... 679,005,396 14.9% ------------ ---- Total Consumer Discretionary.............. 846,200,406 18.5% ------------ ---- Consumer Staples -- (3.7%) #*Darling International, Inc............ 540,748 8,938,564 0.2% *Hain Celestial Group, Inc. (The)...... 180,533 10,434,807 0.2% #PriceSmart, Inc....................... 117,776 9,774,230 0.2% Other Securities...................... 173,131,585 3.8% ------------ ---- Total Consumer Staples.................... 202,279,186 4.4% ------------ ---- Energy -- (3.8%) #Western Refining, Inc................. 371,375 9,236,096 0.2% Other Securities...................... 202,043,645 4.4% ------------ ---- Total Energy.............................. 211,279,741 4.6% ------------ ---- Financials -- (13.5%) *Altisource Portfolio Solutions SA..... 106,753 12,116,466 0.3% #CNO Financial Group, Inc.............. 978,475 9,373,791 0.2% #*Investors Bancorp, Inc................ 504,558 9,076,998 0.2% *Ocwen Financial Corp.................. 457,639 17,651,136 0.4% #*Texas Capital Bancshares, Inc......... 184,544 8,760,304 0.2% Other Securities...................... 684,793,789 15.0% ------------ ---- Total Financials.......................... 741,772,484 16.3% ------------ ---- Health Care -- (8.4%) *Haemonetics Corp...................... 117,025 9,560,942 0.2% Medicis Pharmaceutical Corp. Class A.. 237,227 10,298,024 0.2% #*Myriad Genetics, Inc.................. 360,979 9,446,820 0.2% #STERIS Corp........................... 254,960 9,079,126 0.2% *Thoratec Corp......................... 319,166 11,394,226 0.3% Other Securities...................... 414,459,350 9.1% ------------ ---- Total Health Care......................... 464,238,488 10.2% ------------ ---- Industrials -- (15.2%) A.O. Smith Corp....................... 152,330 9,257,094 0.2% #Actuant Corp. Class A................. 318,532 8,995,344 0.2% #*Chart Industries, Inc................. 137,261 9,716,706 0.2% EMCOR Group, Inc...................... 306,181 9,846,781 0.2% #*Middleby Corp......................... 78,446 9,801,828 0.2% #Robbins & Myers, Inc.................. 176,805 10,481,000 0.2% 54 U.S. Small Cap Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- Industrials -- (Continued) Toro Co. (The).................. 239,432 $ 10,108,819 0.2% #*US Airways Group, Inc........... 746,580 9,093,344 0.2% Other Securities................ 759,233,963 16.7% -------------- ---- Total Industrials................... 836,534,879 18.3% -------------- ---- Information Technology -- (14.6%) #*3D Systems Corp................. 260,733 11,341,886 0.2% #*Cirrus Logic, Inc............... 297,264 12,116,481 0.3% #*CommVault Systems, Inc.......... 164,218 10,258,698 0.2% Convergys Corp.................. 526,242 8,846,128 0.2% *Cymer, Inc...................... 144,305 11,499,665 0.3% FEI Co.......................... 176,390 9,710,270 0.2% Loral Space & Communications, Inc........................... 120,478 9,476,799 0.2% #*NeuStar, Inc. Class A........... 247,646 9,061,367 0.2% *SolarWinds, Inc................. 262,245 13,266,975 0.3% Other Securities................ 707,242,217 15.5% -------------- ---- Total Information Technology........ 802,820,486 17.6% -------------- ---- Materials -- (4.7%) #Eagle Materials, Inc............ 212,595 11,261,157 0.3% *Louisiana-Pacific Corp.......... 633,346 10,000,533 0.2% Other Securities................ 238,341,168 5.2% -------------- ---- Total Materials..................... 259,602,858 5.7% Other -- (0.0%) Other Securities................ 414 0.0% -------------- ---- Telecommunication Services -- (0.4%) Other Securities................ 24,541,005 0.5% -------------- ---- Utilities -- (2.9%) Portland General Electric Co.... 338,710 9,280,654 0.2% Other Securities................ 149,160,307 3.3% -------------- ---- Total Utilities..................... 158,440,961 3.5% -------------- ---- TOTAL COMMON STOCKS................. 4,547,710,908 99.6% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities................ $ 54,227 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities................ 135,531 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.......... 12,912,865 12,912,865 0.3% -------------- ----
55 U.S. Small Cap Portfolio CONTINUED
Shares/ Face Amount Percentage (000) Value+ of Net Assets** ----------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (17.2%) (S)@DFA Short Term Investment Fund.............................................. 81,663,903 944,851,354 20.7% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $2,568,587 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $2,576,317) to be repurchased at $2,493,732.................................................. $ 2,494 2,493,711 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................................. 947,345,065 20.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $4,856,877,158).......................................................... $5,508,158,596 120.7% ============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 846,159,239 $ 41,167 -- $ 846,200,406 Consumer Staples........ 202,279,186 -- -- 202,279,186 Energy.................. 211,093,773 185,968 -- 211,279,741 Financials.............. 741,772,484 -- -- 741,772,484 Health Care............. 464,148,120 90,368 -- 464,238,488 Industrials............. 836,218,833 316,046 -- 836,534,879 Information Technology.. 802,820,486 -- -- 802,820,486 Materials............... 259,602,858 -- -- 259,602,858 Other................... -- 414 -- 414 Telecommunication Services.............. 24,541,005 -- -- 24,541,005 Utilities............... 158,440,961 -- -- 158,440,961 Preferred Stocks Energy.................. -- 54,227 -- 54,227 Rights/Warrants............. 131,992 3,539 -- 135,531 Temporary Cash Investments.. 12,912,865 -- -- 12,912,865 Securities Lending Collateral................ -- 947,345,065 -- 947,345,065 -------------- ------------ -- -------------- TOTAL....................... $4,560,121,802 $948,036,794 -- $5,508,158,596 ============== ============ == ==============
See accompanying Notes to Financial Statements. 56 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** ------- ------------- --------------- COMMON STOCKS -- (87.9%) Consumer Discretionary -- (15.7%) *Asbury Automotive Group, Inc........ 279,819 $ 8,875,859 0.3% Churchill Downs, Inc................ 117,187 7,655,827 0.2% #*Conn's, Inc......................... 303,338 7,683,552 0.2% #*Dorman Products, Inc................ 312,058 9,533,372 0.3% #Finish Line, Inc. Class A (The)..... 376,378 7,830,544 0.2% #KB Home............................. 521,279 8,330,038 0.2% #*La-Z-Boy, Inc....................... 515,798 8,366,244 0.3% #*Lumber Liquidators Holdings, Inc.... 155,431 8,676,158 0.3% *Meritage Homes Corp................. 217,518 8,043,816 0.2% Oxford Industries, Inc.............. 145,087 8,049,427 0.2% *Papa John's International, Inc...... 214,930 11,460,068 0.3% #Ryland Group, Inc. (The)............ 306,580 10,383,865 0.3% #Stage Stores, Inc................... 305,185 7,477,032 0.2% #Sturm Ruger & Co., Inc.............. 181,201 8,558,123 0.3% Other Securities.................... 491,209,781 14.3% ------------- ---- Total Consumer Discretionary............ 612,133,706 17.8% ------------- ---- Consumer Staples -- (4.1%) #Cal-Maine Foods, Inc................ 202,886 8,750,473 0.2% #*Elizabeth Arden, Inc................ 261,981 12,360,264 0.4% J & J Snack Foods Corp.............. 179,640 10,287,983 0.3% WD-40 Co............................ 162,424 7,773,613 0.2% Other Securities.................... 119,761,926 3.5% ------------- ---- Total Consumer Staples.................. 158,934,259 4.6% ------------- ---- Energy -- (3.9%) Other Securities.................... 153,313,419 4.5% ------------- ---- Financials -- (15.6%) *Altisource Portfolio Solutions SA... 94,413 10,715,876 0.3% #Bank of the Ozarks, Inc............. 301,134 9,859,127 0.3% FBL Financial Group, Inc. Class A... 271,726 9,274,008 0.3% Horace Mann Educators Corp.......... 423,287 8,131,343 0.2% Infinity Property & Casualty Corp... 134,624 7,688,377 0.2% #*Texas Capital Bancshares, Inc....... 164,032 7,786,599 0.2% #*World Acceptance Corp............... 153,471 10,245,724 0.3% Other Securities.................... 545,031,588 15.9% ------------- ---- Total Financials........................ 608,732,642 17.7% ------------- ---- Health Care -- (10.1%) #*Air Methods Corp.................... 115,182 12,627,403 0.4% *Amsurg Corp......................... 286,077 8,158,916 0.2% Analogic Corp....................... 123,731 9,114,025 0.3% *Ariad Pharmaceuticals, Inc.......... 727,009 15,667,044 0.4% *Cyberonics, Inc..................... 211,757 9,793,761 0.3% *Hanger, Inc......................... 292,678 7,419,387 0.2% #*ICU Medical, Inc.................... 132,784 7,878,075 0.2% Other Securities.................... 322,452,236 9.4% ------------- ---- Total Health Care....................... 393,110,847 11.4% ------------- ---- Industrials -- (14.9%) AZZ, Inc............................ 224,847 8,867,966 0.3% *Exponent, Inc....................... 135,915 7,472,607 0.2% Kaman Corp.......................... 234,532 8,724,590 0.3% Other Securities.................... 557,738,161 16.2% ------------- ---- Total Industrials....................... 5 82,803,324 17.0% ------------- ----
57 U.S. Micro Cap Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Information Technology -- (15.3%) #*3D Systems Corp..................... 227,661 $ 9,903,254 0.3% Forrester Research, Inc............. 256,189 7,414,110 0.2% *iGATE Corp.......................... 518,273 8,318,282 0.2% Loral Space & Communications, Inc............................... 103,555 8,145,636 0.2% #*Manhattan Associates, Inc........... 216,969 13,018,140 0.4% MTS Systems Corp.................... 165,039 8,319,616 0.2% #*NetScout Systems, Inc............... 312,994 7,740,342 0.2% *OSI Systems, Inc.................... 150,502 11,927,284 0.3% #*Stratasys, Inc...................... 138,151 9,210,527 0.3% #*Tyler Technologies, Inc............. 251,629 12,030,382 0.4% Other Securities.................... 500,280,360 14.6% -------------- ---- Total Information Technology............ 596,307,933 17.3% -------------- ---- Materials -- (5.5%) #AMCOL International Corp............ 265,253 8,376,690 0.3% Balchem Corp........................ 220,033 7,663,749 0.2% Stepan Co........................... 82,995 7,950,921 0.2% Other Securities.................... 189,087,399 5.5% -------------- ---- Total Materials..................... 213,078,759 6.2% -------------- ---- Other -- (0.0%) Other Securities.................... 2,226 0.0% -------------- ---- Telecommunication Services -- (1.0%) Other Securities.................... 39,869,468 1.2% -------------- ---- Utilities -- (1.8%) CH Energy Group, Inc................ 129,612 8,428,668 0.2% #MGE Energy, Inc..................... 194,367 10,231,479 0.3% Other Securities.................... 50,903,632 1.5% -------------- ---- Total Utilities......................... 69,563,779 2.0% -------------- ---- TOTAL COMMON STOCKS..................... 3,427,850,362 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities.................... 55,563 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.................... 134,261 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.............. 9,728,759 9,728,759 0.3% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (11.8%) (S)@DFA Short Term Investment Fund...... 39,804,452 460,537,511 13.4% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,251,975 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,255,743) to be repurchased at $1,215,489.......... $ 1,215 1,215,479 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL..... 461,752,990 13.4% -------------- ----
58 U.S. MICRO CAP PORTFOLIO CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,396,339,836)......................... $3,899,521,935 113.4% ============== ===== Summary of the Portfolio's investments as of October 31, 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... $ 612,071,742 $ 61,964 -- $ 612,133,706 Consumer Staples......... 158,934,259 -- -- 158,934,259 Energy................... 153,224,174 89,245 -- 153,313,419 Financials............... 608,732,642 -- -- 608,732,642 Health Care.............. 392,983,982 126,865 -- 393,110,847 Industrials.............. 582,525,445 277,879 -- 582,803,324 Information Technology... 596,307,933 -- -- 596,307,933 Materials................ 213,078,759 -- -- 213,078,759 Other.................... -- 2,226 -- 2,226 Telecommunication Services............... 39,869,468 -- -- 39,869,468 Utilities................ 69,563,779 -- -- 69,563,779 Preferred Stocks Energy................... -- 55,563 -- 55,563 Rights/Warrants............. 131,645 2,616 -- 134,261 Temporary Cash Investments.. 9,728,759 -- -- 9,728,759 Securities Lending Collateral................ -- 461,752,990 -- 461,752,990 -------------- ------------ -- -------------- TOTAL....................... $3,437,152,587 $462,369,348 -- $3,899,521,935 ============== ============ == ============== See accompanying Notes to Financial Statements. 59 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- COMMON STOCKS -- (86.8%) Real Estate Investment Trusts -- (86.8%) Alexander's, Inc.................... 48,481 $ 21,523,625 0.6% #Alexandria Real Estate Equities, Inc...................... 539,876 38,023,467 1.0% #American Campus Communities, Inc................................ 673,380 30,510,848 0.8% American Tower Corp................. 520,737 39,206,289 1.1% #Apartment Investment & Management Co. Class A............. 1,273,483 33,989,261 0.9% #AvalonBay Communities, Inc.......... 849,330 115,135,175 3.1% #BioMed Realty Trust, Inc............ 1,336,668 25,557,092 0.7% Boston Properties, Inc.............. 1,340,610 142,506,843 3.8% #BRE Properties, Inc................. 679,953 32,875,728 0.9% #Camden Property Trust............... 719,928 47,248,875 1.3% #CBL & Associates Properties, Inc................................ 1,239,184 27,720,546 0.7% #DDR Corp............................ 2,189,719 33,634,084 0.9% #Digital Realty Trust, Inc........... 1,044,384 64,156,509 1.7% #Douglas Emmett, Inc................. 1,175,786 27,572,182 0.7% #Duke Realty Corp.................... 2,348,436 34,005,353 0.9% Equity Lifestyle Properties, Inc............................... 350,533 23,601,387 0.6% #Equity Residential.................. 2,633,782 151,205,425 4.1% #Essex Property Trust, Inc........... 312,386 46,857,900 1.3% #Extra Space Storage, Inc............ 865,728 29,858,959 0.8% #Federal Realty Investment Trust.............................. 577,049 62,223,194 1.7% #General Growth Properties, Inc...... 3,768,676 74,092,170 2.0% #HCP, Inc............................ 3,758,294 166,492,424 4.5% Health Care REIT, Inc............... 2,030,477 120,671,248 3.2% #Highwoods Properties, Inc........... 672,870 21,700,057 0.6% Home Properties, Inc................ 436,266 26,520,610 0.7% #Hospitality Properties Trust........ 1,129,465 26,113,231 0.7% #Host Hotels & Resorts, Inc.......... 6,322,617 91,425,042 2.5% #Kilroy Realty Corp.................. 632,753 28,100,561 0.8% Kimco Realty Corp................... 3,688,342 71,996,436 1.9% Liberty Property Trust.............. 1,048,979 36,840,142 1.0% #Macerich Co. (The).................. 1,164,780 66,392,460 1.8% #Mack-Cali Realty Corp............... 789,496 20,519,001 0.6% #Mid-America Apartment Communities, Inc................... 346,446 22,418,521 0.6% #National Retail Properties, Inc................................ 946,624 29,989,048 0.8% #Omega Healthcare Investors, Inc................................ 950,897 21,813,577 0.6% #Piedmont Office Realty Trust, Inc. Class A....................... 1,476,624 26,283,907 0.7% #Post Properties, Inc................ 471,637 23,020,602 0.6% Prologis, Inc....................... 4,030,920 138,220,247 3.7% Public Storage...................... 1,324,670 183,639,002 4.9% #Realty Income Corp.................. 1,167,664 45,854,165 1.2% #Regency Centers Corp................ 783,534 37,625,303 1.0% #Senior Housing Properties Trust.............................. 1,479,083 32,510,244 0.9% Simon Property Group, Inc........... 2,702,036 411,276,900 11.1% #SL Green Realty Corp................ 788,844 59,399,953 1.6% #Tanger Factory Outlet Centers, Inc....................... 813,719 25,607,737 0.7% #Taubman Centers, Inc................ 533,326 41,892,757 1.1% #UDR, Inc............................ 2,188,706 53,119,895 1.4% #Ventas, Inc......................... 2,520,962 159,501,266 4.3% Vornado Realty Trust................ 1,508,390 120,987,962 3.3% #Weingarten Realty Investors......... 1,049,531 28,337,337 0.8% Other Securities.................... 464,012,068 12.5% -------------- ---- TOTAL COMMON STOCKS..................... 3,703,786,615 99.7% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.6%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............... 26,648,404 26,648,404 0.7% -------------- ----
60 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Shares/ Face Amount Percentage (000) Value+ of Net Assets** ----------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (12.6%) (S)@DFA Short Term Investment Fund.................................. 46,255,311 $ 535,173,950 14.4% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,454,876 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,459,254) to be repurchased at $1,412,477.......... $ 1,412 1,412,465 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................ 536,586,415 14.4% -------------- ----- TOTAL INVESTMENTS -- (100.0%)........... (Cost $3,188,947,605) $4,267,021,434 114.8% ============== =====
Summary of the Portfolio's investments as of October 31, 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. $3,703,786,615 -- -- $3,703,786,615 Temporary Cash Investments....... 26,648,404 -- -- 26,648,404 Securities Lending Collateral.... -- $536,586,415 -- 536,586,415 -------------- ------------ -- -------------- TOTAL............................ $3,730,435,019 $536,586,415 -- $4,267,021,434 ============== ============ == ==============
See accompanying Notes to Financial Statements. 61 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ------- ------------ --------------- COMMON STOCKS -- (88.2%) AUSTRALIA -- (7.0%) Australia & New Zealand Banking Group, Ltd.......................... 489,886 $ 12,923,873 0.6% BHP Billiton, Ltd..................... 358,448 12,691,074 0.6% #Commonwealth Bank of Australia NL..... 268,839 16,099,654 0.8% #National Australia Bank, Ltd.......... 413,524 11,051,380 0.5% Westpac Banking Corp.................. 459,483 12,147,841 0.6% Other Securities...................... 97,828,712 4.8% ------------ ---- TOTAL AUSTRALIA........................... 162,742,534 7.9% ------------ ---- AUSTRIA -- (0.2%) Other Securities...................... 5,523,447 0.3% ------------ ---- BELGIUM -- (0.8%) Anheuser-Busch InBev NV............... 107,124 8,958,854 0.4% Other Securities...................... 10,625,851 0.5% ------------ ---- TOTAL BELGIUM............................. 19,584,705 0.9% ------------ ---- CANADA -- (9.8%) Bank of Montreal...................... 121,090 7,155,676 0.3% Bank of Nova Scotia................... 196,237 10,659,181 0.5% Barrick Gold Corp..................... 182,000 7,360,180 0.4% #Royal Bank of Canada.................. 243,989 13,910,121 0.7% Suncor Energy, Inc.................... 279,079 9,366,436 0.5% #Toronto Dominion Bank................. 160,784 13,076,830 0.6% Other Securities...................... 165,490,762 8.0% ------------ ---- TOTAL CANADA.............................. 227,019,186 11.0% ------------ ---- DENMARK -- (1.0%) Other Securities...................... 23,363,099 1.1% ------------ ---- FINLAND -- (0.6%) Other Securities...................... 14,738,094 0.7% ------------ ---- FRANCE -- (7.2%) BNP Paribas SA........................ 179,515 9,111,582 0.4% LVMH Moet Hennessy Louis Vuitton SA... 43,329 7,044,432 0.3% Sanofi SA............................. 147,776 12,978,720 0.6% Total SA.............................. 229,954 11,582,771 0.6% Total SA Sponsored ADR................ 144,707 7,293,233 0.4% Other Securities...................... 119,144,573 5.8% ------------ ---- TOTAL FRANCE.............................. 167,155,311 8.1% ------------ ---- GERMANY -- (6.4%) Allianz SE............................ 59,747 7,422,057 0.4% BASF SE............................... 137,393 11,396,744 0.5% Bayer AG.............................. 104,450 9,107,269 0.4% Daimler AG............................ 168,780 7,906,432 0.4% SAP AG................................ 103,483 7,546,254 0.4% #Siemens AG Sponsored ADR.............. 67,650 6,826,562 0.3% Other Securities...................... 98,406,795 4.8% ------------ ---- TOTAL GERMANY............................. 148,612,113 7.2% ------------ ---- GREECE -- (0.1%) Other Securities...................... 1,180,568 0.1% ------------ ---- HONG KONG -- (2.4%) Other Securities...................... 54,810,518 2.7% ------------ ---- 62 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Percentage Shares Value++ of Net Assets** --------- ------------ --------------- IRELAND -- (0.3%) Other Securities.................... $ 5,766,422 0.3% ------------ ---- ISRAEL -- (0.4%) Other Securities.................... 9,597,458 0.5% ------------ ---- ITALY -- (1.7%) Other Securities.................... 38,182,893 1.9% ------------ ---- JAPAN -- (15.7%) Sumitomo Mitsui Financial Group, Inc............................... 251,740 7,692,420 0.4% Toyota Motor Corp................... 317,100 12,226,476 0.6% Other Securities.................... 343,552,324 16.7% ------------ ---- TOTAL JAPAN............................. 363,471,220 17.7% ------------ ---- NETHERLANDS -- (2.0%) Unilever NV......................... 271,974 9,996,249 0.5% Other Securities.................... 36,987,162 1.8% ------------ ---- TOTAL NETHERLANDS....................... 46,983,411 2.3% ------------ ---- NEW ZEALAND -- (0.1%) Other Securities.................... 2,282,663 0.1% ------------ ---- NORWAY -- (0.9%) Other Securities.................... 21,438,761 1.0% ------------ ---- PORTUGAL -- (0.2%) Other Securities.................... 3,409,590 0.2% ------------ ---- SINGAPORE -- (1.4%) Other Securities.................... 32,746,308 1.6% ------------ ---- SPAIN -- (2.2%) Other Securities.................... 51,685,586 2.5% ------------ ---- SWEDEN -- (2.5%) Other Securities.................... 58,081,987 2.8% ------------ ---- SWITZERLAND -- (6.8%) Nestle SA........................... 548,594 34,829,262 1.7% Novartis AG......................... 262,271 15,815,092 0.8% #Novartis AG ADR..................... 147,100 8,893,666 0.4% Roche Holding AG Genusschein........ 116,708 22,480,903 1.1% UBS AG.............................. 640,816 9,614,543 0.4% Zurich Insurance Group AG........... 31,032 7,650,000 0.4% Other Securities.................... 57,263,238 2.8% ------------ ---- TOTAL SWITZERLAND....................... 156,546,704 7.6% ------------ ---- UNITED KINGDOM -- (18.5%) Anglo American P.L.C................ 247,137 7,615,400 0.4% BG Group P.L.C...................... 510,495 9,478,376 0.5% #BHP Billiton P.L.C. ADR............. 113,263 7,246,567 0.3% BP P.L.C. Sponsored ADR............. 517,641 22,201,622 1.1% British American Tobacco P.L.C...... 293,586 14,561,859 0.7% Diageo P.L.C. Sponsored ADR......... 63,791 7,287,484 0.3% GlaxoSmithKline P.L.C............... 538,836 12,074,039 0.6% GlaxoSmithKline P.L.C. Sponsored ADR............................... 154,591 6,941,136 0.3% HSBC Holdings P.L.C................. 1,623,467 16,006,352 0.8% #HSBC Holdings P.L.C. Sponsored ADR.. 343,138 16,937,292 0.8% Rio Tinto P.L.C..................... 150,148 7,500,915 0.4% Royal Dutch Shell P.L.C. ADR........ 425,120 30,026,226 1.5% Royal Dutch Shell P.L.C. Series B... 306,534 10,842,936 0.5% 63 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) SABmiller P.L.C.......................................................... 162,396 $ 6,969,775 0.3% Standard Chartered P.L.C................................................. 452,395 10,711,236 0.5% Tesco P.L.C.............................................................. 1,441,004 7,456,436 0.4% Vodafone Group P.L.C..................................................... 2,870,219 7,794,527 0.4% Vodafone Group P.L.C. Sponsored ADR...................................... 680,782 18,530,886 0.9% Other Securities......................................................... 206,843,125 10.1% -------------- ----- TOTAL UNITED KINGDOM......................................................... 427,026,189 20.8% -------------- ----- TOTAL COMMON STOCKS.......................................................... 2,041,948,767 99.3% -------------- ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.0%) Other Securities......................................................... 1,284,218 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities......................................................... 14,929 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities......................................................... 15 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities......................................................... 30,902 0.0% -------------- ----- SPAIN -- (0.0%) Other Securities......................................................... 7 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS........................................................ 45,853 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (11.7%) (S)@DFA Short Term Investment Fund........................................... 23,336,214 270,000,000 13.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,348,839) to be repurchased at $1,322,404............................. $ 1,322 1,322,391 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 271,322,391 13.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,152,738,602) $2,314,601,229 112.6% ============== =====
64 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................. $ 9,177,915 $ 153,564,619 -- $ 162,742,534 Austria................... 31,272 5,492,175 -- 5,523,447 Belgium................... 2,868,310 16,716,395 -- 19,584,705 Canada.................... 227,019,186 -- -- 227,019,186 Denmark................... 4,252,654 19,110,445 -- 23,363,099 Finland................... 792,236 13,945,858 -- 14,738,094 France.................... 15,010,442 152,144,869 -- 167,155,311 Germany................... 26,003,248 122,608,865 -- 148,612,113 Greece.................... -- 1,180,568 -- 1,180,568 Hong Kong................. -- 54,810,518 -- 54,810,518 Ireland................... 1,928,356 3,838,066 -- 5,766,422 Israel.................... 5,521,012 4,076,446 -- 9,597,458 Italy..................... 5,535,992 32,646,901 -- 38,182,893 Japan..................... 29,715,898 333,755,322 -- 363,471,220 Netherlands............... 3,974,503 43,008,908 -- 46,983,411 New Zealand............... -- 2,282,663 -- 2,282,663 Norway.................... 1,169,239 20,269,522 -- 21,438,761 Portugal.................. 101,703 3,307,887 -- 3,409,590 Singapore................. -- 32,746,308 -- 32,746,308 Spain..................... 17,713,982 33,971,604 -- 51,685,586 Sweden.................... 604,690 57,477,297 -- 58,081,987 Switzerland............... 17,129,641 139,417,063 -- 156,546,704 United Kingdom............ 145,465,749 281,560,440 -- 427,026,189 Preferred Stocks Germany................... -- 1,284,218 -- 1,284,218 Rights/Warrants Australia................. -- 14,929 -- 14,929 France.................... -- 15 -- 15 Hong Kong................. -- 30,902 -- 30,902 Spain..................... -- 7 -- 7 Securities Lending Collateral. -- 271,322,391 -- 271,322,391 ------------ -------------- -- -------------- TOTAL......................... $514,016,028 $1,800,585,201 -- $2,314,601,229 ============ ============== == ==============
See accompanying Notes to Financial Statements. 65 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
Percentage Shares Value++ of Net Assets** ------- ------------ --------------- COMMON STOCKS -- (89.3%) AUSTRALIA -- (6.2%) #Australia & New Zealand Banking Group, Ltd. 811,349 $ 21,404,514 0.3% #Commonwealth Bank of Australia NL.......... 291,226 17,440,319 0.3% #National Australia Bank, Ltd............... 935,297 24,995,703 0.4% #Wesfarmers, Ltd............................ 461,899 16,651,241 0.3% Westpac Banking Corp....................... 659,750 17,442,513 0.3% Other Securities........................... 351,644,182 5.4% ------------ ---- TOTAL AUSTRALIA................................ 449,578,472 7.0% ------------ ---- AUSTRIA -- (0.5%) Other Securities........................... 32,391,602 0.5% ------------ ---- BELGIUM -- (0.9%) Other Securities........................... 65,997,964 1.0% ------------ ---- CANADA -- (9.9%) #Bank of Montreal........................... 273,400 16,156,263 0.3% Bank of Nova Scotia........................ 264,875 14,387,453 0.2% Canadian Natural Resources, Ltd............ 474,950 14,313,887 0.2% #Royal Bank of Canada....................... 326,040 18,587,953 0.3% Suncor Energy, Inc......................... 654,429 21,963,915 0.3% #Toronto Dominion Bank...................... 350,772 28,528,871 0.4% Other Securities........................... 600,337,278 9.3% ------------ ---- TOTAL CANADA................................... 714,275,620 11.0% ------------ ---- CHINA -- (0.0%) Other Securities........................... 147,959 0.0% ------------ ---- DENMARK -- (0.9%) Other Securities........................... 63,928,182 1.0% ------------ ---- FINLAND -- (1.3%) Other Securities........................... 92,159,069 1.4% ------------ ---- FRANCE -- (6.7%) BNP Paribas SA............................. 500,741 25,415,940 0.4% #GDF Suez SA................................ 659,288 15,132,134 0.2% Sanofi SA ADR.............................. 562,231 24,653,829 0.4% *Societe Generale SA........................ 601,863 19,194,589 0.3% #Total SA Sponsored ADR..................... 594,342 29,954,837 0.5% Other Securities........................... 366,981,725 5.6% ------------ ---- TOTAL FRANCE................................... 481,333,054 7.4% ------------ ---- GERMANY -- (5.3%) Daimler AG................................. 415,333 19,456,109 0.3% Deutsche Bank AG........................... 338,130 15,402,110 0.3% E.ON AG.................................... 609,873 13,883,743 0.2% #Siemens AG Sponsored ADR................... 200,444 20,226,804 0.3% Other Securities........................... 316,171,125 4.9% ------------ ---- TOTAL GERMANY.................................. 385,139,891 6.0% ------------ ---- GREECE -- (0.3%) Other Securities........................... 21,713,011 0.3% ------------ ---- HONG KONG -- (2.4%) Other Securities........................... 170,749,434 2.6% ------------ ---- IRELAND -- (0.5%) Other Securities........................... 36,568,747 0.6% ------------ ----
66 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- ISRAEL -- (0.5%) Other Securities...................... $ 38,192,757 0.6% -------------- ---- ITALY -- (2.0%) Other Securities...................... 144,759,479 2.2% -------------- ---- JAPAN -- (16.9%) Mitsubishi UFJ Financial Group, Inc... 4,203,900 19,018,309 0.3% Mizuho Financial Group, Inc........... 10,641,060 16,649,856 0.3% Sumitomo Mitsui Financial Group, Inc.. 634,770 19,396,670 0.3% #Toyota Motor Corp. Sponsored ADR...... 360,892 27,958,303 0.4% Other Securities...................... 1,141,756,436 17.6% -------------- ---- TOTAL JAPAN............................... 1,224,779,574 18.9% -------------- ---- NETHERLANDS -- (2.3%) *ING Groep NV Sponsored ADR............ 1,565,969 13,874,485 0.2% Koninklijke Philips Electronics NV.... 589,853 14,773,412 0.2% Other Securities...................... 140,860,671 2.2% -------------- ---- TOTAL NETHERLANDS......................... 169,508,568 2.6% -------------- ---- NEW ZEALAND -- (0.3%) Other Securities...................... 18,364,661 0.3% -------------- ---- NORWAY -- (1.1%) Other Securities...................... 79,436,045 1.2% -------------- ---- PORTUGAL -- (0.3%) Other Securities...................... 20,759,987 0.3% -------------- ---- SINGAPORE -- (1.6%) Other Securities...................... 117,743,734 1.8% -------------- ---- SPAIN -- (2.0%) Banco Santander SA.................... 2,240,231 16,867,084 0.3% #Banco Santander SA Sponsored ADR...... 2,229,277 16,630,406 0.2% Other Securities...................... 109,877,111 1.7% -------------- ---- TOTAL SPAIN............................... 143,374,601 2.2% -------------- ---- SWEDEN -- (2.8%) Other Securities...................... 204,867,857 3.2% -------------- ---- SWITZERLAND -- (5.9%) Holcim, Ltd........................... 208,137 14,204,567 0.2% Nestle SA............................. 587,284 37,285,622 0.6% #Novartis AG ADR....................... 737,597 44,595,115 0.7% Roche Holding AG Genusschein.......... 82,873 15,963,429 0.3% Swiss Re, Ltd......................... 321,123 22,220,864 0.3% UBS AG................................ 1,749,489 26,248,623 0.4% Zurich Insurance Group AG............. 133,176 32,830,510 0.5% Other Securities...................... 233,502,910 3.6% -------------- ---- TOTAL SWITZERLAND......................... 426,851,640 6.6% -------------- ---- UNITED KINGDOM -- (18.7%) Anglo American P.L.C.................. 582,539 17,950,640 0.3% #AstraZeneca P.L.C. Sponsored ADR...... 424,722 19,707,101 0.3% Barclays P.L.C. Sponsored ADR......... 1,811,137 26,804,828 0.4% BG Group P.L.C........................ 933,234 17,327,384 0.3% #BHP Billiton P.L.C. ADR............... 247,566 15,839,273 0.3% BP P.L.C. Sponsored ADR............... 1,479,807 63,468,922 1.0% #HSBC Holdings P.L.C. Sponsored ADR.... 1,761,750 86,959,980 1.3% *Lloyds Banking Group P.L.C............ 23,313,762 15,352,299 0.2%
67 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) #Prudential P.L.C. ADR.................................................... 651,676 $ 17,908,056 0.3% #Rio Tinto P.L.C. Sponsored ADR........................................... 307,543 15,370,999 0.2% #Royal Dutch Shell P.L.C. ADR............................................. 1,426,690 100,767,115 1.6% SABmiller P.L.C.......................................................... 323,061 13,865,258 0.2% Standard Chartered P.L.C................................................. 1,125,564 26,649,679 0.4% Tesco P.L.C.............................................................. 3,732,880 19,315,686 0.3% Vodafone Group P.L.C. Sponsored ADR...................................... 2,412,945 65,680,363 1.0% Other Securities......................................................... 829,016,053 12.8% -------------- ----- TOTAL UNITED KINGDOM......................................................... 1,351,983,636 20.9% -------------- ----- UNITED STATES -- (0.0%) Other Securities......................................................... 506,366 0.0% -------------- ----- TOTAL COMMON STOCKS.......................................................... 6,455,111,910 99.6% -------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities......................................................... 3,716,814 0.1% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities......................................................... 1,214 0.0% -------------- ----- TOTAL PREFERRED STOCKS....................................................... 3,718,028 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities......................................................... 323,953 0.0% -------------- ----- BELGIUM -- (0.0%) Other Securities......................................................... 704 0.0% -------------- ----- CANADA -- (0.0%) Other Securities......................................................... 603 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities......................................................... 283,649 0.0% -------------- ----- ITALY -- (0.0%) Other Securities......................................................... 3,518 0.0% -------------- ----- SINGAPORE -- (0.0%) Other Securities......................................................... 26,839 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS........................................................ 639,266 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (10.7%) (S)@DFA Short Term Investment Fund........................................... 66,119,274 765,000,000 11.8% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $7,529,026) to be repurchased at $7,381,470............................. $ 7,381 7,381,398 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 772,381,398 11.9% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,513,353,611)...................................................... $7,231,850,602 111.6% ============== =====
68 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................. $ 24,824,894 $ 424,753,578 -- $ 449,578,472 Austria................... 54,726 32,336,876 -- 32,391,602 Belgium................... 9,754,099 56,243,865 -- 65,997,964 Canada.................... 714,070,628 204,992 -- 714,275,620 China..................... 70,633 77,326 -- 147,959 Denmark................... 4,096,211 59,831,971 -- 63,928,182 Finland................... 2,272,148 89,886,921 -- 92,159,069 France.................... 79,612,438 401,720,616 -- 481,333,054 Germany................... 62,450,948 322,688,943 -- 385,139,891 Greece.................... 1,824,911 19,888,100 -- 21,713,011 Hong Kong................. 120,183 170,629,251 -- 170,749,434 Ireland................... 10,484,484 26,084,263 -- 36,568,747 Israel.................... 10,688,742 27,504,015 -- 38,192,757 Italy..................... 15,876,853 128,882,626 -- 144,759,479 Japan..................... 78,891,497 1,145,888,077 -- 1,224,779,574 Netherlands............... 30,237,911 139,270,657 -- 169,508,568 New Zealand............... 144,091 18,220,570 -- 18,364,661 Norway.................... 9,264,269 70,171,776 -- 79,436,045 Portugal.................. 196,831 20,563,156 -- 20,759,987 Singapore................. -- 117,743,734 -- 117,743,734 Spain..................... 32,530,839 110,843,762 -- 143,374,601 Sweden.................... 6,728,083 198,139,774 -- 204,867,857 Switzerland............... 72,598,940 354,252,700 -- 426,851,640 United Kingdom............ 494,390,977 857,592,659 -- 1,351,983,636 United States............. 506,366 -- -- 506,366 Preferred Stocks Germany................... -- 3,716,814 -- 3,716,814 United Kingdom............ -- 1,214 -- 1,214 Rights/Warrants Australia................. -- 323,953 -- 323,953 Belgium................... -- 704 -- 704 Canada.................... 24 579 -- 603 Hong Kong................. -- 283,649 -- 283,649 Italy..................... -- 3,518 -- 3,518 Singapore................. -- 26,839 -- 26,839 Securities Lending Collateral. -- 772,381,398 -- 772,381,398 -------------- -------------- -- -------------- TOTAL......................... $1,661,691,726 $5,570,158,876 -- $7,231,850,602 ============== ============== == ==============
See accompanying Notes to Financial Statements. 69 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
Value+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company............................. $2,138,832,833 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company......................... 1,433,515,437 Investment in The Japanese Small Company Series of The DFA Investment Trust Company............................. 1,392,642,047 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company......................... 765,581,971 Investment in The Canadian Small Company Series of The DFA Investment Trust Company............................. 689,084,996 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,321,775,249)................................ 6,419,657,284 -------------- TOTAL INVESTMENTS--(100.0%) (Cost $6,321,775,249)...... $6,419,657,284 ==============
Summary of the Portfolio's investments as of October 31, 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.. $6,419,657,284 -- -- $6,419,657,284 -------------- -- -- -------------- TOTAL............................ $6,419,657,284 -- -- $6,419,657,284 ============== == == ==============
See accompanying Notes to Financial Statements. 70 SCHEDULES OF INVESTMENTS OCTOBER 31, 2012 JAPANESE SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company............................ $294,087,384 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $363,670,987)................................. $294,087,384 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 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........................ $238,281,823 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $225,784,642)................................. $238,281,823 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 71 SCHEDULES OF INVESTMENTS October 31, 2012 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......................................... $31,322,321 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $24,146,735)............................................ $31,322,321 =========== Summary of the Portfolio's Master Fund's investments as of October 31, 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........................................ $106,352,698 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $108,971,167).......................................... $106,352,698 ============ Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 72 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (91.3%) AUSTRALIA -- (24.5%) CFS Retail Property Trust Group... 10,743,924 $ 21,769,204 1.4% #Commonwealth Property Office Fund. 12,593,964 14,099,725 0.9% Dexus Property Group.............. 25,577,769 26,105,656 1.7% Goodman Group..................... 8,720,577 40,033,772 2.6% GPT Group......................... 9,010,486 33,274,608 2.2% Investa Office Fund............... 3,287,999 10,135,818 0.7% Stockland Trust Group............. 11,954,193 42,891,997 2.8% Westfield Group................... 12,039,316 133,084,688 8.7% Westfield Retail Trust............ 15,744,367 50,556,567 3.3% Other Securities.................. 37,139,928 2.4% ------------ ---- TOTAL AUSTRALIA....................... 409,091,963 26.7% ------------ ---- BELGIUM -- (1.2%) Cofinimmo SA...................... 78,243 8,895,299 0.6% Other Securities.................. 11,918,425 0.8% ------------ ---- TOTAL BELGIUM......................... 20,813,724 1.4% ------------ ---- CANADA -- (7.2%) #Boardwalk REIT.................... 129,784 8,351,657 0.5% #Calloway REIT..................... 296,195 8,585,577 0.6% #Canadian REIT..................... 191,445 7,981,747 0.5% #Cominar REIT...................... 332,264 7,934,414 0.5% #Dundee REIT....................... 260,863 9,572,595 0.6% #H&R REIT.......................... 633,619 15,308,362 1.0% #RioCan REIT....................... 826,910 22,553,220 1.5% Other Securities.................. 39,624,002 2.6% ------------ ---- TOTAL CANADA.......................... 119,911,574 7.8% ------------ ---- CHINA -- (0.1%) Other Securities.................. 1,652,960 0.1% ------------ ---- FRANCE -- (10.9%) Fonciere des Regions SA........... 163,879 13,190,201 0.9% Gecina SA......................... 119,620 13,269,206 0.9% #ICADE SA.......................... 121,792 10,961,372 0.7% Klepierre SA...................... 601,899 22,326,321 1.4% Unibail-Rodamco SE................ 472,896 106,512,511 6.9% Other Securities.................. 15,122,081 1.0% ------------ ---- TOTAL FRANCE.......................... 181,381,692 11.8% ------------ ---- GERMANY -- (0.3%) Other Securities.................. 5,567,788 0.4% ------------ ---- GREECE -- (0.0%) Other Securities.................. 361,217 0.0% ------------ ---- HONG KONG -- (4.6%) #Link REIT (The)................... 12,861,583 63,830,861 4.2% Other Securities.................. 12,141,084 0.8% ------------ ---- TOTAL HONG KONG....................... 75,971,945 5.0% ------------ ---- ISRAEL -- (0.0%) Other Securities.................. 757,218 0.1% ------------ ---- ITALY -- (0.2%) Other Securities.................. 3,398,844 0.2% ------------ ---- 73 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- JAPAN -- (15.2%) Advance Residence Investment Corp.. 6,285 $ 13,627,451 0.9% #Frontier Real Estate Investment Corp.............................. 1,211 10,702,727 0.7% Japan Logistics Fund, Inc.......... 813 7,428,117 0.5% Japan Prime Realty Investment Corp............................. 4,465 13,456,668 0.9% Japan Real Estate Investment Corp.. 3,170 31,742,207 2.1% Japan Retail Fund Investment Corp.. 10,863 19,804,181 1.3% MORI TRUST Sogo REIT, Inc.......... 967 8,852,471 0.6% Nippon Accommodations Fund, Inc.... 1,021 7,254,453 0.5% #Nippon Building Fund, Inc.......... 3,534 37,966,559 2.5% #Nomura Real Estate Office Fund, Inc............................... 1,574 9,902,152 0.6% #ORIX JREIT, Inc.................... 1,594 7,761,405 0.5% #United Urban Investment Corp....... 12,105 14,554,764 0.9% Other Securities................... 70,803,716 4.6% ------------ ---- TOTAL JAPAN............................ 253,856,871 16.6% ------------ ---- MALAYSIA -- (0.3%) Other Securities................... 4,702,302 0.3% ------------ ---- MEXICO -- (0.1%) Other Securities................... 1,768,355 0.1% ------------ ---- NETHERLANDS -- (2.4%) Corio NV........................... 369,283 16,450,697 1.1% #Eurocommercial Properties NV....... 214,239 8,401,590 0.6% Other Securities................... 14,403,814 0.9% ------------ ---- TOTAL NETHERLANDS...................... 39,256,101 2.6% ------------ ---- NEW ZEALAND -- (0.6%) Other Securities................... 10,717,769 0.7% ------------ ---- SINGAPORE -- (8.1%) Ascendas REIT...................... 10,362,000 19,992,929 1.3% #CapitaCommercial Trust............. 10,793,000 13,847,973 0.9% CapitaMall Trust................... 12,717,300 21,881,382 1.4% CDL Hospitality Trusts............. 4,451,000 7,058,939 0.5% Suntec REIT........................ 10,956,000 14,390,048 0.9% Other Securities................... 57,469,214 3.8% ------------ ---- TOTAL SINGAPORE........................ 134,640,485 8.8% ------------ ---- SOUTH AFRICA -- (1.3%) Other Securities................... 21,317,137 1.4% ------------ ---- TAIWAN -- (0.6%) Other Securities................... 9,314,322 0.6% ------------ ---- TURKEY -- (0.7%) Other Securities................... 10,969,854 0.7% ------------ ---- UNITED KINGDOM -- (13.0%) British Land Co. P.L.C............. 4,755,450 40,619,859 2.6% Capital Shopping Centres Group P.L.C............................ 3,132,277 16,860,712 1.1% Derwent London P.L.C............... 491,732 16,363,554 1.1% Great Portland Estates P.L.C....... 1,676,684 12,661,329 0.8% Hammerson P.L.C.................... 3,924,681 29,928,470 1.9% Land Securities Group P.L.C........ 4,331,787 56,292,926 3.7% Segro P.L.C........................ 3,971,466 15,227,757 1.0% Shaftesbury P.L.C.................. 1,317,725 11,669,264 0.8% 74 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) Other Securities......................................................... $ 16,948,860 1.1% -------------- ----- TOTAL UNITED KINGDOM......................................................... 216,572,731 14.1% -------------- ----- TOTAL COMMON STOCKS.......................................................... 1,522,024,852 99.4% -------------- ----- RIGHTS/WARRANTS -- (0.0%) NETHERLANDS -- (0.0%) Other Securities......................................................... -- 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (8.7%) (S)@DFA Short Term Investment Fund........................................... 12,445,981 144,000,000 9.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $226,983) to be repurchased at $222,534................................. $ 223 222,532 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 144,222,532 9.4% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,504,164,154) $1,666,247,384 108.8% ============== =====
75 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................ -- $ 409,091,963 -- $ 409,091,963 Belgium.................. -- 20,813,724 -- 20,813,724 Canada................... $119,911,574 -- -- 119,911,574 China.................... -- 1,652,960 -- 1,652,960 France................... -- 181,381,692 -- 181,381,692 Germany.................. -- 5,567,788 -- 5,567,788 Greece................... -- 361,217 -- 361,217 Hong Kong................ -- 75,971,945 -- 75,971,945 Israel................... -- 757,218 -- 757,218 Italy.................... -- 3,398,844 -- 3,398,844 Japan.................... -- 253,856,871 -- 253,856,871 Malaysia................. -- 4,702,302 -- 4,702,302 Mexico................... 1,768,355 -- -- 1,768,355 Netherlands.............. -- 39,256,101 -- 39,256,101 New Zealand.............. -- 10,717,769 -- 10,717,769 Singapore................ -- 134,640,485 -- 134,640,485 South Africa............. -- 21,317,137 -- 21,317,137 Taiwan................... -- 9,314,322 -- 9,314,322 Turkey................... -- 10,969,854 -- 10,969,854 United Kingdom........... -- 216,572,731 -- 216,572,731 Rights/Warrants Netherlands.............. -- -- -- -- Securities Lending Collateral................ -- 144,222,532 -- 144,222,532 ------------ -------------- -- -------------- TOTAL....................... $121,679,929 $1,544,567,455 -- $1,666,247,384 ============ ============== == ============== See accompanying Notes to Financial Statements. 76 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Shares Value+ ---------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............ 30,118,595 $ 777,963,309 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc......................................... 93,734,436 531,474,252 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,003,592,208).......................... 1,309,437,561 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio-Institutional Shares (Cost $2,168,186).............................. 2,168,186 2,168,186 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,005,760,394).......................... $1,311,605,747 ============== Summary of the Portfolio's investments as of October 31, 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.. $1,309,437,561 -- -- $1,309,437,561 Temporary Cash Investments....... 2,168,186 -- -- 2,168,186 -------------- -- -- -------------- TOTAL............................ $1,311,605,747 -- -- $1,311,605,747 ============== == == ============== See accompanying Notes to Financial Statements. 77 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (90.8%) AUSTRALIA -- (6.0%) Beach Energy, Ltd................. 23,727,789 $ 33,888,804 0.4% #Primary Health Care, Ltd.......... 10,254,873 41,363,668 0.5% Other Securities.................. 466,530,438 5.6% ------------ ---- TOTAL AUSTRALIA....................... 541,782,910 6.5% ------------ ---- AUSTRIA -- (0.6%) Other Securities.................. 56,347,784 0.7% ------------ ---- BELGIUM -- (0.8%) Other Securities.................. 72,506,984 0.9% ------------ ---- CANADA -- (10.1%) Aimia, Inc........................ 2,476,260 37,091,214 0.4% *Canfor Corp....................... 2,464,506 35,138,489 0.4% *Celestica, Inc.................... 4,577,603 33,229,158 0.4% Dorel Industries, Inc. Class B.... 842,000 30,105,452 0.4% HudBay Minerals, Inc.............. 4,193,216 38,919,762 0.5% Laurentian Bank of Canada......... 707,853 31,503,445 0.4% *Petrobank Energy & Resources, Ltd. 2,532,239 34,785,801 0.4% #RONA, Inc......................... 3,166,544 32,529,403 0.4% Sherritt International Corp....... 7,300,339 31,576,936 0.4% West Fraser Timber Co., Ltd....... 659,979 39,972,095 0.5% Other Securities.................. 571,595,590 6.9% ------------ ---- TOTAL CANADA.......................... 916,447,345 11.1% ------------ ---- CHINA -- (0.0%) Other Securities.................. 1,206,022 0.0% ------------ ---- DENMARK -- (0.7%) Other Securities.................. 63,681,901 0.8% ------------ ---- FINLAND -- (2.3%) Huhtamaki Oyj..................... 1,928,287 32,602,927 0.4% Pohjola Bank P.L.C. Series A...... 2,683,574 36,607,681 0.4% Other Securities.................. 138,899,487 1.7% ------------ ---- TOTAL FINLAND......................... 208,110,095 2.5% ------------ ---- FRANCE -- (3.2%) #*Air France-KLM.................... 3,419,028 28,582,611 0.3% Other Securities.................. 261,020,712 3.2% ------------ ---- TOTAL FRANCE.......................... 289,603,323 3.5% ------------ ---- GERMANY -- (4.7%) Aurubis AG........................ 1,045,010 66,156,167 0.8% Bilfinger SE...................... 632,428 61,972,830 0.7% *TUI AG............................ 3,349,736 31,432,430 0.4% Other Securities.................. 261,661,479 3.2% ------------ ---- TOTAL GERMANY......................... 421,222,906 5.1% ------------ ---- GREECE -- (0.3%) Other Securities.................. 25,879,481 0.3% ------------ ---- HONG KONG -- (2.2%) Other Securities.................. 197,647,279 2.4% ------------ ---- IRELAND -- (0.3%) Other Securities.................. 31,232,143 0.4% ------------ ---- 78 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- ISRAEL -- (0.7%) Other Securities............... $ 60,934,821 0.7% -------------- ---- ITALY -- (2.4%) #*Banca Popolare di Milano Scarl. 77,876,899 42,915,156 0.5% *Banco Popolare Scarl........... 21,502,306 34,312,780 0.4% Other Securities............... 141,814,742 1.7% -------------- ---- TOTAL ITALY........................ 219,042,678 2.6% -------------- ---- JAPAN -- (21.9%) #*Kawasaki Kisen Kaisha, Ltd..... 23,941,194 30,346,936 0.4% Other Securities............... 1,952,345,297 23.6% -------------- ---- TOTAL JAPAN........................ 1,982,692,233 24.0% -------------- ---- NETHERLANDS -- (1.6%) Other Securities............... 142,141,244 1.7% -------------- ---- NEW ZEALAND -- (0.5%) Other Securities............... 48,105,315 0.6% -------------- ---- NORWAY -- (0.9%) Other Securities............... 85,774,467 1.0% -------------- ---- PORTUGAL -- (0.3%) Other Securities............... 25,197,899 0.3% -------------- ---- SINGAPORE -- (1.6%) Other Securities............... 145,005,915 1.8% -------------- ---- SPAIN -- (1.4%) Other Securities............... 123,849,404 1.5% -------------- ---- SWEDEN -- (3.2%) #Holmen AB Series B............. 1,366,890 40,281,534 0.5% #SSAB AB Series A............... 4,143,538 29,683,346 0.4% Trelleborg AB Series B......... 6,786,568 73,951,693 0.9% Other Securities............... 143,316,503 1.7% -------------- ---- TOTAL SWEDEN....................... 287,233,076 3.5% -------------- ---- SWITZERLAND -- (4.5%) Clariant AG.................... 3,169,797 33,967,506 0.4% Helvetia Holding AG............ 120,995 42,486,842 0.5% Swiss Life Holding AG.......... 359,888 45,449,220 0.6% Other Securities............... 281,835,343 3.4% -------------- ---- TOTAL SWITZERLAND.................. 403,738,911 4.9% -------------- ---- UNITED KINGDOM -- (20.6%) Amlin P.L.C.................... 11,024,189 66,456,858 0.8% Ashtead Group P.L.C............ 11,493,515 69,436,081 0.8% *Barratt Developments P.L.C..... 23,445,340 71,872,107 0.9% Beazley P.L.C.................. 12,444,027 35,581,616 0.4% Bellway P.L.C.................. 3,448,205 56,365,789 0.7% Bodycote P.L.C................. 5,217,256 31,855,295 0.4% Bovis Homes Group P.L.C........ 3,849,825 31,868,846 0.4% Catlin Group, Ltd.............. 9,072,341 69,139,681 0.8% Cookson Group P.L.C............ 5,906,182 55,795,091 0.7% DS Smith P.L.C................. 15,587,156 53,814,171 0.6% easyJet P.L.C.................. 4,026,670 40,693,610 0.5% Greene King P.L.C.............. 4,908,532 47,094,844 0.6% Hiscox, Ltd.................... 10,790,586 83,204,571 1.0% #Home Retail Group P.L.C........ 17,301,308 31,941,500 0.4% 79 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) Inchcape P.L.C........................................................ 8,776,728 $ 57,079,395 0.7% Meggitt P.L.C......................................................... 5,167,155 32,228,095 0.4% Millennium & Copthorne Hotels P.L.C................................... 4,813,561 39,060,619 0.5% *Mitchells & Butlers P.L.C............................................. 5,754,583 30,449,225 0.4% Mondi P.L.C........................................................... 7,958,099 87,726,124 1.1% Persimmon P.L.C....................................................... 7,739,467 99,583,151 1.2% Taylor Wimpey P.L.C................................................... 75,991,308 75,107,713 0.9% *Travis Perkins P.L.C.................................................. 5,306,411 92,729,589 1.1% TUI Travel P.L.C...................................................... 7,207,549 29,243,367 0.3% Other Securities...................................................... 571,968,649 6.9% -------------- ----- TOTAL UNITED KINGDOM...................................................... 1,860,295,987 22.5% -------------- ----- UNITED STATES -- (0.0%) Other Securities...................................................... 54,586 0.0% -------------- ----- TOTAL COMMON STOCKS....................................................... 8,209,734,709 99.3% -------------- ----- PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities...................................................... 144 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities...................................................... 4,064 0.0% -------------- ----- CANADA -- (0.0%) Other Securities...................................................... 11,269 0.0% -------------- ----- SWITZERLAND -- (0.0%) Other Securities...................................................... 1,358 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities...................................................... -- 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS..................................................... 16,691 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (9.2%) (S)@DFA Short Term Investment Fund........................................ 71,305,099 825,000,000 10.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $4,362,140) to be repurchased at $4,276,650....................... $ 4,277 4,276,608 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................................... 829,276,608 10.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $9,743,525,659).................................................. $9,039,028,152 109.3% ============== =====
80 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................. -- $ 541,782,910 -- $ 541,782,910 Austria................... -- 56,347,784 -- 56,347,784 Belgium................... -- 72,506,984 -- 72,506,984 Canada.................... $913,493,326 2,954,019 -- 916,447,345 China..................... 1,179,614 26,408 -- 1,206,022 Denmark................... -- 63,681,901 -- 63,681,901 Finland................... -- 208,110,095 -- 208,110,095 France.................... -- 289,603,323 -- 289,603,323 Germany................... -- 421,222,906 -- 421,222,906 Greece.................... -- 25,879,481 -- 25,879,481 Hong Kong................. -- 197,647,279 -- 197,647,279 Ireland................... -- 31,232,143 -- 31,232,143 Israel.................... -- 60,934,821 -- 60,934,821 Italy..................... -- 219,042,678 -- 219,042,678 Japan..................... -- 1,982,692,233 -- 1,982,692,233 Netherlands............... -- 142,141,244 -- 142,141,244 New Zealand............... -- 48,105,315 -- 48,105,315 Norway.................... -- 85,774,467 -- 85,774,467 Portugal.................. -- 25,197,899 -- 25,197,899 Singapore................. -- 145,005,915 -- 145,005,915 Spain..................... -- 123,849,404 -- 123,849,404 Sweden.................... -- 287,233,076 -- 287,233,076 Switzerland............... -- 403,738,911 -- 403,738,911 United Kingdom............ -- 1,860,295,987 -- 1,860,295,987 United States............. 54,586 -- -- 54,586 Preferred Stocks United Kingdom............ -- 144 -- 144 Rights/Warrants Belgium................... -- 4,064 -- 4,064 Canada.................... 11,269 -- -- 11,269 Switzerland............... -- 1,358 -- 1,358 United Kingdom............ -- -- -- -- Securities Lending Collateral. -- 829,276,608 -- 829,276,608 ------------ -------------- -- -------------- TOTAL......................... $914,738,795 $8,124,289,357 -- $9,039,028,152 ============ ============== == ==============
See accompanying Notes to Financial Statements. 81 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ------- ----------- --------------- COMMON STOCKS -- (90.0%) AUSTRALIA -- (6.0%) #National Australia Bank, Ltd........... 74,261 $ 1,984,617 0.4% Origin Energy, Ltd..................... 95,401 1,122,983 0.2% Santos, Ltd............................ 83,616 996,972 0.2% Suncorp Group, Ltd..................... 115,486 1,124,902 0.2% Other Securities....................... 32,237,270 5.7% ----------- ---- TOTAL AUSTRALIA............................ 37,466,744 6.7% ----------- ---- AUSTRIA -- (0.5%) Other Securities....................... 3,337,563 0.6% ----------- ---- BELGIUM -- (1.0%) Ageas.................................. 44,668 1,138,805 0.2% Other Securities....................... 4,967,517 0.9% ----------- ---- TOTAL BELGIUM.............................. 6,106,322 1.1% ----------- ---- CANADA -- (9.7%) Suncor Energy, Inc..................... 36,072 1,210,647 0.2% #Toronto Dominion Bank.................. 21,129 1,718,457 0.3% #Yamana Gold, Inc....................... 58,105 1,173,445 0.2% Other Securities....................... 56,113,132 10.0% ----------- ---- TOTAL CANADA............................... 60,215,681 10.7% ----------- ---- CHINA -- (0.0%) Other Securities....................... 9,445 0.0% ----------- ---- DENMARK -- (1.0%) Other Securities....................... 6,326,334 1.1% ----------- ---- FINLAND -- (1.6%) Other Securities....................... 9,612,354 1.7% ----------- ---- FRANCE -- (5.8%) BNP Paribas SA......................... 27,532 1,397,432 0.3% Cie de Saint-Gobain SA................. 29,285 1,031,567 0.2% Cie Generale des Etablissements Michelin SA Series B................. 15,059 1,298,153 0.2% Lafarge SA............................. 19,443 1,139,926 0.2% Sanofi SA.............................. 19,474 1,710,343 0.3% *Societe Generale SA.................... 59,410 1,894,701 0.3% Vivendi SA............................. 53,400 1,094,244 0.2% Other Securities....................... 26,420,563 4.7% ----------- ---- TOTAL FRANCE............................... 35,986,929 6.4% ----------- ---- GERMANY -- (5.0%) Allianz SE............................. 10,175 1,263,987 0.2% Daimler AG............................. 25,279 1,184,185 0.2% Deutsche Bank AG....................... 29,192 1,334,366 0.3% E.ON AG................................ 43,404 988,091 0.2% Other Securities....................... 25,926,059 4.6% ----------- ---- TOTAL GERMANY.............................. 30,696,688 5.5% ----------- ---- GREECE -- (0.4%) Other Securities....................... 2,732,129 0.5% ----------- ---- HONG KONG -- (2.3%) Other Securities....................... 14,445,977 2.6% ----------- ---- 82 International Vector Equity Portfolio continued Percentage Shares Value++ of Net Assets** ------- ------------ --------------- IRELAND -- (0.7%) CRH P.L.C. Sponsored ADR.............. 59,771 $ 1,114,729 0.2% Other Securities...................... 3,376,092 0.6% ------------ ---- TOTAL IRELAND............................. 4,490,821 0.8% ------------ ---- ISRAEL -- (0.5%) Other Securities...................... 3,233,372 0.6% ------------ ---- ITALY -- (2.3%) Other Securities...................... 14,048,924 2.5% ------------ ---- JAPAN -- (18.2%) Mitsubishi UFJ Financial Group, Inc... 282,300 1,277,116 0.2% Sumitomo Mitsui Financial Group, Inc.. 33,941 1,037,135 0.2% Other Securities...................... 110,841,534 19.8% ------------ ---- TOTAL JAPAN............................... 113,155,785 20.2% ------------ ---- NETHERLANDS -- (2.3%) Akzo Nobel NV......................... 23,201 1,262,780 0.2% Philips Electronics NV ADR............ 42,109 1,056,094 0.2% Other Securities...................... 11,792,538 2.1% ------------ ---- TOTAL NETHERLANDS......................... 14,111,412 2.5% ------------ ---- NEW ZEALAND -- (0.3%) Other Securities...................... 1,976,473 0.3% ------------ ---- NORWAY -- (1.2%) Other Securities...................... 7,415,222 1.3% ------------ ---- PORTUGAL -- (0.4%) Other Securities...................... 2,368,245 0.4% ------------ ---- SINGAPORE -- (1.6%) Other Securities...................... 10,014,737 1.8% ------------ ---- SPAIN -- (1.8%) Banco Santander SA.................... 219,822 1,655,078 0.3% Other Securities...................... 9,313,492 1.6% ------------ ---- TOTAL SPAIN............................... 10,968,570 1.9% ------------ ---- SWEDEN -- (3.0%) Skandinaviska Enskilda Banken AB Series A............................ 137,821 1,143,610 0.2% Svenska Cellulosa AB Series B......... 56,655 1,104,558 0.2% Other Securities...................... 16,083,002 2.9% ------------ ---- TOTAL SWEDEN.............................. 18,331,170 3.3% ------------ ---- SWITZERLAND -- (5.9%) Credit Suisse Group AG................ 76,065 1,768,919 0.3% Holcim, Ltd........................... 24,022 1,639,411 0.3% Nestle SA............................. 29,483 1,871,824 0.3% Novartis AG ADR....................... 25,578 1,546,446 0.3% Swiss Re, Ltd......................... 35,621 2,464,879 0.4% Zurich Insurance Group AG............. 14,816 3,652,436 0.7% Other Securities...................... 23,312,139 4.2% ------------ ---- TOTAL SWITZERLAND......................... 36,256,054 6.5% ------------ ---- UNITED KINGDOM -- (18.5%) Anglo American P.L.C.................. 60,914 1,877,034 0.4% Aviva P.L.C........................... 209,754 1,123,324 0.2% BP P.L.C. Sponsored ADR............... 80,492 3,452,302 0.6% #HSBC Holdings P.L.C. Sponsored ADR.... 102,908 5,079,539 0.9% 83 International Vector Equity Portfolio continued Percentage Shares Value++ of Net Assets** --------- ------------ --------------- UNITED KINGDOM -- (Continued) Kingfisher P.L.C................... 232,192 $ 1,087,134 0.2% Legal & General Group P.L.C........ 594,171 1,288,008 0.2% *Lloyds Banking Group P.L.C......... 1,911,509 1,258,744 0.2% Old Mutual P.L.C................... 465,474 1,295,638 0.2% Persimmon P.L.C.................... 79,548 1,023,538 0.2% Rexam P.L.C........................ 142,831 1,031,333 0.2% Royal Dutch Shell P.L.C. ADR....... 88,550 6,254,286 1.1% RSA Insurance Group P.L.C.......... 685,426 1,244,158 0.2% Standard Chartered P.L.C........... 70,024 1,657,940 0.3% Standard Life P.L.C................ 253,612 1,197,519 0.2% *Travis Perkins P.L.C............... 58,572 1,023,546 0.2% Vodafone Group P.L.C. Sponsored ADR.............................. 165,738 4,511,388 0.8% Xstrata P.L.C...................... 77,287 1,224,342 0.2% Other Securities................... 79,334,974 14.2% ------------ ---- TOTAL UNITED KINGDOM................... 114,964,747 20.5% ------------ ---- UNITED STATES -- (0.0%) Other Securities................... 106,770 0.0% ------------ ---- TOTAL COMMON STOCKS.................... 558,378,468 99.5% ------------ ---- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities................... 134,707 0.0% ------------ ---- UNITED KINGDOM -- (0.0%) Other Securities................... 194 0.0% ------------ ---- TOTAL PREFERRED STOCKS................. 134,901 0.0% ------------ ---- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities................... 9,318 0.0% ------------ ---- BELGIUM -- (0.0%) Other Securities................... 55 0.0% ------------ ---- CANADA -- (0.0%) Other Securities................... 429 0.0% ------------ ---- HONG KONG -- (0.0%) Other Securities................... 35,355 0.0% ------------ ---- SINGAPORE -- (0.0%) Other Securities................... 79 0.0% ------------ ---- SPAIN -- (0.0%) Other Securities................... 2 0.0% ------------ ---- TOTAL RIGHTS/WARRANTS.................. 45,238 0.0% ------------ ---- 84 International Vector Equity Portfolio continued Shares/ Face Amount Percentage (000) Value+ of Net Assets** ---------- ------------ --------------- SECURITIES LENDING COLLATERAL -- (10.0%) (S)@DFA Short Term Investment Fund.... 5,272,256 $ 61,000,000 10.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $641,192) to be repurchased at $628,626....... $ 629 628,620 0.1% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL... 61,628,620 11.0% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $570,633,453)............... $620,187,227 110.5% ============ ===== 85 International Vector Equity Portfolio continued Summary of the Portfolio's investments as of October 31, 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.................. $ 977,867 $ 36,488,877 -- $ 37,466,744 Austria.................... -- 3,337,563 -- 3,337,563 Belgium.................... 607,575 5,498,747 -- 6,106,322 Canada..................... 60,168,932 46,749 -- 60,215,681 China...................... 9,445 -- -- 9,445 Denmark.................... -- 6,326,334 -- 6,326,334 Finland.................... -- 9,612,354 -- 9,612,354 France..................... 1,756,577 34,230,352 -- 35,986,929 Germany.................... 2,705,981 27,990,707 -- 30,696,688 Greece..................... 70,609 2,661,520 -- 2,732,129 Hong Kong.................. 13,609 14,432,368 -- 14,445,977 Ireland.................... 1,229,633 3,261,188 -- 4,490,821 Israel..................... 650,715 2,582,657 -- 3,233,372 Italy...................... 888,414 13,160,510 -- 14,048,924 Japan...................... 2,560,476 110,595,309 -- 113,155,785 Netherlands................ 2,657,512 11,453,900 -- 14,111,412 New Zealand................ 6,348 1,970,125 -- 1,976,473 Norway..................... 429,266 6,985,956 -- 7,415,222 Portugal................... -- 2,368,245 -- 2,368,245 Singapore.................. -- 10,014,737 -- 10,014,737 Spain...................... 938,456 10,030,114 -- 10,968,570 Sweden..................... 8,001 18,323,169 -- 18,331,170 Switzerland................ 2,574,386 33,681,668 -- 36,256,054 United Kingdom............. 23,297,193 91,667,554 -- 114,964,747 United States.............. 106,770 -- -- 106,770 Preferred Stocks Germany.................... -- 134,707 -- 134,707 United Kingdom............. -- 194 -- 194 Rights/Warrants Australia.................. -- 9,318 -- 9,318 Belgium.................... -- 55 -- 55 Canada..................... -- 429 -- 429 Hong Kong.................. -- 35,355 -- 35,355 Singapore.................. -- 79 -- 79 Spain...................... -- 2 -- 2 Securities Lending Collateral.. -- 61,628,620 -- 61,628,620 ------------ ------------ -- ------------ TOTAL.......................... $101,657,765 $518,529,462 -- $620,187,227 ============ ============ == ============ See accompanying Notes to Financial Statements. 86 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Shares Value+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company............................ $38,734,717 Investment in Dimensional Emerging Markets Value Fund..... 13,726,335 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.................. 310,246 4,703,329 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES... (Cost $55,252,245).................................. 57,164,381 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $55,252,245)........ $57,164,381 =========== Summary of the Portfolio's investments as of October 31, 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........ $57,164,381 -- -- $57,164,381 ----------- -- -- ----------- TOTAL.................................. $57,164,381 -- -- $57,164,381 =========== == == =========== See accompanying Notes to Financial Statements. 87 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Shares Value+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc....................... 1,192,388 $14,296,732 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc................... 1,281,391 12,942,049 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc................ 344,969 6,554,411 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES. (Cost $31,236,380)................................ 33,793,192 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $31,236,380)...... $33,793,192 =========== Summary of the Portfolio's investments as of October 31, 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.... $33,793,192 -- -- $33,793,192 Futures Contracts**................ (16,806) -- -- (16,806) Forward Currency Contracts**....... -- $(93,551) -- (93,551) ----------- -------- -- ----------- TOTAL.............................. $33,776,386 $(93,551) -- $33,682,835 =========== ======== == =========== ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 88 SCHEDULES OF INVESTMENTS October 31, 2012 EMERGING MARKETS PORTFOLIO Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company $2,798,256,019 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,809,909,754).................................... $2,798,256,019 ============== Summary of the Portfolio's Master Fund's investments as of October 31, 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 $2,908,908,848 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,600,422,931).................................... $2,908,908,848 ============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 89 EMERGING MARKETS VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund.......... $16,695,104,614 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $16,996,486,055)................................... $16,695,104,614 =============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 90 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- COMMON STOCKS -- (86.6%) BRAZIL -- (7.0%) BM&F Bovespa SA................. 5,809,489 $ 37,184,391 0.4% #BRF - Brasil Foods SA ADR....... 1,233,685 22,601,109 0.3% Petroleo Brasileiro SA ADR...... 2,638,489 55,962,352 0.7% #Vale SA Sponsored ADR........... 2,488,228 45,584,337 0.5% Other Securities................ 490,376,075 5.7% -------------- ---- TOTAL BRAZIL........................ 651,708,264 7.6% -------------- ---- CHILE -- (1.6%) Other Securities................ 151,612,738 1.8% -------------- ---- CHINA -- (14.5%) #Bank of China, Ltd. Series H.... 121,384,702 49,729,165 0.6% China Construction Bank Corp. Series H...................... 118,060,302 88,657,365 1.0% China Mobile, Ltd. Sponsored ADR........................... 1,358,381 75,240,724 0.9% #China Overseas Land & Investment, Ltd................ 7,618,033 19,933,917 0.2% #CNOOC, Ltd. ADR................. 148,376 30,498,687 0.4% Industrial & Commercial Bank of China, Ltd. Series H....... 106,553,725 70,165,553 0.8% PetroChina Co., Ltd. ADR........ 229,733 31,188,552 0.4% Tencent Holdings, Ltd........... 891,100 31,412,605 0.4% Other Securities................ 949,222,141 11.0% -------------- ---- TOTAL CHINA......................... 1,346,048,709 15.7% -------------- ---- COLOMBIA -- (0.4%) Other Securities................ 36,008,094 0.4% -------------- ---- CZECH REPUBLIC -- (0.3%) Other Securities................ 30,187,968 0.4% -------------- ---- EGYPT -- (0.1%) Other Securities................ 8,998,903 0.1% -------------- ---- HONG KONG -- (0.0%) Other Securities................ 192,006 0.0% -------------- ---- HUNGARY -- (0.3%) Other Securities................ 29,660,270 0.3% -------------- ---- INDIA -- (7.2%) HDFC Bank, Ltd.................. 2,006,196 23,457,072 0.3% ICICI Bank, Ltd. Sponsored ADR.. 621,658 24,400,076 0.3% Reliance Industries, Ltd........ 2,392,101 35,670,774 0.4% Other Securities................ 583,933,535 6.8% -------------- ---- TOTAL INDIA......................... 667,461,457 7.8% -------------- ---- INDONESIA -- (3.2%) PT Astra International Tbk...... 24,525,000 20,471,402 0.2% Other Securities................ 280,675,429 3.3% -------------- ---- TOTAL INDONESIA..................... 301,146,831 3.5% -------------- ---- ISRAEL -- (0.0%) Other Securities................ 173,082 0.0% -------------- ---- MALAYSIA -- (3.7%) CIMB Group Holdings Berhad...... 9,582,014 23,947,028 0.3% Malayan Banking Berhad.......... 7,173,412 21,220,701 0.2% Other Securities................ 302,491,132 3.5% -------------- ---- TOTAL MALAYSIA...................... 347,658,861 4.0% -------------- ---- 91 emerging Markets Core Equity Portfolio CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- MEXICO -- (4.8%) America Movil S.A.B. de C.V. Series L ADR.................. 2,014,399 $ 50,944,151 0.6% *Cemex S.A.B. de C.V. Sponsored ADR............................ 4,063,800 36,736,750 0.4% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 389,063 35,252,998 0.4% Grupo Financiero Banorte S.A.B. de C.V. Series O....... 5,703,705 31,711,450 0.4% Grupo Mexico S.A.B. de C.V. Series B...................... 8,798,279 28,207,710 0.3% Grupo Televisa S.A.B. Sponsored ADR................. 1,088,606 24,602,496 0.3% Other Securities................ 240,076,862 2.8% -------------- ---- TOTAL MEXICO........................ 447,532,417 5.2% -------------- ---- PERU -- (0.2%) Other Securities................ 19,890,435 0.2% -------------- ---- PHILIPPINES -- (1.4%) Other Securities................ 130,096,026 1.5% -------------- ---- POLAND -- (1.4%) Other Securities................ 129,480,253 1.5% -------------- ---- RUSSIA -- (3.0%) Gazprom OAO Sponsored ADR....... 9,932,249 91,227,647 1.1% Lukoil OAO Sponsored ADR........ 897,216 54,450,535 0.6% *Sberbank of Russia Sponsored ADR............................ 2,442,782 28,887,006 0.3% Other Securities................ 102,212,726 1.2% -------------- ---- TOTAL RUSSIA........................ 276,777,914 3.2% -------------- ---- SOUTH AFRICA -- (7.3%) AngloGold Ashanti, Ltd. Sponsored ADR................. 761,501 25,875,804 0.3% #Gold Fields, Ltd. Sponsored ADR. 2,326,039 29,098,748 0.3% Impala Platinum Holdings, Ltd... 1,417,592 25,549,952 0.3% MTN Group, Ltd.................. 2,946,159 53,189,830 0.6% Naspers, Ltd. Series N.......... 491,418 31,900,653 0.4% Sanlam, Ltd..................... 4,846,104 21,623,945 0.3% #Sasol, Ltd. Sponsored ADR....... 741,346 31,440,484 0.4% Standard Bank Group, Ltd........ 2,134,913 26,362,364 0.3% Other Securities................ 432,042,024 5.0% -------------- ---- TOTAL SOUTH AFRICA.................. 677,083,804 7.9% -------------- ---- SOUTH KOREA -- (13.9%) Hana Financial Group, Inc....... 693,772 20,182,592 0.2% Hyundai Mobis................... 86,229 21,914,678 0.2% Hyundai Motor Co., Ltd.......... 264,017 54,260,435 0.6% #LG Electronics, Inc............. 319,969 22,260,837 0.3% #POSCO ADR....................... 393,275 30,824,894 0.4% Samsung Electronics Co., Ltd.... 143,153 171,788,982 2.0% Other Securities................ 968,798,669 11.3% -------------- ---- TOTAL SOUTH KOREA................... 1,290,031,087 15.0% -------------- ---- TAIWAN -- (11.4%) #Hon Hai Precision Industry Co., Ltd....................... 15,725,476 47,680,234 0.6% #Taiwan Semiconductor Manufacturing Co., Ltd......... 27,191,652 82,854,588 1.0% Other Securities................ 930,982,338 10.8% -------------- ---- TOTAL TAIWAN........................ 1,061,517,160 12.4% -------------- ---- THAILAND -- (2.8%) Other Securities................ 260,928,990 3.0% -------------- ---- TURKEY -- (2.1%) Turkiye Garanti Bankasi A.S..... 4,218,550 20,156,073 0.2%
92 emerging Markets Core Equity Portfolio CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- TURKEY -- (Continued) Other Securities................... $ 170,155,837 2.0% -------------- ---- TOTAL TURKEY........................... 190,311,910 2.2% -------------- ---- TOTAL COMMON STOCKS.................... 8,054,507,179 93.7% -------------- ---- PREFERRED STOCKS -- (5.0%) BRAZIL -- (4.9%) Banco Bradesco SA Sponsored ADR.... 4,634,517 72,576,536 0.8% #Cia de Bebidas das Americas SA ADR. 698,422 28,488,633 0.3% #Gerdau SA Sponsored ADR............ 2,629,491 23,113,226 0.3% Itau Unibanco Holding SA ADR....... 4,273,839 62,312,573 0.7% #Petroleo Brasileiro SA ADR......... 3,574,085 73,375,965 0.9% #Vale SA Sponsored ADR.............. 3,021,868 53,759,032 0.6% Other Securities................... 141,370,189 1.7% -------------- ---- TOTAL BRAZIL........................... 454,996,154 5.3% -------------- ---- CHILE -- (0.1%) Other Securities................... 7,796,135 0.1% -------------- ---- COLOMBIA -- (0.0%) Other Securities................... 150,000 0.0% -------------- ---- INDIA -- (0.0%) Other Securities................... 6,792 0.0% -------------- ---- MALAYSIA -- (0.0%) Other Securities................... 81,155 0.0% -------------- ---- TOTAL PREFERRED STOCKS................. 463,030,236 5.4% -------------- ---- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities................... 9,695 0.0% -------------- ---- MALAYSIA -- (0.0%) Other Securities................... 12,644 0.0% -------------- ---- POLAND -- (0.0%) Other Securities................... 11,636 0.0% -------------- ---- SOUTH AFRICA -- (0.0%) Other Securities................... 228,473 0.0% -------------- ---- SOUTH KOREA -- (0.0%) Other Securities................... 17,083 0.0% -------------- ---- TAIWAN -- (0.0%) Other Securities................... 1,938 0.0% -------------- ---- THAILAND -- (0.0%) Other Securities................... -- 0.0% -------------- ---- TOTAL RIGHTS/WARRANTS.................. 281,469 0.0% -------------- ----
93 emerging Markets Core Equity Portfolio CONTINUED
Shares/ Face Amount Percentage (000) Value+ of Net Assets** ----------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (8.4%) (S)@DFA Short Term Investment Fund........................................... 66,983,578 775,000,000 9.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $3,978,850) to be repurchased at $3,900,871............................. $ 3,901 3,900,834 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 778,900,834 9.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,654,503,966)....................................................... $9,296,719,718 108.2% ============== =====
94 emerging Markets Core Equity Portfolio CONTINUED Summary of the Portfolio's investments as of October 31, 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..................... $ 651,708,264 -- -- $ 651,708,264 Chile...................... 151,612,738 -- -- 151,612,738 China...................... 206,214,906 $1,139,833,803 -- 1,346,048,709 Colombia................... 36,008,094 -- -- 36,008,094 Czech Republic............. -- 30,187,968 -- 30,187,968 Egypt...................... -- 8,998,903 -- 8,998,903 Hong Kong.................. -- 192,006 -- 192,006 Hungary.................... 318,975 29,341,295 -- 29,660,270 India...................... 51,966,834 615,494,623 -- 667,461,457 Indonesia.................. 10,328,439 290,818,392 -- 301,146,831 Israel..................... -- 173,082 -- 173,082 Malaysia................... -- 347,658,861 -- 347,658,861 Mexico..................... 447,532,417 -- -- 447,532,417 Peru....................... 19,890,435 -- -- 19,890,435 Philippines................ 2,433,199 127,662,827 -- 130,096,026 Poland..................... -- 129,480,253 -- 129,480,253 Russia..................... 10,736,011 266,041,903 -- 276,777,914 South Africa............... 98,211,850 578,871,954 -- 677,083,804 South Korea................ 79,137,486 1,210,893,601 -- 1,290,031,087 Taiwan..................... 22,196,294 1,039,320,866 -- 1,061,517,160 Thailand................... 254,905,263 6,023,727 -- 260,928,990 Turkey..................... 4,166,040 186,145,870 -- 190,311,910 Preferred Stocks Brazil..................... 454,877,865 118,289 -- 454,996,154 Chile...................... 7,796,135 -- -- 7,796,135 Colombia................... 150,000 -- -- 150,000 India...................... -- 6,792 -- 6,792 Malaysia................... -- 81,155 -- 81,155 Rights/Warrants Brazil..................... -- 9,695 -- 9,695 Malaysia................... -- 12,644 -- 12,644 Poland..................... -- 11,636 -- 11,636 South Africa............... -- 228,473 -- 228,473 South Korea................ -- 17,083 -- 17,083 Taiwan..................... -- 1,938 -- 1,938 Thailand................... -- -- -- -- Securities Lending Collateral. -- 778,900,834 -- 778,900,834 -------------- -------------- -- -------------- TOTAL......................... $2,510,191,245 $6,786,528,473 -- $9,296,719,718 ============== ============== == ==============
See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
Enhanced U.S. U.S. U.S. U.S. Large Large Cap Targeted Small Cap Company Value Value Value Portfolio Portfolio Portfolio Portfolio ------------ -------------- ------------ -------------- ASSETS: Investments in Affiliated Investment Company at Value............ -- $ 8,335,907 -- -- Investments at Value (including $0, $0, $394,703 and $828,201 of securities on loan, respectively)........................... $ 186,659 -- $ 3,044,804 $ 7,067,605 Temporary Cash Investments at Value & Cost....................... 1,965 -- 3,983 33,890 Collateral Received from Securities on Loan at Value & Cost...... -- -- 1,068 2,252 Affiliated Collateral Received from Securities on Loan at Value & Cost................................................... -- -- 404,821 853,210 Receivables: Investment Securities/Affiliated Investment Company Sold........................................................ -- 5,202 2,342 12,227 Dividends and Interest........................................ 2,747 -- 1,052 2,448 Securities Lending Income..................................... -- -- 236 547 Fund Shares Sold.............................................. 254 7,384 4,759 5,626 Unrealized Gain on Forward Currency Contracts.................... 96 -- -- -- Prepaid Expenses and Other Assets................................ 19 48 26 34 ------------ -------------- ------------ -------------- Total Assets.............................................. 191,740 8,348,541 3,463,091 7,977,839 ------------ -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. -- -- 405,889 855,462 Investment Securities/Affiliated Investment Company Purchased................................................... -- -- 9 -- Fund Shares Redeemed.......................................... 302 12,586 4,295 30,485 Due to Advisor................................................ 32 1,050 906 3,030 Futures Margin Variation...................................... 104 -- -- -- Unrealized Loss on Forward Currency Contracts.................... 1,277 -- -- -- Accrued Expenses and Other Liabilities........................... 14 320 183 392 ------------ -------------- ------------ -------------- Total Liabilities......................................... 1,729 13,956 411,282 889,369 ------------ -------------- ------------ -------------- NET ASSETS $ 190,011 $ 8,334,585 $ 3,051,809 $ 7,088,470 ============ ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $49,423 and $0 and shares outstanding of 0; 0; 2,860,503 and 0, respectively................................................... N/A N/A $ 17.28 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; $12,754 and $0 and shares outstanding of 0; 0; 738,985 and 0, respectively.... N/A N/A $ 17.26 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Institutional Class Shares -- based on net assets of $190,011; $8,334,585; $2,989,632 and $7,088,470 and shares outstanding of 20,460,029; 373,062,097; 173,043,943 and 266,765,952, respectively . $ 9.29 $ 22.34 $ 17.28 $ 26.57 ============ ============== ============ ============== 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............. $ -- $ 6,139,974 $ -- $ -- ------------ -------------- ------------ -------------- Investments at Cost.............................................. $ 184,521 $ -- $ 2,614,960 $ 6,281,667 ============ ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 233,972 $ 7,445,930 $ 2,446,420 $ 5,915,078 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 2,005 25,366 3,945 94 Accumulated Net Realized Gain (Loss)............................. (49,767) (1,332,644) 171,600 387,360 Net Unrealized Foreign Exchange Gain (Loss)...................... (1,163) -- -- -- Net Unrealized Appreciation (Depreciation)....................... 4,964 2,195,933 429,844 785,938 ------------ -------------- ------------ -------------- NET ASSETS....................................................... $ 190,011 $ 8,334,585 $ 3,051,809 $ 7,088,470 ============ ============== ============ ==============
See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector U.S. Small Equity 1 Equity 2 Equity Cap Portfolio Portfolio Portfolio Portfolio -------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $705,101, $926,665, $277,107 and $921,441 of securities on loan, respectively)........................................... $ 4,854,375 $ 6,899,541 $ 2,002,852 $ 4,547,901 Temporary Cash Investments at Value & Cost................ 18,707 25,908 5,428 12,913 Collateral Received from Securities on Loan at Value & Cost.................................................... 1,905 2,835 750 2,494 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................ 721,729 948,671 284,246 944,851 Receivables: Investment Securities Sold............................. 73 755 356 3,538 Dividends and Interest................................. 4,620 6,488 1,384 1,332 Securities Lending Income.............................. 258 435 171 844 Fund Shares Sold....................................... 5,705 12,852 2,191 4,153 Prepaid Expenses and Other Assets......................... 43 47 20 28 -------------- -------------- -------------- -------------- Total Assets........................................... 5,607,415 7,897,532 2,297,398 5,518,054 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....................... 723,634 951,506 284,996 947,345 Investment Securities Purchased........................ 2,684 8,718 -- 7 Fund Shares Redeemed................................... 3,153 11,806 2,617 5,764 Due to Advisor......................................... 698 1,165 507 1,341 Accrued Expenses and Other Liabilities.................... 273 353 101 252 -------------- -------------- -------------- -------------- Total Liabilities.................................. 730,442 973,548 288,221 954,709 -------------- -------------- -------------- -------------- NET ASSETS................................................ $ 4,876,973 $ 6,923,984 $ 2,009,177 $ 4,563,345 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $4,876,973; $6,923,984; $2,009,177 and $4,563,345 and shares outstanding of 402,557,165; 577,609,536; 173,035,452 and 197,501,054, respectively............... $ 12.11 $ 11.99 $ 11.61 $ 23.11 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED............................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost....................................... $ 4,104,482 $ 5,906,074 $ 1,759,633 $ 3,896,619 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital........................................... $ 4,130,950 $ 5,861,057 $ 1,760,585 $ 3,689,965 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 10,461 15,899 2,490 5,302 Accumulated Net Realized Gain (Loss)...................... (14,331) 53,561 2,883 216,796 Net Unrealized Appreciation (Depreciation)................ 749,893 993,467 243,219 651,282 -------------- -------------- -------------- -------------- NET ASSETS................................................ $ 4,876,973 $ 6,923,984 $ 2,009,177 $ 4,563,345 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (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 $447,110, $522,236, $247,662 and $719,802 of securities on loan, respectively)............................. $ 3,428,040 $ 3,703,787 $ 2,043,279 $ 6,459,469 Temporary Cash Investments at Value & Cost........... 9,729 26,648 -- -- Collateral Received from Securities on Loan at Value & Cost....................................... 1,215 1,412 1,322 7,381 Affiliated Collateral Received from Securities on Loan at Value & Cost 460,538 535,174 270,000 765,000 Foreign Currencies at Value.......................... -- -- 2,840 5,292 Cash................................................. 720 -- 4,565 6,152 Receivables: Investment Securities Sold........................ 1,618 -- -- 2,007 Dividends, Interest and Tax Reclaims.............. 1,021 2,908 6,061 18,861 Securities Lending Income......................... 574 73 199 865 Fund Shares Sold.................................. 1,741 6,156 2,210 8,527 Prepaid Expenses and Other Assets.................... 16 27 17 68 -------------- ------------ ------------ -------------- Total Assets.................................. 3,905,212 4,276,185 2,330,493 7,273,622 -------------- ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................. 461,753 536,586 271,322 772,381 Investment Securities Purchased................... 10 19,237 1,145 7,678 Fund Shares Redeemed.............................. 3,837 3,298 1,655 8,434 Due to Advisor.................................... 1,453 464 428 1,887 Unrealized Loss on Foreign Currency Contracts........ -- -- -- 2 Accrued Expenses and Other Liabilities............... 201 211 184 502 -------------- ------------ ------------ -------------- Total Liabilities............................. 467,254 559,796 274,734 790,884 -------------- ------------ ------------ -------------- NET ASSETS........................................... $ 3,437,958 $ 3,716,389 $ 2,055,759 $ 6,482,738 ============== ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,437,958; $3,716,389; $2,055,759 and $6,482,738 and shares outstanding of 231,634,790; 143,852,929; 112,169,274 and 642,067,983, respectively.......................... $ 14.84 $ 25.83 $ 18.33 $ 10.10 ============== ============ ============ ============== NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000 ============== ============ ============ ============== Investments at Cost.................................. $ 2,924,858 $ 2,625,713 $ 1,881,416 $ 6,740,972 ============== ============ ============ ============== Foreign Currencies at Cost........................... $ -- $ -- $ 2,829 $ 5,274 ============== ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 2,763,945 $ 2,897,280 $ 2,104,641 $ 6,843,391 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ 3,910 23,599 8,708 25,255 Accumulated Net Realized Gain (Loss)................. 166,921 (282,564) (219,352) (104,202) Net Unrealized Foreign Exchange Gain (Loss).......... -- -- (112) (221) Net Unrealized Appreciation (Depreciation)........... 503,182 1,078,074 161,874 (281,485) -------------- ------------ ------------ -------------- NET ASSETS........................................... $ 3,437,958 $ 3,716,389 $ 2,055,759 $ 6,482,738 ============== ============ ============ ==============
See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (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.............................................. $ 6,419,657 $ 294,088 $ 238,282 $ 31,322 Temporary Cash Investments at Value & Cost........... 7,220 -- -- -- Receivables: Affiliated Investment Companies Sold.............. -- 62 90 3 Fund Shares Sold.................................. 4,639 14 19 7 Prepaid Expenses and Other Assets.................... 39 5 7 6 -------------- ------------ ------------ ------------ Total Assets.................................. 6,431,555 294,169 238,398 31,338 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Affiliated Investment Companies Purchased......... 500 -- -- -- Fund Shares Redeemed.............................. 5,449 76 109 10 Due to Advisor.................................... 2,141 98 79 10 Accrued Expenses and Other Liabilities............... 305 27 19 2 -------------- ------------ ------------ ------------ Total Liabilities............................. 8,395 201 207 22 -------------- ------------ ------------ ------------ NET ASSETS........................................... $ 6,423,160 $ 293,968 $ 238,191 $ 31,316 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $6,423,160; $293,968; $238,191 and $31,316 and shares outstanding of 420,465,298; 19,614,366; 10,259,886 and 1,126,005, respectively............. $ 15.28 $ 14.99 $ 23.22 $ 27.81 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 100,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost............................................... $ 6,321,775 $ 363,671 $ 225,784 $ 24,146 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 6,292,303 $ 438,204 $ 249,992 $ 26,303 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................ 3,290 1,728 779 149 Accumulated Net Realized Gain (Loss)................. 30,107 (76,344) (25,082) (2,316) Net Unrealized Foreign Exchange Gain (Loss).......... (421) (37) 4 4 Net Unrealized Appreciation (Depreciation)........... 97,881 (69,583) 12,498 7,176 -------------- ------------ ------------ ------------ NET ASSETS........................................... $ 6,423,160 $ 293,968 $ 238,191 $ 31,316 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (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.............................................. $ 106,353 -- $ 1,309,437 -- Investments at Value (including $0, $134,895, $0 and $751,359 of securities on loan, respectively)...................................... -- $ 1,522,025 -- $ 8,209,751 Temporary Cash Investments at Value & Cost........... -- -- 2,168 -- Collateral Received from Securities on Loan at Value & Cost....................................... -- 223 -- 4,277 Affiliated Collateral Received from Securities on Loan at Value & Cost............................... -- 144,000 -- 825,000 Foreign Currencies at Value.......................... -- 577 -- 7,883 Cash................................................. -- 7,653 -- 29,120 Receivables: Investment Securities/Affiliated Investment Companies Sold.................................. -- 57 -- 1,167 Dividends, Interest and Tax Reclaims.............. -- 5,512 -- 26,016 Securities Lending Income......................... -- 78 -- 1,740 Fund Shares Sold.................................. 39 2,963 6,411 10,178 Unrealized Gain on Foreign Currency Contracts........ -- 1 -- 1 Prepaid Expenses and Other Assets.................... 6 9 12 64 ------------ ------------ ------------ -------------- Total Assets.................................. 106,398 1,683,098 1,318,028 9,115,197 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................. -- 144,223 -- 829,277 Investment Securities/Affiliated Investment Companies Purchased............................. 20 5,274 1,075 3,282 Fund Shares Redeemed.............................. 19 1,325 1,329 10,835 Due to Advisor.................................... 37 436 10 4,465 Unrealized Loss on Foreign Currency Contracts........ -- 1 -- -- Accrued Expenses and Other Liabilities............... 6 131 67 728 ------------ ------------ ------------ -------------- Total Liabilities............................. 82 151,390 2,481 848,587 ------------ ------------ ------------ -------------- NET ASSETS........................................... $ 106,316 $ 1,531,708 $ 1,315,547 $ 8,266,610 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $106,316; $1,531,708; $1,315,547 and $8,266,610 and shares outstanding of 7,329,320; 270,326,048; 141,073,949 and 545,184,194, respectively....................................... $ 14.51 $ 5.67 $ 9.33 $ 15.16 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED.......................... 100,000,000 700,000,000 500,000,000 2,300,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost............................................... $ 108,971 $ -- $ 1,003,592 $ -- ------------ ------------ ------------ -------------- Investments at Cost.................................. $ -- $ 1,359,942 $ -- $ 8,914,249 ============ ============ ============ ============== Foreign Currencies at Cost........................... $ -- $ 573 $ -- $ 7,884 ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 137,501 $ 1,630,220 $ 1,028,972 $ 8,844,254 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................ 280 (46,274) 11,623 14,647 Accumulated Net Realized Gain (Loss)................. (28,969) (214,293) (30,893) 112,748 Net Unrealized Foreign Exchange Gain (Loss).......... 122 (32) -- (540) Net Unrealized Appreciation (Depreciation)........... (2,618) 162,087 305,845 (704,499) ------------ ------------ ------------ -------------- NET ASSETS........................................... $ 106,316 $ 1,531,708 $ 1,315,547 $ 8,266,610 ============ ============ ============ ==============
See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (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.............................................. -- $ 57,164 $ 33,793 $ 2,798,256 Investments at Value (including $57,921, $0, $0 and $0 of securities on loan, respectively)............ $ 558,559 -- -- -- Temporary Cash Investments at Value & Cost........... -- 49 1,080 -- Segregated Cash for Futures Contracts................ -- -- 46 -- Collateral Received from Securities on Loan at Value & Cost....................................... 629 -- -- -- Affiliated Collateral Received from Securities on Loan at Value & Cost............................... 61,000 -- -- -- Foreign Currencies at Value.......................... 548 -- -- -- Cash................................................. 547 -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.................................. 55 -- -- -- Dividends, and Tax Reclaims....................... 1,622 -- -- -- Securities Lending Income......................... 79 -- -- -- Fund Shares Sold.................................. 489 -- 108 6,919 From Advisor...................................... -- -- 9 -- Unrealized Gain on Forward Currency Contracts........ -- -- 47 -- Prepaid Expenses and Other Assets.................... 11 12 11 27 Deferred Offering Costs.............................. -- -- 3 -- ------------ ------------ ------------ ------------ Total Assets.................................. 623,539 57,225 35,097 2,805,202 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................. 61,629 -- -- -- Investment Securities/Affiliated Investment Companies Purchased ............................ -- -- -- 4,566 Fund Shares Redeemed.............................. 237 2 -- 2,353 Due to Advisor.................................... 210 11 -- 929 Futures Margin Variation.......................... -- -- 1 -- Unrealized Loss on Forward Currency Contracts........ -- -- 141 -- Accrued Expenses and Other Liabilities............... 64 15 5 177 ------------ ------------ ------------ ------------ Total Liabilities............................. 62,140 28 147 8,025 ------------ ------------ ------------ ------------ NET ASSETS........................................... $ 561,399 $ 57,197 $ 34,950 $ 2,797,177 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $561,399; $57,197; $34,950 and $2,797,177 and shares outstanding of 60,164,175; 5,756,500; 3,216,441 and 107,321,804, respectively............ $ 9.33 $ 9.94 $ 10.87 $ 26.06 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED.......................... 500,000,000 100,000,000 100,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost............................................... $ -- $ 55,252 $ 31,236 $ 1,809,910 ------------ ------------ ------------ ------------ Investments at Cost.................................. $ 509,005 $ -- $ -- $ -- ============ ============ ============ ============ Foreign Currencies at Cost........................... $ 546 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 509,238 $ 60,950 $ 32,501 $ 1,771,604 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................ 1,456 330 166 8,306 Accumulated Net Realized Gain (Loss)................. 1,175 (5,978) (164) 28,954 Net Unrealized Foreign Exchange Gain (Loss).......... (26) (17) (93) (33) Net Unrealized Appreciation (Depreciation)........... 49,556 1,912 2,540 988,346 ------------ ------------ ------------ ------------ NET ASSETS........................................... $ 561,399 $ 57,197 $ 34,950 $ 2,797,177 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (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 Companies at Value........... $ 2,908,909 $ 16,695,104 -- Investments at Value (including $0, $0 and $896,140 of securities on loan, respectively).......................................... -- -- $ 8,517,819 Collateral Received from Securities on Loan at Value & Cost....... -- -- 3,901 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................ -- -- 775,000 Foreign Currencies at Value....................................... -- -- 5,814 Cash.............................................................. -- -- 65,096 Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... -- -- 194 Dividends, Interest and Tax Reclaims........................... -- -- 9,349 Securities Lending Income...................................... -- -- 2,116 Fund Shares Sold............................................... 3,006 27,291 14,592 Prepaid Expenses and Other Assets................................. 39 58 65 ------------ -------------- -------------- Total Assets............................................... 2,911,954 16,722,453 9,393,946 ------------ -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................... -- -- 778,901 Investment Securities/Affiliated Investment Companies Purchased.................................................... 115 21,560 8,909 Fund Shares Redeemed........................................... 2,892 5,730 6,074 Due to Advisor................................................. 1,088 5,619 3,944 Unrealized Loss on Foreign Currency Contracts..................... -- -- 1 Accrued Expenses and Other Liabilities............................ 186 814 1,410 ------------ -------------- -------------- Total Liabilities.......................................... 4,281 33,723 799,239 ------------ -------------- -------------- NET ASSETS........................................................ $ 2,907,673 $ 16,688,730 $ 8,594,707 ============ ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $99,111 and $0 and shares outstanding of 0; 3,513,125 and 0, respectively.......... N/A $ 28.21 N/A ============ ============== ============== Institutional Class Shares -- based on net assets of $2,907,673; $16,589,619 and $8,594,707 and shares outstanding of 143,022,429; 587,899,918 and 452,322,328, respectively.......... $ 20.33 $ 28.22 $ 19.00 ============ ============== ============== NUMBER OF SHARES AUTHORIZED....................................... 500,000,000 1,500,000,000 1,000,000,000 ============ ============== ============== Investments in Affiliated Investment Companies at Cost............ $ 2,600,423 $ 16,996,486 $ -- ------------ -------------- -------------- Investments at Cost............................................... $ -- $ -- $ 7,875,603 ============ ============== ============== Foreign Currencies at Cost........................................ $ -- $ -- $ 5,812 ============ ============== ============== NET ASSETS CONSIST OF: Paid-In Capital................................................... $ 2,510,281 $ 16,619,114 $ 7,968,370 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... 6,451 40,292 26,576 Accumulated Net Realized Gain (Loss).............................. 82,504 330,625 (42,488) Net Unrealized Foreign Exchange Gain (Loss)....................... (49) 81 31 Net Unrealized Appreciation (Depreciation)........................ 308,486 (301,382) 642,218 ------------ -------------- -------------- NET ASSETS........................................................ $ 2,907,673 $ 16,688,730 $ 8,594,707 ============ ============== ==============
-------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
Enhanced U.S. U.S. Large U.S. Large Targeted U.S. Small Company Cap Value Value Cap Value Portfolio Portfolio* Portfolio Portfolio --------- ---------- --------- ---------- Investment Income Dividends.................................................... $ 126 $ 169,995 $ 36,944 $ 82,338 Interest..................................................... 1,809 17 22 37 Income from Securities Lending............................... -- 6,190 2,926 7,642 Expenses Allocated from Affiliated Investment Company........ -- (9,069) -- -- ------- ---------- -------- ---------- Total Investment Income............................... 1,935 167,133 39,892 90,017 ------- ---------- -------- ---------- Expenses Investment Advisory Services Fees............................ 92 -- 2,835 13,809 Administrative Services Fees................................. 276 11,657 7,088 20,714 Accounting & Transfer Agent Fees............................. 40 98 314 734 S&P 500(R) Fees.............................................. 6 -- -- -- Shareholder Servicing Fees -- Class R1 Shares.......................................... -- -- 47 -- Class R2 Shares.......................................... -- -- 30 -- Custodian Fees............................................... 12 -- 70 122 Filing Fees.................................................. 27 103 111 95 Shareholders' Reports........................................ 6 240 115 189 Directors'/Trustees' Fees & Expenses......................... 1 66 24 58 Professional Fees............................................ 4 54 76 180 Other........................................................ 2 72 65 146 ------- ---------- -------- ---------- Total Expenses........................................ 466 12,290 10,775 36,047 ------- ---------- -------- ---------- Net Investment Income (Loss)................................. 1,469 154,843 29,117 53,970 ------- ---------- -------- ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................... 245 318,427 181,414 430,201 Futures.................................................. 30,568 -- 3,336 954 Foreign Currency Transactions............................ 1,331 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities.................................... 594 824,744 176,832 522,870 Futures.................................................. (6,586) -- -- (536) Translation of Foreign Currency Denominated Amounts...... (857) -- -- -- ------- ---------- -------- ---------- Net Realized and Unrealized Gain (Loss)...................... 25,295 1,143,171 361,582 953,489 ------- ---------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations. $26,764 $1,298,014 $390,699 $1,007,459 ======= ========== ======== ==========
-------- * 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. 103 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) U.S. U.S. Core U.S. Core Vector U.S. Small Equity 1 Equity 2 Equity Cap Portfolio Portfolio Portfolio Portfolio --------- --------- --------- ---------- Investment Income Dividends.......................... $ 83,424 $120,052 $ 32,016 $ 54,202 Interest........................... 33 30 12 24 Income from Securities Lending..... 3,406 5,922 2,448 9,285 -------- -------- -------- -------- Total Investment Income........ 86,863 126,004 34,476 63,511 -------- -------- -------- -------- Expenses Investment Advisory Services Fees.. 7,460 12,830 5,835 1,256 Administrative Services Fees....... -- -- -- 13,400 Accounting & Transfer Agent Fees... 469 677 220 451 Custodian Fees..................... 91 101 41 86 Filing Fees........................ 196 156 59 98 Shareholders' Reports.............. 78 140 65 123 Directors'/Trustees' Fees & Expenses......................... 36 54 17 35 Professional Fees.................. 110 164 52 119 Other.............................. 45 78 22 61 -------- -------- -------- -------- Total Expenses................. 8,485 14,200 6,311 15,629 -------- -------- -------- -------- Net Investment Income (Loss)....... 78,378 111,804 28,165 47,882 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities....................... 36 105 18 -- Net Realized Gain (Loss) on:....... Investment Securities Sold......... 35,359 73,466 41,027 254,365 Futures............................ -- -- (850) -- Change in Unrealized Appreciation (Depreciation) of:............... Investment Securities.............. 455,880 694,545 196,524 230,453 -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).............................. 491,275 768,116 236,719 484,818 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........... $569,653 $879,920 $264,884 $532,700 ======== ======== ======== ======== See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
DFA Real U.S. Micro Estate Large Cap International Cap Securities International Core Equity Portfolio Portfolio Portfolio Portfolio ---------- ---------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $6, $0, $5,504 and $14,973, respectively).......................................................... $ 45,300 $ 85,414 $ 66,010 $191,701 Interest................................................................. 15 34 1 2 Income from Securities Lending........................................... 6,267 1,034 3,291 12,660 -------- -------- -------- -------- Total Investment Income.............................................. 51,582 86,482 69,302 204,363 -------- -------- -------- -------- Expenses Investment Advisory Services Fees........................................ 3,416 7,183 4,700 19,970 Administrative Services Fees............................................. 13,662 -- -- -- Accounting & Transfer Agent Fees......................................... 374 374 219 610 Custodian Fees........................................................... 77 39 478 1,482 Filing Fees.............................................................. 58 102 85 245 Shareholders' Reports.................................................... 102 146 95 161 Directors'/Trustees' Fees & Expenses..................................... 29 29 16 47 Professional Fees........................................................ 89 102 54 178 Other.................................................................... 55 40 40 122 -------- -------- -------- -------- Total Expenses.................................................... 17,862 8,015 5,687 22,815 -------- -------- -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).......................................... -- (321) -- -- Fees Paid Indirectly..................................................... -- -- (8) (25) -------- -------- -------- -------- Net Expenses............................................................. 17,862 7,694 5,679 22,790 -------- -------- -------- -------- Net Investment Income (Loss)............................................. 33,720 78,788 63,623 181,573 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities........... -- 16,390 -- -- Net Realized Gain (Loss) on: Investment Securities Sold........................................... 220,675 (1,763) (18,104) (40,937) Futures.............................................................. 385 (46) -- -- Foreign Currency Transactions*....................................... -- -- (353) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 166,031 355,961 69,627 185,568 Translation of Foreign Currency Denominated Amounts.................. -- -- (82) (120) -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).................................. 387,091 370,542 51,088 144,625 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............. $420,811 $449,330 $114,711 $326,198 ======== ======== ======== ========
-------- * Net of foreign capital taxes withheld of $0, $0, $1, and $0, respectively. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
Asia United International Japanese 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 $13,197, $462, $183, and $1, respectively)................................................................ $167,967 $ 6,158 $ 7,841 $1,028 Interest....................................................................... 19 -- -- -- Income from Securities Lending................................................. 17,286 449 737 8 Expenses Allocated from Affiliated Investment Companies........................ (8,714) (393) (311) (38) -------- -------- ------- ------ Total Net Investment Income Received from Affiliated Investment Companies............................................................. 176,558 6,214 8,267 998 -------- -------- ------- ------ Fund Investment Income Interest....................................................................... 23 -- -- -- -------- -------- ------- ------ Total Fund Investment Income............................................ 23 -- -- -- -------- -------- ------- ------ Fund Expenses Administrative Services Fees................................................... 23,665 1,078 762 121 Accounting & Transfer Agent Fees............................................... 78 16 15 14 Filing Fees.................................................................... 168 42 31 16 Shareholders' Reports.......................................................... 203 1 3 1 Directors'/Trustees' Fees & Expenses........................................... 50 2 2 -- Professional Fees.............................................................. 33 2 1 1 Other.......................................................................... 60 1 1 1 -------- -------- ------- ------ Total Expenses.......................................................... 24,257 1,142 815 154 -------- -------- ------- ------ Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).......................................................... -- -- -- (12) -------- -------- ------- ------ Net Expenses................................................................... 24,257 1,142 815 142 -------- -------- ------- ------ Net Investment Income (Loss)................................................... 152,324 5,072 7,452 856 -------- -------- ------- ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:................................................... Investment Securities Sold................................................. 53,955 (5,341) 4,091 (281) Futures.................................................................... 9 (75) (33) 6 Foreign Currency Transactions**............................................ 401 120 (56) 6 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 133,610 (6,790) 6,664 5,744 Futures.................................................................... (1) 1 1 -- Translation of Foreign Currency Denominated Amounts........................ (530) (23) (12) (2) -------- -------- ------- ------ Net Realized and Unrealized Gain (Loss)........................................ 187,444 (12,108) 10,655 5,473 -------- -------- ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations................... $339,768 $ (7,036) $18,107 $6,329 ======== ======== ======= ======
-------- * 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 $4, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (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 $458, $0, $0 and $0, respectively).......... $ 3,166 -- -- -- Income Distributions Received from Affiliated Investment Companies................ -- -- $ 37,037 -- Interest......................................... 1 -- -- -- Income from Securities Lending................... 552 -- -- -- Expenses Allocated from Affiliated Investment Company ............................ (174) -- -- -- ------- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company...................... 3,545 -- 37,037 -- ------- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $5,661, $0 and $15,143, respectively).................................. -- $ 69,461 -- $208,341 Interest......................................... -- -- 4 7 Income from Securities Lending................... -- 1,530 -- 22,475 ------- -------- -------- -------- Total Fund Investment Income.............. -- 70,991 4 230,823 ------- -------- -------- -------- Fund Expenses Investment Advisory Services Fees................ -- 4,241 3,152 49,872 Administrative Services Fees..................... 442 -- -- -- Accounting & Transfer Agent Fees................. 14 149 24 817 Custodian Fees................................... -- 352 -- 2,555 Filing Fees...................................... 17 67 65 188 Shareholders' Reports............................ 1 69 43 245 Directors'/Trustees' Fees & Expenses............. 1 10 9 64 Professional Fees................................ 1 50 14 304 Other............................................ 1 21 10 161 ------- -------- -------- -------- Total Expenses............................ 477 4,959 3,317 54,206 ------- -------- -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................... -- -- (2,771) -- Fees Paid Indirectly............................. -- (9) -- (38) ------- -------- -------- -------- Net Expenses..................................... 477 4,950 546 54,168 ------- -------- -------- -------- Net Investment Income (Loss)..................... 3,068 66,041 36,495 176,655 ------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................... (2,677) (33,417) (2,760) 130,909 Futures...................................... (25) -- -- -- Foreign Currency Transactions**.............. (25) 34 -- 1,183 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 585 228,123 138,125 203,828 Translation of Foreign Currency Denominated Amounts........................ 72 (24) -- (393) ------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).......... (2,070) 194,716 135,365 335,527 ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... $ 998 $260,757 $171,860 $512,182 ======= ======== ======== ========
-------- * 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 $13, respectively. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
International Selectively Vector World ex Hedged Global Emerging Equity U.S. Value Equity Markets Portfolio Portfolio*** Portfolio(a) Portfolio* ------------- ------------ ------------- ---------- Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $149, $0 and $8,484, respectively)................................. -- $1,686 -- $ 65,004 Income Distributions Received from Affiliated Investment Companies................................................. -- 106 $ 543 -- Income from Securities Lending.............................. -- 95 -- 4,784 Expenses Allocated from Affiliated Investment Companies................................................. -- (112) -- (4,963) ------- ------ ------ -------- Total Investment Income.............................. -- 1,775 543 64,825 ------- ------ ------ -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $1,226, $0, $0 and $0, respectively) .................................... $16,170 -- -- -- Interest.................................................... -- -- 2 -- Income from Securities Lending.............................. 1,129 -- -- -- ------- ------ ------ -------- Total Fund Investment Income......................... 17,299 -- 2 -- ------- ------ ------ -------- Fund Expenses Investment Advisory Services Fees........................... 2,241 253 75 -- Administrative Services Fees................................ -- -- -- 10,176 Accounting & Transfer Agent Fees............................ 76 13 12 42 Custodian Fees.............................................. 278 -- -- -- Filing Fees................................................. 42 35 6 118 Shareholders' Reports....................................... 15 1 1 118 Directors'/Trustees' Fees & Expenses........................ 4 -- -- 21 Professional Fees........................................... 13 5 5 19 Organizational & Offering Costs............................. -- -- 59 -- Other....................................................... 16 1 1 25 ------- ------ ------ -------- Total Expenses....................................... 2,685 308 159 10,519 ------- ------ ------ -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................. -- (129) (150) -- Fees Paid Indirectly........................................ (3) -- -- -- ------- ------ ------ -------- Net Expenses................................................ 2,682 179 9 10,519 ------- ------ ------ -------- Net Investment Income (Loss)................................ 14,617 1,596 536 54,306 ------- ------ ------ -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies...................................... -- 79 -- -- Net Realized Gain (Loss) on: Investment Securities Sold.............................. 2,944 61 (275) 31,303 Futures................................................. -- (1) 110 -- Foreign Currency Transactions**......................... (98) (10) 163 (543) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............. 13,867 430 2,557 25,377 Futures................................................. -- -- (17) -- Translation of Foreign Currency Denominated Amounts............................................... (30) (1) (93) 18 ------- ------ ------ -------- Net Realized and Unrealized Gain (Loss)..................... 16,683 558 2,445 56,155 ------- ------ ------ -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... $31,300 $2,154 $2,981 $110,461 ======= ====== ====== ========
-------- * 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. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (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 $6,931, $48,518 and $24,434, respectively)........................................................... $ 57,827 $ 373,018 $185,183 Interest.................................................................. -- 7 2 Income from Securities Lending............................................ 8,037 28,572 19,071 Expenses Allocated from Affiliated Investment Company..................... (8,367) (30,860) -- -------- --------- -------- Total Investment Income............................................ 57,497 370,737 204,256 -------- --------- -------- Expenses Investment Advisory Services Fees......................................... -- -- 39,333 Administrative Services Fees.............................................. 10,440 60,899 -- Accounting & Transfer Agent Fees.......................................... 38 182 755 Shareholder Servicing Fees -- Class R2 Shares....................................................... -- 239 -- Custodian Fees............................................................ -- -- 7,215 Filing Fees............................................................... 176 526 500 Shareholders' Reports..................................................... 61 289 219 Directors'/Trustees' Fees & Expenses...................................... 18 126 56 Professional Fees......................................................... 17 113 222 Other..................................................................... 21 136 125 -------- --------- -------- Total Expenses..................................................... 10,771 62,510 48,425 -------- --------- -------- Fees Paid Indirectly...................................................... -- -- (97) -------- --------- -------- Net Expenses.............................................................. 10,771 62,510 48,328 -------- --------- -------- Net Investment Income (Loss).............................................. 46,726 308,227 155,928 -------- --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................ 101,576 362,676 (8,860) Futures............................................................... (812) (1,255) 1,190 Foreign Currency Transactions**....................................... (1,523) (4,701) (1,300) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 9,556 (535,878) 122,105 Translation of Foreign Currency Denominated Amounts................... (21) (113) (51) -------- --------- -------- Net Realized and Unrealized Gain (Loss)................................... 108,776 (179,271) 113,084 -------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.............. $155,502 $ 128,956 $269,012 ======== ========= ========
-------- * 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. 109 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Enhanced U.S. Large U.S. Large Company Cap Value U.S. Targeted Portfolio Portfolio Value Portfolio ------------------ ------------------------ ---------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 -------- -------- ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................... $ 1,469 $ 1,430 $ 154,843 $ 120,343 $ 29,117 $ 18,734 Net Realized Gain (Loss) on: Investment Securities Sold........................ 245 380 318,427 301,933 181,414 20,083 Futures........................................... 30,568 12,791 -- (9,927) 3,336 1,751 Foreign Currency Transactions..................... 1,331 412 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of:.................................. Investment Securities............................. 594 (472) 824,744 (67,687) 176,832 53,386 Futures........................................... (6,586) (995) -- -- -- -- Translation of Foreign Currency Denominated Amounts............................. (857) (174) -- -- -- -- -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 26,764 13,372 1,298,014 344,662 390,699 93,954 -------- -------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R1 Shares................................... -- -- -- -- (374) (275) Class R2 Shares................................... -- -- -- -- (76) (43) Institutional Class Shares........................ (2,785) (270) (150,153) (117,051) (24,124) (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............................ (2,785) (270) (150,153) (117,051) (44,442) (23,076) -------- -------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued......................................... 26,869 42,165 1,501,347 2,027,913 782,957 924,360 Shares Issued in Lieu of Cash Distributions........... 2,573 259 139,904 109,293 40,767 21,388 Shares Redeemed....................................... (34,538) (42,128) (1,794,871) (1,945,509) (662,151) (743,912) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................... (5,096) 296 (153,620) 191,697 161,573 201,836 -------- -------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets........ 18,883 13,398 994,241 419,308 507,830 272,714 Net Assets Beginning of Period................................... 171,128 157,730 7,340,344 6,921,036 2,543,979 2,271,265 -------- -------- ----------- ----------- ---------- ---------- End of Period......................................... $190,011 $171,128 $ 8,334,585 $ 7,340,344 $3,051,809 $2,543,979 ======== ======== =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued......................................... 3,051 5,163 72,600 100,905 48,542 56,950 Shares Issued in Lieu of Cash Distributions........... 314 33 6,979 5,526 2,677 1,349 Shares Redeemed....................................... (3,906) (5,148) (86,993) (98,393) (40,606) (46,106) Shares Reduced by Reverse Stock Split (Note G)........ -- -- -- -- -- (9) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......................... (541) 48 (7,414) 8,038 10,613 12,184 ======== ======== =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................ $ 2,005 $ 1,903 $ 25,366 $ 20,676 $ 3,945 $ 1,385
See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Small U.S. Core U.S. Core Cap Value Portfolio Equity 1 Portfolio Equity 2 Portfolio ------------------------ ---------------------- ------------------------ Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ----------- ----------- ---------- ---------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 53,970 $ 44,197 $ 78,378 $ 51,991 $ 111,804 $ 80,421 Capital Gain Distributions Received from Investment Securities......................... -- -- 36 -- 105 -- Net Realized Gain (Loss) on:.................... Investment Securities Sold.................. 430,201 215,171 35,359 31,974 73,466 69,078 Futures..................................... 954 (825) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of:............................ Investment Securities....................... 522,870 112,710 455,880 116,761 694,545 192,966 Futures..................................... (536) 536 -- -- -- -- ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 1,007,459 371,789 569,653 200,726 879,920 342,465 ----------- ----------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares.................. (50,536) (41,924) (73,066) (49,822) (99,623) (78,869) Net Long-Term Gains: Institutional Class Shares.................. (89,379) -- -- -- -- -- ----------- ----------- ---------- ---------- ----------- ----------- Total Distributions...................... (139,915) (41,924) (73,066) (49,822) (99,623) (78,869) ----------- ----------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................... 1,130,039 1,194,011 1,316,460 1,193,672 1,284,909 1,575,775 Shares Issued in Lieu of Cash Distributions................................. 131,338 39,640 66,157 45,486 96,744 76,923 Shares Redeemed................................. (1,581,314) (1,577,930) (733,642) (556,060) (1,057,872) (1,086,755) ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions............. (319,937) (344,279) 648,975 683,098 323,781 565,943 ----------- ----------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets................................. 547,607 (14,414) 1,145,562 834,002 1,104,078 829,539 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................................... $ 7,088,470 $ 6,540,863 $4,876,973 $3,731,411 $ 6,923,984 $ 5,819,906 =========== =========== ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................... 45,152 48,190 114,530 108,434 113,356 144,791 Shares Issued in Lieu of Cash Distributions................................. 5,754 1,639 5,842 4,215 8,679 7,192 Shares Redeemed................................. (62,499) (62,955) (63,857) (51,146) (93,203) (99,493) ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................... (11,593) (13,126) 56,515 61,503 28,832 52,490 =========== =========== ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 94 $ 858 $ 10,461 $ 8,359 $ 15,899 $ 7,601
See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Vector U.S. Small U.S. Micro Equity Portfolio Cap Portfolio Cap Portfolio ---------------------- ----------------------- ---------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ---------- ---------- ---------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 28,165 $ 20,309 $ 47,882 $ 33,067 $ 33,720 $ 23,621 Capital Gain Distributions Received from Investment Securities......................... 18 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.................. 41,027 46,999 254,365 211,228 220,675 234,404 Futures..................................... (850) -- -- 929 385 -- In-Kind Redemptions......................... -- -- -- 126,527* -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................... 196,524 18,243 230,453 (60,488) 166,031 32,818 ---------- ---------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 264,884 85,551 532,700 311,263 420,811 290,843 ---------- ---------- ---------- ----------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (26,665) (19,719) (41,256) (32,796) (30,423) (23,667) ---------- ---------- ---------- ----------- ---------- ---------- Total Distributions...................... (26,665) (19,719) (41,256) (32,796) (30,423) (23,667) ---------- ---------- ---------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................... 363,121 551,321 1,000,664 1,118,116 389,014 509,041 Shares Issued in Lieu of Cash Distributions..... 26,213 19,400 38,143 30,271 28,484 22,542 Shares Redeemed................................. (470,271) (343,081) (737,229) (1,047,988)* (627,647) (719,326) ---------- ---------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions............. (80,937) 227,640 301,578 100,399 (210,149) (187,743) ---------- ---------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................. 157,282 293,472 793,022 378,866 180,239 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................................... $2,009,177 $1,851,895 $4,563,345 $ 3,770,323 $3,437,958 $3,257,719 ========== ========== ========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 33,038 51,309 45,541 52,474 27,509 37,458 Shares Issued in Lieu of Cash Distributions..... 2,473 1,845 1,786 1,457 2,109 1,695 Shares Redeemed................................. (42,602) (31,749) (33,325) (48,404) (44,113) (52,370) ---------- ---------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. (7,091) 21,405 14,002 5,527 (14,495) (13,217) ========== ========== ========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 2,490 $ 3,557 $ 5,302 $ 1,483 $ 3,910 $ 3,199
-------- * See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Large Cap International Securities International Core Equity Portfolio Portfolio Portfolio ---------------------- ---------------------- ----------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31 Oct. 31, 2012 2011 2012 2011 2012 2011 ---------- ---------- ---------- ---------- ----------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 78,788 $ 51,146 $ 63,623 $ 55,392 $ 181,573 $ 161,011 Capital Gain Distributions Received from Investment Securities......................... 16,390 13,117 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.................. (1,763) (39,946) (18,104) (12,846) (40,937) 28,431 Futures..................................... (46) -- -- -- -- -- Foreign Currency Transactions*.............. -- -- (353) 187 114 (191) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 355,961 277,359 69,627 (133,116) 185,568 (525,986) Translation of Foreign Currency Denominated Amounts....................... -- -- (82) (205) (120) (476) ---------- ---------- ---------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 449,330 301,676 114,711 (90,588) 326,198 (337,211) ---------- ---------- ---------- ---------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (99,783) (40,246) (60,808) (54,107) (176,198) (161,285) ---------- ---------- ---------- ---------- ----------- ---------- Total Distributions...................... (99,783) (40,246) (60,808) (54,107) (176,198) (161,285) ---------- ---------- ---------- ---------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................... 826,214 685,272 634,549 463,836 1,839,473 1,663,723 Shares Issued in Lieu of Cash Distributions..... 96,714 38,998 57,573 51,857 169,856 154,934 Shares Redeemed................................. (654,733) (576,605) (394,415) (283,535) (1,072,475) (791,266) ---------- ---------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions............. 268,195 147,665 297,707 232,158 936,854 1,027,391 ---------- ---------- ---------- ---------- ----------- ---------- Total Increase (Decrease) in Net Assets................................. 617,742 409,095 351,610 87,463 1,086,854 528,895 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................................... $3,716,389 $3,098,647 $2,055,759 $1,704,149 $ 6,482,738 $5,395,884 ========== ========== ========== ========== =========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 32,929 30,656 36,185 23,919 190,598 153,758 Shares Issued in Lieu of Cash Distributions..... 3,972 1,817 3,432 2,658 18,393 14,162 Shares Redeemed................................. (26,322) (25,853) (22,604) (14,657) (112,419) (73,947) ---------- ---------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. 10,579 6,620 17,013 11,920 96,572 93,973 ========== ========== ========== ========== =========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 23,599 $ 14,529 $ 8,708 $ 5,725 $ 25,255 $ 13,366
-------- * Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Japanese Asia Pacific Small Company Small Company Small Company Portfolio Portfolio Portfolio ----------------------- ------------------ ------------------ Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ----------- ---------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 152,324 $ 146,577 $ 5,072 $ 2,693 $ 7,452 $ 4,845 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................ 53,955 205,897 (5,341) (5,587) 4,091 8,959 Futures............................................... 9 (271) (75) -- (33) -- Foreign Currency Transactions*........................ 401 (103) 120 14 (56) 85 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 133,610 (571,803) (6,790) 13,164 6,664 (21,184) Futures............................................... (1) -- 1 -- 1 -- Translation of Foreign Currency Denominated Amounts............................................. (530) (340) (23) (61) (12) 18 ----------- ---------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................ 339,768 (220,043) (7,036) 10,223 18,107 (7,277) ----------- ---------- -------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares............................ (163,885) (179,486) (4,541) (2,305) (9,333) (6,964) Net Long-Term Gains: Institutional Class Shares............................ (108,621) -- -- -- -- -- ----------- ---------- -------- -------- -------- -------- Total Distributions................................ (272,506) (179,486) (4,541) (2,305) (9,333) (6,964) ----------- ---------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued............................................. 1,391,405 1,380,524 198,642 74,211 110,755 54,555 Shares Issued in Lieu of Cash Distributions............... 262,078 171,227 4,202 2,020 8,531 6,350 Shares Redeemed........................................... (1,131,600) (829,801) (60,419) (35,962) (29,131) (38,913) ----------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions..................................... 521,883 721,950 142,425 40,269 90,155 21,992 ----------- ---------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets............ 589,145 322,421 130,848 48,187 98,929 7,751 Net Assets Beginning of Period....................................... 5,834,015 5,511,594 163,120 114,933 139,262 131,511 ----------- ---------- -------- -------- -------- -------- End of Period............................................. $ 6,423,160 $5,834,015 $293,968 $163,120 $238,191 $139,262 =========== ========== ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued............................................. 95,525 81,929 12,557 4,725 5,147 2,200 Shares Issued in Lieu of Cash Distributions............... 19,065 10,276 282 133 410 249 Shares Redeemed........................................... (77,790) (50,113) (3,928) (2,288) (1,342) (1,533) ----------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed..................................... 36,800 42,092 8,911 2,570 4,215 916 =========== ========== ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 3,290 $ 6,376 $ 1,728 $ 1,041 $ 779 $ 1,047
-------- * Net of foreign capital gain taxes withheld of $4, $0, $0, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
United Kingdom Continental DFA International Small Company Small Company Real Estate Securities Portfolio Portfolio Portfolio ----------------- ------------------ ---------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 -------- -------- -------- -------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 856 $ 1,146 $ 3,068 $ 3,026 $ 66,041 $ 58,347 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................ (281) 1,011 (2,677) 3,433 (33,417) (74,845) Futures............................................... 6 -- (25) (16) -- -- Foreign Currency Transactions......................... 6 1 (25) (34) 34 223 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 5,744 (2,107) 585 (21,048) 228,123 3,153 Translation of Foreign Currency Denominated Amounts............................................. (2) 2 72 3 (24) (99) -------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................ 6,329 53 998 (14,636) 260,757 (13,221) -------- ------- -------- -------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares............................ (992) (1,071) (2,958) (3,562) (54,030) (107,338) -------- ------- -------- -------- ---------- ---------- Total Distributions................................ (992) (1,071) (2,958) (3,562) (54,030) (107,338) -------- ------- -------- -------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................................. 1,858 3,802 11,823 18,358 416,378 322,549 Shares Issued in Lieu of Cash Distributions............... 752 818 2,148 2,856 53,300 106,188 Shares Redeemed........................................... (10,500) (3,484) (23,147) (13,670) (204,853) (206,576) -------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..................................... (7,890) 1,136 (9,176) 7,544 264,825 222,161 -------- ------- -------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets............ (2,553) 118 (11,136) (10,654) 471,552 101,602 Net Assets Beginning of Period....................................... 33,869 33,751 117,452 128,106 1,060,156 958,554 -------- ------- -------- -------- ---------- ---------- End of Period............................................. $ 31,316 $33,869 $106,316 $117,452 $1,531,708 $1,060,156 ======== ======= ======== ======== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................................. 76 158 842 1,086 84,674 62,870 Shares Issued in Lieu of Cash Distributions............... 34 33 166 164 12,309 21,940 Shares Redeemed........................................... (429) (138) (1,693) (801) (42,864) (40,236) -------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................................... (319) 53 (685) 449 54,119 44,574 ======== ======= ======== ======== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 149 $ 279 $ 280 $ 27 $ (46,274) $ (53,267)
See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Global DFA International International Real Estate Securities Small Cap Value Vector Equity Portfolio Portfolio Portfolio --------------------- ------------------------ ------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ---------- --------- ----------- ----------- --------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 36,495 $ 37,948 $ 176,655 $ 168,945 $ 14,617 $ 11,568 Net Realized Gain (Loss) on: Investment Securities Sold....................... (2,760) (4,706) 130,909 146,129 2,944 6,572 Foreign Currency Transactions*................... -- -- 1,183 115 (98) 126 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................................... 138,125 1,312 203,828 (659,162) 13,867 (47,642) Translation of Foreign Currency Denominated Amounts............................ -- -- (393) (833) (30) (27) ---------- --------- ----------- ----------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 171,860 34,554 512,182 (344,806) 31,300 (29,403) ---------- --------- ----------- ----------- --------- -------- Distributions From: Net Investment Income: Institutional Class Shares....................... (25,716) (41,423) (187,200) (182,741) (14,204) (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) (324,850) (321,278) (20,677) (14,193) ---------- --------- ----------- ----------- --------- -------- Capital Share Transactions (1): Shares Issued........................................ 445,794 372,793 1,698,080 1,422,232 241,502 139,795 Shares Issued in Lieu of Cash Distributions.......... 25,115 40,672 304,574 303,336 19,813 13,500 Shares Redeemed...................................... (170,854) (232,709) (1,382,520) (1,255,658) (121,119) (62,242) ---------- --------- ----------- ----------- --------- -------- Net Increase (Decrease) from Capital Share Transactions.......................... 300,055 180,756 620,134 469,910 140,196 91,053 ---------- --------- ----------- ----------- --------- -------- Total Increase (Decrease) in Net Assets...................................... 446,199 173,887 807,466 (196,174) 150,819 47,457 Net Assets Beginning of Period.................................. 869,348 695,461 7,459,144 7,655,318 410,580 363,123 ---------- --------- ----------- ----------- --------- -------- End of Period........................................ $1,315,547 $ 869,348 $ 8,266,610 $ 7,459,144 $ 561,399 $410,580 ========== ========= =========== =========== ========= ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 51,866 45,423 117,598 86,184 27,490 13,326 Shares Issued in Lieu of Cash Distributions.......... 3,385 5,345 22,510 18,285 2,341 1,293 Shares Redeemed...................................... (20,069) (28,834) (97,364) (75,870) (13,627) (5,988) ---------- --------- ----------- ----------- --------- -------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 35,182 21,934 42,744 28,599 16,204 8,631 ========== ========= =========== =========== ========= ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 11,623 $ 1,177 $ 14,647 $ 21,874 $ 1,456 $ 782
-------- * Net of foreign capital gain taxes withheld of $0, $0, $13, $0, $1, and $0, respectively. See accompanying Notes to Financial Statements. 116 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 Year Year Nov. 14, Year Year Ended Ended 2011(a) to Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2012 2011 -------- -------- -------------------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................... $ 1,596 $ 1,131 $ 536 $ 54,306 $ 49,480 Capital Gain Distributions Received from Affiliated Investment Companies............................ 79 48 -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold................................. 61 (6,148) (275) 31,303 94,878 Futures.................................................... (1) -- 110 -- -- Foreign Currency Transactions*............................. (10) (4) 163 (543) (1,059) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 430 (1,774) 2,557 25,377 (309,714) Futures.................................................... -- -- (17) -- -- Translation of Foreign Currency Denominated Amounts.................................................. (1) (13) (93) 18 (109) Change in Deferred Thailand Capital Gains Tax ................. -- 3 -- -- 4,215 ------- ------- ------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................................... 2,154 (6,757) 2,981 110,461 (162,309) ------- ------- ------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................................. (1,432) (1,006) (534) (49,445) (42,779) Net Short-Term Gains: Institutional Class Shares................................. (6) (19) -- -- (77) Net Long-Term Gains: Institutional Class Shares................................. -- (195) -- (90,351) (136,141) ------- ------- ------- ---------- ---------- Total Distributions..................................... (1,438) (1,220) (534) (139,796) (178,997) ------- ------- ------- ---------- ---------- Capital Share Transactions (1): Shares Issued.................................................. 15,365 32,244 32,522 860,651 668,299 Shares Issued in Lieu of Cash Distributions.................... 1,370 1,211 533 130,084 164,271 Shares Redeemed................................................ (7,419) (7,929) (552) (477,258) (550,727) ------- ------- ------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......................................... 9,316 25,526 32,503 513,477 281,843 ------- ------- ------- ---------- ---------- Total Increase (Decrease) in Net Assets................. 10,032 17,549 34,950 484,142 (59,463) Net Assets Beginning of Period............................................ 47,165 29,616 -- 2,313,035 2,372,498 ------- ------- ------- ---------- ---------- End of Period.................................................. $57,197 $47,165 $34,950 $2,797,177 $2,313,035 ======= ======= ======= ========== ========== (1) Shares Issued and Redeemed: Shares Issued.................................................. 1,625 2,801 3,216 34,114 22,995 Shares Issued in Lieu of Cash Distributions.................... 152 108 53 5,452 5,590 Shares Redeemed................................................ (756) (782) (53) (18,952) (18,667) ------- ------- ------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.............................................. 1,021 2,127 3,216 20,614 9,918 ======= ======= ======= ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................ $ 330 $ 168 $ 166 $ 8,306 $ 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. 117 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 ---------------------- ------------------------ ----------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ---------- ---------- ----------- ----------- ----------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 46,726 $ 36,127 $ 308,227 $ 259,300 $ 155,928 $ 100,756 Net Realized Gain (Loss) on: Investment Securities Sold.................. 101,576 27,050 362,676 193,129 (8,860) 20,186 Futures..................................... (812) -- (1,255) -- 1,190 -- Foreign Currency Transactions*.............. (1,523) (1,258) (4,701) (3,612) (1,300) (4,049) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 9,556 (354,184) (535,878) (2,865,375) 122,105 (717,993) Translation of Foreign Currency Denominated Amounts....................... (21) (31) (113) (5) (51) 25 Change in Deferred Thailand Capital Gains Tax........................................... -- 3,533 -- 16,079 -- 5,965 ---------- ---------- ----------- ----------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 155,502 (288,763) 128,956 (2,400,484) 269,012 (595,110) ---------- ---------- ----------- ----------- ----------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................. -- -- (1,576) (532) -- -- Institutional Class Shares.................. (40,500) (33,950) (285,978) (223,890) (139,837) (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...................... (77,612) (92,309) (476,760) (771,699) (139,837) (86,292) ---------- ---------- ----------- ----------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................... 1,164,899 694,159 5,108,640 6,491,870 4,068,293 2,524,065 Shares Issued in Lieu of Cash Distributions................................. 68,580 74,466 439,131 711,366 126,291 77,358 Shares Redeemed................................. (236,441) (387,846) (2,319,607) (1,805,221) (1,096,525) (732,430) ---------- ---------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions............. 997,038 380,779 3,228,164 5,398,015 3,098,059 1,868,993 ---------- ---------- ----------- ----------- ----------- ---------- Total Increase (Decrease) in Net Assets................................. 1,074,928 (293) 2,880,360 2,225,832 3,227,234 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................................... $2,907,673 $1,832,745 $16,688,730 $13,808,370 $ 8,594,707 $5,367,473 ========== ========== =========== =========== =========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 59,256 31,956 181,833 190,904 218,730 122,538 Shares Issued in Lieu of Cash Distributions................................. 3,782 3,241 16,750 20,921 7,108 3,743 Shares Redeemed................................. (12,340) (18,437) (82,979) (55,156) (60,020) (35,958) Shares Reduced by Conversion of Shares (Note G)...................................... -- -- -- (19,608) -- -- ---------- ---------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............................... 50,698 16,760 115,604 137,061 165,818 90,323 ========== ========== =========== =========== =========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 6,451 $ 1,396 $ 40,292 $ 33,870 $ 26,576 $ 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. 118 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio ------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ................ $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 -------- -------- -------- -------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................... 0.07 0.07 0.07 0.05 0.39 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.20 0.56 1.05 0.61 (3.74) 0.45 -------- -------- -------- -------- -------- -------- Total From Investment Operations.............. 1.27 0.63 1.12 0.66 (3.35) 0.75 -------- -------- -------- -------- -------- -------- Less Distributions ------------------ Net Investment Income............................. (0.13) (0.01) (0.07) (0.59) (0.36) (0.36) Net Realized Gains................................ -- -- -- (0.06) (0.73) (0.43) -------- -------- -------- -------- -------- -------- Total Distributions........................... (0.13) (0.01) (0.07) (0.65) (1.09) (0.79) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period....................... $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 ======== ======== ======== ======== ======== ======== Total Return......................................... 15.84% 8.41% 17.40% 12.23% (33.89)%(C) 7.13% -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)................ $190,011 $171,128 $157,730 $165,231 $200,331 $337,050 Ratio of Expenses to Average Net Assets.............. 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) Ratio of Net Investment Income to Average Net Assets 0.80% 0.86% 0.98% 0.86% 4.74%(B) 2.67% Portfolio Turnover Rate.............................. 76% 140% 78% 46%* N/A N/A
U.S. Large Cap Value Portfolio ----------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Ended Ended Ended Ended 2007 to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2010 2009 2008 ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period .............................. $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.41 0.33 0.33 0.31 0.36 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 3.04 0.70 2.76 1.28 (8.83) ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................... 3.45 1.03 3.09 1.59 (8.47) ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............... (0.40) (0.32) (0.32) (0.34) (0.35) Net Realized Gains.................. -- -- -- (0.02) (1.04) ---------- ---------- ---------- ---------- ---------- Total Distributions............. (0.40) (0.32) (0.32) (0.36) (1.39) ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period......... $ 22.34 $ 19.29 $ 18.58 $ 15.81 $ 14.58 ========== ========== ========== ========== ========== Total Return........................... 18.14% 5.53% 19.72% 11.76% (36.63)%(C) ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).......................... $8,334,585 $7,340,344 $6,921,036 $5,863,652 $5,330,448 Ratio of Expenses to Average Net Assets............................... 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) Ratio of Net Investment Income to Average Net Assets................... 1.99% 1.63% 1.86% 2.26% 1.86%(B) Portfolio Turnover Rate................ N/A N/A N/A N/A N/A
----------- Year Ended Nov. 30, 2007 ---------- Net Asset Value, Beginning of Period .............................. $ 25.40 ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.33 Net Gains (Losses) on Securities (Realized and Unrealized)....................... (0.43) ---------- Total From Investment Operations.................... (0.10) ---------- Less Distributions ------------------ Net Investment Income............... (0.32) Net Realized Gains.................. (0.54) ---------- Total Distributions............. (0.86) ---------- Net Asset Value, End of Period......... $ 24.44 ========== Total Return........................... (0.49)% ---------- Net Assets, End of Period (thousands).......................... $7,535,552 Ratio of Expenses to Average Net Assets............................... 0.27%(D) Ratio of Net Investment Income to Average Net Assets................... 1.28% 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. 119 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+ ------------------------------------------- Period Year Year Year Year Jan. 31, Ended Ended Ended Ended 2008(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Oct. 2012 2011 2010 2009 31, 2008 -------- -------- -------- -------- -------- 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)................ 0.15 0.10 0.07 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).......... 2.06 0.60 3.07 0.87 (3.76) ------- ------- ------- ------- ------- Total From Investment Operations........... 2.21 0.70 3.14 0.99 (3.63) ------- ------- ------- ------- ------- Less Distributions ------------------ Net Investment Income...... (0.13) (0.10) (0.12) (0.18) (0.14) Net Realized Gains......... (0.12) (0.03) -- -- -- ------- ------- ------- ------- ------- Total Distributions........ (0.25) (0.13) (0.12) (0.18) (0.14) ------- ------- ------- ------- ------- Net Asset Value, End of Period...................... $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 ======= ======= ======= ======= ======= Total Return.................. 14.67% 4.69% 26.93% 9.36% (24.96)%(C) ------- ------- ------- ------- ------- Net Assets, End of Period (thousands)................. $49,423 $45,132 $41,316 $31,393 $25,599 Ratio of Expenses to Average Net Assets.................. 0.48% 0.48% 0.49% 0.52% 0.50%(B)(E) Ratio of Net Investment Income to Average Net Assets 0.93% 0.61% 0.59% 1.12% 1.24%(B)(E) Portfolio Turnover Rate....... 20% 23% 20% 17% 20%(C)
U.S. Targeted Value Portfolio-Class R2 Shares+ ------------------------------------------- Period Year Year Year Year June 30, Ended Ended Ended Ended 2008(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Oct. 2012 2011 2010 2009 31, 2008 -------- -------- -------- -------- -------- 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)................ 0.13 0.07 0.05 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized).......... 2.05 0.60 3.07 0.88 (3.02) ------- ------- ------ ------ ------- Total From Investment Operations........... 2.18 0.67 3.12 0.98 (2.97) ------- ------- ------ ------ ------- Less Distributions ------------------ Net Investment Income...... (0.11) (0.09) (0.10) (0.15) (0.06) Net Realized Gains......... (0.12) (0.03) -- -- -- ------- ------- ------ ------ ------- Total Distributions........ (0.23) (0.12) (0.10) (0.15) (0.06) ------- ------- ------ ------ ------- Net Asset Value, End of Period...................... $ 17.26 $ 15.31 $14.76 $11.74 $ 10.91 ======= ======= ====== ====== ======= Total Return.................. 14.46% 4.50% 26.66% 9.23% (21.40)%(C) ------- ------- ------ ------ ------- Net Assets, End of Period (thousands)................. $12,754 $10,918 $5,967 $2,930 $ 1,715 Ratio of Expenses to Average Net Assets.................. 0.63% 0.63% 0.64% 0.67% 0.66%(B)(E) Ratio of Net Investment Income to Average Net Assets 0.78% 0.42% 0.44% 0.91% 1.35%(B)(E) Portfolio Turnover Rate....... 20% 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. 120 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares ---------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, Beginning of Period .............................. $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 ---------- ---------- ---------- ---------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.17 0.12 0.09 0.12 0.18 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 2.06 0.59 3.06 0.88 (4.68) (1.32) ---------- ---------- ---------- ---------- -------- -------- Total From Investment Operations.................... 2.23 0.71 3.15 1.00 (4.50) (1.12) ---------- ---------- ---------- ---------- -------- -------- Less Distributions ------------------ Net Investment Income............... (0.15) (0.12) (0.09) (0.14) (0.15) (0.20) Net Realized Gains.................. (0.12) (0.03) -- -- (0.40) (1.48) ---------- ---------- ---------- ---------- -------- -------- Total Distributions............. (0.27) (0.15) (0.09) (0.14) (0.55) (1.68) ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, End of Period......... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 ========== ========== ========== ========== ======== ======== Total Return........................... 14.78% 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% ---------- ---------- ---------- ---------- -------- -------- Net Assets, End of Period (thousands) $2,989,632 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 Ratio of Expenses to Average Net Assets. 0.38% 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** Ratio of Net Investment Income to Average Net Assets 1.03% 0.71% 0.69% 1.19% 1.39%(B) 1.12% Portfolio Turnover Rate................ 20% 23% 20% 17% 20%(C) 9%(C)*
U.S. Small Cap Value Portfolio ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period .............................. $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.20 0.16 0.09 0.04 0.18 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 3.38 1.00 4.79 1.54 (7.86) (2.72) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................... 3.58 1.16 4.88 1.58 (7.68) (2.42) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............... (0.18) (0.15) (0.08) (0.21) (0.22) (0.28) Net Realized Gains.................. (0.33) -- -- -- (2.27) (2.40) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............. (0.51) (0.15) (0.08) (0.21) (2.49) (2.68) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period......... $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 ========== ========== ========== ========== ========== ========== Total Return........................... 15.60% 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).......................... $7,088,470 $6,540,863 $6,555,277 $5,669,659 $5,503,945 $8,802,846 Ratio of Expenses to Average Net Assets............................... 0.52% 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) Ratio of Net Investment Income to Average Net Assets................... 0.78% 0.62% 0.43% 0.27% 0.86%(B) 0.98% Portfolio Turnover Rate................ 15% 14% 19% 21%+ 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. 121 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ......................... $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A).................... 0.21 0.17 0.15 0.15 0.17 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.32 0.59 1.61 0.73 (4.03) 0.35 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.53 0.76 1.76 0.88 (3.86) 0.54 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.......... (0.20) (0.16) (0.12) (0.15) (0.16) (0.18) Net Realized Gains............. -- -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........ (0.20) (0.16) (0.12) (0.15) (0.16) (0.21) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.......................... $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 ========== ========== ========== ========== ========== ========== Total Return...................... 14.29% 7.47% 20.80% 11.64% (32.85)%(C) 4.68% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $4,876,973 $3,731,411 $2,897,409 $1,989,583 $1,320,562 $1,210,031 Ratio of Expenses to Average Net Assets. 0.19% 0.20% 0.20% 0.22% 0.20%(B) 0.20% Ratio of Net Investment Income to Average Net Assets 1.79% 1.49% 1.53% 2.02% 1.78%(B) 1.53% Portfolio Turnover Rate........... 3% 5% 4% 7% 5%(C) 10%
U.S. Core Equity 2 Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ......................... $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A).................... 0.20 0.16 0.14 0.14 0.17 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.36 0.54 1.64 0.66 (4.04) 0.13 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.56 0.70 1.78 0.80 (3.87) 0.32 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.......... (0.18) (0.15) (0.11) (0.14) (0.17) (0.17) Net Realized Gains............. -- -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........ (0.18) (0.15) (0.11) (0.14) (0.17) (0.20) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.......................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 ========== ========== ========== ========== ========== ========== Total Return...................... 14.81% 6.98% 21.41% 10.66% (33.16)%(C) 2.78% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $6,923,984 $5,819,906 $4,990,367 $3,804,325 $2,501,028 $2,939,420 Ratio of Expenses to Average Net Assets. 0.22% 0.22% 0.23% 0.24% 0.23%(B) 0.23% Ratio of Net Investment Income to Average Net Assets 1.74% 1.42% 1.47% 1.89% 1.77%(B) 1.55% Portfolio Turnover Rate........... 5% 9% 7% 4% 8%(C) 7%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Vector Equity Portfolio ---------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, Beginning of Period............................... $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 ---------- ---------- ---------- ---------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.16 0.12 0.10 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 1.32 0.46 1.79 0.57 (3.89) (0.25) ---------- ---------- ---------- ---------- -------- -------- Total From Investment Operations.................... 1.48 0.58 1.89 0.68 (3.74) (0.09) ---------- ---------- ---------- ---------- -------- -------- Less Distributions ------------------ Net Investment Income............... (0.15) (0.12) (0.10) (0.13) (0.16) (0.14) Net Realized Gains.................. -- -- -- -- -- (0.18) ---------- ---------- ---------- ---------- -------- -------- Total Distributions............. (0.15) (0.12) (0.10) (0.13) (0.16) (0.32) ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, End of Period......... $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 ========== ========== ========== ========== ======== ======== Total Return........................... 14.55% 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% ---------- ---------- ---------- ---------- -------- -------- Net Assets, End of Period (thousands).......................... $2,009,177 $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742 Ratio of Expenses to Average Net Assets............................... 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.34% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.33% Ratio of Net Investment Income to Average Net Assets................... 1.45% 1.11% 1.13% 1.60% 1.66%(B) 1.29% Portfolio Turnover Rate................ 9% 10% 11% 11% 11%(C) 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Portfolio ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period........................... $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A). 0.25 0.18 0.13 0.06 0.14 0.21 Net Gains (Losses) on Securities (Realized and Unrealized)..... 2.53 1.49 4.17 1.65 (6.08) (0.66) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 2.78 1.67 4.30 1.71 (5.94) (0.45) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income........... (0.22) (0.18) (0.13) (0.17) (0.17) (0.21) Net Realized Gains.............. -- -- -- -- (1.18) (1.16) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.22) (0.18) (0.13) (0.17) (1.35) (1.37) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........................ $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 ========== ========== ========== ========== ========== ========== Total Return.................... 13.61% 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $4,563,345 $3,770,323 $3,391,457 $2,522,001 $2,066,849 $3,285,093 Ratio of Expenses to Average Net Assets............ 0.37% 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) Ratio of Net Investment Income to Average Net Assets........................ 1.14% 0.84% 0.76% 0.50% 0.86%(B) 0.95% Portfolio Turnover Rate......... 16% 23% 19% 17%* N/A N/A ---------- ---------- ---------- ---------- ---------- ----------
U.S. Micro Cap Portfolio ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period........................... $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A). 0.14 0.09 0.06 0.03 0.10 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)..... 1.59 0.99 2.68 0.54 (4.32) (0.69) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.73 1.08 2.74 0.57 (4.22) (0.55) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income........... (0.13) (0.09) (0.06) (0.19) (0.13) (0.13) Net Realized Gains.............. -- -- -- -- (1.26) (1.35) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.13) (0.09) (0.06) (0.19) (1.39) (1.48) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........................ $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 ========== ========== ========== ========== ========== ========== Total Return.................... 13.13% 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $3,437,958 $3,257,719 $3,178,286 $2,818,365 $2,924,225 $4,700,371 Ratio of Expenses to Average Net Assets............ 0.52% 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) Ratio of Net Investment Income to Average Net Assets........................ 0.99% 0.69% 0.58% 0.38% 0.91%(B) 0.89% Portfolio Turnover Rate......... 15% 14% 9% 12%* 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. 124 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.. $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.57 0.40 0.58 0.58 0.64 0.62 Net Gains (Losses) on Securities (Realized and Unrealized)........ 2.74 1.93 5.92 (0.62) (9.28) (5.64) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 3.31 2.33 6.50 (0.04) (8.64) (5.02) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.73) (0.32) (0.55) (0.83) (0.30) (0.70) Net Realized Gains................. -- -- -- -- (2.10) (0.88) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.73) (0.32) (0.55) (0.83) (2.40) (1.58) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 ========== ========== ========== ========== ========== ========== Total Return.......................... 14.45% 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......................... $3,716,389 $3,098,647 $2,689,552 $2,018,559 $1,746,961 $2,671,457 Ratio of Expenses to Average Net Assets.............................. 0.22% 0.32% 0.33% 0.36% 0.33%(B) 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)...... 0.23% 0.32% 0.33% 0.36% 0.33%(B) 0.33% Ratio of Net Investment Income to Average Net Assets.................. 2.29% 1.76% 3.13% 4.54% 3.01%(B) 1.99% Portfolio Turnover Rate............... 0% 3% 2% 2% 13%(C) 17% ---------- ---------- ---------- ---------- ---------- ----------
Large Cap International Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.. $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.60 0.63 0.48 0.48 0.68 0.68 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.40 (1.53) 1.43 3.16 (12.06) 3.57 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 1.00 (0.90) 1.91 3.64 (11.38) 4.25 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.58) (0.61) (0.51) (0.43) (0.64) (0.67) Net Realized Gains................. -- -- -- -- (0.35) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.58) (0.61) (0.51) (0.43) (0.99) (0.67) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 ========== ========== ========== ========== ========== ========== Total Return.......................... 5.89% (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......................... $2,055,759 $1,704,149 $1,616,686 $1,364,351 $1,206,860 $2,224,180 Ratio of Expenses to Average Net Assets.............................. 0.30% 0.30% 0.30% 0.32% 0.29%(B) 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% 0.30% 0.30% 0.32% 0.29%(B) 0.29% Ratio of Net Investment Income to Average Net Assets.................. 3.38% 3.19% 2.65% 3.14% 3.18%(B) 2.62% Portfolio Turnover Rate............... 4% 3% 7% 12% 12%(C) 5% ---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Core Equity Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period............... $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................. 0.31 0.33 0.23 0.23 0.37 0.35 Net Gains (Losses) on Securities (Realized and Unrealized)................................... 0.20 (0.89) 0.96 2.32 (6.76) 1.54 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............ 0.51 (0.56) 1.19 2.55 (6.39) 1.89 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income........................... (0.30) (0.33) (0.20) (0.22) (0.35) (0.32) Net Realized Gains.............................. -- -- -- -- (0.15) (0.04) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......................... (0.30) (0.33) (0.20) (0.22) (0.50) (0.36) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period..................... $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 ========== ========== ========== ========== ========== ========== Total Return....................................... 5.49% (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).............. $6,482,738 $5,395,884 $4,866,989 $3,699,842 $1,981,049 $2,342,187 Ratio of Expenses to Average Net Assets............ 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41% Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41% Ratio of Net Investment Income to Average Net Assets........................................... 3.18% 2.96% 2.31% 2.84% 3.39%(B) 2.49% Portfolio Turnover Rate............................ 5% 3% 2% 5% 4%(C) 4%
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Small Company Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period. $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.38 0.40 0.28 0.28 0.44 0.43 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.39 (0.83) 2.13 3.91 (9.55) 2.07 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................. 0.77 (0.43) 2.41 4.19 (9.11) 2.50 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income............. (0.42) (0.50) (0.26) (0.27) (0.45) (0.46) Net Realized Gains................ (0.28) -- -- -- (1.17) (0.67) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........... (0.70) (0.50) (0.26) (0.27) (1.62) (1.13) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period....... $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 ========== ========== ========== ========== ========== ========== Total Return......................... 5.63% (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)........................ $6,423,160 $5,834,015 $5,511,594 $4,269,864 $3,084,373 $5,597,209 Ratio of Expenses to Average Net Assets (D)......................... 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D).......................... 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55% Ratio of Net Investment Income to Average Net Assets................. 2.58% 2.37% 1.94% 2.48% 2.90%(B) 2.03% ---------- ---------- ---------- ---------- ---------- ----------
Japanese Small Company Portfolio -------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period. $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 -------- -------- -------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.29 0.27 0.22 0.22 0.29 0.27 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.26) 1.08 (0.18) 2.39 (4.78) (0.52) -------- -------- -------- -------- -------- -------- Total From Investment Operations.................. 0.03 1.35 0.04 2.61 (4.49) (0.25) -------- -------- -------- -------- -------- -------- Less Distributions Net Investment Income............. (0.28) (0.24) (0.23) (0.26) (0.29) (0.23) Net Realized Gains................ -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total Distributions........... (0.28) (0.24) (0.23) (0.26) (0.29) (0.23) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period....... $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 ======== ======== ======== ======== ======== ======== Total Return......................... 0.20% 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)........................ $293,968 $163,120 $114,933 $114,058 $133,373 $199,080 Ratio of Expenses to Average Net Assets (D)......................... 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D).......................... 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56% Ratio of Net Investment Income to Average Net Assets................. 1.88% 1.74% 1.52% 1.68% 2.18%(B) 1.51% -------- -------- -------- -------- -------- --------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio -------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ................................... $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 -------- -------- -------- -------- ------- -------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.87 0.85 0.69 0.50 0.83 0.79 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.58 (2.16) 4.99 8.95 (17.04) 8.43 -------- -------- -------- -------- ------- -------- Total From Investment Operations.................. 1.45 (1.31) 5.68 9.45 (16.21) 9.22 -------- -------- -------- -------- ------- -------- Less Distributions Net Investment Income............. (1.27) (1.29) (0.63) (0.53) (0.85) (0.75) Net Realized Gains................ -- -- -- -- -- -- Return of Capital................. -- -- -- -- -- -- -------- -------- -------- -------- ------- -------- Total Distributions........... (1.27) (1.29) (0.63) (0.53) (0.85) (0.75) -------- -------- -------- -------- ------- -------- Net Asset Value, End of Period....... $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 ======== ======== ======== ======== ======= ======== Total Return......................... 7.09% (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% -------- -------- -------- -------- ------- -------- Net Assets, End of Period (thousands)........................ $238,191 $139,262 $131,511 $101,853 $64,044 $146,307 Ratio of Expenses to Average Net Assets(D).......................... 0.59% 0.60% 0.63% 0.65% 0.62%(B) 0.62% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D)....................... 0.59% 0.60% 0.61% 0.65% 0.61%(B) 0.59% Ratio of Net Investment Income to Average Net Assets................. 3.91% 3.34% 3.14% 3.53% 3.85%(B) 3.13% -------- -------- -------- -------- ------- --------
United Kingdom Small Company Portfolio --------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ................................... $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 ------- ------- ------- ------- ------- ------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.69 0.82 0.50 0.55 0.77 0.78 Net Gains (Losses) on Securities (Realized and Unrealized)....... 4.47 (0.85) 4.41 5.44 (15.84) (0.08) ------- ------- ------- ------- ------- ------- Total From Investment Operations.................. 5.16 (0.03) 4.91 5.99 (15.07) 0.70 ------- ------- ------- ------- ------- ------- Less Distributions Net Investment Income............. (0.79) (0.77) (0.50) (0.43) (0.72) (1.03) Net Realized Gains................ -- -- -- -- (1.22) (1.35) Return of Capital................. -- -- -- -- (0.01) -- ------- ------- ------- ------- ------- ------- Total Distributions........... (0.79) (0.77) (0.50) (0.43) (1.95) (2.38) ------- ------- ------- ------- ------- ------- Net Asset Value, End of Period....... $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 ======= ======= ======= ======= ======= ======= Total Return......................... 22.82% (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% ------- ------- ------- ------- ------- ------- Net Assets, End of Period (thousands)........................ $31,316 $33,869 $33,751 $27,863 $25,883 $37,139 Ratio of Expenses to Average Net Assets(D).......................... 0.60% 0.60% 0.60% 0.61% 0.59%(B) 0.59% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D)....................... 0.63% 0.62% 0.64% 0.70% 0.65%(B) 0.62% Ratio of Net Investment Income to Average Net Assets................. 2.83% 3.26% 2.39% 3.62% 3.41%(B) 2.28% ------- ------- ------- ------- ------- -------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Continental Small Company Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period............ $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 -------- -------- -------- -------- ------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A).............. 0.39 0.39 0.27 0.28 0.52 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.17) (2.20) 1.89 4.29 (11.32) 3.00 -------- -------- -------- -------- ------- -------- Total From Investment Operations............................ 0.22 (1.81) 2.16 4.57 (10.80) 3.40 -------- -------- -------- -------- ------- -------- Less Distributions ------------------ Net Investment Income........................ (0.37) (0.46) (0.25) (0.28) (0.45) (0.38) Net Realized Gains........................... -- -- -- -- (0.96) (0.54) Return of Capital............................ -- -- -- -- (0.01) -- -------- -------- -------- -------- ------- -------- Total Distributions...................... (0.37) (0.46) (0.25) (0.28) (1.42) (0.92) -------- -------- -------- -------- ------- -------- Net Asset Value, End of Period. $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 ======== ======== ======== ======== ======= ======== Total Return.................................... 1.85% (11.09)% 14.85% 43.12% (49.89)%(C) 16.99% -------- -------- -------- -------- ------- -------- Net Assets, End of Period (thousands)........... $106,316 $117,452 $128,106 $110,926 $93,988 $170,909 Ratio of Expenses to Average Net Assets......... 0.59%(D) 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(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)......................... 0.59%(D) 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D) Ratio of Net Investment Income (Loss) to Average Net Assets................. 2.78% 2.25% 1.78% 2.39% 3.04%(B) 1.70% Portfolio Turnover Rate......................... N/A N/A N/A N/A N/A N/A -------- -------- -------- -------- ------- --------
DFA International Real Estate Securities Portfolio ----------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Period Ended Ended Oct. Ended Ended 2007 to March 1, 2007(a) Oct. 31, 31, Oct. 31, Oct. 31, Oct. 31, to 2012 2011 2010 2009 2008 Nov. 30, 2007 ---------- ---------- -------- -------- -------- ---------------- 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).............. 0.27 0.30 0.31 0.26 0.34 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.75 (0.33) 0.58 0.91 (5.08) (0.76) ---------- ---------- -------- -------- -------- -------- Total From Investment Operations............................ 1.02 (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. $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 ========== ========== ======== ======== ======== ======== Total Return.................................... 22.34% (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C) ---------- ---------- -------- -------- -------- -------- Net Assets, End of Period (thousands)........... $1,531,708 $1,060,156 $958,554 $742,329 $394,480 $336,840 Ratio of Expenses to Average Net Assets......... 0.41% 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% 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Net Investment Income (Loss) to Average Net Assets................. 5.45% 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E) Portfolio Turnover Rate......................... 3% 7% 6% 5% 1%(C) 2%(C) ---------- ---------- -------- -------- -------- --------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio -------------------------------------------------------------- Period Year Year Year Year June 4, Ended Ended Ended Ended 2008(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2010 2009 2008 ---------- -------- -------- -------- ---------- 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)................ 0.29 0.41 0.40 0.19 -- Net Gains (Losses) on Securities (Realizedand Unrealized).................................. 1.07 0.06 1.60 0.62 (3.96) ---------- -------- -------- -------- ------- Total From Investment Operations........... 1.36 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.................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 ========== ======== ======== ======== ======= Total Return...................................... 17.33% 6.17% 31.38% 13.81% (39.60)%(C) ---------- -------- -------- -------- ------- Net Assets, End of Period (thousands)............. $1,315,547 $869,348 $695,461 $432,502 $90,672 Ratio of Expenses to Average Net Assets........... 0.34%(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)........................... 0.60%(D) 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 3.38% 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 Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.............. $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)................ 0.34 0.34 0.24 0.26 0.52 0.46 Net Gains (Losses) on Securities (Realizedand Unrealized).................................. 0.61 (0.98) 1.22 4.14 (9.60) 1.66 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations........... 0.95 (0.64) 1.46 4.40 (9.08) 2.12 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.......................... (0.36) (0.38) (0.22) (0.24) (0.58) (0.53) Net Realized Gains............................. (0.28) (0.29) -- (0.06) (1.57) (1.25) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.64) (0.67) (0.22) (0.30) (2.15) (1.78) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 ========== ========== ========== ========== ========== ========== Total Return...................................... 6.92% (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $8,266,610 $7,459,144 $7,655,318 $6,859,957 $4,799,748 $8,180,859 Ratio of Expenses to Average Net Assets........... 0.71% 0.70% 0.70% 0.71% 0.69%(B) 0.69% 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% 0.70% 0.70% 0.71% 0.69%(B) 0.69% Ratio of Net Investment Income to Average Net Assets.......................................... 2.30% 2.05% 1.57% 2.19% 3.22%(B) 2.03% Portfolio Turnover Rate........................... 18% 16% 18% 22% 16%(C) 18% ---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Vector Equity Portfolio ------------------------------------------------- Period Year Year Year Year August 14, Ended Ended Ended Ended 2008(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2010 2009 2008 -------- -------- -------- -------- ---------- 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)....... 0.27 0.29 0.18 0.17 0.06 Net Gains (Losses) on Securities (Realized and Unrealized)............ 0.14 (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.................. (0.27) (0.29) (0.17) (0.15) -- Net Realized Gains..................... (0.15) (0.07) -- -- -- -------- -------- -------- -------- ------- Total Distributions................ (0.42) (0.36) (0.17) (0.15) -- -------- -------- -------- -------- ------- Net Asset Value, End of Period............ $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74 ======== ======== ======== ======== ======= Total Return.............................. 4.90% (5.99)% 13.62% 39.52% (32.60)%(C) -------- -------- -------- -------- ------- Net Assets, End of Period (thousands)..... $561,399 $410,580 $363,123 $262,544 $66,774 Ratio of Expenses to Average Net Assets... 0.54% 0.54% 0.54% 0.60% 0.60%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......................... 0.54% 0.54% 0.53% 0.59% 1.15%(B)(E) Ratio of Net Investment Income to Average Net Assets.............................. 2.94% 2.73% 1.91% 2.31% 3.01%(B)(E) Portfolio Turnover Rate................... 5% 10% 5% 8% 0%(C) -------- -------- -------- -------- -------
World ex U.S. Value Portfolio ---------------------------------- Year Year Period Aug. Ended Ended 23, 2010(a) Oct. 31, Oct. 31, to 2012 2011 Oct. 31, 2010 -------- -------- ------------- Net Asset Value, Beginning of Period...... $ 9.96 $ 11.35 $ 10.00 ------- ------- ------- Income From Investment Operations Net Investment Income (Loss) (A)....... 0.29 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)............ (0.05) (1.35) 1.33 ------- ------- ------- Total From Investment Operations....................... 0.24 (1.05) 1.35 ------- ------- ------- Less Distributions Net Investment Income.................. (0.26) (0.26) -- Net Realized Gains..................... -- (0.08) -- ------- ------- ------- Total Distributions................ (0.26) (0.34) -- ------- ------- ------- Net Asset Value, End of Period............ $ 9.94 $ 9.96 $ 11.35 ======= ======= ======= Total Return.............................. 2.70% (9.59)% 13.50%(C) ------- ------- ------- Net Assets, End of Period (thousands)..... $57,197 $47,165 $29,616 Ratio of Expenses to Average Net Assets... 0.60%(D) 0.60%D) 0.90%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......................... 0.84%(D) 0.91%(D) 1.37%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.............................. 2.97% 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. 131 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 Oct. 31, 2012 ----------------------- Net Asset Value, Beginning of Period........................... $ 10.00 ------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)............................. 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).. 0.87 ------- Total From Investment Operations........................ 1.09 ------- Less Distributions ------------------ Net Investment Income....................................... (0.22) Net Realized Gains.......................................... -- ------- Total Distributions..................................... (0.22) ------- Net Asset Value, End of Period................................. $ 10.87 ======= Total Return................................................... 11.11%(C) ------- Net Assets, End of Period (thousands).......................... $34,950 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)..................................................... 1.00%(B)(E) Ratio of Net Investment Income to Average Net Assets........... 2.13%(B)(E) Portfolio Turnover Rate........................................ N/A
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.. $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.55 0.61 0.48 0.42 0.70 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.37 (2.53) 6.07 8.42 (16.85) 9.88 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 0.92 (1.92) 6.55 8.84 (16.15) 10.52 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.50) (0.53) (0.46) (0.41) (0.69) (0.53) Net Realized Gains................. (1.04) (1.77) (0.42) (0.25) (1.34) (0.16) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (1.54) (2.30) (0.88) (0.66) (2.03) (0.69) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 ========== ========== ========== ========== ========== ========== Total Return.......................... 4.08% (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $2,797,177 $2,313,035 $2,372,498 $1,966,288 $1,508,260 $3,388,442 Ratio of Expenses to Average Net Assets(D)........................... 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60% Ratio of Net Investment Income to Average Net Assets.................. 2.14% 2.07% 1.76% 2.15% 2.59%(B) 2.12% ---------- ---------- ---------- ---------- ---------- ----------
Emerging Markets Small Cap Portfolio ------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- ---------- Net Asset Value, Beginning of Period.. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 ---------- ---------- ---------- ---------- -------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.40 0.42 0.34 0.26 0.44 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.83 (3.67) 6.79 8.14 (12.95) 6.86 ---------- ---------- ---------- ---------- -------- ---------- Total From Investment Operations................... 1.23 (3.25) 7.13 8.40 (12.51) 7.17 ---------- ---------- ---------- ---------- -------- ---------- Less Distributions Net Investment Income.............. (0.35) (0.40) (0.32) (0.28) (0.41) (0.26) Net Realized Gains................. (0.40) (0.76) -- -- (1.49) (1.13) ---------- ---------- ---------- ---------- -------- ---------- Total Distributions............ (0.75) (1.16) (0.32) (0.28) (1.90) (1.39) ---------- ---------- ---------- ---------- -------- ---------- Net Asset Value, End of Period........ $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 ========== ========== ========== ========== ======== ========== Total Return.......................... 6.71% (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% ---------- ---------- ---------- ---------- -------- ---------- Net Assets, End of Period (thousands) $2,907,673 $1,832,745 $1,833,038 $1,133,958 $547,329 $1,458,152 Ratio of Expenses to Average Net Assets(D)........................... 0.82% 0.79% 0.78% 0.80% 0.77%(B) 0.78% Ratio of Net Investment Income to Average Net Assets.................. 2.01% 1.86% 1.70% 2.05% 2.61%(B) 1.48% ---------- ---------- ---------- ---------- -------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares + ------------------------------------------------ Year Year Year Year Period Ended Ended Ended Ended Jan. 29, 2008(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, to 2012 2011 2010 2009 Oct. 31, 2008 -------- -------- -------- -------- ---------------- 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)....................... 0.50 0.20 0.56 0.56 3.93 Net Gains (Losses) on Securities (Realizedand Unrealized)........ (0.45) (5.45) 9.18 21.36 (92.36) ------- ------- ------- ------- ------- Total from Investment Operations...................... 0.05 (5.25) 9.74 21.92 (88.43) ------- ------- ------- ------- ------- Less Distributions ------------------ Net Investment Income............. (0.47) (0.45) (7.12) (6.00) (13.49) Net Realized Gains................ (0.39) (1.63) (13.11) (54.52) -- ------- ------- ------- ------- ------- Total Distributions........... (0.86) (2.08) (20.23) (60.52) (13.49) ------- ------- ------- ------- ------- Net Asset Value, End of Period....... $ 28.21 $ 29.02 $ 36.35 $ 46.83 $ 85.43 ======= ======= ======= ======= ======= Total Return......................... 0.43% (15.24)% 29.71% 78.29% (50.51)%(C) ------- ------- ------- ------- ------- Net Assets, End of Period (thousands)........................ $99,111 $78,157 $39,668 $ 5,082 $ 1,799 Ratio of Expenses to Average Net Assets (D)......................... 0.86% 0.86% 0.86% 0.90% 0.92%(B)(E) Ratio of Net Investment Income to Average Net Assets................. 1.78% 1.56% 1.39% 1.39% 3.35%(B)(E)
Emerging Markets Value Portfolio-Institutional Class Shares ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Ended Ended Ended Ended 2007 to Year Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ----------- ----------- ----------- ---------- ---------- ---------- Net Asset Value, Beginning of Period. $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 ----------- ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)....................... 0.57 0.64 0.45 0.38 0.98 0.78 Net Gains (Losses) on Securities (Realizedand Unrealized)........ (0.44) (5.72) 8.01 12.41 (25.48) 14.82 ----------- ----------- ----------- ---------- ---------- ---------- Total from Investment Operations...................... 0.13 (5.08) 8.46 12.79 (24.50) 15.60 ----------- ----------- ----------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.54) (0.54) (0.39) (0.34) (1.00) (0.63) Net Realized Gains................ (0.39) (1.63) (0.70) (2.91) (0.99) (0.38) ----------- ----------- ----------- ---------- ---------- ---------- Total Distributions........... (0.93) (2.17) (1.09) (3.25) (1.99) (1.01) ----------- ----------- ----------- ---------- ---------- ---------- Net Asset Value, End of Period....... $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 =========== =========== =========== ========== ========== ========== Total Return......................... 0.70% (14.84)% 30.04% 78.59% (55.65)%(C) 50.98% ----------- ----------- ----------- ---------- ---------- ---------- Net Assets, End of Period (thousands)........................ $16,589,619 $13,730,213 $11,542,870 $7,401,266 $3,735,580 $7,485,802 Ratio of Expenses to Average Net Assets (D)......................... 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60% Ratio of Net Investment Income to Average Net Assets................. 2.03% 1.88% 1.40% 1.76% 2.82%(B) 2.00%
-------- + 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. 134 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period............... $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)................. 0.41 0.43 0.30 0.25 0.43 0.35 Net Gains (Losses) on Securities (Realized and Unrealized)................................... 0.23 (2.65) 4.81 6.56 (11.27) 6.10 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............ 0.64 (2.22) 5.11 6.81 (10.84) 6.45 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income........................... (0.37) (0.36) (0.29) (0.20) (0.40) (0.32) Net Realized Gains.............................. -- -- -- -- (0.08) (0.06) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......................... (0.37) (0.36) (0.29) (0.20) (0.48) (0.38) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period..................... $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 ========== ========== ========== ========== ========== ========== Total Return....................................... 3.55% (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).............. $8,594,707 $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466 Ratio of Expenses to Average Net Assets............ 0.68% 0.67% 0.65% 0.67% 0.65%(B) 0.65% Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................ 0.68% 0.68% 0.65% 0.67% 0.65%(B) 0.65% Ratio of Net Investment Income to Average Net Assets........................................... 2.18% 2.04% 1.63% 2.03% 2.62%(B) 1.87% Portfolio Turnover Rate............................ 1% 1% 4% 6% 3%(C) 2% ---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 135 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of sixty-seven operational portfolios, of which twenty-seven (the "Portfolios") are included in this section of the report. The remaining operational portfolios are presented in separate reports. Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company 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 10/31/12 ------------ --------------------------------------------------- ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78% Japanese Small Company Portfolio The Japanese Small Company Series 17% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 24% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 5% Emerging Markets Portfolio The Emerging Markets Series 96% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 98% Fund of Funds ------------- International Small Company Portfolio The Japanese Small Company Series 83% The Asia Pacific Small Company Series 76% The United Kingdom Small Company Series 98% The Continental Small Company Series 95% The Canadian Small Company Series 100% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 21% 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 136 Portfolio, World ex U.S. Value Portfolio and Selectively Hedged Global Equity Portfolio also invest in short-term temporary cash investments. In addition, Selectively Hedged Global Equity Portfolio engages in futures and forward currency contracts. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. 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 fund 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) 137 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 Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Debt Securities held by Enhanced U.S. Large Company Portfolio, (the "Fixed Income Portfolio"), 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. 138 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 had no material transfers between Level 1 and Level 2 during the year ended October 31, 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/Trustee" of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first 139 deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies 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, generally based on average net assets. Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of a Portfolio. Income, gains and losses, and common expenses of a Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. U.S. Large Cap Value Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, 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: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. For the year ended October 31, 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% 140 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**............. 0.21% 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**...... 0.29% 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% ** The investment advisory fee has been adjusted to reflect the actual fee paid by the Portfolios for the year ended October 31, 2012 as a result of a decrease in the investment advisory fees for DFA Real Estate Securities Portfolio and DFA Global Real Estate Securities Portfolio from 0.30% to 0.17%, and 0.35% to 0.27%, respectively effective February 28, 2012. For the year ended October 31, 2012, the Feeder Funds' and the Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio's administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio*. 0.15% U.S. Large Cap Value Portfolio......... 0.15% U.S. Targeted Value Portfolio*......... 0.25% U.S. Small Cap Value Portfolio*........ 0.30% U.S. Small Cap Portfolio*.............. 0.32% U.S. Micro Cap Portfolio*.............. 0.40% International Small Company Portfolio.. 0.40% Japanese Small Company Portfolio....... 0.40% Asia Pacific Small Company Portfolio... 0.40% United Kingdom Small Company Portfolio. 0.40% Continental Small Company Portfolio.... 0.40% Emerging Markets Portfolio............. 0.40% Emerging Markets Small Cap Portfolio... 0.45% Emerging Markets Value Portfolio....... 0.40% * 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. 141 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 year ended October 31, 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 of Fees/ Previously Expenses Waived Assumed Expense Fees/ Subject to Limitation Expenses Future Institutional Class Shares Amount 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% -- $ 321 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% -- 34 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% -- 6,990 International Vector Equity Portfolio (2).............. 0.60% -- -- World ex U.S. Value Portfolio (9)...................... 0.60% -- 289 Selectively Hedged Global Equity Portfolio (10)........ 0.40% -- 150 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) ("Portfolio 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 142 companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio are less than the Expense Limitation Amount listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (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' 143 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. (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 their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolios' custody expenses. Custody expense in 144 the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2012, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Large Cap International Portfolio.................. $ 8 International Core Equity Portfolio................ 25 DFA International Real Estate Securities Portfolio. 9 DFA International Small Cap Value Portfolio........ 38 International Vector Equity Portfolio.............. 3 Emerging Markets Core Equity Portfolio............. 97
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $234 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 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.................... 205 U.S. Targeted Value Portfolio..................... 53 U.S. Small Cap Value Portfolio.................... 200 U.S. Core Equity 1 Portfolio...................... 73 U.S. Core Equity 2 Portfolio...................... 130 U.S. Vector Equity Portfolio...................... 41 U.S. Small Cap Portfolio.......................... 90 U.S. Micro Cap Portfolio.......................... 102 DFA Real Estate Securities Portfolio.............. 69 Large Cap International Portfolio................. 47 International Core Equity Portfolio............... 120 International Small Company Portfolio............. 142 Japanese Small Company Portfolio.................. 5 Asia Pacific Small Company Portfolio.............. 3 United Kingdom Small Company Portfolio............ 1 Continental Small Company Portfolio............... 4 DFA International Real Estate Securities Portfolio 23 DFA Global Real Estate Securities Portfolio....... 13 DFA International Small Cap Value Portfolio....... 220 International Vector Equity Portfolio............. 8 World ex U.S. Value Portfolio..................... -- Selectively Hedged Global Equity Portfolio........ -- Emerging Markets Portfolio........................ 65 Emerging Markets Small Cap Portfolio.............. 37 Emerging Markets Value Portfolio.................. 246 Emerging Markets Core Equity Portfolio............ 91
145 E. Purchases and Sales of Securities: For the year ended October 31, 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 $ 30,470 $31,289 $ 129,078 $ 93,432 U.S. Targeted Value Portfolio........ -- -- 700,680 568,136 U.S. Small Cap Value Portfolio....... -- -- 1,009,884 1,408,766 U.S. Core Equity 1 Portfolio......... -- -- 777,696 149,154 U.S. Core Equity 2 Portfolio......... -- -- 614,037 323,458 U.S. Vector Equity Portfolio......... -- -- 169,789 259,744 U.S. Small Cap Portfolio............. -- -- 934,088 650,227 U.S. Micro Cap Portfolio............. -- -- 503,779 722,201 DFA Real Estate Securities Portfolio. -- -- 291,548 1,945 Large Cap International Portfolio.... -- -- 362,935 67,624 International Core Equity Portfolio.. -- -- 1,220,075 272,785 DFA International Real Estate Securities Portfolio............... -- -- 311,637 41,432 DFA International Small Cap Value Portfolio.......................... -- -- 2,041,806 1,382,840 International Vector Equity Portfolio -- -- 159,914 26,835 Emerging Markets Core Equity Portfolio.......................... -- -- 3,141,187 101,178
For the year ended October 31, 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 Dividend Distributions of 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio............... $ 520,990 $ 777,963 $ 203,609 $ 9,377 $ 19,056 -- DFA International Real Estate Securities Portfolio. 346,939 531,474 117,734 5,823 17,980 -- World ex U.S. Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Company 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains DFA International Small Cap Value Portfolio........ $ 3,724 $ 4,703 $ 1,070 $ 266 $ 50 $80 Selectively Hedged Global Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 2 Portfolio....................... -- 14,297 $ 14,431 $ 1,451 $ 157 -- International Core Equity Portfolio................ -- 12,942 13,834 1,616 291 -- Emerging Markets Core Equity Portfolio............. -- 6,554 6,915 601 96 --
146 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, 2012, 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, distributions received from real estate investment trusts, expiration of capital loss carryovers and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Enhanced U.S. Large Company Portfolio..................... -- $ 1,418 $ (1,418) U.S. Large Cap Value Portfolio.. -- -- -- U.S. Targeted Value Portfolio... $14,816 (1,983) (12,833) U.S. Small Cap Value Portfolio.. 38,929 (4,198) (34,731) U.S. Core Equity 1 Portfolio.... 3,210 (3,210) -- U.S. Core Equity 2 Portfolio.... 5,891 (3,883) (2,008) U.S. Vector Equity Portfolio.... 2,907 (2,567) (340) U.S. Small Cap Portfolio........ 16,124 (2,807) (13,317) U.S. Micro Cap Portfolio........ 17,306 (2,586) (14,720) DFA Real Estate Securities Portfolio..................... (4,553) 30,065 (25,512) Large Cap International Portfolio..................... -- 168 (168) International Core Equity Portfolio..................... 3,294 6,514 (9,808) International Small Company Portfolio..................... 7,038 8,475 (15,513) Japanese Small Company Portfolio (3,801) 156 3,645 Asia Pacific Small Company Portfolio..................... -- 1,613 (1,613) United Kingdom Small Company Portfolio..................... -- 6 (6) Continental Small Company Portfolio..................... -- 143 (143) DFA International Real Estate Securities Portfolio.......... 6,163 (5,018) (1,145) DFA Global Real Estate Securities Portfolio.......... 333 (333) -- DFA International Small Cap Value Portfolio............... 12,583 3,318 (15,901) International Vector Equity Portfolio..................... 603 261 (864) World ex U.S. Value Portfolio... -- (2) 2 Selectively Hedged Global Equity Portfolio.............. (2) 164 (162) Emerging Markets Portfolio...... 3,533 (2,668) (865) Emerging Markets Small Cap Portfolio..................... 4,566 (1,171) (3,395) Emerging Markets Value Portfolio 26,372 (14,251) (12,121) Emerging Markets Core Equity Portfolio..................... 3,513 (4,796) 1,283
147 The tax character of dividends and distributions declared and paid during the year ended October 31, 2011 and the year ended October 31, 2012 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 2011.................................. $ 270 -- $ 270 2012.................................. 2,785 -- 2,785 U.S. Large Cap Value Portfolio 2011.................................. 117,051 -- 117,051 2012.................................. 150,153 -- 150,153 U.S. Targeted Value Portfolio 2011.................................. 19,648 $ 6,119 25,767 2012.................................. 27,304 31,976 59,280 U.S. Small Cap Value Portfolio 2011.................................. 47,016 11,920 58,936 2012.................................. 56,139 122,752 178,891 U.S. Core Equity 1 Portfolio 2011.................................. 49,822 -- 49,822 2012.................................. 76,278 -- 76,278 U.S. Core Equity 2 Portfolio 2011.................................. 84,798 -- 84,798 2012.................................. 103,512 2,008 105,520 U.S. Vector Equity Portfolio 2011.................................. 19,719 -- 19,719 2012.................................. 29,237 337 29,574 U.S. Small Cap Portfolio 2011.................................. 36,302 2,974 39,276 2012.................................. 44,580 14,276 58,856 U.S. Micro Cap Portfolio 2011.................................. 23,667 -- 23,667 2012.................................. 33,018 14,720 47,738 DFA Real Estate Securities Portfolio 2011.................................. 40,246 -- 40,246 2012.................................. 103,653 -- 103,653 Large Cap International Portfolio 2011.................................. 54,107 -- 54,107 2012.................................. 60,808 -- 60,808 International Core Equity Portfolio 2011.................................. 165,946 -- 165,946 2012.................................. 179,492 -- 179,492
148
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- International Small Company Portfolio 2011................................... $188,546 $ 5,851 $194,397 2012................................... 169,495 110,049 279,544 Japanese Small Company Portfolio 2011................................... 2,305 -- 2,305 2012................................... 4,541 -- 4,541 Asia Pacific Small Company Portfolio 2011................................... 6,964 -- 6,964 2012................................... 9,333 -- 9,333 United Kingdom Small Company Portfolio 2011................................... 1,071 -- 1,071 2012................................... 992 -- 992 Continental Small Company Portfolio 2011................................... 3,562 -- 3,562 2012................................... 2,958 -- 2,958 DFA International Real Estate Securities Portfolio 2011................................... 107,338 -- 107,338 2012................................... 60,194 -- 60,194 DFA Global Real Estate Securities Portfolio 2011................................... 41,782 -- 41,782 2012................................... 26,050 -- 26,050 DFA International Small Cap Value Portfolio 2011................................... 190,869 143,816 334,685 2012................................... 206,370 131,063 337,433 International Vector Equity Portfolio 2011................................... 12,224 2,659 14,883 2012................................... 14,733 6,546 21,279 World ex U.S. Value Portfolio 2011................................... 1,025 195 1,220 2012................................... 1,438 -- 1,438 Selectively Hedged Global Equity Portfolio 2012................................... 534 -- 534 Emerging Markets Portfolio 2011................................... 45,589 141,595 187,184 2012................................... 51,664 91,664 143,328 Emerging Markets Small Cap Portfolio 2011................................... 36,754 61,095 97,849 2012................................... 42,163 40,014 82,177
149
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total --------------------- ------------- ---------- Emerging Markets Value Portfolio 2011................................... $ 302,552 $ 486,583 $ 789,135 2012................................... 300,146 202,987 503,133 Emerging Markets Core Equity Portfolio 2011................................... 89,989 -- 89,989 2012................................... 143,349 -- 143,349
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, 2012, 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...................... $ 2,730 $12,108 $ 14,838 U.S. Small Cap Value Portfolio..................... 5,603 33,373 38,976 U.S. Core Equity 1 Portfolio....................... 3,212 -- 3,212 U.S. Core Equity 2 Portfolio....................... 3,889 2,008 5,897 U.S. Vector Equity Portfolio....................... 2,572 337 2,909 U.S. Small Cap Portfolio........................... 3,324 14,276 17,600 U.S. Micro Cap Portfolio........................... 2,595 14,720 17,315 DFA Real Estate Securities Portfolio............... 3,870 -- 3,870 International Core Equity Portfolio................ 3,294 -- 3,294 International Small Company Portfolio.............. 5,610 1,428 7,038 DFA International Real Estate Securities Portfolio. 6,164 -- 6,164 DFA Global Real Estate Securities Portfolio........ 334 -- 334 DFA International Small Cap Value Portfolio........ 7,741 4,842 12,583 International Vector Equity Portfolio.............. 529 73 602 Emerging Markets Portfolio......................... 2,219 1,313 3,532 Emerging Markets Small Cap Portfolio............... 1,663 2,902 4,565 Emerging Markets Value Portfolio................... 12,592 13,781 26,373 Emerging Markets Core Equity Portfolio............. 3,512 -- 3,512
At October 31, 2012, 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 Carry forward Losses) -------------- ------------- ------------- ------------- Enhanced U.S. Large Company Portfolio. $ 829 -- $ (46,941) $ (46,112) U.S. Large Cap Value Portfolio........ 25,672 -- (1,332,489) (1,306,817) U.S. Targeted Value Portfolio......... 15,300 $162,041 -- 177,341
150
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Earnings Short-Term Long-Term Loss (Accumulated Capital Gains Capital Gains Carry forward Losses) -------------- ------------- ------------- ------------- U.S. Small Cap Value Portfolio..................... $ 19,961 $ 380,033 -- $ 399,994 U.S. Core Equity 1 Portfolio....................... 10,765 -- $ (13,834) (3,069) U.S. Core Equity 2 Portfolio....................... 16,557 55,731 -- 72,288 U.S. Vector Equity Portfolio....................... 2,760 3,354 -- 6,114 U.S. Small Cap Portfolio........................... 14,498 228,599 -- 243,097 U.S. Micro Cap Portfolio........................... 5,022 176,210 -- 181,232 DFA Real Estate Securities Portfolio............... 23,668 -- (206,280) (182,612) Large Cap International Portfolio.................. 11,172 -- (200,200) (189,028) International Core Equity Portfolio................ 30,479 -- (102,483) (72,004) International Small Company Portfolio.............. 41,410 38,970 -- 80,380 Japanese Small Company Portfolio................... 2,654 -- (73,701) (71,047) Asia Pacific Small Company Portfolio............... 6,418 -- (24,578) (18,160) United Kingdom Small Company Portfolio............. 285 -- (2,141) (1,856) Continental Small Company Portfolio................ 398 -- (28,845) (28,447) DFA International Real Estate Securities Portfolio. 169,177 -- (180,698) (11,521) DFA Global Real Estate Securities Portfolio........ 11,635 -- (1,115) 10,520 DFA International Small Cap Value Portfolio........ 49,165 116,761 -- 165,926 International Vector Equity Portfolio.............. 2,688 2,006 -- 4,694 World ex U.S. Value Portfolio...................... 391 -- (5,842) (5,451) Selectively Hedged Global Equity Portfolio......... 113 56 -- 169 Emerging Markets Portfolio......................... 8,397 30,480 -- 38,877 Emerging Markets Small Cap Portfolio............... 20,186 92,087 -- 112,273 Emerging Markets Value Portfolio................... 80,287 344,510 -- 424,797 Emerging Markets Core Equity Portfolio............. 33,354 -- (41,205) (7,851)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
2013 2014 2015 2016 2017 2018 2019 Unlimited Total ------ ------ ------ ------- ---------- ------- ------- --------- ---------- Enhanced U.S. Large Company Portfolio....................... -- -- -- $46,941 -- -- -- -- $ 46,941 U.S. Large Cap Value Portfolio.... -- -- -- -- $1,332,489 -- -- -- 1,332,489 U.S. Core Equity 1 Portfolio...... -- -- -- -- 13,834 -- -- -- 13,834 DFA Real Estate Securities Portfolio....................... -- -- -- 72,400 62,969 $44,388 $26,523 -- 206,280 Large Cap International Portfolio....................... -- -- -- 19,004 135,393 14,311 12,549 $18,943 200,200 International Core Equity Portfolio....................... -- -- -- -- 53,177 -- -- 49,306 102,483 Japanese Small Company Portfolio....................... $3,055 $2,451 $8,004 23,057 13,952 12,208 5,543 5,431 73,701 Asia Pacific Small Company Portfolio....................... -- -- -- 16,317 8,261 -- -- -- 24,578 United Kingdom Small Company Portfolio....................... -- -- -- -- 1,867 -- -- 274 2,141 Continental Small Company Portfolio....................... -- -- -- 13,544 7,224 5,252 -- 2,825 28,845 DFA International Real Estate Securities Portfolio......................... -- -- 46 13,446 34,576 38,689 69,466 24,475 180,698 DFA Global Real Estate Securities Portfolio....................... -- -- -- -- -- 1,091 -- 24 1,115 World ex U.S. Value Portfolio..... -- -- -- -- -- -- 5,842 -- 5,842 Emerging Markets Core Equity Portfolio....................... -- -- -- 7,080 26,445 -- -- 7,680 41,205
151 During the year ended October 31, 2012, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Enhanced U.S. Large Company Portfolio. $ 24,140 U.S. Large Cap Value Portfolio........ 318,345 U.S. Core Equity 1 Portfolio.......... 35,374 U.S. Core Equity 2 Portfolio.......... 15,761 U.S. Vector Equity Portfolio.......... 36,502 U.S. Micro Cap Portfolio.............. 34,914 DFA Real Estate Securities Portfolio.. 9,644 Asia Pacific Small Company Portfolio.. 2,201 World ex U.S. Value Portfolio......... 146
At October 31, 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.............. $ 186,486 $ 2,903 $ (765) $ 2,138 U.S. Large Cap Value Portfolio..................... 6,140,128 2,467,500 (271,721) 2,195,779 U.S. Targeted Value Portfolio...................... 3,026,575 667,745 (239,644) 428,101 U.S. Small Cap Value Portfolio..................... 7,183,358 1,842,772 (1,069,174) 773,598 U.S. Core Equity 1 Portfolio....................... 4,847,550 1,068,416 (319,250) 749,166 U.S. Core Equity 2 Portfolio....................... 6,886,186 1,646,567 (655,798) 990,769 U.S. Vector Equity Portfolio....................... 2,050,758 486,177 (243,659) 242,518 U.S. Small Cap Portfolio........................... 4,877,786 1,157,715 (527,342) 630,373 U.S. Micro Cap Portfolio........................... 3,406,639 1,090,293 (597,410) 492,883 DFA Real Estate Securities Portfolio............... 3,265,231 1,218,798 (217,008) 1,001,790 Large Cap International Portfolio.................. 2,174,307 444,225 (303,931) 140,294 International Core Equity Portfolio................ 7,518,294 944,964 (1,231,408) (286,444) International Small Company Portfolio.............. 6,375,771 1,299,558 (1,248,452) 51,106 Japanese Small Company Portfolio................... 367,232 76,200 (149,345) (73,145) Asia Pacific Small Company Portfolio............... 231,922 77,591 (71,231) 6,360 United Kingdom Small Company Portfolio............. 24,456 29,706 (22,840) 6,866 Continental Small Company Portfolio................ 109,207 80,760 (83,614) (2,854) DFA International Real Estate Securities Portfolio 1,753,188 31,604 (118,544) (86,940) DFA Global Real Estate Securities Portfolio........ 1,035,537 305,845 (29,777) 276,068 DFA International Small Cap Value Portfolio........ 9,781,836 1,487,653 (2,230,461) (742,808) International Vector Equity Portfolio.............. 572,687 108,890 (61,389) 47,501 World ex U.S. Value Portfolio...................... 55,484 2,720 (991) 1,729 Selectively Hedged Global Equity Portfolio......... 32,594 2,557 (278) 2,279 Emerging Markets Portfolio......................... 1,811,436 1,146,786 (159,966) 986,820 Emerging Markets Small Cap Portfolio............... 2,623,683 604,775 (319,549) 285,226 Emerging Markets Value Portfolio................... 17,049,862 2,580,395 (2,935,153) (354,758) Emerging Markets Core Equity Portfolio............. 8,662,464 1,523,526 (889,270) 634,256
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. 152 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 Portfolio's financial statements. No Portfolio is aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Portfolio's federal tax returns for the prior three fiscal years 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 U.S. Micro Cap Portfolio, U.S. Small Cap Value Portfolio and U.S. Small Cap Portfolio, respectively) (the "Portfolios"), having 100% investment in their respective master fund, 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 Internal Revenue Code (the "IRC") (S)337(a), each of the master funds recognized no gain or loss and, pursuant to IRC (S)332(a), each of the Portfolios recognized no gain or loss on the deemed liquidation. However, pursuant to IRC (S)332 (c), each of the aforementioned Portfolios recognized the master fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC (S)334(b)(1) and (S)1223, each of the Portfolios maintained 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 (S)336(a), the master fund recognized a loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master fund. For tax purposes, pursuant to IRC (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 with the Enhanced U.S. Large Company Portfolio having 100% investment in the respective master fund, made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change the Series' federal entity classification from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, the master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owner, the Portfolio, with the Portfolio deemed the surviving entity. The final tax year end of the master fund was October 31, 2008. For Federal income tax purposes, pursuant to IRC (S)337(a), the master fund did not recognize any gain or loss and, pursuant to IRC (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 recognized the master fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC (S)334(b)(1) and (S)1223, the Portfolio maintained its respective master fund's holding period and tax basis in the assets deemed transferred to the 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 its federal entity 153 classification from a corporation taxable as a regulated investment company to a partnership. DEM II will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles 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 had a shareholder owning 80% or more of the fund's shares, and also had shareholders owning less than 80%, the transaction created a non-taxable transaction, pursuant to IRC (S)332, for those owning more than 80%, and a taxable transaction, pursuant to IRC (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 IRC (S)336(a), the master fund recognized gain or loss relative to the investment of the less than 80% shareholders as if the master fund's investment securities were sold to those shareholders and, pursuant to IRC (S)331, each of those shareholders recognized gain or loss as if it liquidated its investment in the master. Pursuant to IRC (S)334(a), each of these shareholders 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. In regards to the shareholder owning 80% or more of the master fund, pursuant to IRC (S)332(a), the shareholder did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC (S)332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it was utilized by the master fund to satisfy its dividends paid deduction for the tax year, had to be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to IRC (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 fund. 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. 154 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Year Year Ended Ended Oct. 31, 2012 Oct. 31, 2011 -------------------- -------------------- Amount Shares Amount Shares ----------- ------- ----------- ------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued..................................... $ 5,787 353 $ 9,612 586 Shares Issued in Lieu of Cash Distributions....... 730 48 362 23 Shares Redeemed................................... (7,953) (486) (7,533) (462) Shares Reduced by Reverse Stock Split............. -- -- -- (2) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ (1,436) (85) $ 2,441 145 =========== ======= =========== ======= Class R2 Shares Shares Issued..................................... $ 4,727 288 $ 9,524 636 Shares Issued in Lieu of Cash Distributions....... 162 11 56 4 Shares Redeemed................................... (4,413) (273) (5,191) (324) Shares Reduced by Reverse Stock Split............. -- -- -- (7) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 476 26 $ 4,389 309 =========== ======= =========== ======= Institutional Class Shares Shares Issued..................................... $ 772,443 47,901 $ 905,224 55,728 Shares Issued in Lieu of Cash Distributions....... 39,875 2,618 20,970 1,322 Shares Redeemed................................... (649,785) (39,847) (731,188) (45,320) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 162,533 10,672 $ 195,006 11,730 =========== ======= =========== ======= Emerging Markets Value Portfolio Class R2 Shares Shares Issued..................................... $ 61,477 2,199 $ 95,176 3,360 Shares Issued in Lieu of Cash Distributions....... 2,784 106 2,336 68 Shares Redeemed................................... (40,795) (1,486) (50,507) (1,599) Shares Reduced by Conversion of Shares............ -- -- -- (19,608) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 23,466 819 $ 47,005 (17,779) =========== ======= =========== ======= Institutional Class Shares Shares Issued..................................... $ 5,047,163 179,634 $ 6,396,694 187,544 Shares Issued in Lieu of Cash Distributions....... 436,347 16,644 709,030 20,853 Shares Redeemed................................... (2,278,812) (81,493) (1,754,714) (53,557) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 3,204,698 114,785 $ 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 155 of U.S. Targeted Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R1 Shares and Class R2 Shares. The Board of Directors of the Fund authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, shareholders and investors purchased and redeemed Class R2A Shares of the Portfolio. The value of a shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares had a higher net asset value per share. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. The per share data in the financial highlights prior to the year ended October 31, 2011 have been retroactively restated to reflect the conversion. Additionally, the capital share activity in the Statement of Changes in Net Assets and capital share activity earlier in this note shows the reduction of shares as a result of the conversion. H. Financial Instruments: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in 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 from translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 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): 156 Enhanced U.S. Large Company Portfolio*
Unrealized Foreign Value at Exchange Settlement Currency Contract October 31, Gain Date Amount** Currency Amount 2012 (Loss) ---------- -------- ------------------ -------- ----------- ---------- 11/29/12 (8,956) Canadian Dollars $ (9,032) $ (8,962) $ 70 12/04/12 (32,449) Euro (40,826) (42,071) (1,245) 12/04/12 (3,232) Euro (4,216) (4,190) 26 11/30/12 (2,638) UK Pound Sterling (4,225) (4,257) (32) -------- -------- ------- $(58,299) $(59,480) $(1,181) ======== ======== =======
Selectively Hedged Global Equity Portfolio*
Unrealized Foreign Value at Exchange Settlement Currency Contract October 31, Gain Date Amount** Currency Amount 2012 (Loss) ---------- -------- ------------------ -------- ----------- ---------- 01/03/13 (704) Danish Kroner $ (123) $ (123) -- 11/05/12 (2,060) Euro (2,557) (2,670) $(113) 11/05/12 2,060 Euro 2,672 2,672 -- 12/21/12 (2,205) Euro (2,861) (2,861) -- 12/06/12 (7,135) Hong Kong Dollars (920) (921) (1) 12/06/12 7,135 Hong Kong Dollars 921 921 -- 11/05/12 (169,889) Japanese Yen (2,175) (2,128) 47 11/05/12 169,889 Japanese Yen 2,127 2,127 -- 12/21/12 (174,983) Japanese Yen (2,192) (2,192) -- 11/05/12 (696) Swiss Francs (720) (747) (27) 11/05/12 696 Swiss Francs 748 748 -- 12/21/12 (719) Swiss Francs (773) (773) -- ------- ------- ----- $(5,853) $(5,947) $ (94) ======= ======= =====
* During the year ended October 31, 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 $(45,176) and $(4,956) (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 their investment objectives. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the 157 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. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At October 31, 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) 12/21/2012 519 $182,532 $2,826 -- Selectively Hedged Global Equity Portfolio. S&P 500 Index(R) Emini 12/21/2012 13 914 (17) $46
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2012, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount of outstanding futures contracts were $173,800 and $798 (in thousands), respectively. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 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 October 31, 2012 (amounts in thousands):
Asset Derivatives Value ----------------------------- Total Value at Foreign Exchange Equity October 31, 2012 Contracts Contracts ---------------- ---------------- --------- Enhanced U.S. Large Company Portfolio........................ $ 2,922 $96 $2,826* Selectively Hedged Global Equity Portfolio........................ 30 47 (17)* Liability Derivatives Value ----------------------------- Total Value at Foreign Exchange Equity October 31, 2012 Contracts Contracts ---------------- ---------------- --------- Enhanced U.S. Large Company Portfolio........................ $(1,277) $(1,277) -- Selectively Hedged Global Equity Portfolio........................ (141) (141) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. 158 The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings through the year ended October 31, 2012 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- --------------------------------------------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2012 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio...... $32,394 $1,826 $30,568 U.S. Targeted Value Portfolio*............. 3,336 -- 3,336 U.S. Small Cap Value Portfolio*............ 954 -- 954 U.S. Vector Equity Portfolio*.............. (850) -- (850) U.S. Micro Cap Portfolio*.................. 385 -- 385 DFA Real Estate Securities Portfolio*...... (46) -- (46) Selectively Hedged Global Equity Portfolio. 271 161 110 Emerging Markets Core Equity Portfolio*.... 1,190 -- 1,190 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio...... $(7,466) $ (880) $(6,586) U.S. Small Cap Value Portfolio............. (536) -- (536) Selectively Hedged Global Equity Portfolio. (111) (94) (17)
* As of October 31, 2012, there were no futures contracts outstanding. During the year ended October 31, 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, 2013. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 2012. 159 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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...................... 0.85% $ 6,627 43 $ 7 $24,575 U.S. Small Cap Value Portfolio..................... 0.87% 6,351 51 8 30,792 U.S. Core Equity 2 Portfolio....................... 0.87% 2,328 8 -- 6,239 U.S. Vector Equity Portfolio....................... 0.85% 2,358 15 1 4,214 U.S. Small Cap Portfolio........................... 0.90% 6,755 13 2 12,219 U.S. Micro Cap Portfolio........................... 0.87% 4,146 47 5 9,570 DFA Real Estate Securities Portfolio............... 0.82% 722 7 -- 2,460 Large Cap International Portfolio.................. 0.87% 1,931 32 2 4,848 International Core Equity Portfolio................ 0.82% 15,473 22 8 33,740 International Small Company Portfolio.............. 0.88% 2,384 24 1 11,057 DFA International Real Estate Securities Portfolio. 0.83% 4,454 22 2 16,074 DFA Global Real Estate Securities Portfolio........ 0.83% 4,185 2 -- 7,895 DFA International Small Cap Value Portfolio........ 0.83% 8,844 21 4 44,344 International Vector Equity Portfolio.............. 0.85% 947 56 1 4,219 World ex U.S. Value Portfolio...................... 0.87% 124 30 -- 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 year ended October 31, 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 October 31, 2012. J. Securities Lending: As of October 31, 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 $189,066 (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 160 is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, 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, a Portfolio 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 161 O. Other: At October 31, 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................ 3 76% U.S. Large Cap Value Portfolio -- Institutional Class Shares....................... 3 76% U.S. Targeted Value Portfolio -- Class R1 Shares................................... 1 93% U.S. Targeted Value Portfolio -- Class R2 Shares................................... 2 57% U.S. Targeted Value Portfolio -- Institutional Class Shares........................ 2 54% U.S. Small Cap Value Portfolio -- Institutional Class Shares....................... 2 51% U.S. Core Equity 1 Portfolio -- Institutional Class Shares......................... 3 67% 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 51% U.S. Micro Cap Portfolio -- Institutional Class Shares............................. 3 65% DFA Real Estate Securities Portfolio -- Institutional Class Shares................. 3 75% Large Cap International Portfolio -- Institutional Class Shares.................... 2 65% International Core Equity Portfolio -- Institutional Class Shares.................. 2 58% International Small Company Portfolio -- Institutional Class Shares................ 2 44% Japanese Small Company Portfolio -- Institutional Class Shares..................... 1 68% Asia Pacific Small Company Portfolio -- Institutional Class Shares................. 2 79% United Kingdom Small Company Portfolio -- Institutional Class Shares............... 2 85% Continental Small Company Portfolio -- Institutional Class Shares.................. 4 92% DFA International Real Estate Securities Portfolio -- Institutional Class Shares .. 3 82% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares.......... 3 90% 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 87% Emerging Markets Portfolio -- Institutional Class Shares........................... 3 67% Emerging Markets Small Cap Portfolio -- Institutional Class Shares................. 2 37% Emerging Markets Value Portfolio -- Class R2 Shares................................ 3 78% Emerging Markets Value Portfolio -- Institutional Class Shares..................... 1 17% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............... 2 54%
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. 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 162 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. 163 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of the Portfolios, as defined, and Board of Directors of DFA Investment Dimensions Group Inc.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Core Equity Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, and Emerging Markets Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at October 31, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 164 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHART DFA Commodity Strategy Portfolio vs. Dow Jones-UBS Commodity Index Total Return November 9, 2010-October 31, 2012
Dow Jones-UBS Commodity DFA Commodity Index Total BeginDate EndDate FundReturns Benchmark0Returns EndDate Strategy Portfolio Return --------- ---------- ----------- ----------------- ---------- ------------------ ------------- 2010-11-09 2010-11-30 -5.20% -5.86% 11/2010 10000 10000 2010-11-30 2010-12-31 10.38% 10.69% 11/2010 9480 9414.11452 2010-12-31 2011-01-31 1.15% 1.00% 12/2010 10464.222 10420.38828 2011-01-31 2011-02-28 2.08% 1.32% 01/2011 10584.27043 10524.90582 2011-02-28 2011-03-31 1.90% 2.06% 02/2011 10804.35923 10663.6125 2011-03-31 2011-04-30 3.91% 3.46% 03/2011 11009.5018 10883.77 2011-04-30 2011-05-31 -4.81% -5.06% 04/2011 11439.87323 11260.68062 2011-05-31 2011-06-30 -5.07% -5.04% 05/2011 10889.39814 10691.09062 2011-06-30 2011-07-31 3.29% 2.96% 06/2011 10337.46641 10151.80742 2011-07-31 2011-08-31 1.03% 1.00% 07/2011 10678.04186 10452.47858 2011-08-31 2011-09-30 -14.85% -14.73% 08/2011 10788.22803 10556.85703 2011-09-30 2011-10-31 6.66% 6.62% 09/2011 9186.713807 9001.305199 2011-10-31 2011-11-30 -2.66% -2.22% 10/2011 9798.492786 9597.042182 2011-11-30 2011-12-31 -3.56% -3.75% 11/2011 9537.734535 9384.080937 2011-12-31 2012-01-31 3.06% 2.47% 12/2011 9198.539504 9032.374967 2012-01-31 2012-02-29 2.87% 2.70% 01/2012 9480.332835 9255.733858 2012-02-29 2012-03-31 -4.02% -4.14% 02/2012 9752.062121 9505.517422 2012-03-31 2012-04-30 -0.65% -0.42% 03/2012 9359.564267 9112.317892 2012-04-30 2012-05-31 -8.66% -9.13% 04/2012 9299.17998 9073.750917 2012-05-31 2012-06-30 4.65% 5.49% 05/2012 8494.056172 8245.136891 2012-06-30 2012-07-31 6.81% 6.47% 06/2012 8888.618418 8698.040611 2012-07-31 2012-08-31 1.91% 1.30% 07/2012 9493.97268 9260.683168 2012-08-31 2012-09-30 1.70% 1.71% 08/2012 9675.578961 9380.919803 2012-09-30 2012-10-31 -3.49% -3.87% 09/2012 9840.087623 9540.916081 10/31/2012 9496.593805 9171.406896
One Year From 11/09/2010 -------- --------------- -3.08% -2.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Dow Jones data provided by Dow Jones Indexes. 165 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS Commodity Market Review 12 Months Ended October 31, 2012 During the fiscal year ending, October 31, 2012, commodities produced mixed results. The commodity market was initially driven lower through the first seven months of the period by declining natural gas prices. A combination of a mild winter and increased supply from improved shale drilling technology led to natural gas spot prices in the summer of 2012 that were less than half of the prior summer and at levels not seen in over a decade. The last four months of the period would provide for a recovery in the commodity market driven by a significant drought in the U.S. which reduced supply and increased prices for soybeans, corn, and wheat. DFA Commodity Strategy Portfolio The DFA Commodity Strategy Portfolio seeks total return consisting of capital appreciation and current income. The Portfolio generally invests in a universe of allowable commodity-linked derivative instruments and fixed income investments. The Portfolio gains exposure to commodities markets by investing in derivative instruments, swap agreements, and other commodity-linked instruments. The Portfolio pursues commodity exposure based on sector weights of the Dow Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the fixed income portion of the Portfolio's investment strategy, Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") identifies a broadly-diversified universe of eligible U.S. and foreign fixed income securities with precisely defined maturity ranges and credit quality characteristics then seeks to purchase a broad and diverse portfolio of securities meeting these credit quality standards. In making these purchase decisions, if the anticipated maturity risk premium is greater for longer-term securities in the eligible maturity range, Dimensional will focus investment in that longer-term area; otherwise, the Portfolio will focus investment in the short-term range of the eligible maturity range. For the 12 months ended October 31, 2012, the total return was -3.08% for the Portfolio and -4.44% for the Dow Jones-UBS Commodity Index Total Return. The Portfolio's outperformance was due to the excess return generated by the fixed income assets. The Portfolio gained exposure to commodities primarily through the use of commodity swap contracts. To a lesser extent, the Portfolio gained exposure to commodities through the use of commodity futures. The Portfolio's commodity swaps provided exposure to the twenty commodities found in the Dow Jones-UBS Commodity Index Total Return whose returns for the period ranged from -41.7% (natural gas) to +33.7% (soybean). In the fiscal year, no excess return was provided by the strategy's approach of "rolling" its underlying futures contracts prior to the index roll. While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component duration increased slightly from 1.67 to 1.85 years during the period. The Portfolio benefited from the exposure to longer duration relative to its short-term obligations on its derivatives. It also benefited from its credit exposure during a period where credit spreads narrowed. The time of valuation of currency can create differences between the performance of the Portfolio and the Index. 166 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the period indicated. Six Months Ended October 31, 2012 EXPENSE TABLES
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $1,021.23 0.36% $1.83 Hypothetical 5% Annual Return. $1,000.00 $1,023.33 0.36% $1.83
-------- * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 167 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 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.......... 45.4% Government......... 3.0% Foreign Corporate.. 23.8% Foreign Government. 16.7% Supranational...... 11.1% ----- 100.0%
168 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS October 31, 2012
Face Amount^ Value+ ------- ----------- (000) BONDS -- (89.1%) AUSTRALIA -- (5.3%) BHP Billiton Finance USA, Ltd. (u) 5.500%, 04/01/14....................................... 960 $ 1,026,508 Commonwealth Bank of Australia (u) 1.250%, 09/18/15....................................... 2,780 2,805,123 National Australia Bank, Ltd. (e) 5.500%, 05/20/15....................................... 6,500 9,365,773 Westpac Banking Corp. (u) 4.200%, 02/27/15....................................... 9,500 10,204,016 ----------- TOTAL AUSTRALIA............................................ 23,401,420 ----------- AUSTRIA -- (1.3%) KA Finanz AG 2.250%, 03/24/14........................................ 700 930,255 Oesterreichische Kontrollbank AG 3.625%, 12/10/13........................................ 2,000 2,687,604 (u) 4.500%, 03/09/15....................................... 2,000 2,178,200 ----------- TOTAL AUSTRIA.............................................. 5,796,059 ----------- CANADA -- (7.4%) Bank of Nova Scotia (u) 1.850%, 01/12/15....................................... 6,400 6,568,531 (u) 3.400%, 01/22/15....................................... 1,800 1,911,281 Barrick Gold Finance Co. (u) 4.875%, 11/15/14....................................... 2,200 2,361,711 Canadian National Railway Co. (u) 4.400%, 03/15/13....................................... 900 913,267 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13....................................... 625 632,006 Enbridge, Inc. (u) 5.800%, 06/15/14....................................... 1,900 2,050,315 Encana Corp. (u) 4.750%, 10/15/13....................................... 1,415 1,466,967 Husky Energy, Inc. (u) 5.900%, 06/15/14....................................... 2,500 2,699,253 Ontario, Province of Canada (u) 0.950%, 05/26/15....................................... 2,000 2,019,804 Petro-Canada (u) 4.000%, 07/15/13....................................... 200 204,683 Thomson Reuters Corp. (u) 5.700%, 10/01/14....................................... 800 873,418 Toronto-Dominion Bank (The) (e) 5.375%, 05/14/15....................................... 4,000 5,775,995 TransAlta Corp. (u) 4.750%, 01/15/15....................................... 2,508 2,653,344
Face Amount^ Value+ ------- ----------- (000) CANADA -- (Continued) TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13....................................... 1,525 $ 1,560,086 (u) 3.400%, 06/01/15....................................... 1,000 1,065,267 ----------- TOTAL CANADA............................................... 32,755,928 ----------- FRANCE -- (5.6%) Agence Francaise de Developpement (u) 1.250%, 06/09/14....................................... 5,500 5,554,505 (u) 2.500%, 07/15/15....................................... 3,000 3,121,740 BNP Paribas SA (u) 2.125%, 12/21/12....................................... 1,500 1,502,063 (u) 3.250%, 03/11/15....................................... 2,000 2,083,800 Caisse d'Amortissement de la Dette Sociale 3.625%, 04/25/15........................................ 5,000 6,975,516 France Telecom SA (u) 4.375%, 07/08/14....................................... 2,400 2,541,000 Societe Financement de I'Economie Francaise 3.125%, 06/30/14........................................ 2,000 2,712,796 Veolia Environnement SA (u) 5.250%, 06/03/13....................................... 425 434,137 ----------- TOTAL FRANCE............................................... 24,925,557 ----------- GERMANY -- (1.7%) Deutsche Bank AG (u) 4.875%, 05/20/13....................................... 1,475 1,510,478 (u) 3.875%, 08/18/14....................................... 250 263,856 Kreditanstalt fur Wiederaufbau (u) 1.375%, 07/15/13....................................... 1,700 1,712,920 (u) 4.125%, 10/15/14....................................... 4,000 4,283,384 ----------- TOTAL GERMANY.............................................. 7,770,638 ----------- JAPAN -- (0.2%) Nomura Holdings, Inc. (u) 5.000%, 03/04/15....................................... 1,000 1,057,623 ----------- NETHERLANDS -- (5.0%) Bank Nederlandse Gemeenten NV (u) 2.750%, 07/01/15....................................... 9,500 9,992,100 Deutsche Telekom International Finance BV (u) 5.250%, 07/22/13....................................... 525 542,320
169 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^ Value+ ------- ----------- (000) NETHERLANDS -- (Continued) (u) 4.875%, 07/08/14....................................... 1,900 $ 2,025,745 Diageo Finance BV (u) 5.500%, 04/01/13....................................... 300 306,283 Nederlandse Waterschapsbank NV...................................... (u) 2.000%, 09/09/15....................................... 9,000 9,312,300 ----------- TOTAL NETHERLANDS.......................................... 22,178,748 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.7%)........ Asian Development Bank (u) 1.625%, 07/15/13....................................... 1,200 1,211,448 (u) 4.250%, 10/20/14....................................... 3,000 3,225,750 Council of Europe Development Bank (u) 4.000%, 04/15/15....................................... 8,000 8,636,960 Eurofima (u) 4.500%, 03/06/15....................................... 9,000 9,761,670 European Financial Stability Facility (e) 1.625%, 02/04/15....................................... 5,000 6,665,012 European Investment Bank (e) 2.500%, 07/15/15....................................... 6,000 8,235,380 Inter-American Development Bank (u) 1.000%, 01/07/15....................................... 1,000 1,005,116 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS............... 38,741,336 ----------- SWEDEN -- (3.4%) Svensk Exportkredit AB (e) 3.625%, 05/27/14....................................... 1,212 1,647,523 (u) 3.250%, 09/16/14....................................... 4,200 4,404,540 Svenska Handelsbanken AB (e) 1.500%, 07/06/15....................................... 7,000 9,222,231 ----------- TOTAL SWEDEN............................................... 15,274,294 ----------- SWITZERLAND -- (0.7%) Credit Suisse AG (u) 5.000%, 05/15/13....................................... 1,275 1,305,650 (u) 5.500%, 05/01/14....................................... 250 266,565 UBS AG (u) 2.250%, 08/12/13....................................... 1,485 1,504,287 ----------- TOTAL SWITZERLAND.......................................... 3,076,502 ----------- Face Amount^ Value+ ------- ----------- (000) UNITED KINGDOM -- (4.7%) Barclays Bank P.L.C. (u) 5.200%, 07/10/14....................................... 1,500 $ 1,603,796 BP Capital Markets P.L.C. (u) 5.250%, 11/07/13....................................... 3,500 3,669,309 British Telecommunications P.L.C. (u) 2.000%, 06/22/15....................................... 2,300 2,359,110 Diageo Capital P.L.C. (u) 5.200%, 01/30/13....................................... 1,175 1,189,243 Network Rail Infrastructure Finance P.L.C. (u) 1.500%, 01/13/14....................................... 3,000 3,039,840 Rio Tinto Finance USA P.L.C. (u) 1.125%, 03/20/15....................................... 3,850 3,885,281 Royal Bank of Scotland Group P.L.C. (u) 2.550%, 09/18/15....................................... 3,000 3,075,336 Vodafone Group P.L.C. (u) 4.150%, 06/10/14....................................... 1,825 1,927,973 ----------- TOTAL UNITED KINGDOM....................................... 20,749,888 ----------- UNITED STATES -- (45.1%) ACE INA Holdings, Inc. 5.875%, 06/15/14........................................ $1,250 1,352,914 Aflac, Inc. 3.450%, 08/15/15........................................ 3,800 4,061,957 Agilent Technologies, Inc. 2.500%, 07/15/13........................................ 1,000 1,011,596 Air Products & Chemicals, Inc. 4.150%, 02/01/13........................................ 500 504,577 Allstate Corp. (The) 5.000%, 08/15/14........................................ 2,130 2,290,924 American Express Credit Corp. 5.875%, 05/02/13........................................ 650 667,347 5.125%, 08/25/14........................................ 1,700 1,835,196 1.750%, 06/12/15........................................ 1,200 1,230,557 Amgen, Inc. 4.850%, 11/18/14........................................ 1,000 1,083,220 Anheuser-Busch InBev Worldwide, Inc. 2.500%, 03/26/13........................................ 350 352,783 Archer-Daniels-Midland Co. 7.125%, 03/01/13........................................ 325 332,003 Arrow Electronics, Inc. 6.875%, 07/01/13........................................ 350 363,787 Assurant, Inc. 5.625%, 02/15/14........................................ 2,000 2,078,162 170 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) AT&T, Inc. 2.500%, 08/15/15........................................ $2,500 $2,633,483 AutoZone, Inc. 4.375%, 06/01/13........................................ 100 102,162 Avery Dennison Corp. 4.875%, 01/15/13........................................ 200 201,693 Baltimore Gas & Electric Co. 6.125%, 07/01/13........................................ 500 518,482 Bank of America Corp. 7.375%, 05/15/14........................................ 2,000 2,185,274 Baxter International, Inc. 1.800%, 03/15/13........................................ 1,490 1,497,869 BB&T Corp. 3.375%, 09/25/13........................................ 550 563,992 5.700%, 04/30/14........................................ 1,587 1,705,212 Berkshire Hathaway Finance Corp. 4.850%, 01/15/15........................................ 5,000 5,462,530 BlackRock, Inc. 2.250%, 12/10/12........................................ 1,400 1,402,507 3.500%, 12/10/14........................................ 2,000 2,122,634 Boeing Capital Corp. 5.800%, 01/15/13........................................ 950 960,509 Boeing Co. (The) 1.875%, 11/20/12........................................ 350 350,231 Boston Scientific Corp. 4.500%, 01/15/15........................................ 3,005 3,220,446 Bristol-Myers Squibb Co. 5.250%, 08/15/13........................................ 1,175 1,220,447 Burlington Northern Santa Fe LLC 4.300%, 07/01/13........................................ 1,200 1,230,138 4.875%, 01/15/15........................................ 200 216,869 Campbell Soup Co. 5.000%, 12/03/12........................................ 350 351,240 Capital One Financial Corp. 6.250%, 11/15/13........................................ 150 158,239 7.375%, 05/23/14........................................ 1,189 1,305,576 Cardinal Health, Inc. 4.000%, 06/15/15........................................ 3,000 3,218,478 Caterpillar Financial Services Corp. 2.000%, 04/05/13........................................ 400 402,838 6.200%, 09/30/13........................................ 1,000 1,052,477 CenterPoint Energy Resources Corp. 7.875%, 04/01/13........................................ 425 436,952 Charles Schwab Corp. (The) 4.950%, 06/01/14........................................ 2,200 2,346,828 Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) Chubb Corp. (The) 5.200%, 04/01/13........................................ $ 350 $ 356,855 Cisco Systems, Inc. 1.625%, 03/14/14........................................ 1,550 1,575,587 Citigroup, Inc. 6.500%, 08/19/13........................................ 625 653,573 6.375%, 08/12/14........................................ 1,250 1,362,082 CNA Financial Corp. 5.850%, 12/15/14........................................ 277 301,737 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13........................................ 1,607 1,614,335 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13........................................ 675 694,311 Computer Sciences Corp. 2.500%, 09/15/15........................................ 2,000 2,042,790 Consolidated Edison Co. of New York, Inc. 4.700%, 02/01/14........................................ 400 420,030 CSX Corp. 5.500%, 08/01/13........................................ 425 440,407 Daimler Finance North America LLC 6.500%, 11/15/13........................................ 2,100 2,224,692 Dell, Inc. 2.100%, 04/01/14........................................ 1,500 1,530,698 2.300%, 09/10/15........................................ 1,000 1,040,700 DIRECTV Holdings LLC 4.750%, 10/01/14........................................ 1,500 1,610,778 Dominion Resources, Inc. 5.000%, 03/15/13........................................ 325 330,330 Dr. Pepper Snapple Group, Inc. 2.350%, 12/21/12........................................ 375 375,941 E.I. Du Pont de Nemours & Co. 4.750%, 11/15/12........................................ 350 350,429 eBay, Inc. 0.875%, 10/15/13........................................ 1,435 1,439,116 Ecolab, Inc. 1.000%, 08/09/15........................................ 2,000 2,009,256 Emerson Electric Co. 5.625%, 11/15/13........................................ 1,200 1,263,394 Enbridge Energy Partners LP 5.350%, 12/15/14........................................ 1,475 1,604,308 Energy Transfer Partners LP 6.000%, 07/01/13........................................ 425 438,650 5.950%, 02/01/15........................................ 1,200 1,324,957 171 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) Enterprise Products Operating LLC 5.600%, 10/15/14........................................ $2,666 $2,906,156 Exelon Generation Co. LLC 5.350%, 01/15/14........................................ 1,100 1,156,182 Express Scripts Holding Co. 6.250%, 06/15/14........................................ 3,465 3,764,608 Fifth Third Bancorp 6.250%, 05/01/13........................................ 875 899,422 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15........................................ 2,475 2,500,245 General Electric Capital Corp. 2.100%, 01/07/14........................................ 600 610,885 2.150%, 01/09/15........................................ 6,000 6,165,288 1.625%, 07/02/15........................................ 2,000 2,034,288 Goldman Sachs Group, Inc. (The) 5.250%, 10/15/13........................................ 250 260,622 3.300%, 05/03/15........................................ 3,500 3,655,431 Hartford Financial Services Group, Inc. 4.000%, 03/30/15........................................ 1,400 1,471,077 Hess Corp. 7.000%, 02/15/14........................................ 175 188,892 Hewlett-Packard Co. 1.250%, 09/13/13........................................ 1,500 1,500,567 2.625%, 12/09/14........................................ 1,300 1,324,224 HSBC Finance Corp. 4.750%, 07/15/13........................................ 1,575 1,617,018 John Deere Capital Corp. 1.875%, 06/17/13........................................ 1,250 1,261,320 JPMorgan Chase & Co. 3.700%, 01/20/15........................................ 2,800 2,964,683 3.400%, 06/24/15........................................ 1,000 1,058,784 KeyCorp 6.500%, 05/14/13........................................ 1,000 1,030,985 Kimberly-Clark Corp. 5.000%, 08/15/13........................................ 1,000 1,037,186 Kroger Co. (The) 5.500%, 02/01/13........................................ 640 647,397 Lowe's Cos, Inc. 5.000%, 10/15/15........................................ 1,050 1,183,977 McKesson Corp. 6.500%, 02/15/14........................................ 2,445 2,619,008 MetLife, Inc. 2.375%, 02/06/14........................................ 420 429,368 5.500%, 06/15/14........................................ 1,250 1,348,788 5.000%, 06/15/15........................................ 500 553,742 Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) Microsoft Corp. 0.875%, 09/27/13........................................ $1,300 $1,306,496 2.950%, 06/01/14........................................ 2,300 2,390,533 Morgan Stanley 4.100%, 01/26/15........................................ 2,000 2,082,906 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15........................................ 2,800 2,937,469 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13........................................ 750 762,863 Northern Trust Corp. 5.500%, 08/15/13........................................ 1,068 1,110,864 Occidental Petroleum Corp. 1.450%, 12/13/13........................................ 1,000 1,011,737 PACCAR Financial Corp. 2.050%, 06/17/13........................................ 100 101,091 0.750%, 08/14/15........................................ 2,000 2,001,094 Pacific Gas & Electric Co. 4.800%, 03/01/14........................................ 3,000 3,160,140 Philip Morris International, Inc. 4.875%, 05/16/13........................................ 1,265 1,294,182 Pitney Bowes, Inc. 4.875%, 08/15/14........................................ 2,000 2,094,320 Plains All American Pipeline LP 3.950%, 09/15/15........................................ 1,330 1,444,313 PNC Funding Corp. 5.400%, 06/10/14........................................ 2,075 2,233,594 Praxair, Inc. 2.125%, 06/14/13........................................ 1,000 1,009,739 Principal Financial Group, Inc. 7.875%, 05/15/14........................................ 2,958 3,271,063 Procter & Gamble Co. (The) (e) 4.500%, 05/12/14....................................... 4,000 5,509,436 Prudential Financial, Inc. 6.200%, 01/15/15........................................ 2,448 2,696,653 Qwest Corp. 7.500%, 10/01/14........................................ 2,300 2,558,934 Reynolds American, Inc. 7.250%, 06/01/13........................................ 900 933,945 Safeway, Inc. 5.625%, 08/15/14........................................ 2,000 2,139,208 Sempra Energy 2.000%, 03/15/14........................................ 416 421,976 Spectra Energy Capital LLC 5.500%, 03/01/14........................................ 1,500 1,581,377 5.668%, 08/15/14........................................ 955 1,031,309 St. Jude Medical, Inc. 2.200%, 09/15/13........................................ 3,325 3,367,587 172 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount Value+ ------- ------------ (000) UNITED STATES -- (Continued) 3.750%, 07/15/14...................................... $ 100 $ 105,206 State Street Corp. 4.300%, 05/30/14...................................... 1,400 1,482,265 SunTrust Banks, Inc. 5.250%, 11/05/12...................................... 425 425,000 Target Corp. 4.000%, 06/15/13...................................... 1,000 1,020,486 TD Ameritrade Holding Corp. 4.150%, 12/01/14...................................... 2,350 2,512,716 Texas Instruments, Inc. 0.875%, 05/15/13...................................... 500 501,772 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15...................................... 2,250 2,367,963 Toyota Motor Credit Corp. 1.000%, 02/17/15...................................... 3,000 3,025,461 0.875%, 07/17/15...................................... 2,000 2,009,342 Travelers Property Casualty Corp. 5.000%, 03/15/13...................................... 1,175 1,194,094 Union Bank NA 2.125%, 12/16/13...................................... 1,400 1,426,806 UnitedHealth Group, Inc. 5.000%, 08/15/14...................................... 1,170 1,253,642 Valero Energy Corp. 4.750%, 04/01/14...................................... 1,125 1,175,890 4.500%, 02/01/15...................................... 900 970,599 Viacom, Inc. 4.375%, 09/15/14...................................... 1,229 1,312,004 Walt Disney Co. (The) 0.875%, 12/01/14...................................... 1,500 1,515,777 Waste Management, Inc. 6.375%, 11/15/12...................................... 325 325,526 WellPoint, Inc. 5.000%, 12/15/14...................................... 2,500 2,714,670 Wells Fargo & Co. 3.750%, 10/01/14...................................... 2,300 2,440,900 1.250%, 02/13/15...................................... 1,000 1,011,581 Williams Partners LP 3.800%, 02/15/15...................................... 1,500 1,598,544 ------------ TOTAL UNITED STATES...................................... 200,070,301 ------------ TOTAL BONDS.............................................. 395,798,294 ------------ AGENCY OBLIGATIONS -- (5.0%) Federal Home Loan Mortgage Corporation 2.875%, 02/09/15...................................... 11,000 11,623,513
Face Amount Value+ ------- ------------ (000) Federal National Mortgage Association 0.500%, 07/02/15...................................... $10,500 $ 10,525,053 ------------ TOTAL AGENCY OBLIGATIONS................................. 22,148,566 ------------ U.S. TREASURY OBLIGATIONS -- (5.9%) U.S Treasury Note ^^@@ 0.375%, 07/31/13.................................... 26,000 26,034,528 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $441,274,363) $443,981,388 ============
173 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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............................. -- $395,798,294 -- $395,798,294 Agency Obligations................ -- 22,148,566 -- 22,148,566 U.S. Treasury Obligations......... -- 26,034,528 -- 26,034,528 Swap Agreements**................. -- 1,271,996 -- 1,271,996 Futures Contracts**............... $147,488 -- -- 147,488 Forwards Currency Contracts**..... -- (1,497,516) -- (1,497,516) -------- ------------ -- ------------ TOTAL............................. $147,488 $443,755,868 -- $443,903,356 ======== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Schedules of Investments. 174 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value............................................. $ 443,981 Temporary Cash Investments at Value & Cost....................... 857 Cash............................................................. 6,441 Receivables: Interest...................................................... 4,597 Fund Shares Sold.............................................. 3,013 Unrealized Gain on Swap Contracts................................ 2,549 Unrealized Gain on Forward Currency Contracts.................... 42 Prepaid Expenses and Other Assets................................ 17 ------------ Total Assets.................................................. 461,497 ------------ LIABILITIES: Payables: Fund Shares Redeemed.......................................... 404 Due to Advisor................................................ 114 Futures Margin Variation...................................... 45 Unrealized Loss on Swap Contracts................................ 1,274 Unrealized Loss on Forward Currency Contracts.................... 1,540 Accrued Expenses and Other Liabilities........................... 41 ------------ Total Liabilities......................................... 3,418 ------------ NET ASSETS....................................................... $ 458,079 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 48,728,681 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.40 ============ Investments at Cost.............................................. $ 441,274 ------------ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 452,773 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 1,816 Accumulated Net Realized Gain (Loss)............................. 848 Net Unrealized Foreign Exchange Gain (Loss)...................... (1,489) Net Unrealized Appreciation (Depreciation)....................... 4,131 ------------ NET ASSETS....................................................... $ 458,079 ============ (1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000 ============ See accompanying Notes to Financial Statements. 175 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) Investment Income Interest...................................................................................... $ 3,778 -------- Total Investment Income................................................................... 3,778 -------- Expenses Investment Advisory Services Fees............................................................. 1,160 Accounting & Transfer Agent Fees.............................................................. 64 Custodian Fees................................................................................ 16 Filing Fees................................................................................... 46 Shareholders' Reports......................................................................... 13 Directors'/Trustees' Fees & Expenses.......................................................... 3 Professional Fees............................................................................. 34 Organizational & Offering Costs............................................................... 1 Other......................................................................................... 6 -------- Total Expenses............................................................................ 1,343 -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (172) Fees Paid Indirectly.......................................................................... (9) -------- Net Expenses.................................................................................. 1,162 -------- Net Investment Income (Loss).................................................................. 2,616 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................................................................ 1,207 Futures................................................................................... (2,170) Foreign Currency Transactions............................................................. 1,374 Swap Contracts............................................................................ (17,151) Change in Unrealized Appreciation (Depreciation) of: Investment Securities..................................................................... 1,848 Futures................................................................................... 112 Swap Contracts............................................................................ 3,344 Translation of Foreign Currency Denominated Amounts....................................... (1,489) -------- Net Realized and Unrealized Gain (Loss)....................................................... (12,925) -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................. $(10,309) ========
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 176 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Year Ended Period Oct. 31, November 9, 2010(a) 2012 to October 31, 2011 --------- ------------------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............................................................. $ 2,616 $ 1,106 Net Realized Gain (Loss) on: Investment Securities Sold........................................................... 1,207 227 Futures.............................................................................. (2,170) (1,328) Foreign Currency Transactions........................................................ 1,374 -- Swap Contracts....................................................................... (17,151) (10,020) Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................................................ 1,848 859 Futures.............................................................................. 112 37 Swap Contracts....................................................................... 3,344 (2,069) Translation of Foreign Currency Denominated Amounts.................................. (1,489) -- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (10,309) (11,188) --------- -------- Distributions From: Net Investment Income: Institutional Shares................................................................. (2,038) (574) Net Short-Term Gains: Institutional Shares................................................................. (151) -- --------- -------- Total Distributions............................................................... (2,189) (574) --------- -------- Capital Share Transactions (1): Shares Issued............................................................................ 371,713 278,288 Shares Issued in Lieu of Cash Distributions.............................................. 2,084 559 Shares Redeemed.......................................................................... (134,001) (36,304) --------- -------- Net Increase (Decrease) from Capital Share Transactions........................... 239,796 242,543 --------- -------- Total Increase (Decrease) in Net Assets........................................... 227,298 230,781 Net Assets Beginning of Period...................................................................... 230,781 -- --------- -------- End of Period............................................................................ $ 458,079 $230,781 ========= ======== (1) Shares Issued and Redeemed: Shares Issued............................................................................ 39,879 27,085 Shares Issued in Lieu of Cash Distributions.............................................. 232 52 Shares Redeemed.......................................................................... (14,994) (3,525) --------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 25,117 23,612 ========= ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 1,816 $ 231
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 177 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout the period)
Year Period Ended November 9, 2010(a) Oct. 31, to 2012 Oct. 31, 2011 -------- ------------------- Net Asset Value, Beginning of Period......................................................... $ 9.77 $ 10.00 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)........................................................... 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)................................ (0.37) (0.27) -------- -------- Total from Investment Operations...................................................... (0.30) (0.20) -------- -------- Less Distributions ------------------ Net Investment Income..................................................................... (0.06) (0.03) Net Realized Gains........................................................................ (0.01) -- -------- -------- Total Distributions................................................................... (0.07) (0.03) -------- -------- Net Asset Value, End of Period............................................................... $ 9.40 $ 9.77 ======== ======== Total Return................................................................................. (3.08)% (2.02)%(C) -------- -------- Net Assets, End of Period (thousands)........................................................ $458,079 $230,781 Ratio of Expenses to Average Net Assets...................................................... 0.35% 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)............................... 0.41% 0.53%(B)(E) Ratio of Net Investment Income to Average Net Assets......................................... 0.79% 0.64%(B)(E) Portfolio Turnover Rate...................................................................... 69% 50%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 178 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED NOTES TO FINANCIAL STATEMENTS A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of sixty-seven operational portfolios, one of which, DFA Commodity Strategy Portfolio(the "Portfolio"), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the "Subsidiary"), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the 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 179 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 had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolio estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board, generally based on average net assets. C. Basis for Consolidation: The Subsidiary commenced operations on November 9, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting principles relating to reporting of a wholly-owned subsidiary. The Portfolio will seek to gain exposure to commodities, commodities-related instruments, derivatives and other investments by directly investing in those instruments or through investments in the Subsidiary. The Subsidiary participates in the same investment goal as the Portfolio. The Subsidiary pursues its investment goal by investing in commodities, commodities-related instruments, derivatives and other investments. The Subsidiary (unlike the Portfolio) may invest without limitation in these instruments. However, the Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's assets exposed to any particular commodity, derivative or other investment will vary based on market conditions, but from time to time some exposure could be substantial. To the extent of the Portfolio's investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Porfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and 180 other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. As of October 31, 2012, the Portfolio held $75,170,235 in the Subsidiary, representing 16.33% of the Portfolio's total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses of the Portfolio and its wholly-owned Subsidiary. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolio. For the year ended October 31, 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 and excluding any applicable 12b-1 fees) ("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 October 31, 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 year ended October 31, 2012, approximately $172 (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 year ended October 31, 2012, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- DFA Commodity Strategy Portfolio. $9
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $234 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. 181 E. Deferred Compensation: At October 31, 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 year ended October 31, 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 --------- ------- --------- -------- $80,319 $63,085 $372,169 $154,366
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, 2012, 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 net foreign currency gains/losses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) - --------------- -------------- -------------- DFA Commodity Strategy Portfolio. $(18,602) $1,007 $17,595
The tax character of dividends and distributions declared and paid during the period ended October 31, 2012 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 2012............................. 2,410 $37 2,447
182 At October 31, 2012, 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. $221 $37 $258
At October 31, 2012 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. $864 $422 -- $1,286
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Portfolio after October 31, 2011 will not be subject to expiration and will retain its character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the Portfolio did not have any capital loss carryforwards. At October 31, 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 Commodity Strategy Portfolio. $442,131 $2,762 $(55) $2,707
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 Portfolio's financial statements. The Portfolio is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. H. Financial Instruments: In accordance with the Portfolio's investment objectives and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in 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 Portfolio may be inhibited. 183 Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolio. The Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio's total assets in the 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 October 31, 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 October 31, 2012 Gain (Loss) ---------- -------- -------- -------- ---------------- ----------- 12/06/12 (41,897) Euro $(52,788) $(54,325) $(1,537) 12/06/12 (278) Euro (357) (360) (3) 12/06/12 (4,726) Euro (6,170) (6,128) 42 -------- -------- ------- $(59,315) $(60,813) $(1,498) ======== ======== =======
* During the year ended October 31, 2012, the Portfolio's average cost basis contract amount of forward currency contracts was $(44,772) (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 and the Subsidiary 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 184 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 185 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. 186 At October 31, 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* Amount Gain (Loss) ----------- ---------- ---------- -------- ----------- Brent Crude Futures 01/31/13 9 $ 968 $(13) CBT Wheat Futures 05/16/13 32 1,418 10 Coffee 'C' Futures 12/31/12 6 348 (16) Copper Futures 12/31/12 16 1,407 -- Corn Futures 05/16/13 42 1,580 14 Cotton No. 2 Futures 12/20/12 8 280 (4) Gasoline RBOB Futures 01/30/13 6 656 (20) Gold 100oz Futures 12/20/12 12 2,063 68 Heating Oil Futures 04/29/13 6 749 (4) Lean Hogs Futures 12/18/12 13 407 25 Live Cattle Futures 12/18/12 15 756 1 LME Nickel Futures 12/19/12 5 485 (17) LME Prime Aluminum Futures 12/19/12 23 1,093 (13) LME Zinc Futures 12/19/12 14 648 (2) Natural Gas Futures 04/30/13 70 2,640 130 Silver Futures 12/31/12 4 646 53 Soybean Futures 03/18/13 40 3,048 (6) Soybean Oil Futures 05/23/13 22 678 (12) Sugar #11 Futures 05/15/13 29 632 (17) WTI Crude Futures 07/31/13 12 1,071 (28) ------- ---- $21,573 $149 ======= ====
Dimensional Cayman Commodity Fund I, LTD.'s securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2012 the Dimensional Cayman Commodity Fund I, LTD.'s average notional contract amount of outstanding futures contracts was $13,350 (in thousands). At October 31, 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. 12/31/12 USD $256,404 $ 485 Deutsche Bank AG, London Branch 11/28/12 USD 92,985 174 Deutsche Bank AG, London Branch 12/18/12 USD (25,000) 1,430 Deutsche Bank AG, London Branch 06/19/13 USD 25,000 (1,068) Deutsche Bank AG, London Branch 11/26/12 USD (23,025) (206) Deutsche Bank AG, London Branch 11/26/12 USD 21,870 304 UBS AG 01/29/13 USD 82,958 156 -------- ------- $431,192 $ 1,275 ======== =======
187 * During the year ended October 31, 2012 the Portfolio's average notional value of outstanding swap contracts was $316,129 (in thousands). The following is a summary of the location of derivatives on the Portfolio's Statement of Assets and Liabilities as of October 31, 2012:
Location on the Statements of Assets and Liabilities ----------------------------------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------------------- ------------------------------------- Commodity Contracts Payables: Futures Margin Variation Foreign Exchange Contracts Unrealized Gain on Forward Currency Unrealized Loss on Forward Currency Contracts Contracts Other Contracts Unrealized Gain on Swap Contracts Unrealized Loss on Swap Contracts
The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2012 (amounts in thousands):
Asset Derivatives Value ---------------------------- Total Value Foreign at Commodity Exchange Other Oct. 31, 2012 Contracts Contracts Contracts - ------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $ 2,740 $149* $42 $ 2,549 Liability Derivatives Value ---------------------------- Total Value Foreign at Exchange Other Oct. 31, 2012 Contracts Contracts ------------- ------------------- --------- Dimensional Cayman Commodity Fund I, LTD. $(2,814) $(1,540) $(1,274)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location on the Portfolio's Statement of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the year ended October 31, 2012 (amounts in thousands): Location of Gain (Loss) on Derivative Type 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 188 The following is a summary of the realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 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. $(17,357) $(2,170) $ 1,964 $(17,151) Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------------- Foreign Commodity Exchange Other Total Contracts Contracts Contracts -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $ 1,958 $ 112 $(1,498) $ 3,344
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, 2013. There were no borrowings by the Portfolio under this line of credit during the year ended October 31, 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. The Fund 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 year ended October 31, 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information 189 related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. Other: At October 31, 2012, three shareholders held 87% 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. 190 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of DFA Commodity Strategy Portfolio and Board of Directors of DFA Investment Dimensions Group Inc.: In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of DFA Commodity Strategy Portfolio and its subsidiary (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolio") at October 31, 2012, the results of its operations for the year then ended, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 191 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS DFA International Value Portfolio Class R2 vs. MSCI World ex USA Index (net dividends) April 30, 2008-October 31, 2012
DFA International Value MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R2 USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------- -------------------- 2008-04-30 2008-05-31 0.00% 1.52% 04/2008 10000 10000 2008-05-31 2008-06-30 -9.94% -7.78% 05/2008 10000 10151.7473 2008-06-30 2008-07-31 -2.82% -3.56% 06/2008 9005.626951 9362.319226 2008-07-31 2008-08-31 -4.23% -3.87% 07/2008 8751.649225 9029.149518 2008-08-31 2008-09-30 -11.66% -14.44% 08/2008 8381.265038 8679.965473 2008-09-30 2008-10-31 -25.22% -20.80% 09/2008 7404.32448 7426.766859 2008-10-31 2008-11-30 -6.20% -5.42% 10/2008 5537.147002 5881.853535 2008-11-30 2008-12-31 7.70% 5.27% 11/2008 5193.758041 5562.881341 2008-12-31 2009-01-31 -13.84% -9.33% 12/2008 5593.526873 5856.130766 2009-01-31 2009-02-28 -12.44% -10.12% 01/2009 4819.37403 5309.712088 2009-02-28 2009-03-31 11.04% 6.59% 02/2009 4219.678167 4772.200545 2009-03-31 2009-04-30 18.22% 12.90% 03/2009 4685.541611 5086.667278 2009-04-30 2009-05-31 14.82% 12.65% 04/2009 5539.448726 5742.636539 2009-05-31 2009-06-30 -1.45% -1.04% 05/2009 6360.513261 6468.886016 2009-06-30 2009-07-31 11.78% 9.39% 06/2009 6268.441251 6401.898676 2009-07-31 2009-08-31 5.67% 4.79% 07/2009 7006.57292 7003.022114 2009-08-31 2009-09-30 5.19% 4.13% 08/2009 7404.028433 7338.644408 2009-09-30 2009-10-31 -4.12% -1.61% 09/2009 7788.557437 7641.425059 2009-10-31 2009-11-30 2.92% 2.47% 10/2009 7467.379811 7518.756328 2009-11-30 2009-12-31 1.09% 1.59% 11/2009 7685.321771 7704.789504 2009-12-31 2010-01-31 -5.83% -4.69% 12/2009 7769.192928 7827.612036 2010-01-31 2010-02-28 0.32% -0.10% 01/2010 7316.280335 7460.697378 2010-02-28 2010-03-31 7.92% 6.44% 02/2010 7339.506622 7453.220585 2010-03-31 2010-04-30 -1.76% -1.49% 03/2010 7920.4971 7933.009755 2010-04-30 2010-05-31 -11.66% -11.03% 04/2010 7780.928869 7814.726394 2010-05-31 2010-06-30 -1.79% -1.45% 05/2010 6873.735368 6952.373221 2010-06-30 2010-07-31 12.34% 9.24% 06/2010 6750.523978 6851.798755 2010-07-31 2010-08-31 -4.94% -2.99% 07/2010 7583.772914 7485.078183 2010-08-31 2010-09-30 10.83% 9.59% 08/2010 7209.414697 7261.351117 2010-09-30 2010-10-31 3.36% 3.56% 09/2010 7990.200894 7957.910109 2010-10-31 2010-11-30 -5.12% -4.23% 10/2010 8258.574053 8241.403697 2010-11-30 2010-12-31 9.33% 8.05% 11/2010 7836.116939 7892.384622 2010-12-31 2011-01-31 4.24% 2.15% 12/2010 8567.304672 8527.891765 2011-01-31 2011-02-28 3.29% 3.71% 01/2011 8930.681379 8711.598845 2011-02-28 2011-03-31 -2.80% -2.00% 02/2011 9224.17795 9034.62076 2011-03-31 2011-04-30 5.31% 5.45% 03/2011 8966.260639 8853.634675 2011-04-30 2011-05-31 -3.66% -2.96% 04/2011 9442.593235 9335.818148 2011-05-31 2011-06-30 -1.41% -1.42% 05/2011 9097.018606 9059.063804 2011-06-30 2011-07-31 -3.23% -1.65% 06/2011 8968.489466 8930.043361 2011-07-31 2011-08-31 -10.77% -8.45% 07/2011 8679.030283 8782.734618 2011-08-31 2011-09-30 -10.95% -10.04% 08/2011 7744.219476 8040.214867 2011-09-30 2011-10-31 9.55% 9.73% 09/2011 6896.004492 7232.79322 2011-10-31 2011-11-30 -3.28% -4.62% 10/2011 7554.584853 7936.207057 2011-11-30 2011-12-31 -2.74% -1.09% 11/2011 7306.424139 7569.453347 2011-12-31 2012-01-31 6.64% 5.40% 12/2011 7106.352978 7486.857424 2012-01-31 2012-02-29 5.21% 5.50% 01/2012 7578.503886 7891.074884 2012-02-29 2012-03-31 -0.84% -0.74% 02/2012 7973.568933 8324.914722 2012-03-31 2012-04-30 -3.60% -1.70% 03/2012 7906.619144 8263.299091 2012-04-30 2012-05-31 -12.41% -11.40% 04/2012 7622.000151 8123.046992 2012-05-31 2012-06-30 7.04% 6.55% 05/2012 6676.486208 7196.983824 2012-06-30 2012-07-31 -0.48% 1.25% 06/2012 7146.350142 7668.554475 2012-07-31 2012-08-31 4.15% 2.85% 07/2012 7111.94543 7764.038979 2012-08-31 2012-09-30 3.48% 3.04% 08/2012 7406.84296 7985.556671 2012-09-30 2012-10-31 1.22% 0.70% 09/2012 7664.940132 8228.010783 10/31/2012 7758.715959 8285.669913
One Year From 04/30/2008 -------- --------------- 2.70% -5.48% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. DFA International Value Portfolio Institutional Class vs. MSCI World ex USA Index (net dividends) October 31, 2002-October 31, 2012
DFA International Value MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio-Institutional Class USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------------- -------------------- 2002-10-31 2002-11-30 6.00% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.57% -3.23% 11/2002 10599.76932 10460.38388 2002-12-31 2003-01-31 -3.37% -3.81% 12/2002 10327.68049 10122.31597 2003-01-31 2003-02-28 -1.97% -1.97% 01/2003 9979.947141 9736.633173 2003-02-28 2003-03-31 -2.46% -1.93% 02/2003 9782.898242 9544.699524 2003-03-31 2003-04-30 10.95% 9.60% 03/2003 9542.079235 9360.754077 2003-04-30 2003-05-31 7.57% 6.20% 04/2003 10586.83244 10259.0855 2003-05-31 2003-06-30 3.22% 2.43% 05/2003 11387.80989 10895.37242 2003-06-30 2003-07-31 4.50% 2.29% 06/2003 11754.16167 11160.05075 2003-07-31 2003-08-31 2.59% 2.58% 07/2003 12283.62841 11416.08512 2003-08-31 2003-09-30 3.84% 3.00% 08/2003 12601.30845 11710.45636 2003-09-30 2003-10-31 7.85% 6.26% 09/2003 13084.80116 12061.78555 2003-10-31 2003-11-30 2.09% 2.27% 10/2003 14112.21786 12817.10429 2003-11-30 2003-12-31 7.47% 7.67% 11/2003 14407.45254 13107.63318 2003-12-31 2004-01-31 2.53% 1.39% 12/2003 15483.80439 14112.72688 2004-01-31 2004-02-29 2.99% 2.30% 01/2004 15875.94985 14309.22909 2004-02-29 2004-03-31 1.56% 0.50% 02/2004 16351.2777 14638.3333 2004-03-31 2004-04-30 -3.01% -2.62% 03/2004 16605.58832 14711.61449 2004-04-30 2004-05-31 0.96% 0.47% 04/2004 16106.35087 14326.52241 2004-05-31 2004-06-30 4.14% 2.31% 05/2004 16260.87675 14393.48999 2004-06-30 2004-07-31 -3.69% -3.05% 06/2004 16933.74416 14725.88378 2004-07-31 2004-08-31 1.25% 0.42% 07/2004 16309.23728 14276.8102 2004-08-31 2004-09-30 3.19% 2.91% 08/2004 16513.403 14336.16895 2004-09-30 2004-10-31 3.83% 3.59% 09/2004 17040.98221 14754.05385 2004-10-31 2004-11-30 7.37% 6.65% 10/2004 17693.15303 15284.2776 2004-11-30 2004-12-31 4.98% 4.22% 11/2004 18997.49469 16300.75747 2004-12-31 2005-01-31 -1.04% -1.97% 12/2004 19942.94831 16989.40669 2005-01-31 2005-02-28 3.95% 4.45% 01/2005 19735.84378 16654.94269 2005-02-28 2005-03-31 -2.50% -2.27% 02/2005 20515.53144 17395.84581 2005-03-31 2005-04-30 -3.05% -2.55% 03/2005 20002.57057 17000.98254 2005-04-30 2005-05-31 0.13% 0.18% 04/2005 19393.10773 16567.48433 2005-05-31 2005-06-30 1.58% 1.63% 05/2005 19417.48624 16597.69751 2005-06-30 2005-07-31 4.45% 3.23% 06/2005 19723.3446 16869.00377 2005-07-31 2005-08-31 3.30% 2.76% 07/2005 20600.21215 17413.79488 2005-08-31 2005-09-30 2.79% 4.56% 08/2005 21279.47574 17894.53946 2005-09-30 2005-10-31 -1.53% -3.23% 09/2005 21873.30675 18711.18961 2005-10-31 2005-11-30 1.79% 2.65% 10/2005 21538.32134 18106.58452 2005-11-30 2005-12-31 4.86% 4.64% 11/2005 21922.93422 18586.07722 2005-12-31 2006-01-31 6.81% 6.32% 12/2005 22988.25211 19447.8385 2006-01-31 2006-02-28 0.93% -0.34% 01/2006 24554.76458 20677.90796 2006-02-28 2006-03-31 4.21% 3.17% 02/2006 24784.01031 20608.4637 2006-03-31 2006-04-30 5.03% 4.78% 03/2006 25828.35195 21262.03853 2006-04-30 2006-05-31 -4.04% -3.80% 04/2006 27127.41107 22278.72975 2006-05-31 2006-06-30 -0.69% -0.13% 05/2006 26032.12593 21432.31082 2006-06-30 2006-07-31 1.55% 0.94% 06/2006 25853.70737 21404.7152 2006-07-31 2006-08-31 3.40% 2.84% 07/2006 26254.23957 21605.26571 2006-08-31 2006-09-30 1.40% -0.08% 08/2006 27145.74672 22219.30598 2006-09-30 2006-10-31 4.42% 3.95% 09/2006 27525.69601 22201.41652 2006-10-31 2006-11-30 3.27% 2.98% 10/2006 28741.21819 23078.81278 2006-11-30 2006-12-31 3.89% 2.87% 11/2006 29682.26762 23766.23179 2006-12-31 2007-01-31 1.86% 0.61% 12/2006 30837.95238 24447.67862 2007-01-31 2007-02-28 -0.08% 0.80% 01/2007 31411.24765 24596.81523 2007-02-28 2007-03-31 3.21% 2.56% 02/2007 31384.58275 24793.58307 2007-03-31 2007-04-30 5.02% 4.55% 03/2007 32390.52649 25428.87548 2007-04-30 2007-05-31 3.41% 2.22% 04/2007 34018.05706 26585.83302 2007-05-31 2007-06-30 -0.73% 0.10% 05/2007 35178.67313 27176.22708 2007-06-30 2007-07-31 -2.79% -1.38% 06/2007 34921.77255 27203.4992 2007-07-31 2007-08-31 -1.16% -1.45% 07/2007 33946.07692 26827.45133 2007-08-31 2007-09-30 5.20% 5.68% 08/2007 33553.0884 26439.13227 2007-09-30 2007-10-31 4.82% 4.35% 09/2007 35299.35435 27941.23223 2007-10-31 2007-11-30 -6.08% -3.91% 10/2007 37002.33363 29155.8544 2007-11-30 2007-12-31 -2.18% -1.88% 11/2007 34754.40098 28015.69869 2007-12-31 2008-01-31 -8.10% -9.02% 12/2007 33996.95854 27489.05893 2008-01-31 2008-02-29 -1.30% 1.81% 01/2008 31243.09308 25010.60702 2008-02-29 2008-03-31 1.20% -1.43% 02/2008 30837.70172 25463.85563 2008-03-31 2008-04-30 4.44% 5.56% 03/2008 31208.57186 25100.36419 2008-04-30 2008-05-31 0.04% 1.52% 04/2008 32594.06452 26495.58367 2008-05-31 2008-06-30 -9.93% -7.78% 05/2008 32608.05939 26897.647 2008-06-30 2008-07-31 -2.83% -3.56% 06/2008 29370.82391 24806.01124 2008-07-31 2008-08-31 -4.22% -3.87% 07/2008 28539.43896 23923.25865 2008-08-31 2008-09-30 -11.67% -14.44% 08/2008 27335.36418 22998.07514 2008-09-30 2008-10-31 -25.09% -20.80% 09/2008 24144.95697 19677.65227 2008-10-31 2008-11-30 -6.14% -5.42% 10/2008 18087.08247 15584.31425 2008-11-30 2008-12-31 7.48% 5.27% 11/2008 16976.47214 14739.1788 2008-12-31 2009-01-31 -13.77% -9.33% 12/2008 18245.54429 15516.16027 2009-01-31 2009-02-28 -12.28% -10.12% 01/2009 15732.42393 14068.39209 2009-02-28 2009-03-31 10.86% 6.59% 02/2009 13800.37187 12644.22388 2009-03-31 2009-04-30 18.36% 12.90% 03/2009 15299.27245 13477.42184 2009-04-30 2009-05-31 14.87% 12.65% 04/2009 18108.74874 15215.45069 2009-05-31 2009-06-30 -1.50% -1.04% 05/2009 20801.77005 17139.69107 2009-06-30 2009-07-31 11.83% 9.39% 06/2009 20489.9563 16962.2042 2009-07-31 2009-08-31 5.68% 4.79% 07/2009 22914.45329 18554.91583 2009-08-31 2009-09-30 5.14% 4.13% 08/2009 24215.40289 19444.16669 2009-09-30 2009-10-31 -4.02% -1.61% 09/2009 25461.20336 20246.4017 2009-10-31 2009-11-30 2.92% 2.47% 10/2009 24436.81675 19921.38374 2009-11-30 2009-12-31 1.17% 1.59% 11/2009 25149.43352 20414.28949 2009-12-31 2010-01-31 -5.81% -4.69% 12/2009 25443.82537 20739.71496 2010-01-31 2010-02-28 0.31% -0.10% 01/2010 23966.44196 19767.55316 2010-02-28 2010-03-31 7.97% 6.44% 02/2010 24041.05729 19747.74296 2010-03-31 2010-04-30 -1.73% -1.49% 03/2010 25957.78491 21018.97237 2010-04-30 2010-05-31 -11.77% -11.03% 04/2010 25509.72188 20705.5737 2010-05-31 2010-06-30 -1.74% -1.45% 05/2010 22507.69958 18420.71863 2010-06-30 2010-07-31 12.47% 9.24% 06/2010 22116.59996 18154.24072 2010-07-31 2010-08-31 -4.94% -2.99% 07/2010 24875.49043 19832.15152 2010-08-31 2010-09-30 10.71% 9.59% 08/2010 23647.63258 19239.37361 2010-09-30 2010-10-31 3.55% 3.56% 09/2010 26180.33381 21084.94731 2010-10-31 2010-11-30 -5.11% -4.23% 10/2010 27108.82239 21836.08012 2010-11-30 2010-12-31 9.37% 8.05% 11/2010 25723.70008 20911.33371 2010-12-31 2011-01-31 4.24% 2.15% 12/2010 28133.66739 22595.14698 2011-01-31 2011-02-28 3.29% 3.71% 01/2011 29327.58798 23081.88961 2011-02-28 2011-03-31 -2.76% -2.00% 02/2011 30291.90846 23937.75502 2011-03-31 2011-04-30 5.32% 5.45% 03/2011 29456.56933 23458.22183 2011-04-30 2011-05-31 -3.61% -2.96% 04/2011 31022.26504 24735.79508 2011-05-31 2011-06-30 -1.40% -1.42% 05/2011 29901.71811 24002.51829 2011-06-30 2011-07-31 -3.23% -1.65% 06/2011 29484.57427 23660.6711 2011-07-31 2011-08-31 -10.72% -8.45% 07/2011 28532.45196 23270.36799 2011-08-31 2011-09-30 -10.94% -10.04% 08/2011 25473.17375 21303.01857 2011-09-30 2011-10-31 9.49% 9.73% 09/2011 22685.27339 19163.70779 2011-10-31 2011-11-30 -3.23% -4.62% 10/2011 24837.55649 21027.44381 2011-11-30 2011-12-31 -2.67% -1.09% 11/2011 24036.33538 20055.70845 2011-12-31 2012-01-31 6.72% 5.40% 12/2011 23393.74868 19836.86573 2012-01-31 2012-02-29 5.15% 5.50% 01/2012 24964.9706 20907.86348 2012-02-29 2012-03-31 -0.78% -0.74% 02/2012 26250.51581 22057.34745 2012-03-31 2012-04-30 -3.60% -1.70% 03/2012 26045.87111 21894.09324 2012-04-30 2012-05-31 -12.35% -11.40% 04/2012 25107.71092 21522.48712 2012-05-31 2012-06-30 7.04% 6.55% 05/2012 22007.01197 19068.8287 2012-06-30 2012-07-31 -0.41% 1.25% 06/2012 23556.58362 20318.28267 2012-07-31 2012-08-31 4.08% 2.85% 07/2012 23459.30936 20571.27444 2012-08-31 2012-09-30 3.55% 3.04% 08/2012 24415.8396 21158.19849 2012-09-30 2012-10-31 1.29% 0.70% 09/2012 25283.43726 21800.59481 10/31/2012 25609.25475 21953.36604
Five One Year Years Ten Years -------- ----- --------- 2.98% -7.10% 9.86% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. U.S. Large Company Portfolio vs. S&P 500(R) Index October 31, 2002-October 31, 2012
U.S. Large BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Portfolio S&P 500 Index --------- ---------- ----------- ----------------- ---------- ----------------- ------------- 2002-10-31 2002-11-30 5.90% 5.89% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.97% -5.88% 11/2002 10589.92806 10588.59043 2002-12-31 2003-01-31 -2.62% -2.62% 12/2002 9957.757337 9966.404855 2003-01-31 2003-02-28 -1.49% -1.50% 01/2003 9697.234617 9705.285048 2003-02-28 2003-03-31 0.92% 0.97% 02/2003 9552.49977 9559.705772 2003-03-31 2003-04-30 8.28% 8.24% 03/2003 9640.806344 9652.530516 2003-04-30 2003-05-31 5.29% 5.27% 04/2003 10439.36711 10447.60945 2003-05-31 2003-06-30 1.30% 1.28% 05/2003 10991.1 10998.094 2003-06-30 2003-07-31 1.70% 1.76% 06/2003 11134.45866 11138.8696 2003-07-31 2003-08-31 1.93% 1.95% 07/2003 11323.91934 11335.24787 2003-08-31 2003-09-30 -1.13% -1.06% 08/2003 11542.52782 11556.2852 2003-09-30 2003-10-31 5.77% 5.66% 09/2003 11411.63565 11433.55746 2003-10-31 2003-11-30 0.85% 0.88% 10/2003 12069.99925 12080.3538 2003-11-30 2003-12-31 5.14% 5.24% 11/2003 12172.41137 12186.66091 2003-12-31 2004-01-31 1.84% 1.84% 12/2003 12798.33163 12825.72941 2004-01-31 2004-02-29 1.35% 1.39% 01/2004 13033.70324 13061.14532 2004-02-29 2004-03-31 -1.45% -1.51% 02/2004 13210.23195 13242.68797 2004-03-31 2004-04-30 -1.59% -1.57% 03/2004 13018.66304 13042.85581 2004-04-30 2004-05-31 1.38% 1.37% 04/2004 12812.25163 12838.08298 2004-05-31 2004-06-30 1.96% 1.94% 05/2004 12989.1757 13014.22147 2004-06-30 2004-07-31 -3.35% -3.31% 06/2004 13244.24124 13267.21794 2004-07-31 2004-08-31 0.35% 0.40% 07/2004 12800.30019 12828.07303 2004-08-31 2004-09-30 1.09% 1.08% 08/2004 12844.6943 12879.77016 2004-09-30 2004-10-31 1.49% 1.53% 09/2004 12985.21644 13019.25807 2004-10-31 2004-11-30 4.06% 4.05% 10/2004 13178.36039 13218.19233 2004-11-30 2004-12-31 3.38% 3.40% 11/2004 13713.22056 13753.0004 2004-12-31 2005-01-31 -2.43% -2.44% 12/2004 14177.08805 14221.015 2005-01-31 2005-02-28 2.17% 2.10% 01/2005 13832.40198 13874.37776 2005-02-28 2005-03-31 -1.81% -1.77% 02/2005 14132.129 14166.29467 2005-03-31 2005-04-30 -1.84% -1.90% 03/2005 13877.03017 13915.40959 2005-04-30 2005-05-31 3.09% 3.18% 04/2005 13621.71684 13651.43427 2005-05-31 2005-06-30 0.18% 0.14% 05/2005 14042.23291 14085.82291 2005-06-30 2005-07-31 3.75% 3.72% 06/2005 14067.64538 14105.82477 2005-07-31 2005-08-31 -0.93% -0.91% 07/2005 14595.37055 14630.56146 2005-08-31 2005-09-30 0.80% 0.81% 08/2005 14459.66979 14497.13074 2005-09-30 2005-10-31 -1.66% -1.67% 09/2005 14575.69574 14614.55749 2005-10-31 2005-11-30 3.81% 3.78% 10/2005 14333.27253 14370.93282 2005-11-30 2005-12-31 0.03% 0.04% 11/2005 14878.72476 14914.4415 2005-12-31 2006-01-31 2.66% 2.65% 12/2005 14882.49415 14919.66156 2006-01-31 2006-02-28 0.20% 0.27% 01/2006 15278.95404 15314.73419 2006-02-28 2006-03-31 1.26% 1.25% 02/2006 15309.45095 15356.23712 2006-03-31 2006-04-30 1.38% 1.34% 03/2006 15502.09639 15547.42228 2006-04-30 2006-05-31 -2.92% -2.88% 04/2006 15716.12928 15756.22416 2006-05-31 2006-06-30 0.20% 0.14% 05/2006 15257.48738 15302.76003 2006-06-30 2006-07-31 0.60% 0.62% 06/2006 15287.37212 15323.57178 2006-07-31 2006-08-31 2.40% 2.38% 07/2006 15379.55728 15418.11822 2006-08-31 2006-09-30 2.52% 2.58% 08/2006 15748.29792 15784.96351 2006-09-30 2006-10-31 3.25% 3.26% 09/2006 16145.28992 16191.74202 2006-10-31 2006-11-30 1.85% 1.90% 10/2006 16670.08901 16719.43089 2006-11-30 2006-12-31 1.44% 1.40% 11/2006 16978.79437 17037.43447 2006-12-31 2007-01-31 1.53% 1.51% 12/2006 17222.48265 17276.43134 2007-01-31 2007-02-28 -1.95% -1.96% 01/2007 17486.48825 17537.70592 2007-02-28 2007-03-31 1.06% 1.12% 02/2007 17144.83395 17194.68908 2007-03-31 2007-04-30 4.50% 4.43% 03/2007 17325.7434 17387.01168 2007-04-30 2007-05-31 3.44% 3.49% 04/2007 18104.77863 18157.17406 2007-05-31 2007-06-30 -1.61% -1.66% 05/2007 18728.00682 18790.77083 2007-06-30 2007-07-31 -3.14% -3.10% 06/2007 18425.59314 18478.59355 2007-07-31 2007-08-31 1.49% 1.50% 07/2007 17846.36888 17905.66827 2007-08-31 2007-09-30 3.75% 3.74% 08/2007 18112.49895 18174.07549 2007-09-30 2007-10-31 1.59% 1.59% 09/2007 18791.3635 18853.78591 2007-10-31 2007-11-30 -4.20% -4.18% 10/2007 19090.13831 19153.74965 2007-11-30 2007-12-31 -0.63% -0.69% 11/2007 18288.16381 18352.93137 2007-12-31 2008-01-31 -6.01% -6.00% 12/2007 18173.16771 18225.56203 2008-01-31 2008-02-29 -3.24% -3.25% 01/2008 17080.87801 17132.02831 2008-02-29 2008-03-31 -0.38% -0.43% 02/2008 16526.81802 16575.40871 2008-03-31 2008-04-30 4.83% 4.87% 03/2008 16464.39329 16503.80294 2008-04-30 2008-05-31 1.29% 1.30% 04/2008 17259.00687 17307.53814 2008-05-31 2008-06-30 -8.39% -8.43% 05/2008 17481.49867 17532.53614 2008-06-30 2008-07-31 -0.80% -0.84% 06/2008 16014.92457 16054.54334 2008-07-31 2008-08-31 1.41% 1.45% 07/2008 15887.18838 15919.52463 2008-08-31 2008-09-30 -8.81% -8.91% 08/2008 16110.72671 16149.72096 2008-09-30 2008-10-31 -16.72% -16.80% 09/2008 14692.09247 14710.61933 2008-10-31 2008-11-30 -7.09% -7.18% 10/2008 12235.38193 12239.97081 2008-11-30 2008-12-31 1.09% 1.06% 11/2008 11368.30762 11361.7529 2008-12-31 2009-01-31 -8.33% -8.43% 12/2008 11492.64848 11482.64196 2009-01-31 2009-02-28 -10.63% -10.65% 01/2009 10534.92778 10514.81106 2009-02-28 2009-03-31 8.77% 8.76% 02/2009 9414.881527 9395.193977 2009-03-31 2009-04-30 9.57% 9.57% 03/2009 10240.85997 10218.16778 2009-04-30 2009-05-31 5.68% 5.59% 04/2009 11220.84657 11196.14862 2009-05-31 2009-06-30 0.13% 0.20% 05/2009 11857.83786 11822.34921 2009-06-30 2009-07-31 7.61% 7.56% 06/2009 11872.67009 11845.75746 2009-07-31 2009-08-31 3.60% 3.61% 07/2009 12775.84693 12741.73881 2009-08-31 2009-09-30 3.75% 3.73% 08/2009 13235.64605 13201.71558 2009-09-30 2009-10-31 -1.92% -1.86% 09/2009 13731.58842 13694.4036 2009-10-31 2009-11-30 6.00% 6.00% 10/2009 13467.51941 13440.00171 2009-11-30 2009-12-31 1.93% 1.93% 11/2009 14276.23074 14246.13301 2009-12-31 2010-01-31 -3.54% -3.60% 12/2009 14551.92186 14521.3683 2010-01-31 2010-02-28 3.08% 3.10% 01/2010 14036.95659 13999.03468 2010-02-28 2010-03-31 6.06% 6.03% 02/2010 14468.86295 14432.68278 2010-03-31 2010-04-30 1.52% 1.58% 03/2010 15345.50396 15303.60859 2010-04-30 2010-05-31 -8.02% -7.99% 04/2010 15578.76895 15545.20666 2010-05-31 2010-06-30 -5.23% -5.23% 05/2010 14329.13507 14303.92191 2010-06-30 2010-07-31 7.01% 7.01% 06/2010 13580.01764 13555.1402 2010-07-31 2010-08-31 -4.48% -4.51% 07/2010 14532.1222 14504.85399 2010-08-31 2010-09-30 8.89% 8.92% 08/2010 13880.68224 13850.04686 2010-09-30 2010-10-31 3.78% 3.80% 09/2010 15114.81898 15086.08045 2010-10-31 2010-11-30 0.00% 0.01% 10/2010 15685.82325 15660.09072 2010-11-30 2010-12-31 6.68% 6.68% 11/2010 15685.82326 15662.09521 2010-12-31 2011-01-31 2.42% 2.37% 12/2010 16734.28613 16708.8087 2011-01-31 2011-02-28 3.35% 3.43% 01/2011 17139.9658 17104.82417 2011-02-28 2011-03-31 0.12% 0.04% 02/2011 17714.67865 17690.81834 2011-03-31 2011-04-30 2.87% 2.96% 03/2011 17735.22244 17697.8416 2011-04-30 2011-05-31 -1.12% -1.13% 04/2011 18243.88083 18221.96318 2011-05-31 2011-06-30 -1.70% -1.67% 05/2011 18040.41748 18015.70878 2011-06-30 2011-07-31 -2.02% -2.03% 06/2011 17734.49579 17715.40493 2011-07-31 2011-08-31 -5.39% -5.43% 07/2011 17376.73939 17355.17988 2011-08-31 2011-09-30 -7.08% -7.03% 08/2011 16439.75835 16412.42916 2011-09-30 2011-10-31 10.99% 10.93% 09/2011 15275.85169 15258.66821 2011-10-31 2011-11-30 -0.30% -0.22% 10/2011 16954.14033 16926.33384 2011-11-30 2011-12-31 1.08% 1.02% 11/2011 16902.76415 16888.94356 2011-12-31 2012-01-31 4.44% 4.48% 12/2011 17086.04496 17061.70057 2012-01-31 2012-02-29 4.26% 4.32% 01/2012 17845.42473 17826.32068 2012-02-29 2012-03-31 3.35% 3.29% 02/2012 18604.80451 18597.14861 2012-03-31 2012-04-30 -0.63% -0.63% 03/2012 19227.7994 19209.16218 2012-04-30 2012-05-31 -6.07% -6.01% 04/2012 19106.65215 19088.60547 2012-05-31 2012-06-30 4.13% 4.12% 05/2012 17947.09989 17941.38029 2012-06-30 2012-07-31 1.40% 1.39% 06/2012 18688.93285 18680.60498 2012-07-31 2012-08-31 2.20% 2.25% 07/2012 18949.95146 18940.05976 2012-08-31 2012-09-30 2.58% 2.58% 08/2012 19367.58125 19366.64291 2012-09-30 2012-10-31 -1.85% -1.85% 09/2012 19867.87774 19867.11129 10/31/2012 19500.60184 19500.27841
One Year Five Years Ten Years -------- ---------- --------- 15.02% 0.43% 6.91% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. 192 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS International Equity Market Review 12 Months Ended October 31, 2012
The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI World ex USA Index........... 4.40% MSCI World ex USA Small Cap Index. 4.86% MSCI World ex USA Value Index..... 4.74% MSCI World ex USA Growth Index.... 3.99%
-------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar.
12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Foreign Developed Markets by Market Cap Return Return --------------------------------------------------- -------- ----------- United Kingdom.................... 8.61% 8.41% Japan............................. -0.86% -3.28% Canada............................ 3.34% 2.69% France............................ 10.04% 2.23% Australia......................... 10.20% 7.71% Switzerland....................... 17.41% 9.79% Germany........................... 18.18% 9.79% Spain............................. -6.40% -13.04% Sweden............................ 9.26% 6.47% Hong Kong......................... 16.12% 16.34%
-------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 193
12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI Emerging Markets Index........... 2.63% MSCI Emerging Markets Small Cap Index. 3.74% MSCI Emerging Markets Value Index..... 1.36% MSCI Emerging Markets Growth Index.... 3.89%
-------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar.
12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ----------- China........................ 7.71% 7.92% South Korea.................. 1.71% 3.35% Brazil....................... 4.65% -12.68% Taiwan....................... -1.78% 0.59% South Africa................. 17.70% 6.84% India........................ 5.24% -4.73% Russia....................... -1.42% -4.50% Mexico....................... 16.32% 17.03% Malaysia..................... 11.39% 12.19% Indonesia.................... 12.64% 3.82%
-------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Master-Feeder Structure The Portfolio described below, called a "Feeder Fund," does not buy individual securities directly; instead, the Portfolio invests in a corresponding fund called a "Master Fund." The Master Fund, in turn, purchases stocks and/or other securities. INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW DFA International Value Portfolio The DFA International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of The DFA International Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 530 securities in 23 developed countries. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ending October 31, 2012, total returns were 2.70% for the Portfolio's Class R2 shares, 2.98% for the Portfolio's Institutional Class shares, and 4.40% for the MSCI World ex USA Index (net dividends). The Master Fund focuses on international large-cap value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. International large-cap value stocks, as measured by high book-to-market ratios, generally underperformed during the period. The Master Fund had significantly greater exposure than the Index to value stocks, which contributed to relative underperformance. In particular, large-cap value stocks in 194 Japan significantly underperformed. As the Master Fund has significantly more weight in these securities than the Index, these holdings detracted from relative performance. Differences in the valuation timing and methodology between the Master Fund and the Index contributed to relative performance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. U.S. Equity Market Review 12 Months Ended October 31, 2012
The year ending October 31, 2012 saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below.
Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 3000(R) Index........................ 14.75% Russell Microcap(R) Index (micro cap stocks). 16.49% Russell 2000(R) Index (small cap stocks)..... 12.08% Russell 1000(R) Index (large cap stocks)..... 14.97% Dow Jones US Select REIT Index............... 14.09%
The value premium was positive across both large cap and small cap stocks.
Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 14.47% Russell 2000(R) Growth Index (small cap growth stocks). 9.70% Russell 1000(R) Value Index (large cap value stocks)... 16.89% Russell 1000(R) Growth Index (large cap growth stocks). 13.02%
-------- Source: Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. 195 Domestic Equity Portfolio Performance Overview U.S. Large Company Portfolio The U.S. Large Company Portfolio seeks to approximate the returns of the S&P 500(R) Index by investing in S&P 500(R) Index securities in approximately the same proportions as they are represented in the Index. In addition to individual stocks, the Portfolio uses futures to gain market exposure for uninvested cash. The Portfolio was mostly invested in equities or equivalents throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, the total return was 15.02% for the Portfolio and 15.21% for the S&P 500(R) Index. The Portfolio's return is net of fees and expenses. The impact of fees and expenses was primarily responsible for the performance difference. 196 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2012 EXPENSE TABLES
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* - --------- --------- ---------- -------- DFA International Value Portfolio** Actual Fund Return Class R2 Shares.. $1,000.00 $1,017.93 0.71% $3.60 Institutional Class Shares....... $1,000.00 $1,019.96 0.45% $2.28 Hypothetical 5% Annual Return Class R2 Shares.................. $1,000.00 $1,021.57 0.71% $3.61 Institutional Class Shares....... $1,000.00 $1,022.87 0.45% $2.29
197 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* - --------- --------- ---------- -------- U.S. Large Company Portfolio Actual Fund Return $1,000.00 $1,020.62 0.10% $0.51 Hypothetical 5% Annual Return $1,000.00 $1,024.63 0.10% $0.51
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (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). 198 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 28, 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........ 11.1% Consumer Staples.............. 10.9% Energy........................ 11.3% Financials.................... 13.1% Health Care................... 12.2% Industrials................... 9.9% Information Technology........ 19.1% Materials..................... 3.5% Real Estate Investment Trusts. 2.1% Telecommunication Services.... 3.2% Utilities..................... 3.6% ----- 100.0%
199 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012
Value+ - -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company....................................... $5,488,430,964 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,225,492,365)..................................... $5,488,430,964 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 200 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (87.9%) Consumer Discretionary -- (9.8%) *Amazon.com, Inc..................... 115,612 $ 26,916,786 0.7% #Comcast Corp. Class A............... 855,404 32,086,204 0.8% Home Depot, Inc. (The).............. 481,897 29,578,838 0.7% #McDonald's Corp..................... 322,373 27,981,976 0.7% #Walt Disney Co. (The)............... 573,590 28,146,061 0.7% Other Securities.................... 304,177,178 7.5% ------------ ---- Total Consumer Discretionary............ 448,887,043 11.1% ------------ ---- Consumer Staples -- (9.6%) Altria Group, Inc................... 649,853 20,665,325 0.5% #Coca-Cola Co. (The)................. 1,237,685 46,017,128 1.1% #CVS Caremark Corp................... 406,706 18,871,158 0.5% #PepsiCo, Inc........................ 497,507 34,447,385 0.8% #Philip Morris International, Inc.... 538,889 47,724,010 1.2% Procter & Gamble Co. (The).......... 880,482 60,964,574 1.5% #Wal-Mart Stores, Inc................ 537,291 40,307,571 1.0% Other Securities.................... 172,123,444 4.3% ------------ ---- Total Consumer Staples.................. 441,120,595 10.9% ------------ ---- Energy -- (9.9%) Chevron Corp........................ 627,254 69,129,663 1.7% ConocoPhillips...................... 388,264 22,461,072 0.6% #Exxon Mobil Corp.................... 1,475,617 134,532,002 3.3% Occidental Petroleum Corp........... 258,922 20,444,481 0.5% Schlumberger, Ltd................... 424,221 29,496,086 0.7% Other Securities.................... 179,270,354 4.5% ------------ ---- Total Energy............................ 455,333,658 11.3% ------------ ---- Financials -- (11.5%) #American Express Co................. 315,290 17,646,781 0.4% Bank of America Corp................ 3,445,163 32,108,919 0.8% *Berkshire Hathaway, Inc. Class B.... 586,237 50,621,565 1.3% #Citigroup, Inc...................... 937,452 35,051,330 0.9% #Goldman Sachs Group, Inc. (The)..... 144,063 17,631,871 0.4% JPMorgan Chase & Co................. 1,214,380 50,615,358 1.3% #U.S. Bancorp........................ 605,886 20,121,474 0.5% Wells Fargo & Co.................... 1,570,400 52,906,776 1.3% Other Securities.................... 251,683,942 6.2% ------------ ---- Total Financials........................ 528,388,016 13.1% ------------ ---- Health Care -- (10.7%) #Abbott Laboratories................. 501,682 32,870,205 0.8% #Amgen, Inc.......................... 246,397 21,324,428 0.5% #Bristol-Myers Squibb Co............. 536,746 17,846,805 0.4% #Johnson & Johnson................... 881,366 62,418,340 1.6% Merck & Co., Inc.................... 973,623 44,426,418 1.1% #Pfizer, Inc......................... 2,387,836 59,385,481 1.5% UnitedHealth Group, Inc............. 330,134 18,487,504 0.5% Other Securities.................... 235,341,303 5.8% ------------ ---- Total Health Care....................... 492,100,484 12.2% ------------ ---- Industrials -- (8.7%) 3M Co............................... 203,319 17,810,744 0.4% Caterpillar, Inc.................... 208,835 17,711,296 0.4% General Electric Co................. 3,375,438 71,086,724 1.8% #Union Pacific Corp.................. 151,401 18,626,865 0.5% 201 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) United Parcel Service, Inc. Class B......................................... 229,794 $ 16,832,410 0.4% #United Technologies Corp.................................................... 268,160 20,959,386 0.5% Other Securities............................................................ 238,307,526 5.9% -------------- ----- Total Industrials............................................................... 401,334,951 9.9% -------------- ----- Information Technology -- (16.8%) Apple, Inc.................................................................. 299,668 178,332,427 4.4% #*Cisco Systems, Inc.......................................................... 1,691,120 28,985,797 0.7% *eBay, Inc................................................................... 370,763 17,904,145 0.4% *Google, Inc. Class A........................................................ 84,681 57,563,603 1.4% #Intel Corp.................................................................. 1,599,353 34,586,009 0.9% International Business Machines Corp........................................ 343,401 66,801,797 1.7% #Microsoft Corp.............................................................. 2,411,994 68,826,249 1.7% Oracle Corp................................................................. 1,217,449 37,801,791 0.9% QUALCOMM, Inc............................................................... 544,524 31,895,493 0.8% Visa, Inc................................................................... 167,087 23,184,992 0.6% Other Securities............................................................ 225,960,051 5.6% -------------- ----- Total Information Technology.................................................... 771,842,354 19.1% -------------- ----- Materials -- (3.1%) Other Securities............................................................ 141,009,003 3.5% -------------- ----- Real Estate Investment Trusts -- (1.8%) Other Securities............................................................ 83,664,162 2.1% -------------- ----- Telecommunication Services -- (2.8%) AT&T, Inc................................................................... 1,844,227 63,791,812 1.6% Verizon Communications, Inc................................................. 910,725 40,654,764 1.0% Other Securities............................................................ 23,537,946 0.6% -------------- ----- Total Telecommunication Services................................................ 127,984,522 3.2% -------------- ----- Utilities -- (3.2%) Other Securities............................................................ 146,566,901 3.6% -------------- ----- TOTAL COMMON STOCKS............................................................. 4,038,231,689 100.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.0%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 1,129,582 1,129,582 0.0% -------------- ----- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.1%) (S)@DFA Short Term Investment Fund.............................................. 47,921,323 554,449,706 13.7% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,507,276 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,511,812) to be repurchased at $1,463,350.................................................. $ 1,463 1,463,338 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................................. 555,913,044 13.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,051,408,570)......................................................... $4,595,274,315 113.8% ============== =====
202 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Porfolio's investments as of October 31, 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. $ 448,887,043 -- -- $ 448,887,043 Consumer Staples....... 441,120,595 -- -- 441,120,595 Energy................. 455,333,658 -- -- 455,333,658 Financials............. 528,388,016 -- -- 528,388,016 Health Care............ 492,100,484 -- -- 492,100,484 Industrials............ 401,334,951 -- -- 401,334,951 Information Technology. 771,842,354 -- -- 771,842,354 Materials.............. 141,009,003 -- -- 141,009,003 Real Estate Investment Trusts.... 83,664,162 -- -- 83,664,162 Telecommunication Services............. 127,984,522 -- -- 127,984,522 Utilities.............. 146,566,901 -- -- 146,566,901 Temporary Cash Investments............. 1,129,582 -- -- 1,129,582 Securities Lending Collateral.............. -- $555,913,044 -- 555,913,044 Futures Contracts**....... (55,002) -- -- (55,002) -------------- ------------ -- -------------- TOTAL..................... $4,039,306,269 $555,913,044 -- $4,595,219,313 ============== ============ == ============== ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 203 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES October 31, 2012 (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......................................... $ 5,488,431 -- Investments at Value (including $0 and $542,644 of securities on loan, respectively).......... -- $ 4,038,232 Temporary Cash Investments at Value & Cost...... -- 1,130 Collateral Received from Securities on Loan at Value & Cost.................................. -- 1,463 Affiliated Collateral Received from Securities on Loan at Value & Cost....................... -- 554,450 Cash............................................ -- 151 Receivables: Dividends and Interest....................... -- 4,811 Securities Lending Income.................... -- 42 Fund Shares Sold............................. 11,620 2,146 Prepaid Expenses and Other Assets............... 47 49 -------------- ------------ Total Assets............................. 5,500,098 4,602,474 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned............. -- 555,913 Affiliated Investment Company Purchased...... 5,618 -- Fund Shares Redeemed......................... 6,002 8,506 Due to Advisor............................... 916 281 Futures Margin Variation..................... -- 12 Accrued Expenses and Other Liabilities.......... 267 426 -------------- ------------ Total Liabilities........................ 12,803 565,138 -------------- ------------ NET ASSETS...................................... $ 5,487,295 $ 4,037,336 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $6,407 and $0 and sharesoutstanding of 407,575 and 0, respectively................... $ 15.72 N/A ============== ============ NUMBER OF SHARES AUTHORIZED..................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $5,480,888 and $4,037,336 and shares outstanding of 348,729,357 and 362,014,028,respectively...................... $ 15.72 $ 11.15 ============== ============ NUMBER OF SHARES AUTHORIZED..................... 1,500,000,000 900,000,000 ============== ============ Investment in Affiliated Investment Company at Cost.......................................... $ 5,225,492 $ -- -------------- ------------ Investments at Cost............................. $ -- $ 2,494,366 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital................................. $ 6,104,959 $ 3,069,449 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... 27,224 12,249 Accumulated Net Realized Gain (Loss)............ (907,779) (588,173) Net Unrealized Foreign Exchange Gain (Loss)..... (48) -- Net Unrealized Appreciation (Depreciation)...... 262,939 1,543,811 -------------- ------------ NET ASSETS...................................... $ 5,487,295 $ 4,037,336 ============== ============ See accompanying Notes to Financial Statements. 204 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) DFA International U.S. Large Value Company Portfolio* Portfolio ------------- ---------- Investment Income Dividends (Net of Foreign Taxes Withheld of $15,813 and $0, respectively)................... $199,285 $ 86,573 Interest.......................................... 2 92 Income from Securities Lending.................... 10,265 832 Expenses Allocated from Affiliated Investment Company......................................... (12,433) -- -------- -------- Total Investment Income....................... 197,119 87,497 -------- -------- Expenses Investment Advisory Services Fees................. -- 994 Administrative Services Fees...................... 10,513 1,987 Accounting & Transfer Agent Fees.................. 74 429 Shareholder Servicing Fees -- Class R2 Shares..... 16 -- S&P 500(R) Fees................................... -- 101 Custodian Fees.................................... -- 49 Filing Fees....................................... 122 79 Shareholders' Reports............................. 176 110 Directors'/Trustees' Fees & Expenses.............. 45 34 Professional Fees................................. 99 155 Other............................................. 53 57 -------- -------- Total Expenses................................ 11,098 3,995 -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................................ -- (21) -------- -------- Net Expenses...................................... 11,098 3,974 -------- -------- Net Investment Income (Loss)...................... 186,021 83,523 -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities........................... -- 543 Net Realized Gain (Loss) on: Investment Securities Sold................................. 74,190 68,937 Futures....................................... -- 12,993 Foreign Currency Transactions................. (951) -- Change in Unrealized Appreciation (Depreciation) of:.............................. Investment Securities and Foreign Currency.................................... (96,127) 393,550 Futures....................................... -- (3,799) Translation of Foreign Currency Denominated Amounts......................... (209) -- -------- -------- Net Realized and Unrealized Gain (Loss)........... (23,097) 472,224 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations $162,924 $555,747 ======== ======== -------- * 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. 205 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International U.S. Large Value Portfolio Company Portfolio ----------------------- ---------------------- Year Year Year Year Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 ----------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 186,021 $ 179,582 $ 83,523 $ 75,394 Capital Gain Distributions Received from Investment Securities.................... -- -- 543 -- Net Realized Gain (Loss) on: Investment Securities Sold.................. 74,190 112,233 68,937 (44,142) Futures..................................... -- -- 12,993 2,851 Foreign Currency Transactions............... (951) 364 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... (96,127) (767,465) 393,550 251,680 Futures..................................... -- -- (3,799) 2,298 Translation of Foreign Currency Denominated Amounts....................... (209) (353) -- -- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 162,924 (475,639) 555,747 288,081 ----------- ---------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares.......................... (205) (172) -- -- Institutional Class Shares............... (180,761) (172,488) (81,785) (74,515) ----------- ---------- ---------- ---------- Total Distributions.................. (180,966) (172,660) (81,785) (74,515) ----------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................... 1,339,320 1,450,393 610,737 651,122 Shares Issued in Lieu of Cash Distributions............................. 168,269 162,689 70,255 62,748 Shares Redeemed............................. (1,295,677) (834,167) (879,631) (878,396) ----------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 211,912 778,915 (198,639) (164,526) ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets...................... 193,870 130,616 275,323 49,040 Net Assets...................................... Beginning of Period......................... 5,293,425 5,162,809 3,762,013 3,712,973 ----------- ---------- ---------- ---------- End of Period............................... $ 5,487,295 $5,293,425 $4,037,336 $3,762,013 =========== ========== ========== ========== (1) Shares Issued and Redeemed:................. Shares Issued............................... 89,258 82,666 57,663 65,475 Shares Issued in Lieu of Cash Distributions............................. 11,721 9,157 6,768 6,398 Shares Redeemed............................. (86,334) (47,291) (82,571) (89,099) Shares Reduced by Reverse Stock Split (Note G)............................ -- (2) -- -- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. 14,645 44,530 (18,140) (17,226) =========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................... $ 27,224 $ 22,345 $ 12,249 $ 10,511
See accompanying Notes to Financial Statements. 206 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Value Portfolio- Class R2 Shares+ --------------------------------------------------- Year Year Year Year Period Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2008(a) to 2012 2011 2010 2009 Oct. 31, 2008 -------- -------- -------- -------- ------------- 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)............... 0.51 0.53 0.37 0.42 0.66 Net Gains (Losses) on Securities (Realizedand Unrealized).................................. (0.13) (2.00) 1.29 4.10 (11.73) ------ ------ ------ ------ ------- Total from Investment Operations........... 0.38 (1.47) 1.66 4.52 (11.07) ------ ------ ------ ------ ------- Less Distributions ------------------ Net Investment Income.......................... (0.49) (0.52) (0.97) (0.97) (1.66) Net Realized Gains............................. -- -- -- -- -- ------ ------ ------ ------ ------- Total Distributions........................ (0.49) (0.52) (0.97) (0.97) (1.66) ------ ------ ------ ------ ------- Net Asset Value, End of Period.................... $15.72 $15.83 $17.82 $17.13 $ 13.58 ====== ====== ====== ====== ======= Total Return...................................... 2.70% (8.53)% 10.60% 34.86% (44.63)%(C) ------ ------ ------ ------ ------- Net Assets, End of Period (thousands)............. $6,407 $6,102 $4,952 $3,443 $ 3,372 Ratio of Expenses to Average Net Assets (D)....... 0.71% 0.71% 0.72% 0.74% 0.73%(B)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 3.33% 2.97% 2.11% 2.96% 7.47%(B)(E)
DFA International Value Portfolio- Institutional Class Shares --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.............. $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............... 0.54 0.58 0.39 0.40 0.74 0.72 Net Gains (Losses) on Securities (Realizedand Unrealized).................................. (0.12) (1.99) 1.34 3.92 (12.44) 3.09 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 0.42 (1.41) 1.73 4.32 (11.70) 3.81 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.......................... (0.53) (0.57) (0.38) (0.40) (0.78) (0.63) Net Realized Gains............................. -- -- -- -- (0.49) (0.38) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.53) (0.57) (0.38) (0.40) (1.27) (1.01) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.................... $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 ========== ========== ========== ========== ========== ========== Total Return...................................... 2.98% (8.26)% 10.94% 35.11% (47.96)%(C) 17.09% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $5,480,888 $5,287,323 $5,157,857 $4,437,846 $3,350,073 $6,262,069 Ratio of Expenses to Average Net Assets (D)....... 0.45% 0.45% 0.45% 0.46% 0.44%(B) 0.44% Ratio of Net Investment Income to Average Net Assets.......................................... 3.54% 3.26% 2.34% 3.00% 3.86%(B) 2.89%
+ 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. 207 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ------------------------------------------------------------------------------- Year Year Year Year Period Year Ended Ended Ended Ended Dec. 1, 2007 Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30, 2012 2011 2010 2009 Oct. 31, 2008 2007 ---------- ---------- ---------- -------- ------------- ---------- Net Asset Value, Beginning of Period........ $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00 ---------- ---------- ---------- -------- -------- ---------- Income from Investment Operations Net Investment Income (Loss) (A)......... 0.22 0.19 0.18 0.18 0.20 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).............. 1.25 0.56 1.15 0.55 (3.99) 0.62 ---------- ---------- ---------- -------- -------- ---------- Total from Investment Operations..... 1.47 0.75 1.33 0.73 (3.79) 0.84 ---------- ---------- ---------- -------- -------- ---------- Less Distributions Net Investment Income.................... (0.22) (0.19) (0.15) (0.19) (0.22) (0.21) ---------- ---------- ---------- -------- -------- ---------- Total Distributions.................. (0.22) (0.19) (0.15) (0.19) (0.22) (0.21) ---------- ---------- ---------- -------- -------- ---------- Net Asset Value, End of Period.............. $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 ========== ========== ========== ======== ======== ========== Total Return................................ 15.02% 8.09% 16.47% 10.07% (33.10)%(C) 7.71% ---------- ---------- ---------- -------- -------- ---------- Net Assets, End of Period (thousands)....... $4,037,336 $3,762,013 $3,712,973 $785,689 $729,218 $1,002,142 Ratio of Expenses to Average Net Assets..... 0.10% 0.10% 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees).............................. 0.10% 0.10% 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D) Ratio of Net Investment Income to Average Net Assets................................ 2.10% 1.95% 1.99% 2.53% 2.10%(B) 1.90% Portfolio Turnover Rate..................... 4% 4% 1%* N/A N/A N/A ---------- ---------- ---------- -------- -------- ----------
* For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. ** Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See Page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 208 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS A. Organization: Dimensional Investment Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, two of which, DFA International Value Portfolio and U.S. Large Company Portfolio (the "Portfolios"), are presented in this section of the report. The remaining operational portfolios are presented in separate reports. DFA International Value Portfolio (the "Feeder Fund") primarily invests its assets in The DFA International Value Series (the "Series"), a corresponding Series of The DFA Investment Trust Company. At October 31, 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 fund 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 (in Fund Shares Acquiring Fund Shares thousands) ------ ---------- ----------------------------- ----------- ---------- U.S.Large U.S. Large Company Company Portfolio 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
209 The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
Unrealized Target Appreciation Fund Net Assets (Depreciation) Acquiring Fund Net Assets ------ ---------- -------------- ----------------------------- ---------- U.S. Large U.S. Large Company Company Portfolio $2,731,987 $315,984 Institutional Index Portfolio $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investement Income................................. $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b) -------- Net Increase in Net Assets Resulting from Operations... $572,754 ========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b)$596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the 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. 210 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 Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by U.S. Large Company Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in 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 had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board of the Fund (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction 211 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 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: The Advisor, Dimensional Fund Advisors LP, provides administrative services to the Portfolios, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors/Trustees, and other administrative services. The Advisor provides investment advisory services to the Portfolios and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the year ended October 31, 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 year ended October 31, 2012, the U.S. Large Company 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 year ended October 31, 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% -- $423
(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 212 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 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 year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $31 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 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............ $145 U.S. Large Company Portfolio................. 214
E. Purchases and Sales of Securities: For the year ended October 31, 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.................................... $154,633 Sales........................................ 297,580
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, 2012, primarily attributable to net foreign currency gains/losses and realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In-Capital Income Gains (Losses) --------------- -------------- -------------- DFA International Value Portfolio. -- $(176) $176 U.S. Large Company Portfolio...... -- -- --
213 The tax character of dividends and distributions declared and paid during the years ended October 31, 2011 and October 31, 2012 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- DFA International Value Portfolio. 2011.............................. $172,660 -- $172,660 2012.............................. 180,966 -- 180,966 U.S. Large Company Portfolio...... 2011.............................. 74,515 -- 74,515 2012.............................. 81,785 -- 81,785
At October 31, 2012, 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. $30,233 -- $(906,903) $(876,670) U.S. Large Company Portfolio...... 12,462 -- (347,015) (334,553)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
Expires on October 31, ---------------------------------------- 2015 2016 2017 2018 2019 Unlimited Total ------- -------- ------- ------- ------- --------- -------- DFA International Value Portfolio. -- $906,903 -- -- -- -- $906,903 U.S. Large Company Portfolio...... $34,996 100,024 $87,500 $80,822 $43,673 -- 347,015
During the year ended October 31, 2012, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Value Portfolio. $74,144 U.S. Large Company Portfolio...... 69,018
At October 31, 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. $5,229,166 $ 826,481 $(567,216) $ 259,265 U.S. Large Company Portfolio...... 3,292,622 1,732,778 (430,125) 1,302,653
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. 214 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 (the "IRC") (S)336(a), the master fund recognized gain or loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized gain or loss as if it liquidated its investment in the master fund. 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 (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. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Year Year Ended Ended Oct. 31, 2012 Oct. 31, 2011 -------------------- ------------------- Amount Shares Amount Shares ----------- ------- ---------- ------- DFA International Value Portfolio --------------------------------- Class R2 Shares Shares Issued...................................... $ 2,362 154 $ 4,366 246 Shares Issued in Lieu of Cash Distributions........ 204 14 172 9 Shares Redeemed.................................... (2,235) (146) (2,617) (146) Shares Reduced by Reverse Stock Split.............. -- -- -- (2) ----------- ------- ---------- ------- Net Increase (Decrease) -- Class R2 Shares $ 331 22 $ 1,921 107 =========== ======= ========== ======= Institutional Class Shares Shares Issued...................................... $ 1,336,958 89,104 $1,446,027 82,420 Shares Issued in Lieu of Cash Distributions........ 168,065 11,707 162,517 9,148 Shares Redeemed.................................... (1,293,442) (86,188) (831,550) (47,145) ----------- ------- ---------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 211,581 14,623 $ 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 215 statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R2 Shares. H. Financial Instruments: In accordance with U.S. Large Company Portfolio's investment objective and policies, 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 records a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that U.S. Large Company Portfolio could lose more than the initial margin requirements. Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At October 31, 2012, U.S. Large Company Portfolio had outstanding futues contracts (dollar amounts in thousands):
Approximate Number of Contract Unrealized Cash Description Expiration Date Contracts* Value Gain (Loss) Collateral ------------------ ---------------- ---------- -------- ----------- ----------- U.S. Large Company Portfolio. S&P 500 (R) Emini Index 12/21/2012 48 $3,376 $(55) $151
* During the year ended October 31, 2012, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $60,104 (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 Compnay Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure as of October 31, 2012 (amounts in thousands): 216
Asset Derivatives Value ----------------------- Location on the Statements of Assets and Equity Liabilities Contracts -------------------------- ----------------------- Payables: Futures Margin U.S. Large Company Portfolio. Variation $(55)*
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on U.S. Large Company Portfolio's Statement of Operations for the Portfolio's derivative instrument holdings through the year ended October 31, 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 year ended October 31, 2012 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio................. $12,993 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio................. $(3,799)
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, 2013. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line 217 of credit. The agreement of the line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to expiration. For the year ended October 31, 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. 0.86% $24,056 7 $4 $31,556
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that the Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2012. J. Securities Lending: As of October 31, 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. 218 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. N. Other: At October 31, 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 Oustanding Shareholders Shares ------------ ------------- DFA International Value Portfolio -- Class R2 Shares............................................ 2 63% DFA International Value Portfolio -- Institutional Class Shares...................................... 3 56% U.S. Large Company Portfolio........................ 3 76% 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. 219 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of the Portfolios, as defined, and Board of Directors of Dimensional Investment Group Inc.: In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments/ summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio and U.S. Large Company Portfolio (constituting portfolios within Dimensional Investment Group Inc., hereafter referred to as the "Portfolios") at October 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 220 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS The U.S. Large Cap Value Series vs. Russell 1000(R) Value Index October 31, 2002 - October 31, 2012
The U.S. Large Cap Russell 1000 (R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Series Value Index --------- ---------- ----------- ----------------- ---------- ------------------ ---------------- 2002-10-31 2002-11-30 7.05% 6.30% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.49% -4.34% 11/2002 10705.09955 10630 2002-12-31 2003-01-31 -2.34% -2.42% 12/2002 10223.93143 10168.658 2003-01-31 2003-02-28 -2.89% -2.67% 01/2003 9984.630377 9922.576476 2003-02-28 2003-03-31 -0.47% 0.17% 02/2003 9695.818754 9657.643684 2003-03-31 2003-04-30 9.26% 8.80% 03/2003 9650.054818 9674.061679 2003-04-30 2003-05-31 6.67% 6.46% 04/2003 10543.88494 10525.37911 2003-05-31 2003-06-30 1.07% 1.25% 05/2003 11247.36235 11205.3186 2003-06-30 2003-07-31 2.56% 1.49% 06/2003 11367.86413 11345.38508 2003-07-31 2003-08-31 3.56% 1.56% 07/2003 11658.49615 11514.43132 2003-08-31 2003-09-30 -2.20% -0.98% 08/2003 12073.68476 11694.05645 2003-09-30 2003-10-31 6.70% 6.12% 09/2003 11808.29575 11579.45469 2003-10-31 2003-11-30 2.24% 1.36% 10/2003 12599.9599 12288.11732 2003-11-30 2003-12-31 6.87% 6.16% 11/2003 12882.15164 12455.23571 2003-12-31 2004-01-31 1.70% 1.76% 12/2003 13767.16864 13222.47824 2004-01-31 2004-02-29 2.57% 2.14% 01/2004 14001.78868 13455.19385 2004-02-29 2004-03-31 -0.40% -0.88% 02/2004 14362.09803 13743.135 2004-03-31 2004-04-30 -1.64% -2.44% 03/2004 14304.20495 13622.19541 2004-04-30 2004-05-31 0.54% 1.02% 04/2004 14069.15932 13289.81384 2004-05-31 2004-06-30 3.02% 2.36% 05/2004 14144.7097 13425.36995 2004-06-30 2004-07-31 -3.24% -1.41% 06/2004 14572.39314 13742.20868 2004-07-31 2004-08-31 0.00% 1.42% 07/2004 14100.68562 13548.44353 2004-08-31 2004-09-30 3.07% 1.55% 08/2004 14100.68561 13740.83143 2004-09-30 2004-10-31 1.22% 1.66% 09/2004 14533.62279 13953.81432 2004-10-31 2004-11-30 6.55% 5.06% 10/2004 14711.06819 14185.44764 2004-11-30 2004-12-31 4.01% 3.35% 11/2004 15674.34319 14903.23129 2004-12-31 2005-01-31 -2.50% -1.78% 12/2004 16302.78274 15402.48954 2005-01-31 2005-02-28 3.05% 3.31% 01/2005 15894.78818 15128.32522 2005-02-28 2005-03-31 -0.27% -1.37% 02/2005 16379.28172 15629.07279 2005-03-31 2005-04-30 -3.39% -1.79% 03/2005 16334.64384 15414.95449 2005-04-30 2005-05-31 4.26% 2.41% 04/2005 15781.35992 15139.0268 2005-05-31 2005-06-30 2.06% 1.09% 05/2005 16453.81269 15503.59603 2005-06-30 2005-07-31 4.98% 2.89% 06/2005 16793.40915 15673.12716 2005-07-31 2005-08-31 -0.82% -0.43% 07/2005 17630.09145 16126.58428 2005-08-31 2005-09-30 1.54% 1.40% 08/2005 17484.95268 16056.50454 2005-09-30 2005-10-31 -2.65% -2.54% 09/2005 17754.26361 16281.94488 2005-10-31 2005-11-30 3.99% 3.27% 10/2005 17283.21464 15868.4229 2005-11-30 2005-12-31 0.14% 0.60% 11/2005 17973.32925 16387.32032 2005-12-31 2006-01-31 4.76% 3.88% 12/2005 17997.77062 16485.2089 2006-01-31 2006-02-28 -0.33% 0.61% 01/2006 18855.23265 17125.34866 2006-02-28 2006-03-31 1.78% 1.35% 02/2006 18792.70937 17229.93488 2006-03-31 2006-04-30 2.81% 2.54% 03/2006 19126.9216 17463.32185 2006-04-30 2006-05-31 -1.82% -2.53% 04/2006 19663.94327 17907.16926 2006-05-31 2006-06-30 0.85% 0.64% 05/2006 19305.92883 17454.821 2006-06-30 2006-07-31 -1.43% 2.43% 06/2006 19470.57243 17566.36245 2006-07-31 2006-08-31 1.64% 1.67% 07/2006 19191.90773 17993.46576 2006-08-31 2006-09-30 2.77% 1.99% 08/2006 19506.52917 18294.60194 2006-09-30 2006-10-31 3.96% 3.27% 09/2006 20047.08737 18659.10808 2006-10-31 2006-11-30 1.90% 2.28% 10/2006 20841.03142 19269.99021 2006-11-30 2006-12-31 2.01% 2.24% 11/2006 21237.42278 19709.86384 2006-12-31 2007-01-31 2.92% 1.28% 12/2006 21663.51368 20152.33357 2007-01-31 2007-02-28 -1.50% -1.56% 01/2007 22295.6056 20410.05615 2007-02-28 2007-03-31 0.70% 1.55% 02/2007 21960.40534 20091.86703 2007-03-31 2007-04-30 4.25% 3.70% 03/2007 22113.36395 20402.49503 2007-04-30 2007-05-31 4.12% 3.61% 04/2007 23053.94974 21156.42585 2007-05-31 2007-06-30 -1.61% -2.34% 05/2007 24004.13334 21919.52162 2007-06-30 2007-07-31 -6.20% -4.62% 06/2007 23618.05786 21407.34852 2007-07-31 2007-08-31 -1.91% 1.12% 07/2007 22154.5663 20417.39084 2007-08-31 2007-09-30 2.61% 3.43% 08/2007 21730.924 20646.17729 2007-09-30 2007-10-31 0.56% 0.01% 09/2007 22297.72063 21355.32822 2007-10-31 2007-11-30 -5.59% -4.89% 10/2007 22423.31438 21357.68501 2007-11-30 2007-12-31 -0.33% -0.97% 11/2007 21170.47349 20313.84869 2007-12-31 2008-01-31 -3.82% -4.01% 12/2007 21099.9937 20117.41337 2008-01-31 2008-02-29 -3.07% -4.19% 01/2008 20293.31499 19311.65235 2008-02-29 2008-03-31 -0.93% -0.75% 02/2008 19671.29767 18502.53608 2008-03-31 2008-04-30 6.30% 4.87% 03/2008 19487.71443 18363.76706 2008-04-30 2008-05-31 2.40% -0.16% 04/2008 20716.05461 19258.92111 2008-05-31 2008-06-30 -10.96% -9.57% 05/2008 21213.23992 19228.35404 2008-06-30 2008-07-31 -1.09% -0.36% 06/2008 18888.12217 17387.78848 2008-07-31 2008-08-31 1.94% 1.70% 07/2008 18682.4972 17325.02215 2008-08-31 2008-09-30 -8.98% -7.35% 08/2008 19044.78881 17619.54753 2008-09-30 2008-10-31 -22.48% -17.31% 09/2008 17333.87569 16325.01114 2008-10-31 2008-11-30 -9.81% -7.17% 10/2008 13436.89087 13498.95282 2008-11-30 2008-12-31 3.25% 1.39% 11/2008 12118.96573 12530.95655 2008-12-31 2009-01-31 -11.87% -11.50% 12/2008 12513.27114 12704.88624 2009-01-31 2009-02-28 -14.01% -13.36% 01/2009 11027.63177 11243.95781 2009-02-28 2009-03-31 9.88% 8.55% 02/2009 9482.168005 9741.64674 2009-03-31 2009-04-30 16.17% 10.72% 03/2009 10419.417 10574.58917 2009-04-30 2009-05-31 7.66% 6.18% 04/2009 12104.47104 11708.0967 2009-05-31 2009-06-30 -1.22% -0.74% 05/2009 13031.74929 12432.07598 2009-06-30 2009-07-31 9.53% 8.19% 06/2009 12872.21755 12340.27168 2009-07-31 2009-08-31 6.79% 5.23% 07/2009 14098.61783 13350.3397 2009-08-31 2009-09-30 4.37% 3.86% 08/2009 15055.80829 14048.63557 2009-09-30 2009-10-31 -4.31% -3.06% 09/2009 15713.87673 14591.41079 2009-10-31 2009-11-30 5.64% 5.64% 10/2009 15035.86682 14144.84834 2009-11-30 2009-12-31 2.76% 1.77% 11/2009 15883.37921 14942.09201 2009-12-31 2010-01-31 -2.32% -2.81% 12/2009 16322.0915 15206.51837 2010-01-31 2010-02-28 4.32% 3.16% 01/2010 15943.20362 14778.85081 2010-02-28 2010-03-31 7.79% 6.51% 02/2010 16631.18426 15245.34914 2010-03-31 2010-04-30 3.17% 2.59% 03/2010 17927.37968 16237.82243 2010-04-30 2010-05-31 -8.57% -8.22% 04/2010 18495.71152 16657.98918 2010-05-31 2010-06-30 -7.55% -5.63% 05/2010 16910.36481 15288.76974 2010-06-30 2010-07-31 7.84% 6.77% 06/2010 15634.11087 14428.09848 2010-07-31 2010-08-31 -6.03% -4.28% 07/2010 16860.51115 15404.85527 2010-08-31 2010-09-30 9.75% 7.76% 08/2010 15843.49628 14745.68693 2010-09-30 2010-10-31 3.73% 3.00% 09/2010 17388.96004 15889.70571 2010-10-31 2010-11-30 -0.77% -0.53% 10/2010 18037.05775 16366.49323 2010-11-30 2010-12-31 9.75% 7.89% 11/2010 17897.46747 16279.88285 2010-12-31 2011-01-31 3.20% 2.26% 12/2010 19642.34592 17564.43559 2011-01-31 2011-02-28 5.41% 3.69% 01/2011 20270.50216 17961.76269 2011-02-28 2011-03-31 0.47% 0.40% 02/2011 21367.28289 18624.27943 2011-03-31 2011-04-30 2.55% 2.66% 03/2011 21466.99023 18698.25097 2011-04-30 2011-05-31 -1.45% -1.06% 04/2011 22015.3806 19196.15319 2011-05-31 2011-06-30 -1.75% -2.05% 05/2011 21696.31712 18993.3429 2011-06-30 2011-07-31 -4.58% -3.32% 06/2011 21317.42923 18603.9051 2011-07-31 2011-08-31 -8.43% -6.24% 07/2011 20340.29729 17986.83479 2011-08-31 2011-09-30 -10.12% -7.56% 08/2011 18625.33105 16864.3465 2011-09-30 2011-10-31 13.88% 11.45% 09/2011 16740.86233 15589.84878 2011-10-31 2011-11-30 -0.84% -0.52% 10/2011 19064.04334 17374.76545 2011-11-30 2011-12-31 0.79% 2.02% 11/2011 18904.5116 17284.71058 2011-12-31 2012-01-31 4.97% 3.78% 12/2011 19054.07261 17633.02386 2012-01-31 2012-02-29 5.78% 3.99% 01/2012 20001.29233 18300.0833 2012-02-29 2012-03-31 1.84% 2.96% 02/2012 21157.89747 19029.58134 2012-03-31 2012-04-30 -2.04% -1.02% 03/2012 21546.7561 19593.70131 2012-04-30 2012-05-31 -7.09% -5.86% 04/2012 21108.0438 19393.89913 2012-05-31 2012-06-30 5.39% 4.96% 05/2012 19612.43371 18256.62174 2012-06-30 2012-07-31 0.96% 1.03% 06/2012 20669.33152 19163.05372 2012-07-31 2012-08-31 3.97% 2.17% 07/2012 20868.74619 19361.37516 2012-08-31 2012-09-30 3.68% 3.17% 08/2012 21696.31711 19781.74826 2012-09-30 2012-10-31 0.27% -0.49% 09/2012 22493.97582 20409.66857 10/31/2012 22553.80023 20309.47599
One Year Five Years Ten Years -------- ---------- --------- 18.31% 0.12% 8.47% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. The DFA International Value Series vs. MSCI World ex USA Index (net div.) October 31, 2002 - October 31, 2012
The DFA International MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Series USA Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------------- -------------------- 2002-10-31 2002-11-30 5.98% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.54% -3.23% 11/2002 10597.61676 10460.38388 2002-12-31 2003-01-31 -3.30% -3.81% 12/2002 10328.44944 10122.31597 2003-01-31 2003-02-28 -2.05% -1.97% 01/2003 9987.201112 9736.633173 2003-02-28 2003-03-31 -2.37% -1.93% 02/2003 9782.452114 9544.699524 2003-03-31 2003-04-30 10.98% 9.60% 03/2003 9550.780104 9360.754077 2003-04-30 2003-05-31 7.53% 6.20% 04/2003 10599.31443 10259.0855 2003-05-31 2003-06-30 3.23% 2.43% 05/2003 11397.11229 10895.37242 2003-06-30 2003-07-31 4.52% 2.29% 06/2003 11764.76014 11160.05075 2003-07-31 2003-08-31 2.63% 2.58% 07/2003 12296.37013 11416.08512 2003-08-31 2003-09-30 3.83% 3.00% 08/2003 12619.95882 11710.45636 2003-09-30 2003-10-31 7.88% 6.26% 09/2003 13102.93241 12061.78555 2003-10-31 2003-11-30 2.14% 2.27% 10/2003 14135.84737 12817.10429 2003-11-30 2003-12-31 7.50% 7.67% 11/2003 14438.43632 13107.63318 2003-12-31 2004-01-31 2.56% 1.39% 12/2003 15521.92655 14112.72688 2004-01-31 2004-02-29 3.01% 2.30% 01/2004 15919.32527 14309.22909 2004-02-29 2004-03-31 1.56% 0.50% 02/2004 16398.54138 14638.3333 2004-03-31 2004-04-30 -3.02% -2.62% 03/2004 16654.53512 14711.61449 2004-04-30 2004-05-31 1.01% 0.47% 04/2004 16151.6243 14326.52241 2004-05-31 2004-06-30 4.13% 2.31% 05/2004 16315.3627 14393.48999 2004-06-30 2004-07-31 -3.69% -3.05% 06/2004 16989.36133 14725.88378 2004-07-31 2004-08-31 1.30% 0.42% 07/2004 16362.75301 14276.8102 2004-08-31 2004-09-30 3.20% 2.91% 08/2004 16575.56338 14336.16895 2004-09-30 2004-10-31 3.82% 3.59% 09/2004 17105.7883 14754.05385 2004-10-31 2004-11-30 7.43% 6.65% 10/2004 17760.04307 15284.2776 2004-11-30 2004-12-31 4.98% 4.22% 11/2004 19080.44815 16300.75747 2004-12-31 2005-01-31 -1.00% -1.97% 12/2004 20030.65334 16989.40669 2005-01-31 2005-02-28 3.96% 4.45% 01/2005 19831.34336 16654.94269 2005-02-28 2005-03-31 -2.47% -2.27% 02/2005 20616.12642 17395.84581 2005-03-31 2005-04-30 -3.04% -2.55% 03/2005 20107.18718 17000.98254 2005-04-30 2005-05-31 0.13% 0.18% 04/2005 19496.36748 16567.48433 2005-05-31 2005-06-30 1.60% 1.63% 05/2005 19521.2989 16597.69751 2005-06-30 2005-07-31 4.46% 3.23% 06/2005 19834.17061 16869.00377 2005-07-31 2005-08-31 3.29% 2.76% 07/2005 20719.06031 17413.79488 2005-08-31 2005-09-30 2.81% 4.56% 08/2005 21401.68951 17894.53946 2005-09-30 2005-10-31 -1.50% -3.23% 09/2005 22003.41229 18711.18961 2005-10-31 2005-11-30 1.78% 2.65% 10/2005 21672.91621 18106.58452 2005-11-30 2005-12-31 4.90% 4.64% 11/2005 22058.75235 18586.07722 2005-12-31 2006-01-31 6.83% 6.32% 12/2005 23139.10286 19447.8385 2006-01-31 2006-02-28 0.96% -0.34% 01/2006 24719.46276 20677.90796 2006-02-28 2006-03-31 4.22% 3.17% 02/2006 24956.51674 20608.4637 2006-03-31 2006-04-30 5.06% 4.78% 03/2006 26010.09001 21262.03853 2006-04-30 2006-05-31 -4.05% -3.80% 04/2006 27327.0566 22278.72975 2006-05-31 2006-06-30 -0.63% -0.13% 05/2006 26220.80467 21432.31082 2006-06-30 2006-07-31 1.54% 0.94% 06/2006 26055.79316 21404.7152 2006-07-31 2006-08-31 3.44% 2.84% 07/2006 26457.06307 21605.26571 2006-08-31 2006-09-30 1.38% -0.08% 08/2006 27366.60821 22219.30598 2006-09-30 2006-10-31 4.44% 3.95% 09/2006 27745.53203 22201.41652 2006-10-31 2006-11-30 3.32% 2.98% 10/2006 28977.76406 23078.81278 2006-11-30 2006-12-31 3.90% 2.87% 11/2006 29940.61772 23766.23179 2006-12-31 2007-01-31 1.89% 0.61% 12/2006 31108.24776 24447.67862 2007-01-31 2007-02-28 -0.09% 0.80% 01/2007 31694.93227 24596.81523 2007-02-28 2007-03-31 3.23% 2.56% 02/2007 31666.99492 24793.58307 2007-03-31 2007-04-30 5.05% 4.55% 03/2007 32690.61921 25428.87548 2007-04-30 2007-05-31 3.42% 2.22% 04/2007 34340.53071 26585.83302 2007-05-31 2007-06-30 -0.73% 0.10% 05/2007 35515.04397 27176.22708 2007-06-30 2007-07-31 -2.78% -1.38% 06/2007 35255.53384 27203.4992 2007-07-31 2007-08-31 -1.12% -1.45% 07/2007 34275.02927 26827.45133 2007-08-31 2007-09-30 5.22% 5.68% 08/2007 33891.35358 26439.13227 2007-09-30 2007-10-31 4.85% 4.35% 09/2007 35660.69629 27941.23223 2007-10-31 2007-11-30 -6.06% -3.91% 10/2007 37390.13287 29155.8544 2007-11-30 2007-12-31 -2.15% -1.88% 11/2007 35125.11057 28015.69869 2007-12-31 2008-01-31 -8.10% -9.02% 12/2007 34368.5365 27489.05893 2008-01-31 2008-02-29 -1.27% 1.81% 01/2008 31584.40663 25010.60702 2008-02-29 2008-03-31 1.20% -1.43% 02/2008 31182.25454 25463.85563 2008-03-31 2008-04-30 4.47% 5.56% 03/2008 31555.9937 25100.36419 2008-04-30 2008-05-31 0.05% 1.52% 04/2008 32965.71164 26495.58367 2008-05-31 2008-06-30 -9.89% -7.78% 05/2008 32981.20304 26897.647 2008-06-30 2008-07-31 -2.83% -3.56% 06/2008 29719.76771 24806.01124 2008-07-31 2008-08-31 -4.18% -3.87% 07/2008 28878.34266 23923.25865 2008-08-31 2008-09-30 -11.68% -14.44% 08/2008 27671.77089 22998.07514 2008-09-30 2008-10-31 -25.08% -20.80% 09/2008 24439.82553 19677.65227 2008-10-31 2008-11-30 -6.13% -5.42% 10/2008 18311.13706 15584.31425 2008-11-30 2008-12-31 7.56% 5.27% 11/2008 17187.75442 14739.1788 2008-12-31 2009-01-31 -13.80% -9.33% 12/2008 18487.66861 15516.16027 2009-01-31 2009-02-28 -12.29% -10.12% 01/2009 15935.98519 14068.39209 2009-02-28 2009-03-31 10.91% 6.59% 02/2009 13978.08972 12644.22388 2009-03-31 2009-04-30 18.43% 12.90% 03/2009 15502.68045 13477.42184 2009-04-30 2009-05-31 14.86% 12.65% 04/2009 18359.28203 15215.45069 2009-05-31 2009-06-30 -1.52% -1.04% 05/2009 21087.49702 17139.69107 2009-06-30 2009-07-31 11.90% 9.39% 06/2009 20766.53055 16962.2042 2009-07-31 2009-08-31 5.73% 4.79% 07/2009 23237.97237 18554.91583 2009-08-31 2009-09-30 5.09% 4.13% 08/2009 24569.98322 19444.16669 2009-09-30 2009-10-31 -3.98% -1.61% 09/2009 25821.75245 20246.4017 2009-10-31 2009-11-30 2.98% 2.47% 10/2009 24794.65975 19921.38374 2009-11-30 2009-12-31 1.13% 1.59% 11/2009 25532.88262 20414.28949 2009-12-31 2010-01-31 -5.78% -4.69% 12/2009 25821.75244 20739.71496 2010-01-31 2010-02-28 0.40% -0.10% 01/2010 24329.25836 19767.55316 2010-02-28 2010-03-31 7.88% 6.44% 02/2010 24425.54831 19747.74296 2010-03-31 2010-04-30 -1.71% -1.49% 03/2010 26351.34713 21018.97237 2010-04-30 2010-05-31 -11.71% -11.03% 04/2010 25901.99407 20705.5737 2010-05-31 2010-06-30 -1.75% -1.45% 05/2010 22868.86094 18420.71863 2010-06-30 2010-07-31 12.50% 9.24% 06/2010 22467.65284 18154.24072 2010-07-31 2010-08-31 -4.89% -2.99% 07/2010 25276.10945 19832.15152 2010-08-31 2010-09-30 10.75% 9.59% 08/2010 24040.38854 19239.37361 2010-09-30 2010-10-31 3.50% 3.56% 09/2010 26624.16861 21084.94731 2010-10-31 2010-11-30 -5.01% -4.23% 10/2010 27554.97137 21836.08012 2010-11-30 2010-12-31 9.32% 8.05% 11/2010 26174.81554 20911.33371 2010-12-31 2011-01-31 4.26% 2.15% 12/2010 28614.16071 22595.14698 2011-01-31 2011-02-28 3.34% 3.71% 01/2011 29833.8333 23081.88961 2011-02-28 2011-03-31 -2.76% -2.00% 02/2011 30828.82935 23937.75502 2011-03-31 2011-04-30 5.35% 5.45% 03/2011 29978.26821 23458.22183 2011-04-30 2011-05-31 -3.61% -2.96% 04/2011 31583.10056 24735.79508 2011-05-31 2011-06-30 -1.37% -1.42% 05/2011 30443.66959 24002.51829 2011-06-30 2011-07-31 -3.21% -1.65% 06/2011 30026.41318 23660.6711 2011-07-31 2011-08-31 -10.71% -8.45% 07/2011 29063.51377 23270.36799 2011-08-31 2011-09-30 -10.95% -10.04% 08/2011 25950.13903 21303.01857 2011-09-30 2011-10-31 9.65% 9.73% 09/2011 23109.58578 19163.70779 2011-10-31 2011-11-30 -3.29% -4.62% 10/2011 25340.30274 21027.44381 2011-11-30 2011-12-31 -2.69% -1.09% 11/2011 24505.78992 20055.70845 2011-12-31 2012-01-31 6.73% 5.40% 12/2011 23847.80865 19836.86573 2012-01-31 2012-02-29 5.23% 5.50% 01/2012 25452.641 20907.86348 2012-02-29 2012-03-31 -0.84% -0.74% 02/2012 26784.65185 22057.34745 2012-03-31 2012-04-30 -3.56% -1.70% 03/2012 26559.97531 21894.09324 2012-04-30 2012-05-31 -12.34% -11.40% 04/2012 25613.12423 21522.48712 2012-05-31 2012-06-30 7.08% 6.55% 05/2012 22451.60451 19068.8287 2012-06-30 2012-07-31 -0.40% 1.25% 06/2012 24040.38854 20318.28267 2012-07-31 2012-08-31 4.16% 2.85% 07/2012 23944.09859 20571.27444 2012-08-31 2012-09-30 3.54% 3.04% 08/2012 24939.09466 21158.19849 2012-09-30 2012-10-31 1.24% 0.70% 09/2012 25821.75245 21800.59481 10/31/2012 26142.71891 21953.36604
One Year Five Years Ten Years -------- ---------- --------- 3.17% -6.91% 10.09% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Japanese Small Company Series vs. MSCI Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
The Japanese Small MSCI Japan Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------ -------------------- 2002-10-31 2002-11-30 -0.79% 0.75% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.80% -2.23% 11/2002 9920.844328 10075.08187 2002-12-31 2003-01-31 0.27% -0.58% 12/2002 9841.688656 9849.969381 2003-01-31 2003-02-28 7.22% 5.07% 01/2003 9868.073882 9792.859234 2003-02-28 2003-03-31 1.00% -1.62% 02/2003 10580.47494 10289.41133 2003-03-31 2003-04-30 4.44% 3.12% 03/2003 10686.01583 10122.74022 2003-04-30 2003-05-31 6.38% 4.57% 04/2003 11160.94987 10438.51008 2003-05-31 2003-06-30 8.00% 11.22% 05/2003 11873.35093 10915.49296 2003-06-30 2003-07-31 1.23% 1.17% 06/2003 12823.219 12140.63207 2003-07-31 2003-08-31 8.74% 12.61% 07/2003 12981.53034 12283.20775 2003-08-31 2003-09-30 6.54% 7.28% 08/2003 14116.09499 13831.70478 2003-09-30 2003-10-31 4.04% 7.41% 09/2003 15039.57785 14837.98823 2003-10-31 2003-11-30 -6.24% -6.87% 10/2003 15646.43801 15937.72465 2003-11-30 2003-12-31 5.94% 7.15% 11/2003 14670.18471 14842.64757 2003-12-31 2004-01-31 4.92% 3.64% 12/2003 15540.89711 15903.77806 2004-01-31 2004-02-29 0.65% -0.26% 01/2004 16306.06861 16482.86696 2004-02-29 2004-03-31 20.42% 18.33% 02/2004 16411.60951 16440.26731 2004-03-31 2004-04-30 -3.34% -3.18% 03/2004 19762.53299 19454.19207 2004-04-30 2004-05-31 -4.83% -4.97% 04/2004 19102.90239 18835.29913 2004-05-31 2004-06-30 9.72% 10.52% 05/2004 18179.41954 17899.83759 2004-06-30 2004-07-31 -6.35% -8.19% 06/2004 19947.22957 19782.60869 2004-07-31 2004-08-31 1.55% 1.04% 07/2004 18680.7388 18161.42602 2004-08-31 2004-09-30 -2.36% -3.02% 08/2004 18970.97626 18350.99444 2004-09-30 2004-10-31 1.99% 1.85% 09/2004 18522.42745 17797.06595 2004-10-31 2004-11-30 3.07% 4.35% 10/2004 18891.82059 18126.14819 2004-11-30 2004-12-31 4.88% 4.84% 11/2004 19472.29552 18914.90721 2004-12-31 2005-01-31 4.13% 3.40% 12/2004 20422.16359 19830.53329 2005-01-31 2005-02-28 3.72% 1.91% 01/2005 21266.49077 20505.07202 2005-02-28 2005-03-31 0.60% -0.23% 02/2005 22058.0475 20897.12186 2005-03-31 2005-04-30 -2.73% -0.81% 03/2005 22189.97362 20848.39852 2005-04-30 2005-05-31 -1.71% -1.84% 04/2005 21583.11347 20678.93181 2005-05-31 2005-06-30 1.87% 1.35% 05/2005 21213.72033 20298.06438 2005-06-30 2005-07-31 2.08% 2.83% 06/2005 21609.49869 20572.69895 2005-07-31 2005-08-31 5.62% 3.43% 07/2005 22058.0475 21155.3822 2005-08-31 2005-09-30 4.08% 6.25% 08/2005 23298.15305 21881.43987 2005-09-30 2005-10-31 3.16% 2.00% 09/2005 24248.02112 23249.02154 2005-10-31 2005-11-30 2.00% 4.27% 10/2005 25013.19263 23713.49078 2005-11-30 2005-12-31 11.27% 13.52% 11/2005 25514.51189 24726.96291 2005-12-31 2006-01-31 4.28% 3.19% 12/2005 28390.50134 28070.90178 2006-01-31 2006-02-28 -5.97% -6.51% 01/2006 29604.22165 28965.62742 2006-02-28 2006-03-31 4.45% 4.49% 02/2006 27836.41163 27079.52821 2006-03-31 2006-04-30 2.00% 0.50% 03/2006 29076.51717 28294.28366 2006-04-30 2006-05-31 -7.03% -8.02% 04/2006 29656.9921 28434.72936 2006-05-31 2006-06-30 -3.83% -3.13% 05/2006 27572.55938 26153.78472 2006-06-30 2006-07-31 -4.78% -6.61% 06/2006 26517.15041 25334.67345 2006-07-31 2006-08-31 1.67% 2.66% 07/2006 25250.65964 23659.84185 2006-08-31 2006-09-30 -1.54% -2.19% 08/2006 25672.82323 24289.11846 2006-09-30 2006-10-31 -0.73% -0.64% 09/2006 25277.04486 23757.55478 2006-10-31 2006-11-30 -0.63% -0.84% 10/2006 25092.34829 23605.12794 2006-11-30 2006-12-31 0.85% 0.58% 11/2006 24934.03695 23406.37397 2006-12-31 2007-01-31 2.10% 1.94% 12/2006 25145.11875 23542.69283 2007-01-31 2007-02-28 4.01% 3.95% 01/2007 25672.82323 24000.37275 2007-02-28 2007-03-31 -0.69% -0.92% 02/2007 26701.84698 24947.40195 2007-03-31 2007-04-30 -1.39% -1.71% 03/2007 26517.15041 24717.55696 2007-04-30 2007-05-31 -2.02% -2.38% 04/2007 26147.75727 24294.40116 2007-05-31 2007-06-30 1.65% 0.66% 05/2007 25620.05278 23715.33754 2007-06-30 2007-07-31 0.61% -0.03% 06/2007 26042.21638 23871.04781 2007-07-31 2007-08-31 -4.23% -6.09% 07/2007 26200.52772 23864.94367 2007-08-31 2007-09-30 -0.11% -0.61% 08/2007 25092.3483 22411.08335 2007-09-30 2007-10-31 0.63% 3.62% 09/2007 25065.96307 22275.03884 2007-10-31 2007-11-30 -2.30% -4.20% 10/2007 25224.27442 23080.52444 2007-11-30 2007-12-31 -6.21% -5.98% 11/2007 24643.79948 22110.18267 2007-12-31 2008-01-31 -2.85% -4.91% 12/2007 23113.45647 20787.37617 2008-01-31 2008-02-29 -0.71% 1.10% 01/2008 22453.82586 19766.37958 2008-02-29 2008-03-31 2.01% 0.03% 02/2008 22295.51452 19983.05381 2008-03-31 2008-04-30 0.70% 1.24% 03/2008 22744.06333 19989.52537 2008-04-30 2008-05-31 3.69% 3.08% 04/2008 22902.37468 20237.73298 2008-05-31 2008-06-30 -4.67% -6.14% 05/2008 23746.70186 20861.33463 2008-06-30 2008-07-31 -2.80% -3.27% 06/2008 22638.52244 19580.38503 2008-07-31 2008-08-31 -5.52% -4.42% 07/2008 22005.27706 18939.5221 2008-08-31 2008-09-30 -6.47% -9.76% 08/2008 20791.55674 18102.73475 2008-09-30 2008-10-31 -7.33% -10.56% 09/2008 19445.9103 16335.0643 2008-10-31 2008-11-30 2.64% 4.08% 10/2008 18021.10819 14610.87139 2008-11-30 2008-12-31 10.27% 7.79% 11/2008 18496.04223 15207.58848 2008-12-31 2009-01-31 -6.86% -5.24% 12/2008 20395.77837 16391.82817 2009-01-31 2009-02-28 -12.92% -13.15% 01/2009 18997.36148 15532.69167 2009-02-28 2009-03-31 4.47% 3.53% 02/2009 16543.53562 13490.5956 2009-03-31 2009-04-30 4.12% 5.12% 03/2009 17282.32191 13966.68196 2009-04-30 2009-05-31 12.32% 12.24% 04/2009 17994.72296 14681.2359 2009-05-31 2009-06-30 6.66% 6.36% 05/2009 20211.0818 16477.8381 2009-06-30 2009-07-31 2.08% 2.50% 06/2009 21556.72824 17526.07854 2009-07-31 2009-08-31 5.28% 5.61% 07/2009 22005.27705 17964.79588 2009-08-31 2009-09-30 -1.03% -0.39% 08/2009 23166.22692 18971.85596 2009-09-30 2009-10-31 -3.57% -3.66% 09/2009 22928.75989 18896.95379 2009-10-31 2009-11-30 -4.06% -3.57% 10/2009 22110.81795 18205.29095 2009-11-30 2009-12-31 -0.37% -1.87% 11/2009 21213.72032 17554.53077 2009-12-31 2010-01-31 1.37% 2.16% 12/2009 21134.56465 17226.74007 2010-01-31 2010-02-28 1.97% 1.90% 01/2010 21424.80211 17598.31424 2010-02-28 2010-03-31 5.07% 4.55% 02/2010 21846.9657 17932.44578 2010-03-31 2010-04-30 2.99% 2.71% 03/2010 22955.14512 18748.39441 2010-04-30 2010-05-31 -8.37% -6.94% 04/2010 23641.16094 19256.15939 2010-05-31 2010-06-30 1.58% 0.44% 05/2010 21662.26912 17920.38247 2010-06-30 2010-07-31 1.80% 1.21% 06/2010 22005.27704 17999.54236 2010-07-31 2010-08-31 -2.71% -2.12% 07/2010 22401.0554 18217.74964 2010-08-31 2010-09-30 4.36% 4.09% 08/2010 21794.19525 17832.12461 2010-09-30 2010-10-31 -2.09% -0.82% 09/2010 22744.06332 18561.32287 2010-10-31 2010-11-30 2.49% 1.95% 10/2010 22269.12928 18408.83566 2010-11-30 2010-12-31 9.25% 10.09% 11/2010 22823.21899 18767.41745 2010-12-31 2011-01-31 2.33% 1.19% 12/2010 24934.03693 20661.01405 2011-01-31 2011-02-28 4.65% 4.02% 01/2011 25514.51186 20906.71999 2011-02-28 2011-03-31 -6.23% -6.17% 02/2011 26701.84695 21747.69396 2011-03-31 2011-04-30 -0.53% 0.09% 03/2011 25039.57783 20405.73235 2011-04-30 2011-05-31 -1.69% -1.49% 04/2011 24907.65171 20424.23355 2011-05-31 2011-06-30 5.06% 3.72% 05/2011 24485.48812 20120.65268 2011-06-30 2011-07-31 3.69% 4.15% 06/2011 25725.59366 20870.11031 2011-07-31 2011-08-31 -2.67% -4.09% 07/2011 26675.46174 21737.00781 2011-08-31 2011-09-30 -0.51% 0.09% 08/2011 25963.06068 20848.50785 2011-09-30 2011-10-31 -5.11% -3.69% 09/2011 25831.13456 20867.42386 2011-10-31 2011-11-30 1.61% -2.71% 10/2011 24511.87334 20097.71099 2011-11-30 2011-12-31 -0.53% 1.56% 11/2011 24907.65171 19553.25552 2011-12-31 2012-01-31 6.39% 4.10% 12/2011 24775.72559 19858.08869 2012-01-31 2012-02-29 0.10% 1.09% 01/2012 26358.83905 20673.25987 2012-02-29 2012-03-31 2.90% 2.67% 02/2012 26385.22427 20897.89665 2012-03-31 2012-04-30 -2.04% -1.45% 03/2012 27150.39578 21455.93331 2012-04-30 2012-05-31 -8.33% -8.30% 04/2012 26596.30607 21145.10649 2012-05-31 2012-06-30 5.30% 4.27% 05/2012 24379.94724 19389.29527 2012-06-30 2012-07-31 -3.39% -1.56% 06/2012 25672.82322 20216.46374 2012-07-31 2012-08-31 0.11% -0.57% 07/2012 24802.11082 19900.07911 2012-08-31 2012-09-30 1.38% 2.77% 08/2012 24828.49605 19786.64947 2012-09-30 2012-10-31 -2.10% -2.16% 09/2012 25171.50396 20333.93316 10/31/2012 24643.79948 19894.1037
One Year Five Years Ten Years -------- ---------- --------- 0.54% -0.46% 9.44% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 221 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS The Asia Pacific Small Company Series vs. MSCI Pacific ex Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
MSCI0 Pacific ex The Asia Pacific Japan Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- -------------------- 2002-10-31 2002-11-30 0.96% 2.23% 10/2002 10000 10000 2002-11-30 2002-12-31 1.36% 1.63% 11/2002 10095.89041 10222.94441 2002-12-31 2003-01-31 3.21% 3.70% 12/2002 10232.87671 10389.69329 2003-01-31 2003-02-28 0.65% -1.56% 01/2003 10561.64383 10774.1636 2003-02-28 2003-03-31 -2.06% -0.24% 02/2003 10630.13699 10605.86716 2003-03-31 2003-04-30 2.89% 5.52% 03/2003 10410.9589 10580.71942 2003-04-30 2003-05-31 10.23% 7.11% 04/2003 10712.32877 11164.43722 2003-05-31 2003-06-30 4.64% 5.34% 05/2003 11808.21918 11958.2354 2003-06-30 2003-07-31 6.87% 2.28% 06/2003 12356.16438 12596.40774 2003-07-31 2003-08-31 7.16% 4.86% 07/2003 13205.47945 12883.57562 2003-08-31 2003-09-30 8.03% 7.96% 08/2003 14150.68493 13509.07737 2003-09-30 2003-10-31 5.82% 8.26% 09/2003 15287.67123 14584.14338 2003-10-31 2003-11-30 0.76% -0.44% 10/2003 16178.08219 15788.91371 2003-11-30 2003-12-31 4.45% 6.55% 11/2003 16301.36986 15719.08037 2003-12-31 2004-01-31 6.28% 4.09% 12/2003 17027.39726 16749.07389 2004-01-31 2004-02-29 3.10% 3.02% 01/2004 18095.89041 17434.54333 2004-02-29 2004-03-31 -3.16% 0.20% 02/2004 18657.53424 17961.48526 2004-03-31 2004-04-30 -7.28% -5.66% 03/2004 18068.49314 17996.98227 2004-04-30 2004-05-31 -0.74% -0.45% 04/2004 16753.42465 16979.07901 2004-05-31 2004-06-30 0.41% 0.12% 05/2004 16630.13698 16902.18495 2004-06-30 2004-07-31 1.80% 3.77% 06/2004 16698.63013 16922.1097 2004-07-31 2004-08-31 2.42% 3.29% 07/2004 16999.99999 17560.66893 2004-08-31 2004-09-30 6.14% 5.97% 08/2004 17410.9589 18139.16374 2004-09-30 2004-10-31 4.74% 6.40% 09/2004 18479.45205 19221.96752 2004-10-31 2004-11-30 7.29% 7.70% 10/2004 19356.16437 20452.36921 2004-11-30 2004-12-31 2.31% 4.23% 11/2004 20767.12328 22026.32775 2004-12-31 2005-01-31 2.26% 0.87% 12/2004 21246.57533 22957.37457 2005-01-31 2005-02-28 2.90% 3.19% 01/2005 21726.02738 23157.68602 2005-02-28 2005-03-31 -3.37% -2.84% 02/2005 22356.16437 23895.28867 2005-03-31 2005-04-30 -3.36% -1.63% 03/2005 21602.73971 23215.91272 2005-04-30 2005-05-31 -2.23% 1.28% 04/2005 20876.71232 22838.30968 2005-05-31 2005-06-30 4.50% 5.47% 05/2005 20410.95889 23131.7645 2005-06-30 2005-07-31 3.40% 4.16% 06/2005 21328.76711 24396.40581 2005-07-31 2005-08-31 2.61% -0.08% 07/2005 22054.79451 25412.08446 2005-08-31 2005-09-30 3.69% 5.04% 08/2005 22630.13697 25391.96627 2005-09-30 2005-10-31 -5.60% -5.88% 09/2005 23465.75341 26672.76016 2005-10-31 2005-11-30 2.47% 3.79% 10/2005 22150.68492 25105.66888 2005-11-30 2005-12-31 1.57% 1.96% 11/2005 22698.63012 26057.80112 2005-12-31 2006-01-31 6.77% 5.72% 12/2005 23054.7945 26569.26752 2006-01-31 2006-02-28 1.45% 1.00% 01/2006 24616.43833 28089.73876 2006-02-28 2006-03-31 5.10% 4.23% 02/2006 24972.60272 28371.87709 2006-03-31 2006-04-30 5.74% 6.45% 03/2006 26246.57533 29573.16543 2006-04-30 2006-05-31 -5.68% -5.11% 04/2006 27753.42464 31480.62173 2006-05-31 2006-06-30 -0.63% -1.22% 05/2006 26178.08218 29873.19735 2006-06-30 2006-07-31 1.95% 1.03% 06/2006 26013.69863 29509.32885 2006-07-31 2006-08-31 2.48% 3.26% 07/2006 26520.54794 29812.16571 2006-08-31 2006-09-30 1.06% 1.65% 08/2006 27178.08219 30784.60958 2006-09-30 2006-10-31 8.23% 6.97% 09/2006 27465.75342 31293.56121 2006-10-31 2006-11-30 5.58% 6.08% 10/2006 29726.02739 33475.41808 2006-11-30 2006-12-31 2.88% 3.73% 11/2006 31383.56164 35510.06393 2006-12-31 2007-01-31 2.59% 2.54% 12/2006 32287.67123 36835.73688 2007-01-31 2007-02-28 2.69% 1.91% 01/2007 33123.28767 37771.32964 2007-02-28 2007-03-31 5.24% 5.16% 02/2007 34013.69862 38491.52928 2007-03-31 2007-04-30 7.00% 6.93% 03/2007 35794.52054 40477.38445 2007-04-30 2007-05-31 8.58% 3.93% 04/2007 38301.36985 43284.20999 2007-05-31 2007-06-30 4.12% 2.60% 05/2007 41589.04108 44983.41006 2007-06-30 2007-07-31 1.58% -0.03% 06/2007 43301.36985 46153.21619 2007-07-31 2007-08-31 -7.44% -6.44% 07/2007 43986.30135 46140.90182 2007-08-31 2007-09-30 11.71% 8.87% 08/2007 40712.32875 43171.53026 2007-09-30 2007-10-31 8.77% 6.84% 09/2007 45479.45203 47002.60658 2007-10-31 2007-11-30 -6.59% -8.03% 10/2007 49465.75341 50215.50421 2007-11-30 2007-12-31 -1.69% -1.38% 11/2007 46205.47942 46181.72607 2007-12-31 2008-01-31 -10.04% -13.40% 12/2007 45424.6575 45546.18965 2008-01-31 2008-02-29 3.08% 5.94% 01/2008 40863.01367 39443.03773 2008-02-29 2008-03-31 -4.85% -6.31% 02/2008 42123.28764 41786.09735 2008-03-31 2008-04-30 7.01% 6.69% 03/2008 40082.19175 39150.03399 2008-04-30 2008-05-31 4.38% 1.08% 04/2008 42890.41093 41769.12844 2008-05-31 2008-06-30 -9.82% -11.19% 05/2008 44767.12325 42219.7361 2008-06-30 2008-07-31 -5.87% -4.60% 06/2008 40369.86297 37496.3338 2008-07-31 2008-08-31 -6.99% -8.12% 07/2008 37999.99995 35772.06782 2008-08-31 2008-09-30 -17.17% -19.52% 08/2008 35342.46571 32866.37089 2008-09-30 2008-10-31 -33.22% -35.32% 09/2008 29273.97257 26450.30161 2008-10-31 2008-11-30 -9.60% -10.91% 10/2008 19547.94518 17107.99184 2008-11-30 2008-12-31 10.93% 11.62% 11/2008 17671.23285 15240.90591 2008-12-31 2009-01-31 -12.30% -11.01% 12/2008 19602.7397 17011.6769 2009-01-31 2009-02-28 -5.50% -6.21% 01/2009 17191.7808 15138.38093 2009-02-28 2009-03-31 15.51% 14.33% 02/2009 16246.57532 14198.33404 2009-03-31 2009-04-30 14.96% 17.90% 03/2009 18767.12326 16233.2625 2009-04-30 2009-05-31 25.84% 23.98% 04/2009 21575.34243 19138.9839 2009-05-31 2009-06-30 0.81% 2.82% 05/2009 27150.68488 23727.9327 2009-06-30 2009-07-31 14.46% 14.44% 06/2009 27369.86296 24395.89769 2009-07-31 2009-08-31 4.55% 5.14% 07/2009 31328.76705 27918.80754 2009-08-31 2009-09-30 7.82% 8.38% 08/2009 32753.42459 29353.56318 2009-09-30 2009-10-31 2.25% 2.40% 09/2009 35315.06842 31812.29559 2009-10-31 2009-11-30 4.67% 2.88% 10/2009 36109.58897 32574.95601 2009-11-30 2009-12-31 2.65% 4.00% 11/2009 37794.52047 33511.53396 2009-12-31 2010-01-31 -5.40% -6.39% 12/2009 38794.52047 34850.68161 2010-01-31 2010-02-28 1.79% 1.25% 01/2010 36698.63008 32622.21372 2010-02-28 2010-03-31 8.25% 8.24% 02/2010 37356.16432 33031.08649 2010-03-31 2010-04-30 1.39% 2.80% 03/2010 40438.3561 35753.24456 2010-04-30 2010-05-31 -13.83% -15.10% 04/2010 40999.99993 36753.03781 2010-05-31 2010-06-30 -1.20% -0.57% 05/2010 35328.76706 31203.76406 2010-06-30 2010-07-31 11.11% 10.17% 06/2010 34904.10953 31025.8813 2010-07-31 2010-08-31 -0.11% -0.22% 07/2010 38780.82186 34182.58827 2010-08-31 2010-09-30 15.17% 15.01% 08/2010 38739.72596 34106.50072 2010-09-30 2010-10-31 4.33% 4.44% 09/2010 44616.43827 39227.22466 2010-10-31 2010-11-30 -1.32% -1.34% 10/2010 46547.94513 40968.50656 2010-11-30 2010-12-31 9.81% 10.09% 11/2010 45931.50678 40421.36451 2010-12-31 2011-01-31 -2.12% -2.91% 12/2010 50438.35609 44501.01994 2011-01-31 2011-02-28 0.64% 0.55% 01/2011 49369.86294 43206.90568 2011-02-28 2011-03-31 2.12% 3.07% 02/2011 49684.93144 43443.45509 2011-03-31 2011-04-30 4.27% 4.05% 03/2011 50739.72597 44776.95098 2011-04-30 2011-05-31 -2.95% -2.29% 04/2011 52904.10953 46588.20093 2011-05-31 2011-06-30 -3.36% -3.56% 05/2011 51342.4657 45521.78147 2011-06-30 2011-07-31 1.66% 1.48% 06/2011 49616.43831 43902.98932 2011-07-31 2011-08-31 -6.95% -6.96% 07/2011 50438.35613 44550.56657 2011-08-31 2011-09-30 -18.65% -18.18% 08/2011 46931.50683 41451.93249 2011-09-30 2011-10-31 15.64% 16.38% 09/2011 38178.08217 33915.26065 2011-10-31 2011-11-30 -2.67% -6.82% 10/2011 44150.68491 39471.81922 2011-11-30 2011-12-31 -5.83% -3.21% 11/2011 42972.60272 36780.00112 2011-12-31 2012-01-31 10.36% 10.38% 12/2011 40465.75341 35600.90329 2012-01-31 2012-02-29 7.55% 7.78% 01/2012 44657.53422 39297.23236 2012-02-29 2012-03-31 -1.43% -3.13% 02/2012 48027.39723 42352.65578 2012-03-31 2012-04-30 -0.41% 0.54% 03/2012 47342.46573 41026.60855 2012-04-30 2012-05-31 -12.46% -12.98% 04/2012 47150.68491 41248.3563 2012-05-31 2012-06-30 2.12% 1.40% 05/2012 41273.97258 35894.03867 2012-06-30 2012-07-31 1.49% 3.29% 06/2012 42150.68492 36396.50327 2012-07-31 2012-08-31 3.36% 1.60% 07/2012 42780.8219 37593.17588 2012-08-31 2012-09-30 4.96% 5.32% 08/2012 44219.17807 38194.19868 2012-09-30 2012-10-31 2.24% 2.06% 09/2012 46410.95889 40226.10709 10/31/2012 47452.05477 41055.3557
One Year Five Years Ten Years -------- ---------- --------- 7.48% -0.83% 16.85% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The United Kingdom Small Company Series vs. MSCI UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
The United Kingdom MSCI UK Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- -------------------- 2002-10-31 2002-11-30 3.38% 1.85% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.24% -2.90% 11/2002 10337.55274 10184.73327 2002-12-31 2003-01-31 -2.37% -7.52% 12/2002 10312.23629 9889.741677 2003-01-31 2003-02-28 -3.35% -2.90% 01/2003 10067.51055 9146.50954 2003-02-28 2003-03-31 -0.87% -0.12% 02/2003 9729.957808 8880.979174 2003-03-31 2003-04-30 9.45% 13.39% 03/2003 9645.569623 8870.105074 2003-04-30 2003-05-31 11.99% 14.56% 04/2003 10556.96203 10057.78446 2003-05-31 2003-06-30 5.71% 3.29% 05/2003 11822.78481 11522.12121 2003-06-30 2003-07-31 3.98% 6.33% 06/2003 12497.8903 11901.70319 2003-07-31 2003-08-31 4.22% 4.76% 07/2003 12995.78059 12654.92432 2003-08-31 2003-09-30 3.93% 2.62% 08/2003 13544.3038 13257.17248 2003-09-30 2003-10-31 5.70% 8.11% 09/2003 14075.94937 13605.01726 2003-10-31 2003-11-30 0.51% 0.83% 10/2003 14877.63713 14708.35915 2003-11-30 2003-12-31 5.59% 5.61% 11/2003 14953.5865 14830.88245 2003-12-31 2004-01-31 7.43% 8.47% 12/2003 15789.02954 15662.49826 2004-01-31 2004-02-29 5.82% 6.77% 01/2004 16962.02532 16989.77076 2004-02-29 2004-03-31 -1.36% -0.38% 02/2004 17949.36709 18140.78167 2004-03-31 2004-04-30 -3.57% -3.48% 03/2004 17704.64135 18071.61733 2004-04-30 2004-05-31 0.15% -0.06% 04/2004 17071.72996 17442.81614 2004-05-31 2004-06-30 3.41% 3.47% 05/2004 17097.04641 17432.82714 2004-06-30 2004-07-31 -3.68% -4.53% 06/2004 17679.32489 18037.60416 2004-07-31 2004-08-31 -0.69% -1.37% 07/2004 17029.53587 17221.28795 2004-08-31 2004-09-30 2.84% 3.29% 08/2004 16911.3924 16985.59814 2004-09-30 2004-10-31 3.15% 3.81% 09/2004 17392.40506 17543.84412 2004-10-31 2004-11-30 8.09% 8.09% 10/2004 17940.92826 18211.46333 2004-11-30 2004-12-31 4.13% 5.77% 11/2004 19392.40506 19683.89242 2004-12-31 2005-01-31 2.84% 2.25% 12/2004 20194.09282 20819.35084 2005-01-31 2005-02-28 3.41% 2.37% 01/2005 20767.93248 21286.81073 2005-02-28 2005-03-31 -2.24% -1.25% 02/2005 21476.79324 21790.68621 2005-03-31 2005-04-30 -3.38% -4.52% 03/2005 20995.78058 21518.58081 2005-04-30 2005-05-31 -1.96% -0.89% 04/2005 20286.91983 20545.98101 2005-05-31 2005-06-30 1.91% 1.54% 05/2005 19890.29536 20363.7766 2005-06-30 2005-07-31 1.96% 2.97% 06/2005 20270.04219 20677.10243 2005-07-31 2005-08-31 5.63% 4.84% 07/2005 20666.66666 21291.23624 2005-08-31 2005-09-30 -1.12% 0.17% 08/2005 21831.22362 22321.6205 2005-09-30 2005-10-31 -2.81% -3.05% 09/2005 21586.49788 22360.43851 2005-10-31 2005-11-30 4.34% 4.99% 10/2005 20978.90295 21679.54278 2005-11-30 2005-12-31 4.39% 4.32% 11/2005 21890.29534 22761.64224 2005-12-31 2006-01-31 7.83% 8.14% 12/2005 22852.32066 23745.11614 2006-01-31 2006-02-28 1.37% 1.57% 01/2006 24641.3502 25678.80942 2006-02-28 2006-03-31 1.66% 2.02% 02/2006 24978.90294 26081.40403 2006-03-31 2006-04-30 5.05% 5.29% 03/2006 25392.40506 26609.0508 2006-04-30 2006-05-31 -2.02% -2.22% 04/2006 26675.10548 28017.24683 2006-05-31 2006-06-30 -0.03% -0.85% 05/2006 26135.02109 27395.40001 2006-06-30 2006-07-31 0.71% -0.78% 06/2006 26126.58227 27162.87127 2006-07-31 2006-08-31 4.20% 3.60% 07/2006 26312.23628 26951.71141 2006-08-31 2006-09-30 2.92% 2.93% 08/2006 27417.72151 27921.52946 2006-09-30 2006-10-31 5.68% 5.73% 09/2006 28219.40928 28740.12164 2006-10-31 2006-11-30 6.28% 6.48% 10/2006 29822.7848 30386.15702 2006-11-30 2006-12-31 5.46% 4.69% 11/2006 31696.20252 32355.38079 2006-12-31 2007-01-31 0.71% -0.23% 12/2006 33426.16032 33873.58226 2007-01-31 2007-02-28 -0.03% 0.31% 01/2007 33662.44723 33794.55537 2007-02-28 2007-03-31 4.71% 4.14% 02/2007 33654.00842 33900.02177 2007-03-31 2007-04-30 3.45% 4.96% 03/2007 35240.5063 35302.18758 2007-04-30 2007-05-31 1.34% 0.64% 04/2007 36455.69619 37054.44065 2007-05-31 2007-06-30 -3.65% -2.91% 05/2007 36945.14767 37292.47839 2007-06-30 2007-07-31 -0.52% -0.56% 06/2007 35594.9367 36207.10124 2007-07-31 2007-08-31 -0.57% -3.67% 07/2007 35409.28269 36003.55839 2007-08-31 2007-09-30 -3.45% -5.67% 08/2007 35206.75106 34683.7346 2007-09-30 2007-10-31 7.99% 10.99% 09/2007 33991.56119 32718.25112 2007-10-31 2007-11-30 -11.56% -11.57% 10/2007 36708.86077 36313.48132 2007-11-30 2007-12-31 -5.28% -5.02% 11/2007 32464.13503 32111.56657 2007-12-31 2008-01-31 -6.72% -8.05% 12/2007 30751.05486 30499.3662 2008-01-31 2008-02-29 1.47% 3.39% 01/2008 28683.54431 28045.22453 2008-02-29 2008-03-31 -0.38% -1.26% 02/2008 29105.48524 28995.40235 2008-03-31 2008-04-30 1.69% 1.86% 03/2008 28995.7806 28630.99404 2008-04-30 2008-05-31 0.29% 0.47% 04/2008 29485.23207 29163.51692 2008-05-31 2008-06-30 -7.96% -6.84% 05/2008 29569.62026 29301.51708 2008-06-30 2008-07-31 -3.50% -3.99% 06/2008 27215.18989 27298.28546 2008-07-31 2008-08-31 -1.61% -2.62% 07/2008 26261.60339 26209.1302 2008-08-31 2008-09-30 -15.45% -18.39% 08/2008 25839.66246 25523.09577 2008-09-30 2008-10-31 -26.84% -27.75% 09/2008 21848.10127 20829.83263 2008-10-31 2008-11-30 -7.07% -9.27% 10/2008 15983.12237 15050.14501 2008-11-30 2008-12-31 -2.22% -2.54% 11/2008 14852.32068 13654.45043 2008-12-31 2009-01-31 -2.44% -0.55% 12/2008 14523.20676 13308.06844 2009-01-31 2009-02-28 -4.11% -3.32% 01/2009 14168.77638 13235.0837 2009-02-28 2009-03-31 4.35% 5.80% 02/2009 13586.49789 12796.33037 2009-03-31 2009-04-30 20.95% 22.97% 03/2009 14177.21519 13538.45221 2009-04-30 2009-05-31 10.24% 10.56% 04/2009 17147.67933 16648.44171 2009-05-31 2009-06-30 0.49% 0.71% 05/2009 18902.95359 18406.87658 2009-06-30 2009-07-31 8.66% 9.20% 06/2009 18995.78059 18536.80413 2009-07-31 2009-08-31 7.81% 9.64% 07/2009 20641.35021 20242.59082 2009-08-31 2009-09-30 2.92% 2.31% 08/2009 22253.16456 22194.30581 2009-09-30 2009-10-31 0.15% 0.14% 09/2009 22902.95359 22706.30182 2009-10-31 2009-11-30 -0.29% -1.04% 10/2009 22936.70886 22739.17824 2009-11-30 2009-12-31 2.10% 2.47% 11/2009 22869.19831 22502.57727 2009-12-31 2010-01-31 -0.98% -0.46% 12/2009 23350.21097 23058.42647 2010-01-31 2010-02-28 -3.43% -4.48% 01/2010 23122.36287 22951.40342 2010-02-28 2010-03-31 8.39% 8.81% 02/2010 22329.11393 21923.41454 2010-03-31 2010-04-30 3.70% 3.99% 03/2010 24202.53165 23855.6759 2010-04-30 2010-05-31 -11.30% -12.02% 04/2010 25097.04642 24807.83622 2010-05-31 2010-06-30 1.90% 0.43% 05/2010 22261.60339 21825.88192 2010-06-30 2010-07-31 13.50% 12.03% 06/2010 22683.54431 21920.17077 2010-07-31 2010-08-31 -3.67% -2.72% 07/2010 25746.83545 24556.84503 2010-08-31 2010-09-30 10.68% 11.02% 08/2010 24801.68777 23889.83015 2010-09-30 2010-10-31 5.23% 4.26% 09/2010 27451.4768 26521.98383 2010-10-31 2010-11-30 -4.91% -4.16% 10/2010 28886.07596 27652.52891 2010-11-30 2010-12-31 10.23% 10.46% 11/2010 27468.35445 26500.89745 2010-12-31 2011-01-31 1.45% 0.97% 12/2010 30278.48103 29273.77513 2011-01-31 2011-02-28 3.02% 2.64% 01/2011 30717.2996 29556.91796 2011-02-28 2011-03-31 -1.84% -1.73% 02/2011 31645.56964 30336.40823 2011-03-31 2011-04-30 8.86% 9.17% 03/2011 31063.29116 29812.97875 2011-04-30 2011-05-31 -0.60% -1.27% 04/2011 33814.34601 32545.73053 2011-05-31 2011-06-30 -3.19% -3.37% 05/2011 33611.81436 32133.8104 2011-06-30 2011-07-31 -0.65% -0.28% 06/2011 32540.08441 31051.37887 2011-07-31 2011-08-31 -9.97% -10.20% 07/2011 32329.11394 30965.45914 2011-08-31 2011-09-30 -10.09% -10.55% 08/2011 29105.48524 27806.69897 2011-09-30 2011-10-31 10.61% 10.93% 09/2011 26168.77639 24874.3008 2011-10-31 2011-11-30 -3.03% -3.88% 10/2011 28945.1477 27592.49812 2011-11-30 2011-12-31 -3.10% -3.34% 11/2011 28067.51056 26521.47755 2011-12-31 2012-01-31 8.84% 10.15% 12/2011 27198.31226 25636.24738 2012-01-31 2012-02-29 8.15% 9.29% 01/2012 29603.37555 28237.12768 2012-02-29 2012-03-31 2.19% 0.33% 02/2012 32016.87766 30859.75401 2012-03-31 2012-04-30 1.73% 1.70% 03/2012 32717.2996 30961.08612 2012-04-30 2012-05-31 -11.26% -12.39% 04/2012 33282.70044 31488.06169 2012-05-31 2012-06-30 4.91% 4.76% 05/2012 29535.865 27586.66253 2012-06-30 2012-07-31 1.69% 1.82% 06/2012 30987.34179 28900.19337 2012-07-31 2012-08-31 5.49% 5.29% 07/2012 31510.54854 29426.59945 2012-08-31 2012-09-30 5.15% 5.34% 08/2012 33240.50634 30984.44922 2012-09-30 2012-10-31 2.20% 2.07% 09/2012 34953.58652 32637.78817 10/31/2012 35721.51901 33313.32062
One Year Five Years Ten Years -------- ---------- --------- 23.41% -0.54% 13.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Continental Small Company Series vs. MSCI Europe ex UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
The Continental Small MSCI Europe ex UK BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------------- -------------------------- 2002-10-31 2002-11-30 5.55% 5.48% 10/2002 10000 10000 2002-11-30 2002-12-31 1.83% -2.35% 11/2002 10554.66238 10548.1194 2002-12-31 2003-01-31 -0.67% -1.33% 12/2002 10747.58843 10300.47589 2003-01-31 2003-02-28 -2.94% -4.40% 01/2003 10675.24116 10163.741 2003-02-28 2003-03-31 -0.62% -0.23% 02/2003 10361.73634 9716.82901 2003-03-31 2003-04-30 12.49% 14.70% 03/2003 10297.42765 9694.149111 2003-04-30 2003-05-31 10.20% 9.83% 04/2003 11583.60129 11119.0498 2003-05-31 2003-06-30 1.64% 1.49% 05/2003 12765.27332 12212.14227 2003-06-30 2003-07-31 3.53% 3.56% 06/2003 12974.27653 12393.71256 2003-07-31 2003-08-31 2.21% 2.88% 07/2003 13432.47589 12834.98735 2003-08-31 2003-09-30 5.15% 5.67% 08/2003 13729.90354 13204.94501 2003-09-30 2003-10-31 6.18% 8.35% 09/2003 14437.29904 13953.64386 2003-10-31 2003-11-30 5.24% 5.32% 10/2003 15329.582 15119.23334 2003-11-30 2003-12-31 6.23% 5.23% 11/2003 16133.44052 15923.77981 2003-12-31 2004-01-31 4.83% 5.03% 12/2003 17138.26367 16756.77447 2004-01-31 2004-02-29 3.36% 3.37% 01/2004 17966.23796 17599.60146 2004-02-29 2004-03-31 -2.03% -3.45% 02/2004 18569.13185 18193.34286 2004-03-31 2004-04-30 -1.19% -1.57% 03/2004 18191.31834 17565.51607 2004-04-30 2004-05-31 1.12% 0.32% 04/2004 17974.27654 17288.89996 2004-05-31 2004-06-30 3.01% 3.57% 05/2004 18175.24117 17343.96099 2004-06-30 2004-07-31 -3.22% -4.02% 06/2004 18721.86496 17962.61095 2004-07-31 2004-08-31 0.62% 0.32% 07/2004 18118.97107 17240.78711 2004-08-31 2004-09-30 5.20% 5.58% 08/2004 18231.51126 17295.45485 2004-09-30 2004-10-31 3.77% 4.24% 09/2004 19180.06431 18259.67829 2004-10-31 2004-11-30 10.70% 11.10% 10/2004 19903.53698 19033.679 2004-11-30 2004-12-31 5.18% 5.00% 11/2004 22033.76207 21146.18703 2004-12-31 2005-01-31 1.42% 1.12% 12/2004 23175.24117 22203.35873 2005-01-31 2005-02-28 6.43% 7.01% 01/2005 23504.82316 22452.31322 2005-02-28 2005-03-31 -2.73% -2.55% 02/2005 25016.07718 24025.35429 2005-03-31 2005-04-30 -2.64% -2.94% 03/2005 24332.79744 23411.81715 2005-04-30 2005-05-31 0.27% 1.42% 04/2005 23689.71063 22723.02993 2005-05-31 2005-06-30 2.71% 3.20% 05/2005 23754.01931 23046.7101 2005-06-30 2005-07-31 6.23% 6.86% 06/2005 24397.10613 23784.26566 2005-07-31 2005-08-31 3.38% 2.84% 07/2005 25916.39874 25416.03849 2005-08-31 2005-09-30 2.55% 3.41% 08/2005 26792.60453 26137.73122 2005-09-30 2005-10-31 -4.94% -6.90% 09/2005 27475.88427 27030.24424 2005-10-31 2005-11-30 0.37% 1.28% 10/2005 26117.36336 25164.72424 2005-11-30 2005-12-31 5.18% 5.80% 11/2005 26213.82639 25485.65136 2005-12-31 2006-01-31 9.59% 11.16% 12/2005 27572.34728 26962.59783 2006-01-31 2006-02-28 2.90% 2.82% 01/2006 30217.04182 29971.15851 2006-02-28 2006-03-31 6.46% 6.46% 02/2006 31093.24762 30817.39404 2006-03-31 2006-04-30 6.90% 7.09% 03/2006 33102.89392 32808.37452 2006-04-30 2006-05-31 -4.79% -5.14% 04/2006 35385.85213 35133.1297 2006-05-31 2006-06-30 -1.86% -2.28% 05/2006 33689.71065 33327.25914 2006-06-30 2006-07-31 -0.22% -1.09% 06/2006 33062.701 32567.81027 2006-07-31 2006-08-31 2.66% 2.35% 07/2006 32990.35373 32211.48678 2006-08-31 2006-09-30 1.35% 1.05% 08/2006 33866.55951 32969.36247 2006-09-30 2006-10-31 5.04% 5.34% 09/2006 34324.75886 33315.32925 2006-10-31 2006-11-30 6.96% 7.00% 10/2006 36053.05469 35095.89795 2006-11-30 2006-12-31 4.77% 4.72% 11/2006 38561.09328 37551.88191 2006-12-31 2007-01-31 4.64% 3.20% 12/2006 40401.92929 39323.27377 2007-01-31 2007-02-28 0.17% 0.43% 01/2007 42274.91964 40582.59809 2007-02-28 2007-03-31 5.85% 5.32% 02/2007 42347.26691 40756.26296 2007-03-31 2007-04-30 5.27% 6.05% 03/2007 44823.15116 42923.45286 2007-04-30 2007-05-31 1.94% 1.74% 04/2007 47186.49521 45521.16427 2007-05-31 2007-06-30 -1.09% -0.96% 05/2007 48102.89393 46314.80908 2007-06-30 2007-07-31 -0.54% -0.73% 06/2007 47580.3859 45872.16695 2007-07-31 2007-08-31 -3.55% -4.53% 07/2007 47323.15118 45536.38588 2007-08-31 2007-09-30 2.24% 1.99% 08/2007 45643.08687 43475.46067 2007-09-30 2007-10-31 4.82% 5.98% 09/2007 46663.98719 44340.52536 2007-10-31 2007-11-30 -7.38% -7.15% 10/2007 48914.79105 46993.8839 2007-11-30 2007-12-31 -1.92% -2.03% 11/2007 45305.46629 43631.74618 2007-12-31 2008-01-31 -9.52% -12.04% 12/2007 44437.29909 42747.93808 2008-01-31 2008-02-29 4.30% 6.05% 01/2008 40209.00326 37600.02267 2008-02-29 2008-03-31 3.18% 2.03% 02/2008 41937.29908 39875.47704 2008-03-31 2008-04-30 1.21% 1.71% 03/2008 43271.70422 40686.35254 2008-04-30 2008-05-31 1.93% 1.55% 04/2008 43794.21227 41381.35231 2008-05-31 2008-06-30 -8.43% -9.24% 05/2008 44638.26373 42024.81106 2008-06-30 2008-07-31 -5.29% -5.68% 06/2008 40876.20585 38141.055 2008-07-31 2008-08-31 -2.72% -2.73% 07/2008 38713.82641 35975.57986 2008-08-31 2008-09-30 -17.40% -20.70% 08/2008 37660.77175 34993.1562 2008-09-30 2008-10-31 -26.69% -28.14% 09/2008 31109.3248 27748.03106 2008-10-31 2008-11-30 -7.79% -8.29% 10/2008 22805.46627 19940.70552 2008-11-30 2008-12-31 10.44% 9.24% 11/2008 21028.93893 18287.65983 2008-12-31 2009-01-31 -11.35% -8.98% 12/2008 23223.4727 19977.57567 2009-01-31 2009-02-28 -8.63% -8.80% 01/2009 20586.81675 18183.55312 2009-02-28 2009-03-31 7.26% 7.73% 02/2009 18810.28942 16582.57441 2009-03-31 2009-04-30 16.37% 20.82% 03/2009 20176.84891 17864.77253 2009-04-30 2009-05-31 14.48% 14.93% 04/2009 23480.70744 21583.40132 2009-05-31 2009-06-30 -1.23% -1.28% 05/2009 26881.02899 24805.40199 2009-06-30 2009-07-31 7.96% 8.98% 06/2009 26551.447 24487.43905 2009-07-31 2009-08-31 8.38% 10.26% 07/2009 28665.59491 26685.87974 2009-08-31 2009-09-30 8.56% 9.58% 08/2009 31069.13189 29424.58439 2009-09-30 2009-10-31 -2.79% -2.73% 09/2009 33729.9036 32244.66525 2009-10-31 2009-11-30 3.04% 2.06% 10/2009 32789.38913 31364.64914 2009-11-30 2009-12-31 -0.31% 0.45% 11/2009 33786.1737 32009.47746 2009-12-31 2010-01-31 -1.65% -1.33% 12/2009 33681.67209 32153.78839 2010-01-31 2010-02-28 -2.11% -2.85% 01/2010 33127.00971 31725.0131 2010-02-28 2010-03-31 7.44% 8.11% 02/2010 32427.65281 30821.97022 2010-03-31 2010-04-30 -0.95% -0.63% 03/2010 34839.22837 33321.86211 2010-04-30 2010-05-31 -14.21% -15.47% 04/2010 34509.64637 33111.4966 2010-05-31 2010-06-30 -0.62% -1.49% 05/2010 29606.10938 27989.11207 2010-06-30 2010-07-31 11.97% 11.98% 06/2010 29421.22193 27570.69336 2010-07-31 2010-08-31 -4.56% -4.75% 07/2010 32942.12225 30874.03721 2010-08-31 2010-09-30 13.76% 15.43% 08/2010 31438.90682 29406.79431 2010-09-30 2010-10-31 5.78% 6.42% 09/2010 35763.66567 33944.46414 2010-10-31 2010-11-30 -7.76% -7.58% 10/2010 37829.58208 36122.0978 2010-11-30 2010-12-31 12.97% 14.00% 11/2010 34895.49848 33385.52507 2010-12-31 2011-01-31 2.85% 2.26% 12/2010 39421.22197 38059.63329 2011-01-31 2011-02-28 1.72% 1.70% 01/2011 40546.62391 38920.23437 2011-02-28 2011-03-31 3.37% 3.37% 02/2011 41245.98082 39580.17969 2011-03-31 2011-04-30 6.77% 6.99% 03/2011 42636.65605 40915.82839 2011-04-30 2011-05-31 -3.37% -3.81% 04/2011 45522.50815 43773.90829 2011-05-31 2011-06-30 -3.22% -3.23% 05/2011 43987.13836 42104.23024 2011-06-30 2011-07-31 -5.65% -6.07% 06/2011 42572.34736 40744.73056 2011-07-31 2011-08-31 -10.27% -10.45% 07/2011 40168.81038 38271.79312 2011-08-31 2011-09-30 -15.05% -15.02% 08/2011 36045.01615 34273.42512 2011-09-30 2011-10-31 10.27% 10.96% 09/2011 30618.97113 29124.54759 2011-10-31 2011-11-30 -6.60% -7.81% 10/2011 33762.05795 32316.29841 2011-11-30 2011-12-31 -3.93% -3.40% 11/2011 31535.36984 29790.89992 2011-12-31 2012-01-31 9.53% 9.92% 12/2011 30297.42772 28778.2188 2012-01-31 2012-02-29 6.42% 7.67% 01/2012 33183.27982 31632.41729 2012-02-29 2012-03-31 0.18% -0.81% 02/2012 35313.5049 34060.10035 2012-03-31 2012-04-30 -2.32% -1.67% 03/2012 35377.81357 33784.16926 2012-04-30 2012-05-31 -13.65% -13.71% 04/2012 34557.87788 33220.96598 2012-05-31 2012-06-30 4.39% 4.93% 05/2012 29839.22836 28665.408 2012-06-30 2012-07-31 -1.01% -0.36% 06/2012 31149.51774 30077.80583 2012-07-31 2012-08-31 4.56% 4.36% 07/2012 30836.01292 29970.97203 2012-08-31 2012-09-30 5.29% 5.38% 08/2012 32242.76534 31277.87995 2012-09-30 2012-10-31 1.73% 1.72% 09/2012 33946.9454 32961.53496 10/31/2012 34533.76213 33529.17158
One Year Five Years Ten Years -------- ---------- --------- 2.29% -6.73% 13.19% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 222 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS The Canadian Small Company Series vs. MSCI Canada Small Cap Index (net div.) April 2, 2007 - October 31, 2012
The Canadian Small MSCI Canada Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------ -------------------- 2007-04-02 2007-04-30 7.10% 4.87% 04/2007 10000 10000 2007-04-30 2007-05-31 6.63% 8.05% 04/2007 10710 10486.77368 2007-05-31 2007-06-30 -0.44% -0.23% 05/2007 11420 11331.42466 2007-06-30 2007-07-31 -0.62% -2.49% 06/2007 11370 11305.55009 2007-07-31 2007-08-31 -6.55% -6.21% 07/2007 11300 11024.39939 2007-08-31 2007-09-30 11.08% 12.19% 08/2007 10560 10339.56745 2007-09-30 2007-10-31 10.83% 10.79% 09/2007 11730 11599.6882 2007-10-31 2007-11-30 -15.23% -15.90% 10/2007 13000 12851.68118 2007-11-30 2007-12-31 3.72% 2.78% 11/2007 11020 10808.72481 2007-12-31 2008-01-31 -9.45% -9.02% 12/2007 11430 11109.2109 2008-01-31 2008-02-29 7.83% 9.54% 01/2008 10350 10107.38383 2008-02-29 2008-03-31 -7.80% -7.88% 02/2008 11160 11071.34919 2008-03-31 2008-04-30 2.43% 3.48% 03/2008 10290 10199.20416 2008-04-30 2008-05-31 5.69% 5.21% 04/2008 10540 10554.52665 2008-05-31 2008-06-30 -4.67% -3.42% 05/2008 11140 11104.0776 2008-06-30 2008-07-31 -8.57% -8.85% 06/2008 10620 10724.57524 2008-07-31 2008-08-31 -4.12% -2.51% 07/2008 9710 9775.009579 2008-08-31 2008-09-30 -22.77% -21.23% 08/2008 9309.999999 9529.518204 2008-09-30 2008-10-31 -33.24% -33.24% 09/2008 7189.999999 7506.377885 2008-10-31 2008-11-30 -12.92% -9.02% 10/2008 4799.999999 5011.499724 2008-11-30 2008-12-31 7.66% 4.95% 11/2008 4180 4559.689916 2008-12-31 2009-01-31 0.67% 1.01% 12/2008 4500 4785.305837 2009-01-31 2009-02-28 -9.05% -7.85% 01/2009 4530 4833.486093 2009-02-28 2009-03-31 6.31% 5.72% 02/2009 4120 4453.869096 2009-03-31 2009-04-30 21.00% 16.08% 03/2009 4379.999999 4708.454728 2009-04-30 2009-05-31 19.62% 21.15% 04/2009 5299.999999 5465.620997 2009-05-31 2009-06-30 -6.15% -6.06% 05/2009 6339.999999 6621.522975 2009-06-30 2009-07-31 12.61% 12.46% 06/2009 5949.999997 6220.34334 2009-07-31 2009-08-31 3.28% 3.78% 07/2009 6699.999997 6995.572294 2009-08-31 2009-09-30 14.31% 12.36% 08/2009 6919.999997 7259.669592 2009-09-30 2009-10-31 -1.90% 0.66% 09/2009 7909.999998 8156.867881 2009-10-31 2009-11-30 8.51% 8.39% 10/2009 7759.999998 8210.753872 2009-11-30 2009-12-31 6.41% 5.88% 11/2009 8419.999999 8899.59917 2009-12-31 2010-01-31 -4.69% -4.16% 12/2009 8959.999999 9422.869902 2010-01-31 2010-02-28 5.97% 6.65% 01/2010 8539.999998 9031.077115 2010-02-28 2010-03-31 7.96% 8.53% 02/2010 9049.999999 9631.720335 2010-03-31 2010-04-30 3.58% 4.17% 03/2010 9769.999998 10453.69655 2010-04-30 2010-05-31 -9.58% -8.82% 04/2010 10120 10889.8098 2010-05-31 2010-06-30 -4.59% -4.69% 05/2010 9149.999995 9929.203615 2010-06-30 2010-07-31 8.13% 8.14% 06/2010 8729.999995 9463.812385 2010-07-31 2010-08-31 -1.17% -0.31% 07/2010 9439.999995 10233.78741 2010-08-31 2010-09-30 11.79% 10.95% 08/2010 9329.999997 10202.0054 2010-09-30 2010-10-31 6.52% 6.06% 09/2010 10430 11318.75956 2010-10-31 2010-11-30 4.86% 4.21% 10/2010 11110 12004.30943 2010-11-30 2010-12-31 10.21% 9.20% 11/2010 11650 12509.34187 2010-12-31 2011-01-31 -0.47% -1.17% 12/2010 12840 13659.8773 2011-01-31 2011-02-28 6.89% 6.61% 01/2011 12780 13499.73406 2011-02-28 2011-03-31 0.15% 0.03% 02/2011 13660 14392.30001 2011-03-31 2011-04-30 1.90% 3.03% 03/2011 13680 14395.94428 2011-04-30 2011-05-31 -4.16% -4.02% 04/2011 13940 14832.50041 2011-05-31 2011-06-30 -5.54% -5.10% 05/2011 13360 14235.57776 2011-06-30 2011-07-31 1.51% 2.65% 06/2011 12620 13509.81758 2011-07-31 2011-08-31 -7.57% -5.95% 07/2011 12810 13867.52148 2011-08-31 2011-09-30 -18.92% -18.31% 08/2011 11840 13042.66675 2011-09-30 2011-10-31 16.04% 14.26% 09/2011 9600 10655.15835 2011-10-31 2011-11-30 -3.50% -2.61% 10/2011 11140 12174.40656 2011-11-30 2011-12-31 -1.58% -2.06% 11/2011 10750 11856.58095 2011-12-31 2012-01-31 8.60% 8.20% 12/2011 10580 11612.51227 2012-01-31 2012-02-29 3.83% 3.58% 01/2012 11490 12564.44286 2012-02-29 2012-03-31 -4.44% -5.28% 02/2012 11930 13014.05863 2012-03-31 2012-04-30 -2.28% -0.81% 03/2012 11400 12326.39136 2012-04-30 2012-05-31 -11.67% -11.66% 04/2012 11140 12227.04078 2012-05-31 2012-06-30 0.20% -0.31% 05/2012 9840.000001 10801.36524 2012-06-30 2012-07-31 2.74% 3.46% 06/2012 9860 10767.51608 2012-07-31 2012-08-31 4.24% 4.15% 07/2012 10130 11140.2598 2012-08-31 2012-09-30 4.26% 5.05% 08/2012 10560 11603.05306 2012-09-30 2012-10-31 -1.36% -1.79% 09/2012 11010 12189.20224 10/31/2012 10860 11970.6149
One Year Five Years From 04/02/2007 -------- ---------- --------------- -2.51% -3.53% 1.49% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Emerging Markets Series vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
The Emerging MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Markets Series Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------- --------------------- 2002-10-31 2002-11-30 7.63% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.01% -3.33% 11/2002 10763.27434 10688.20463 2002-12-31 2003-01-31 -0.11% -0.44% 12/2002 10331.85841 10332.68124 2003-01-31 2003-02-28 -1.50% -2.81% 01/2003 10320.79646 10287.11002 2003-02-28 2003-03-31 -1.63% -2.86% 02/2003 10165.9292 9998.077641 2003-03-31 2003-04-30 13.50% 8.89% 03/2003 10000 9712.550745 2003-04-30 2003-05-31 7.31% 7.15% 04/2003 11349.55752 10576.25547 2003-05-31 2003-06-30 3.91% 5.67% 05/2003 12179.20354 11332.42116 2003-06-30 2003-07-31 2.01% 6.22% 06/2003 12654.86726 11974.8284 2003-07-31 2003-08-31 4.54% 6.69% 07/2003 12909.29204 12719.45993 2003-08-31 2003-09-30 4.51% 0.73% 08/2003 13495.57522 13570.61278 2003-09-30 2003-10-31 7.61% 8.51% 09/2003 14103.9823 13669.44466 2003-10-31 2003-11-30 -0.95% 1.22% 10/2003 15176.99115 14832.47204 2003-11-30 2003-12-31 10.52% 7.24% 11/2003 15033.18584 15012.94766 2003-12-31 2004-01-31 1.93% 3.49% 12/2003 16615.04425 16099.9853 2004-01-31 2004-02-29 4.44% 4.59% 01/2004 16935.84071 16662.21886 2004-02-29 2004-03-31 0.69% 1.25% 02/2004 17688.0531 17426.29823 2004-03-31 2004-04-30 -6.34% -8.19% 03/2004 17809.73452 17644.0921 2004-04-30 2004-05-31 -1.13% -2.00% 04/2004 16681.41593 16199.38255 2004-05-31 2004-06-30 1.81% 0.43% 05/2004 16493.36283 15876.20003 2004-06-30 2004-07-31 -0.07% -1.83% 06/2004 16792.0354 15943.82184 2004-07-31 2004-08-31 2.77% 4.15% 07/2004 16780.97346 15651.96247 2004-08-31 2004-09-30 5.64% 5.77% 08/2004 17245.57522 16301.04143 2004-09-30 2004-10-31 2.79% 2.39% 09/2004 18219.02655 17241.52745 2004-10-31 2004-11-30 8.74% 9.26% 10/2004 18727.87611 17653.47774 2004-11-30 2004-12-31 6.52% 4.80% 11/2004 20365.04425 19287.7093 2004-12-31 2005-01-31 0.82% 0.25% 12/2004 21692.47788 20214.06032 2005-01-31 2005-02-28 7.44% 8.72% 01/2005 21869.46903 20265.39862 2005-02-28 2005-03-31 -6.83% -6.61% 02/2005 23495.57523 22033.51685 2005-03-31 2005-04-30 -2.37% -2.68% 03/2005 21891.59293 20577.38623 2005-04-30 2005-05-31 3.00% 3.48% 04/2005 21371.68143 20024.99063 2005-05-31 2005-06-30 3.02% 3.40% 05/2005 22013.27435 20722.01549 2005-06-30 2005-07-31 6.44% 6.99% 06/2005 22676.99117 21426.05132 2005-07-31 2005-08-31 0.64% 0.86% 07/2005 24137.16815 22923.68229 2005-08-31 2005-09-30 7.97% 9.31% 08/2005 24292.0354 23119.9891 2005-09-30 2005-10-31 -4.98% -6.54% 09/2005 26227.87611 25272.80535 2005-10-31 2005-11-30 7.23% 8.27% 10/2005 24922.56638 23620.93331 2005-11-30 2005-12-31 5.79% 5.91% 11/2005 26725.66372 25574.955 2005-12-31 2006-01-31 9.59% 11.17% 12/2005 28274.33629 27086.60788 2006-01-31 2006-02-28 -0.29% -0.12% 01/2006 30984.51328 30111.9491 2006-02-28 2006-03-31 1.36% 0.88% 02/2006 30896.0177 30076.21583 2006-03-31 2006-04-30 6.00% 7.12% 03/2006 31316.37168 30341.27525 2006-04-30 2006-05-31 -11.53% -10.48% 04/2006 33196.90266 32501.78094 2006-05-31 2006-06-30 -0.11% -0.24% 05/2006 29369.46903 29096.49107 2006-06-30 2006-07-31 1.85% 1.43% 06/2006 29336.28319 29025.36378 2006-07-31 2006-08-31 3.15% 2.55% 07/2006 29878.31858 29440.93262 2006-08-31 2006-09-30 1.40% 0.83% 08/2006 30818.58407 30191.10507 2006-09-30 2006-10-31 5.98% 4.75% 09/2006 31250.00001 30442.48182 2006-10-31 2006-11-30 6.41% 7.43% 10/2006 33119.46903 31887.98293 2006-11-30 2006-12-31 4.05% 4.50% 11/2006 35243.36284 34258.36502 2006-12-31 2007-01-31 1.48% -1.08% 12/2006 36670.354 35800.88873 2007-01-31 2007-02-28 -1.52% -0.59% 01/2007 37212.38939 35415.39915 2007-02-28 2007-03-31 4.56% 3.98% 02/2007 36648.2301 35205.20002 2007-03-31 2007-04-30 6.41% 4.63% 03/2007 38318.58409 36607.13479 2007-04-30 2007-05-31 6.70% 4.95% 04/2007 40774.33629 38301.93602 2007-05-31 2007-06-30 1.65% 4.69% 05/2007 43506.63717 40199.01976 2007-06-30 2007-07-31 2.43% 5.28% 06/2007 44225.66372 42083.39264 2007-07-31 2007-08-31 -1.71% -2.13% 07/2007 45298.67256 44303.84785 2007-08-31 2007-09-30 8.82% 11.04% 08/2007 44524.33629 43362.3024 2007-09-30 2007-10-31 10.98% 11.15% 09/2007 48451.32743 48150.94986 2007-10-31 2007-11-30 -6.52% -7.09% 10/2007 53772.12388 53520.78318 2007-11-30 2007-12-31 -0.35% 0.35% 11/2007 50265.48672 49726.86787 2007-12-31 2008-01-31 -8.70% -12.48% 12/2007 50088.49557 49901.25085 2008-01-31 2008-02-29 3.19% 7.38% 01/2008 45730.08849 43673.8733 2008-02-29 2008-03-31 -3.09% -5.29% 02/2008 47190.26549 46897.54641 2008-03-31 2008-04-30 7.16% 8.12% 03/2008 45730.08849 44415.76252 2008-04-30 2008-05-31 0.59% 1.86% 04/2008 49004.42478 48020.26653 2008-05-31 2008-06-30 -10.26% -9.97% 05/2008 49292.03539 48911.10737 2008-06-30 2008-07-31 -1.30% -3.77% 06/2008 44236.72566 44032.83828 2008-07-31 2008-08-31 -5.93% -7.99% 07/2008 43661.50443 42371.91524 2008-08-31 2008-09-30 -13.90% -17.50% 08/2008 41073.00886 38987.53211 2008-09-30 2008-10-31 -26.34% -27.37% 09/2008 35365.04425 32164.58346 2008-10-31 2008-11-30 -9.04% -7.53% 10/2008 26050.88496 23361.83389 2008-11-30 2008-12-31 7.84% 7.80% 11/2008 23694.69027 21603.22571 2008-12-31 2009-01-31 -7.66% -6.46% 12/2008 25553.09734 23288.18785 2009-01-31 2009-02-28 -6.47% -5.64% 01/2009 23595.13275 21784.22273 2009-02-28 2009-03-31 14.44% 14.37% 02/2009 22068.58407 20555.33038 2009-03-31 2009-04-30 14.85% 16.64% 03/2009 25254.42478 23509.27602 2009-04-30 2009-05-31 17.05% 17.09% 04/2009 29004.42479 27421.45939 2009-05-31 2009-06-30 -0.85% -1.35% 05/2009 33949.11506 32106.85072 2009-06-30 2009-07-31 11.47% 11.24% 06/2009 33661.50443 31674.35664 2009-07-31 2009-08-31 0.35% -0.36% 07/2009 37522.1239 35236.07119 2009-08-31 2009-09-30 8.84% 9.08% 08/2009 37654.86726 35109.92688 2009-09-30 2009-10-31 -2.08% 0.12% 09/2009 40984.51328 38296.8602 2009-10-31 2009-11-30 5.98% 4.30% 10/2009 40132.74337 38344.23233 2009-11-30 2009-12-31 3.62% 3.95% 11/2009 42533.18585 39991.33055 2009-12-31 2010-01-31 -5.45% -5.58% 12/2009 44070.79647 41570.63621 2010-01-31 2010-02-28 1.22% 0.35% 01/2010 41670.35399 39252.15628 2010-02-28 2010-03-31 8.39% 8.07% 02/2010 42179.20354 39390.3133 2010-03-31 2010-04-30 0.60% 1.21% 03/2010 45719.02654 42570.3986 2010-04-30 2010-05-31 -9.28% -8.80% 04/2010 45995.57521 43086.13887 2010-05-31 2010-06-30 0.16% -0.74% 05/2010 41725.66372 39296.4307 2010-06-30 2010-07-31 8.81% 8.33% 06/2010 41792.0354 39007.56331 2010-07-31 2010-08-31 -2.31% -1.94% 07/2010 45475.66371 42255.92483 2010-08-31 2010-09-30 11.38% 11.11% 08/2010 44424.77876 41435.27509 2010-09-30 2010-10-31 3.04% 2.90% 09/2010 49480.08849 46039.95583 2010-10-31 2010-11-30 -2.23% -2.64% 10/2010 50984.51326 47376.79589 2010-11-30 2010-12-31 8.14% 7.14% 11/2010 49845.13274 46126.15023 2010-12-31 2011-01-31 -2.59% -2.71% 12/2010 53904.86725 49417.68963 2011-01-31 2011-02-28 -0.70% -0.93% 01/2011 52511.06194 48076.93112 2011-02-28 2011-03-31 5.58% 5.88% 02/2011 52146.01769 47628.60177 2011-03-31 2011-04-30 3.50% 3.10% 03/2011 55055.30973 50428.86654 2011-04-30 2011-05-31 -2.76% -2.62% 04/2011 56980.08848 51993.18073 2011-05-31 2011-06-30 -1.18% -1.54% 05/2011 55409.29201 50629.43612 2011-06-30 2011-07-31 -0.77% -0.44% 06/2011 54756.63715 49850.56795 2011-07-31 2011-08-31 -8.08% -8.94% 07/2011 54336.28317 49629.16113 2011-08-31 2011-09-30 -15.13% -14.58% 08/2011 49944.69025 45194.09196 2011-09-30 2011-10-31 12.53% 13.25% 09/2011 42389.38052 38605.04085 2011-10-31 2011-11-30 -3.46% -6.66% 10/2011 47699.11503 43718.55662 2011-11-30 2011-12-31 -2.91% -1.21% 11/2011 46050.88494 40804.88147 2011-12-31 2012-01-31 10.71% 11.34% 12/2011 44712.38936 40313.07288 2012-01-31 2012-02-29 5.43% 5.99% 01/2012 49502.21238 44885.64739 2012-02-29 2012-03-31 -2.59% -3.34% 02/2012 52190.26548 47574.28607 2012-03-31 2012-04-30 -1.78% -1.20% 03/2012 50840.70796 45986.28864 2012-04-30 2012-05-31 -10.77% -11.21% 04/2012 49933.62832 45436.70648 2012-05-31 2012-06-30 4.97% 3.86% 05/2012 44557.52212 40341.21113 2012-06-30 2012-07-31 0.80% 1.95% 06/2012 46769.91149 41898.19616 2012-07-31 2012-08-31 0.68% -0.33% 07/2012 47146.01769 42715.46911 2012-08-31 2012-09-30 5.59% 6.03% 08/2012 47466.81415 42573.22844 2012-09-30 2012-10-31 -0.51% -0.61% 09/2012 50121.6814 45142.17877 10/31/2012 49867.25663 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 4.55% -1.50% 17.43% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Emerging Markets Small Cap Series vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
The Emerging Markets MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Series Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- --------------------- 2002-10-31 2002-11-30 7.75% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.26% -3.33% 11/2002 10774.8184 10688.20463 2002-12-31 2003-01-31 1.86% -0.44% 12/2002 10423.72881 10332.68124 2003-01-31 2003-02-28 -1.14% -2.81% 01/2003 10617.43341 10287.11002 2003-02-28 2003-03-31 -0.69% -2.86% 02/2003 10496.36804 9998.077641 2003-03-31 2003-04-30 12.89% 8.89% 03/2003 10423.72881 9712.550745 2003-04-30 2003-05-31 7.61% 7.15% 04/2003 11767.55448 10576.25547 2003-05-31 2003-06-30 4.30% 5.67% 05/2003 12663.43826 11332.42116 2003-06-30 2003-07-31 2.11% 6.22% 06/2003 13208.23245 11974.8284 2003-07-31 2003-08-31 6.01% 6.69% 07/2003 13486.68281 12719.45993 2003-08-31 2003-09-30 3.81% 0.73% 08/2003 14297.82083 13570.61278 2003-09-30 2003-10-31 8.73% 8.51% 09/2003 14842.61502 13669.44466 2003-10-31 2003-11-30 2.03% 1.22% 10/2003 16138.01454 14832.47204 2003-11-30 2003-12-31 10.00% 7.24% 11/2003 16464.89105 15012.94766 2003-12-31 2004-01-31 3.01% 3.49% 12/2003 18111.38016 16099.9853 2004-01-31 2004-02-29 4.22% 4.59% 01/2004 18656.17435 16662.21886 2004-02-29 2004-03-31 1.68% 1.25% 02/2004 19443.09929 17426.29823 2004-03-31 2004-04-30 -5.51% -8.19% 03/2004 19769.9758 17644.0921 2004-04-30 2004-05-31 -4.15% -2.00% 04/2004 18680.38743 16199.38255 2004-05-31 2004-06-30 0.81% 0.43% 05/2004 17905.56902 15876.20003 2004-06-30 2004-07-31 0.74% -1.83% 06/2004 18050.84747 15943.82184 2004-07-31 2004-08-31 3.33% 4.15% 07/2004 18184.01938 15651.96247 2004-08-31 2004-09-30 5.54% 5.77% 08/2004 18789.34626 16301.04143 2004-09-30 2004-10-31 2.56% 2.39% 09/2004 19830.50848 17241.52745 2004-10-31 2004-11-30 9.46% 9.26% 10/2004 20338.98306 17653.47774 2004-11-30 2004-12-31 5.33% 4.80% 11/2004 22263.92252 19287.7093 2004-12-31 2005-01-31 2.84% 0.25% 12/2004 23450.3632 20214.06032 2005-01-31 2005-02-28 6.33% 8.72% 01/2005 24116.22277 20265.39862 2005-02-28 2005-03-31 -6.85% -6.61% 02/2005 25641.6465 22033.51685 2005-03-31 2005-04-30 -3.65% -2.68% 03/2005 23886.19856 20577.38623 2005-04-30 2005-05-31 1.95% 3.48% 04/2005 23014.52786 20024.99063 2005-05-31 2005-06-30 2.53% 3.40% 05/2005 23462.46975 20722.01549 2005-06-30 2005-07-31 5.59% 6.99% 06/2005 24055.69009 21426.05132 2005-07-31 2005-08-31 0.67% 0.86% 07/2005 25399.51576 22923.68229 2005-08-31 2005-09-30 6.63% 9.31% 08/2005 25569.00729 23119.9891 2005-09-30 2005-10-31 -4.84% -6.54% 09/2005 27263.92255 25272.80535 2005-10-31 2005-11-30 7.14% 8.27% 10/2005 25944.30996 23620.93331 2005-11-30 2005-12-31 6.58% 5.91% 11/2005 27796.61021 25574.955 2005-12-31 2006-01-31 9.73% 11.17% 12/2005 29624.69739 27086.60788 2006-01-31 2006-02-28 1.12% -0.12% 01/2006 32506.05332 30111.9491 2006-02-28 2006-03-31 1.80% 0.88% 02/2006 32869.24945 30076.21583 2006-03-31 2006-04-30 8.21% 7.12% 03/2006 33462.46979 30341.27525 2006-04-30 2006-05-31 -10.50% -10.48% 04/2006 36210.65382 32501.78094 2006-05-31 2006-06-30 -4.37% -0.24% 05/2006 32409.20103 29096.49107 2006-06-30 2006-07-31 2.30% 1.43% 06/2006 30992.73612 29025.36378 2006-07-31 2006-08-31 3.51% 2.55% 07/2006 31707.02184 29440.93262 2006-08-31 2006-09-30 2.84% 0.83% 08/2006 32820.82328 30191.10507 2006-09-30 2006-10-31 7.57% 4.75% 09/2006 33753.02667 30442.48182 2006-10-31 2006-11-30 7.60% 7.43% 10/2006 36307.5061 31887.98293 2006-11-30 2006-12-31 4.62% 4.50% 11/2006 39067.79666 34258.36502 2006-12-31 2007-01-31 1.98% -1.08% 12/2006 40871.67076 35800.88873 2007-01-31 2007-02-28 0.84% -0.59% 01/2007 41682.80877 35415.39915 2007-02-28 2007-03-31 4.52% 3.98% 02/2007 42033.89836 35205.20002 2007-03-31 2007-04-30 7.66% 4.63% 03/2007 43934.62474 36607.13479 2007-04-30 2007-05-31 7.99% 4.95% 04/2007 47300.24218 38301.93602 2007-05-31 2007-06-30 3.01% 4.69% 05/2007 51077.48189 40199.01976 2007-06-30 2007-07-31 4.90% 5.28% 06/2007 52615.01216 42083.39264 2007-07-31 2007-08-31 -4.12% -2.13% 07/2007 55193.70464 44303.84785 2007-08-31 2007-09-30 6.89% 11.04% 08/2007 52917.67557 43362.3024 2007-09-30 2007-10-31 7.58% 11.15% 09/2007 56561.74337 48150.94986 2007-10-31 2007-11-30 -7.98% -7.09% 10/2007 60847.45766 53520.78318 2007-11-30 2007-12-31 1.17% 0.35% 11/2007 55992.73611 49726.86787 2007-12-31 2008-01-31 -11.99% -12.48% 12/2007 56646.48913 49901.25085 2008-01-31 2008-02-29 2.89% 7.38% 01/2008 49854.72158 43673.8733 2008-02-29 2008-03-31 -4.65% -5.29% 02/2008 51295.39954 46897.54641 2008-03-31 2008-04-30 6.09% 8.12% 03/2008 48910.41166 44415.76252 2008-04-30 2008-05-31 -0.56% 1.86% 04/2008 51888.61989 48020.26653 2008-05-31 2008-06-30 -11.52% -9.97% 05/2008 51598.06299 48911.10737 2008-06-30 2008-07-31 -1.51% -3.77% 06/2008 45653.75305 44032.83828 2008-07-31 2008-08-31 -6.03% -7.99% 07/2008 44963.68042 42371.91524 2008-08-31 2008-09-30 -17.99% -17.50% 08/2008 42251.81602 38987.53211 2008-09-30 2008-10-31 -30.29% -27.37% 09/2008 34648.91044 32164.58346 2008-10-31 2008-11-30 -6.07% -7.53% 10/2008 24152.54239 23361.83389 2008-11-30 2008-12-31 14.19% 7.80% 11/2008 22687.65135 21603.22571 2008-12-31 2009-01-31 -7.62% -6.46% 12/2008 25907.99034 23288.18785 2009-01-31 2009-02-28 -6.12% -5.64% 01/2009 23934.62471 21784.22273 2009-02-28 2009-03-31 13.79% 14.37% 02/2009 22469.73367 20555.33038 2009-03-31 2009-04-30 20.27% 16.64% 03/2009 25569.00729 23509.27602 2009-04-30 2009-05-31 22.72% 17.09% 04/2009 30750.60535 27421.45939 2009-05-31 2009-06-30 -0.48% -1.35% 05/2009 37736.07752 32106.85072 2009-06-30 2009-07-31 12.80% 11.24% 06/2009 37554.47945 31674.35664 2009-07-31 2009-08-31 1.20% -0.36% 07/2009 42360.77484 35236.07119 2009-08-31 2009-09-30 8.36% 9.08% 08/2009 42869.24942 35109.92688 2009-09-30 2009-10-31 -0.08% 0.12% 09/2009 46452.78453 38296.8602 2009-10-31 2009-11-30 5.95% 4.30% 10/2009 46416.46491 38344.23233 2009-11-30 2009-12-31 5.51% 3.95% 11/2009 49176.75547 39991.33055 2009-12-31 2010-01-31 -4.39% -5.58% 12/2009 51888.61987 41570.63621 2010-01-31 2010-02-28 1.73% 0.35% 01/2010 49612.59082 39252.15628 2010-02-28 2010-03-31 8.56% 8.07% 02/2010 50472.15499 39390.3133 2010-03-31 2010-04-30 1.66% 1.21% 03/2010 54794.1889 42570.3986 2010-04-30 2010-05-31 -10.02% -8.80% 04/2010 55702.17921 43086.13887 2010-05-31 2010-06-30 2.68% -0.74% 05/2010 50121.06542 39296.4307 2010-06-30 2010-07-31 9.22% 8.33% 06/2010 51464.89108 39007.56331 2010-07-31 2010-08-31 0.50% -1.94% 07/2010 56210.65379 42255.92483 2010-08-31 2010-09-30 12.17% 11.11% 08/2010 56489.10416 41435.27509 2010-09-30 2010-10-31 3.99% 2.90% 09/2010 63365.61748 46039.95583 2010-10-31 2010-11-30 -2.66% -2.64% 10/2010 65895.88383 47376.79589 2010-11-30 2010-12-31 5.76% 7.14% 11/2010 64140.43588 46126.15023 2010-12-31 2011-01-31 -4.19% -2.71% 12/2010 67832.92984 49417.68963 2011-01-31 2011-02-28 -2.91% -0.93% 01/2011 64987.89351 48076.93112 2011-02-28 2011-03-31 5.58% 5.88% 02/2011 63099.27365 47628.60177 2011-03-31 2011-04-30 5.29% 3.10% 03/2011 66622.27608 50428.86654 2011-04-30 2011-05-31 -2.23% -2.62% 04/2011 70145.2785 51993.18073 2011-05-31 2011-06-30 -0.02% -1.54% 05/2011 68583.53516 50629.43612 2011-06-30 2011-07-31 1.15% -0.44% 06/2011 68571.42864 49850.56795 2011-07-31 2011-08-31 -9.46% -8.94% 07/2011 69358.35356 49629.16113 2011-08-31 2011-09-30 -17.76% -14.58% 08/2011 62796.61021 45194.09196 2011-09-30 2011-10-31 11.09% 13.25% 09/2011 51646.48915 38605.04085 2011-10-31 2011-11-30 -4.83% -6.66% 10/2011 57372.88142 43718.55662 2011-11-30 2011-12-31 -2.66% -1.21% 11/2011 54600.4843 40804.88147 2011-12-31 2012-01-31 11.32% 11.34% 12/2011 53147.69979 40313.07288 2012-01-31 2012-02-29 8.21% 5.99% 01/2012 59164.64895 44885.64739 2012-02-29 2012-03-31 -2.53% -3.34% 02/2012 64019.3705 47574.28607 2012-03-31 2012-04-30 -2.39% -1.20% 03/2012 62397.09445 45986.28864 2012-04-30 2012-05-31 -9.10% -11.21% 04/2012 60907.99034 45436.70648 2012-05-31 2012-06-30 3.83% 3.86% 05/2012 55363.19615 40341.21113 2012-06-30 2012-07-31 -1.18% 1.95% 06/2012 57481.8402 41898.19616 2012-07-31 2012-08-31 2.62% -0.33% 07/2012 56803.8741 42715.46911 2012-08-31 2012-09-30 5.86% 6.03% 08/2012 58292.97822 42573.22844 2012-09-30 2012-10-31 -0.33% -0.61% 09/2012 61707.0218 45142.17877 10/31/2012 61501.21066 44868.1269
One Year1 Five Years Ten Years --------- ---------- --------- 7.19% 0.21% 19.92%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 223 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. Equity Market Review 12 Months Ended October 31, 2012 The year ending October 31, 2012 saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 3000(R) Index....................................... 14.75% Russell Microcap(R) Index (micro cap stocks)................ 16.49% Russell 2000(R) Index (small cap stocks).................... 12.08% Russell 1000(R) Index (large cap stocks).................... 14.97% Dow Jones US Select REIT Index.............................. 14.09% The value premium was positive across both large cap and small cap stocks. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)........ 14.47% Russell 2000(R) Growth Index (small cap growth stocks)...... 9.70% Russell 1000(R) Value Index (large cap value stocks)........ 16.89% Russell 1000(R) Growth Index (large cap growth stocks)...... 13.02% -------- Sources: Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. 224 Domestic Equity Series' Performance Overview The U.S. Large Cap Value Series The U.S. Large Cap Value Series seeks to capture the returns of U.S. large company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Series held approximately 250 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 18.31% for the Series and 16.89% for the Russell 1000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. Value stocks, particularly in the largest size category, generally outperformed during the period. The Series had significantly greater exposure than the Index to value stocks, which contributed to the relative outperformance. The Series' exclusion of REITs and highly regulated utilities also helped performance as both of these sectors underperformed the overall Index during the period. International Equity Market Review 12 Months Ended October 31, 2012 The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI World ex USA Index............................................ 4.40% MSCI World ex USA Small Cap Index.................................. 4.86% MSCI World ex USA Value Index...................................... 4.74% MSCI World ex USA Growth Index..................................... 3.99% -------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar. 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Foreign Developed Markets by Market Cap Return Return --------------------------------------------------- -------- ----------- United Kingdom............................................ 8.61% 8.41% Japan..................................................... -0.86% -3.28% Canada.................................................... 3.34% 2.69% France.................................................... 10.04% 2.23% Australia................................................. 10.20% 7.71% Switzerland............................................... 17.41% 9.79% Germany................................................... 18.18% 9.79% 225 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Foreign Developed Markets by Market Cap Return Return --------------------------------------------------- -------- ----------- Spain.................................................. -6.40% -13.04% Sweden................................................. 9.26% 6.47% Hong Kong.............................................. 16.12% 16.34% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI Emerging Markets Index........... 2.63% MSCI Emerging Markets Small Cap Index. 3.74% MSCI Emerging Markets Value Index..... 1.36% MSCI Emerging Markets Growth Index.... 3.89% -------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ----------- China.................................................. 7.71% 7.92% South Korea............................................ 1.71% 3.35% Brazil................................................. 4.65% -12.68% Taiwan................................................. -1.78% 0.59% South Africa........................................... 17.70% 6.84% India.................................................. 5.24% -4.73% Russia................................................. -1.42% -4.50% Mexico................................................. 16.32% 17.03% Malaysia............................................... 11.39% 12.19% Indonesia.............................................. 12.64% 3.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. 226 International Equity Series' Performance Overview The DFA International Value Series The DFA International Value Series seeks to capture the returns of international large company value stocks. Value stocks are typically characterized by low relative price, as measured by their book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track any specific equity index. As of October 31, 2012, the Series held approximately 530 securities in 23 developed countries. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ending October 31, 2012, total returns were 3.17% for the Series and 4.40% for the MSCI World ex USA Index (net dividends). The Series focuses on international large-cap value stocks,as measured by book-to-market, while the Index is neutral with regard to value or growth. International large-cap value stocks, as measured by high book-to-market ratios, generally underperformed during the period. The Series had significantly greater exposure than the Index to value stocks, which contributed to relative underperformance. In particular, large-cap value stocks in Japan significantly underperformed. As the Series has significantly more weight in these securities than the Index, these holdings detracted from relative performance. Differences in the valuation timing and methodology between the Series and the Index contributed to relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Japanese Small Company Series The Japanese Small Company Series seeks to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 1,400 securities. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 0.54% for the Series and -1.01% for the MSCI Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market rather than the behavior of a limited number of stocks. The Series' outperformance was primarily attributable to its holdings of companies with a market capitalization below $500 million. These stocks are generally considered too small to be included in the Index and outperformed other stocks, contributing to the Series' relative performance. The Series' outperformance was also attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Asia Pacific Small Company Series The Asia Pacific Small Company Series seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 1,000 securities across the eligible countries. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 7.48% for the Series and 4.01% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. In particular, the Index held a number of larger Australian companies at higher weights than the Series and these stocks underperformed, benefitting the Series' relative performance. The 227 Series' outperformance was also attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The United Kingdom Small Company Series The United Kingdom Small Company Series seeks to capture the returns of U.K. small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 360 securities. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 23.41% for the Series and 20.73% for the MSCI UK Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Series generally excluded stocks not listed on the London Stock Exchange whereas the Index held a number of stocks listed on other exchanges. The stocks that were excluded by the Series significantly underperformed, contributed to the Series' relative performance. In addition, the Series held a number of stocks that were considered to be too large for the Index. These larger names outperformed, which had a positive impact on relative performance. The Series' outperformance was also attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Continental Small Company Series The Continental Small Company Series seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 1,400 securities in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 2.29% for the Series and 3.75% for the MSCI Europe ex UK Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. The Series defines the small cap universe differently than the Index. For the one-year period, this led to differences in country weights as well as holdings within certain countries. In particular, the Series had a lower allocation to Norway, one of the best performing countries, which detracted from relative performance. Differences in the Series' definition of the small cap universe also resulted in the exclusion or lower weighting of larger securities in Norway, Germany and Sweden, which also outperformed, and detracted from the Series' relative performance. For the period, differences in the valuation timing and methodology between the Series and the Index contributed to relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 228 The Canadian Small Company Series The Canadian Small Company Series seeks to capture the returns of Canadian small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 420 securities. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were -2.51% for the Series and -1.67% for the MSCI Canada Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Canadian equity market. The Series held smaller securities than the Index, which had a negative impact on relative performance as larger companies in Canada outperformed. The Series' exclusion of REITs also detracted significantly from relative performance as Canadian REITs outperformed. The Emerging Markets Series The Emerging Markets Series seeks to capture the returns of large cap stocks in selected emerging markets countries. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap emerging markets stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 970 securities across 20 emerging markets. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. The Series' country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 4.55% for the Series and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. Differences in the valuation timing and methodology between the Series and the Index were the primary reason for the Series' outperformance relative to the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Emerging Markets Small Cap Series The Emerging Markets Small Cap Series seeks to capture the returns of small company stocks in selected emerging markets. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 2,900 securities across 16 emerging markets. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. The Series' country weights were capped at 15% of assets associated with any one country upon purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 7.19% for the Series and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Series focuses on small cap stocks while the Index primarily holds mid-cap and large cap stocks. Emerging markets small cap stocks outperformed larger companies over the period. The Series' significantly greater exposure than the Index to small cap stocks contributed to the relative outperformance. In addition, differences in country weights between the Series and the Index also contributed to the Series' relative outperformance. To a lesser extent, differences in the valuation timing and methodology between the Series and the Index also contributed to outperformance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 229 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2012 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES.... Actual Fund Return................. $1,000.00 $1,068.50 0.12% $0.62 Hypothetical 5% Annual Return...... $1,000.00 $1,024.53 0.12% $0.61 THE DFA INTERNATIONAL VALUE SERIES. Actual Fund Return................. $1,000.00 $1,020.68 0.24% $1.22 Hypothetical 5% Annual Return...... $1,000.00 $1,023.93 0.24% $1.22
230 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return..................... $1,000.00 $ 926.58 0.15% $0.73 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.38 0.15% $0.76 The Asia Pacific Small Company Series ------------------------------------- Actual Fund Return..................... $1,000.00 $1,006.40 0.16% $0.81 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.33 0.16% $0.81 The United Kingdom Small Company Series --------------------------------------- Actual Fund Return..................... $1,000.00 $1,073.28 0.13% $0.68 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.48 0.13% $0.66 The Continental Small Company Series ------------------------------------ Actual Fund Return..................... $1,000.00 $ 999.29 0.16% $0.80 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.33 0.16% $0.81 The Canadian Small Company Series --------------------------------- Actual Fund Return..................... $1,000.00 $ 974.87 0.15% $0.74 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.38 0.15% $0.76 The Emerging Markets Series --------------------------- Actual Fund Return..................... $1,000.00 $ 998.66 0.20% $1.00 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.13 0.20% $1.02 The Emerging Markets Small Cap Series ------------------------------------- Actual Fund Return..................... $1,000.00 $1,009.75 0.39% $1.97 Hypothetical 5% Annual Return.......... $1,000.00 $1,023.18 0.39% $1.98
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 231 DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 28, 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..... 17.4% Consumer Staples........... 8.3% Energy..................... 19.2% Financials................. 19.6% Health Care................ 9.3% Industrials................ 13.7% Information Technology..... 3.2% Materials.................. 2.8% Telecommunication Services. 6.3% Utilities.................. 0.2% ----- 100.0%
The DFA International Value Series Consumer Discretionary..... 10.8% Consumer Staples........... 5.5% Energy..................... 14.5% Financials................. 30.7% Health Care................ 1.5% Industrials................ 10.0% Information Technology..... 2.9% Materials.................. 13.0% Telecommunication Services. 7.9% Utilities.................. 3.2% ----- 100.0%
The Japanese Small Company Series Consumer Discretionary..... 22.5% Consumer Staples........... 10.1% Energy..................... 0.9% Financials................. 12.2% Health Care................ 5.3% Industrials................ 26.3% Information Technology..... 10.9% Materials.................. 11.0% Telecommunication Services. 0.3% Utilities.................. 0.5% ----- 100.0%
232 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED
The Asia Pacific Small Company Series Consumer Discretionary....... 24.0% Consumer Staples............. 4.6% Energy....................... 7.1% Financials................... 11.7% Health Care.................. 5.6% Industrials.................. 21.3% Information Technology....... 4.5% Materials.................... 15.2% Other........................ -- Telecommunication Services... 2.5% Utilities.................... 3.5% ----- 100.0%
The United Kingdom Small Company Series Consumer Discretionary........ 25.0% Consumer Staples.............. 4.0% Energy........................ 5.0% Financials.................... 14.4% Health Care................... 2.1% Industrials................... 28.4% Information Technology........ 9.1% Materials..................... 7.4% Telecommunication Services.... 2.2% Utilities..................... 2.4% ----- 100.0%
The Continental Small Company Series Consumer Discretionary........ 13.3% Consumer Staples.............. 7.4% Energy........................ 4.5% Financials.................... 18.7% Health Care................... 9.5% Industrials................... 23.9% Information Technology........ 10.1% Materials..................... 8.9% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 1.6% Utilities..................... 2.1% ----- 100.0%
The Canadian Small Company Series Consumer Discretionary..... 11.2% Consumer Staples........... 3.4% Energy..................... 25.3% Financials................. 7.8% Health Care................ 2.0% Industrials................ 11.9% Information Technology..... 5.2% Materials.................. 28.4% Telecommunication Services. 0.5% Utilities.................. 4.3% ----- 100.0%
The Emerging Markets Series Consumer Discretionary..... 8.3% Consumer Staples........... 9.7% Energy..................... 12.4% Financials................. 23.9% Health Care................ 1.3% Industrials................ 7.4% Information Technology..... 13.5% Materials.................. 12.4% Other...................... -- Telecommunication Services. 7.8% Utilities.................. 3.3% ----- 100.0%
The Emerging Markets Small Cap Series Consumer Discretionary........ 18.4% Consumer Staples.............. 10.1% Energy........................ 2.1% Financials.................... 16.9% Health Care................... 6.1% Industrials................... 17.2% Information Technology........ 11.3% Materials..................... 14.0% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 0.9% Utilities..................... 3.0% ----- 100.0%
233 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- COMMON STOCKS -- (94.6%) Consumer Discretionary -- (16.4%) #Carnival Corp.................... 2,385,423 $ 90,359,823 0.9% CBS Corp. Class B................ 2,414,307 78,223,547 0.7% Comcast Corp. Class A............ 10,008,890 375,433,464 3.5% Comcast Corp. Special Class A.... 3,843,964 140,074,048 1.3% #News Corp. Class A............... 8,332,375 199,310,410 1.9% News Corp. Class B............... 3,247,295 79,104,106 0.8% Time Warner Cable, Inc........... 1,921,256 190,415,682 1.8% Time Warner, Inc................. 4,810,759 209,027,479 2.0% Other Securities................. 477,830,442 4.5% -------------- ---- Total Consumer Discretionary......... 1,839,779,001 17.4% -------------- ---- Consumer Staples -- (7.9%) Archer-Daniels-Midland Co........ 3,155,848 84,702,960 0.8% CVS Caremark Corp................ 5,746,668 266,645,395 2.5% *Kraft Foods Group, Inc........... 2,376,283 108,073,351 1.0% Mondelez International, Inc. Class A........................ 7,128,852 189,199,732 1.8% Other Securities................. 231,906,652 2.2% -------------- ---- Total Consumer Staples............... 880,528,090 8.3% -------------- ---- Energy -- (18.1%) Anadarko Petroleum Corp.......... 2,441,476 167,997,964 1.6% #Apache Corp...................... 1,208,836 100,031,179 0.9% #Chesapeake Energy Corp........... 3,251,150 65,868,299 0.6% Chevron Corp..................... 2,876,061 316,970,683 3.0% ConocoPhillips................... 5,374,243 310,899,958 2.9% Devon Energy Corp................ 1,094,855 63,731,510 0.6% Hess Corp........................ 1,567,373 81,910,913 0.8% Marathon Oil Corp................ 3,446,808 103,611,048 1.0% Marathon Petroleum Corp.......... 1,791,952 98,431,923 0.9% National Oilwell Varco, Inc...... 1,661,481 122,451,150 1.1% Phillips 66...................... 2,855,170 134,649,817 1.3% #Pioneer Natural Resources Co..... 517,832 54,708,951 0.5% Valero Energy Corp............... 2,806,975 81,682,972 0.8% Other Securities.................. 324,968,319 3.1% -------------- ---- Total Energy......................... 2,027,914,686 19.1% -------------- ---- Financials -- (18.5%) Allstate Corp. (The)............. 1,330,135 53,178,797 0.5% Bank of America Corp............. 29,573,320 275,623,342 2.6% Citigroup, Inc................... 9,338,881 349,180,761 3.3% CME Group, Inc................... 1,599,345 89,451,366 0.8% #Goldman Sachs Group, Inc. (The).. 786,395 96,246,884 0.9% JPMorgan Chase & Co.............. 2,316,928 96,569,559 0.9% Loews Corp....................... 2,050,343 86,688,502 0.8% MetLife, Inc..................... 4,759,859 168,927,396 1.6% Morgan Stanley................... 3,953,534 68,712,421 0.7% Prudential Financial, Inc........ 2,267,142 129,340,451 1.2% SunTrust Banks, Inc.............. 2,564,707 69,760,030 0.7% Other Securities................. 590,403,703 5.6% -------------- ---- Total Financials..................... 2,074,083,212 19.6% -------------- ---- Health Care -- (8.8%) Aetna, Inc....................... 1,693,713 74,015,258 0.7% Humana, Inc...................... 698,778 51,898,242 0.5% Pfizer, Inc...................... 17,815,204 443,064,123 4.2% Thermo Fisher Scientific, Inc.... 1,932,026 117,969,508 1.1% 234 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ----------- --------------- --------------- Health Care -- (Continued) #WellPoint, Inc................. 1,824,634 $ 111,813,572 1.1% Other Securities............... 185,837,706 1.7% --------------- ----- Total Health Care.................. 984,598,409 9.3% --------------- ----- Industrials -- (12.9%) CSX Corp....................... 5,517,066 112,934,341 1.1% General Electric Co............ 21,445,555 451,643,388 4.2% Norfolk Southern Corp.......... 1,681,939 103,186,958 1.0% Northrop Grumman Corp.......... 1,364,645 93,737,465 0.9% Union Pacific Corp............. 2,314,080 284,701,262 2.7% Other Securities............... 401,626,053 3.8% --------------- ----- Total Industrials.................. 1,447,829,467 13.7% --------------- ----- Information Technology -- (3.1%) Other Securities............... 342,245,409 3.2% --------------- ----- Materials -- (2.7%) International Paper Co......... 2,299,481 82,390,404 0.8% Other Securities............... 214,315,526 2.0% --------------- ----- Total Materials.................... 296,705,930 2.8% --------------- ----- Telecommunication Services -- (6.0%) AT&T, Inc...................... 13,051,618 451,455,467 4.3% CenturyLink, Inc............... 2,353,137 90,313,398 0.9% *Sprint Nextel Corp............. 13,961,200 77,345,048 0.7% Other Securities............... 46,089,533 0.4% --------------- ----- Total Telecommunication Services... 665,203,446 6.3% --------------- ----- Utilities -- (0.2%) Other Securities............... 21,403,569 0.2% --------------- ----- TOTAL COMMON STOCKS................ 10,580,291,219 99.9% --------------- ----- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 8,414,357 8,414,357 0.1% --------------- ----- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (5.3%) (S)@DFA Short Term Investment Fund. 51,528,378 596,183,329 5.6% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,620,729 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,625,607) to be repurchased at $1,573,497................... $ 1,573 1,573,484 0.0% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................... 597,756,813 5.6% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,371,764,356)........... $11,186,462,389 105.6% =============== =====
235 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 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..... $ 1,839,779,001 -- -- $ 1,839,779,001 Consumer Staples........... 880,528,090 -- -- 880,528,090 Energy..................... 2,027,914,686 -- -- 2,027,914,686 Financials................. 2,074,083,212 -- -- 2,074,083,212 Health Care................ 984,598,409 -- -- 984,598,409 Industrials................ 1,447,829,467 -- -- 1,447,829,467 Information Technology..... 342,245,409 -- -- 342,245,409 Materials.................. 296,705,930 -- -- 296,705,930 Telecommunication Services. 665,203,446 -- -- 665,203,446 Utilities.................. 21,403,569 -- -- 21,403,569 Temporary Cash Investments.... 8,414,357 -- -- 8,414,357 Securities Lending Collateral. -- $597,756,813 -- 597,756,813 --------------- ------------ -- --------------- TOTAL......................... $10,588,705,576 $597,756,813 -- $11,186,462,389 =============== ============ == ===============
See accompanying Notes to Financial Statements. 236 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (91.9%) AUSTRALIA -- (4.6%) #National Australia Bank, Ltd....... 1,435,379 $ 38,360,336 0.5% #Wesfarmers, Ltd.................... 2,578,622 92,958,107 1.3% Other Securities................... 227,956,736 3.2% ------------ ---- TOTAL AUSTRALIA........................ 359,275,179 5.0% ------------ ---- AUSTRIA -- (0.3%) Other Securities................... 20,298,622 0.3% ------------ ---- BELGIUM -- (0.9%) Other Securities................... 68,961,678 0.9% ------------ ---- CANADA -- (11.6%) Canadian Natural Resources, Ltd.... 1,668,484 50,284,224 0.7% Goldcorp, Inc...................... 1,677,120 75,816,739 1.0% #Manulife Financial Corp............ 4,587,163 56,676,437 0.8% Nexen, Inc......................... 1,739,936 41,549,410 0.6% #Sun Life Financial, Inc............ 1,565,269 38,820,238 0.5% Suncor Energy, Inc................. 3,696,270 124,054,038 1.7% #Teck Resources, Ltd. Class B....... 1,483,730 47,093,107 0.7% #Thomson Reuters Corp............... 1,832,184 51,585,496 0.7% Other Securities................... 422,824,032 5.8% ------------ ---- TOTAL CANADA........................... 908,703,721 12.5% ------------ ---- DENMARK -- (1.3%) Other Securities................... 98,590,467 1.4% ------------ ---- FINLAND -- (0.6%) Other Securities................... 46,534,314 0.6% ------------ ---- FRANCE -- (8.6%) AXA SA............................. 3,557,776 56,706,072 0.8% BNP Paribas SA..................... 1,230,991 62,480,990 0.9% Cie de Saint-Gobain SA............. 1,039,077 36,601,589 0.5% France Telecom SA.................. 3,875,091 43,313,653 0.6% #GDF Suez SA........................ 3,247,974 74,548,265 1.0% *Societe Generale SA................ 1,558,512 49,703,998 0.7% Vivendi SA......................... 3,686,124 75,533,481 1.0% Other Securities................... 269,050,897 3.7% ------------ ---- TOTAL FRANCE........................... 667,938,945 9.2% ------------ ---- GERMANY -- (7.6%) Bayerische Motoren Werke AG........ 656,221 52,461,937 0.7% Daimler AG......................... 2,088,586 97,838,982 1.4% #Deutsche Bank AG................... 1,325,896 60,395,696 0.8% E.ON AG............................ 3,592,972 81,793,916 1.1% Munchener Rueckversicherungs-Gesellschaft AG............................... 395,244 63,595,851 0.9% Other Securities................... 239,505,610 3.3% ------------ ---- TOTAL GERMANY.......................... 595,591,992 8.2% ------------ ---- GREECE -- (0.0%) Other Securities................... 3,296,253 0.0% ------------ ---- HONG KONG -- (1.9%) #Hutchison Whampoa, Ltd............. 5,618,000 55,108,769 0.8% Other Securities................... 93,863,530 1.3% ------------ ---- TOTAL HONG KONG........................ 148,972,299 2.1% ------------ ---- 237 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- IRELAND -- (0.2%) Other Securities............................. $ 15,849,047 0.2% -------------- ---- ISRAEL -- (0.6%) Other Securities............................. 45,815,345 0.6% -------------- ---- ITALY -- (1.3%) Other Securities............................. 99,757,627 1.4% -------------- ---- JAPAN -- (16.2%) Mitsubishi Corp.............................. 2,732,000 48,774,242 0.7% Mitsubishi UFJ Financial Group, Inc.......... 18,834,406 85,206,251 1.2% Mitsui & Co., Ltd............................ 2,990,300 42,148,944 0.6% Sumitomo Corp................................ 3,241,900 44,196,159 0.6% #Toyota Motor Corp. Sponsored ADR............. 614,188 47,581,144 0.6% Other Securities............................. 997,496,602 13.8% -------------- ---- TOTAL JAPAN...................................... 1,265,403,342 17.5% -------------- ---- NETHERLANDS -- (2.7%) ArcelorMittal NV............................. 2,446,831 36,174,996 0.5% *ING Groep NV................................. 4,933,987 43,903,032 0.6% Koninklijke Philips Electronics NV........... 2,042,653 51,160,127 0.7% Other Securities............................. 83,798,551 1.2% -------------- ---- TOTAL NETHERLANDS................................ 215,036,706 3.0% -------------- ---- NEW ZEALAND -- (0.1%) Other Securities............................. 6,231,896 0.1% -------------- ---- NORWAY -- (1.2%) Other Securities............................. 92,125,902 1.3% -------------- ---- PORTUGAL -- (0.1%) Other Securities............................. 8,279,896 0.1% -------------- ---- SINGAPORE -- (1.0%) Other Securities............................. 81,099,619 1.1% -------------- ---- SPAIN -- (1.9%) Banco Santander SA........................... 7,903,716 59,508,435 0.8% Other Securities............................. 85,860,300 1.2% -------------- ---- TOTAL SPAIN...................................... 145,368,735 2.0% -------------- ---- SWEDEN -- (2.9%) Nordea Bank AB............................... 5,366,449 48,779,174 0.7% Telefonaktiebolaget LM Ericsson AB Series B.. 4,713,081 41,753,549 0.6% Other Securities............................. 132,823,836 1.8% -------------- ---- TOTAL SWEDEN..................................... 223,356,559 3.1% -------------- ---- SWITZERLAND -- (5.7%) Holcim, Ltd.................................. 887,877 60,594,265 0.8% Swiss Re, Ltd................................ 1,108,107 76,678,078 1.1% UBS AG....................................... 3,833,535 57,516,804 0.8% Zurich Insurance Group AG.................... 221,361 54,569,851 0.8% Other Securities............................. 196,610,103 2.7% -------------- ---- TOTAL SWITZERLAND................................ 445,969,101 6.2% -------------- ---- UNITED KINGDOM -- (20.6%) Aviva P.L.C.................................. 8,175,916 43,785,601 0.6% Barclays P.L.C............................... 11,591,752 42,863,545 0.6% #Barclays P.L.C. Sponsored ADR................ 4,327,157 64,041,924 0.9% BP P.L.C. Sponsored ADR...................... 5,338,016 228,947,506 3.2%
238 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) #HSBC Holdings P.L.C. Sponsored ADR.................................... 1,453,812 $ 71,760,160 1.0% Kingfisher P.L.C....................................................... 10,285,817 48,158,694 0.7% *Lloyds Banking Group P.L.C............................................ 76,981,994 50,693,260 0.7% Old Mutual P.L.C....................................................... 13,164,620 36,643,450 0.5% Royal Dutch Shell P.L.C. ADR........................................... 3,323,210 234,718,322 3.2% Vodafone Group P.L.C................................................... 34,976,333 94,983,682 1.3% Vodafone Group P.L.C. Sponsored ADR.................................... 8,116,661 220,935,512 3.1% Xstrata P.L.C.......................................................... 5,211,952 82,565,149 1.1% Other Securities....................................................... 385,708,778 5.3% -------------- ----- TOTAL UNITED KINGDOM...................................................... 1,605,805,583 22.2% -------------- ----- TOTAL COMMON STOCKS....................................................... 7,168,262,828 99.0% -------------- ----- PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities....................................................... 22,268,022 0.3% -------------- ----- RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities....................................................... 3 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (7.8%) (S)@DFA Short Term Investment Fund........................................ 52,722,558 610,000,000 8.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,715,506) to be repurchased at $1,681,885....................... $ 1,682 1,681,868 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................................... 611,681,868 8.5% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,402,475,403).................................................. $7,802,212,721 107.8% ============== =====
239 The DFA International Value Series CONTINUED Summary of the Series' investments as of October 31, 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.................. $ 3,692,761 $ 355,582,418 -- $ 359,275,179 Austria.................... -- 20,298,622 -- 20,298,622 Belgium.................... 2,022,896 66,938,782 -- 68,961,678 Canada..................... 908,703,721 -- -- 908,703,721 Denmark.................... -- 98,590,467 -- 98,590,467 Finland.................... 1,292,010 45,242,304 -- 46,534,314 France..................... 16,823,856 651,115,089 -- 667,938,945 Germany.................... 90,012,205 505,579,787 -- 595,591,992 Greece..................... -- 3,296,253 -- 3,296,253 Hong Kong.................. -- 148,972,299 -- 148,972,299 Ireland.................... 4,846,911 11,002,136 -- 15,849,047 Israel..................... 5,360,734 40,454,611 -- 45,815,345 Italy...................... 17,226,655 82,530,972 -- 99,757,627 Japan...................... 97,266,465 1,168,136,877 -- 1,265,403,342 Netherlands................ 14,913,357 200,123,349 -- 215,036,706 New Zealand................ -- 6,231,896 -- 6,231,896 Norway..................... 258,768 91,867,134 -- 92,125,902 Portugal................... -- 8,279,896 -- 8,279,896 Singapore.................. -- 81,099,619 -- 81,099,619 Spain...................... 10,329,758 135,038,977 -- 145,368,735 Sweden..................... 8,464,720 214,891,839 -- 223,356,559 Switzerland................ 50,178,730 395,790,371 -- 445,969,101 United Kingdom............. 875,824,552 729,981,031 -- 1,605,805,583 Preferred Stocks Germany...... -- 22,268,022 -- 22,268,022 Rights/Warrants Spain......... -- 3 -- 3 Securities Lending Collateral. -- 611,681,868 -- 611,681,868 -------------- -------------- -- -------------- TOTAL......................... $2,107,218,099 $5,694,994,622 -- $7,802,212,721 ============== ============== == ==============
See accompanying Notes to Financial Statements. 240 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (88.0%) Consumer Discretionary -- (19.8%) Aoyama Trading Co., Ltd.......... 295,800 $ 5,845,699 0.3% *Haseko Corp...................... 6,870,500 4,385,674 0.3% #Nifco, Inc....................... 228,400 5,190,359 0.3% Onward Holdings Co., Ltd......... 626,000 4,635,222 0.3% Ryohin Keikaku Co., Ltd.......... 104,000 6,887,238 0.4% Shimachu Co., Ltd................ 227,000 5,015,422 0.3% Toyobo Co., Ltd.................. 4,184,000 4,611,041 0.3% Other Securities................. 339,597,220 20.1% ------------ ---- Total Consumer Discretionary......... 376,167,875 22.3% ------------ ---- Consumer Staples -- (8.9%) #Nichirei Corp.................... 1,248,000 6,884,055 0.4% Sapporo Holdings, Ltd............ 1,621,000 4,526,839 0.3% Takara Holdings, Inc............. 834,500 6,250,961 0.4% *Tsuruha Holdings, Inc............ 73,200 5,548,589 0.3% Other Securities................. 145,425,057 8.6% ------------ ---- Total Consumer Staples............... 168,635,501 10.0% ------------ ---- Energy -- (0.8%) Other Securities................. 15,478,147 0.9% ------------ ---- Financials -- (10.7%) Daishi Bank, Ltd. (The).......... 1,494,000 4,936,839 0.3% Higo Bank, Ltd. (The)............ 818,000 4,827,321 0.3% Hokkoku Bank, Ltd. (The)......... 1,190,000 4,296,076 0.2% Hyakugo Bank, Ltd. (The)......... 1,116,609 4,886,171 0.3% Hyakujishi Bank, Ltd. (The)...... 1,097,000 4,300,766 0.2% Juroku Bank, Ltd................. 1,473,000 4,779,955 0.3% Kiyo Holdings, Inc............... 3,313,900 4,529,074 0.3% Musashino Bank, Ltd.............. 152,300 4,362,228 0.2% Ogaki Kyoritsu Bank, Ltd. (The).. 1,410,000 4,963,527 0.3% San-in Godo Bank, Ltd. (The)..... 791,000 5,471,237 0.3% *Tokyo Tatemono Co., Ltd.......... 1,893,000 7,791,021 0.5% Other Securities................. 147,759,131 8.8% ------------ ---- Total Financials..................... 202,903,346 12.0% ------------ ---- Health Care -- (4.7%) Kaken Pharmaceutical Co., Ltd.... 364,000 5,637,927 0.3% KYORIN Holdings, Inc............. 214,000 4,524,370 0.3% Nihon Kohden Corp................ 173,900 6,468,886 0.4% Rohto Pharmaceutical Co., Ltd.... 424,000 5,843,559 0.3% #Sawai Pharmaceutical Co., Ltd.... 40,300 4,451,796 0.3% Ship Healthcare Holdings, Inc.... 155,600 5,188,557 0.3% Toho Holdings Co., Ltd........... 217,800 4,452,305 0.3% Other Securities................. 51,968,098 3.1% ------------ ---- Total Health Care.................... 88,535,498 5.3% ------------ ---- Industrials -- (23.2%) #Fujikura, Ltd.................... 1,656,000 4,607,975 0.3% Glory, Ltd....................... 246,600 5,985,033 0.3% Hitachi Zosen Corp............... 3,596,000 4,505,574 0.3% #*Kawasaki Kisen Kaisha, Ltd....... 4,568,000 5,790,221 0.3% #Minebea Co., Ltd................. 1,334,000 4,384,759 0.3% Nisshinbo Holdings, Inc.......... 653,000 4,271,975 0.2% OSG Corp......................... 329,000 4,312,629 0.3% Sankyu, Inc...................... 1,251,000 4,358,022 0.3% 241 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) Other Securities......................................................... $ 401,944,861 23.8% -------------- ----- Total Industrials............................................................ 440,161,049 26.1% -------------- ----- Information Technology -- (9.6%) #Alps Electric Co., Ltd................................................... 808,000 4,776,946 0.3% #Anritsu Corp............................................................. 392,000 4,931,192 0.3% Horiba, Ltd.............................................................. 179,850 4,907,305 0.3% IT Holdings Corp......................................................... 376,801 4,696,096 0.3% Net One Systems Co., Ltd................................................. 434,500 4,836,269 0.3% Wacom Co., Ltd........................................................... 1,731 5,027,984 0.3% Other Securities......................................................... 153,046,255 9.0% -------------- ----- Total Information Technology................................................. 182,222,047 10.8% -------------- ----- Materials -- (9.6%) FP Corp.................................................................. 61,200 4,600,656 0.3% #Hokuetsu Kishu Paper Co., Ltd............................................ 862,199 4,417,725 0.3% *Mitsui Mining & Smelting Co., Ltd........................................ 2,683,000 5,679,528 0.3% Sumitomo Osaka Cement Co., Ltd........................................... 1,848,000 6,016,617 0.3% Toagosei Co., Ltd........................................................ 1,096,000 4,468,291 0.3% #Tosoh Corp............................................................... 2,242,000 4,388,986 0.3% Other Securities......................................................... 153,829,756 9.1% -------------- ----- Total Materials.............................................................. 183,401,559 10.9% -------------- ----- Telecommunication Services -- (0.3%) #eAccess, Ltd............................................................. 10,102 5,098,126 0.3% Other Securities......................................................... 117,808 0.0% -------------- ----- Total Telecommunication Services............................................. 5,215,934 0.3% -------------- ----- Utilities -- (0.4%) Other Securities......................................................... 8,485,467 0.5% -------------- ----- TOTAL COMMON STOCKS.......................................................... 1,671,206,423 99.1% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (12.0%) (S)@DFA Short Term Investment Fund........................................... 19,446,845 225,000,000 13.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $4,044,497) to be repurchased at $3,965,232............................. $ 3,965 3,965,193 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 228,965,193 13.6% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,096,684,195) $1,900,171,616 112.7% ============== =====
242 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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..... $3,783 $ 376,164,092 -- $ 376,167,875 Consumer Staples........... -- 168,635,501 -- 168,635,501 Energy..................... -- 15,478,147 -- 15,478,147 Financials................. -- 202,903,346 -- 202,903,346 Health Care................ -- 88,535,498 -- 88,535,498 Industrials................ -- 440,161,049 -- 440,161,049 Information Technology..... -- 182,222,047 -- 182,222,047 Materials.................. -- 183,401,559 -- 183,401,559 Telecommunication Services. -- 5,215,934 -- 5,215,934 Utilities.................. -- 8,485,467 -- 8,485,467 Securities Lending Collateral. -- 228,965,193 -- 228,965,193 ------ -------------- -- -------------- TOTAL......................... $3,783 $1,900,167,833 -- $1,900,171,616 ====== ============== == ==============
See accompanying Notes to Financial Statements. 243 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** - ---------- ------------ --------------- COMMON STOCKS -- (83.0%) AUSTRALIA -- (47.4%) #Adelaide Brighton, Ltd............. 1,885,757 $ 6,199,102 0.6% Ansell, Ltd........................ 503,479 8,157,816 0.8% #Aristocrat Leisure, Ltd............ 2,580,305 7,542,048 0.8% Arrium, Ltd........................ 6,037,433 4,903,780 0.5% #*Aurora Oil & Gas, Ltd.............. 1,114,903 4,512,172 0.4% Australian Infrastructure Fund NL.. 3,606,473 11,122,393 1.1% #Beach Energy, Ltd.................. 5,525,248 7,891,340 0.8% *BlueScope Steel, Ltd............... 13,572,369 6,673,452 0.7% #Bradken, Ltd....................... 1,022,589 5,234,406 0.5% #carsales.com, Ltd.................. 1,220,399 9,444,501 0.9% Consolidated Media Holdings, Ltd... 1,276,820 4,543,366 0.5% #CSR, Ltd........................... 2,491,176 4,522,744 0.5% #David Jones, Ltd................... 3,152,271 8,724,565 0.9% *Downer EDI, Ltd.................... 1,857,964 6,916,092 0.7% DUET Group......................... 3,067,818 6,648,416 0.7% #DuluxGroup, Ltd.................... 2,167,142 7,954,583 0.8% #Envestra, Ltd...................... 5,566,443 5,224,266 0.5% #*Goodman Fielder, Ltd............... 8,296,037 5,025,633 0.5% GrainCorp, Ltd. Class A............ 828,668 10,523,403 1.0% #Invocare, Ltd...................... 633,106 5,785,092 0.6% IOOF Holdings, Ltd................. 1,074,600 7,031,533 0.7% #Iress, Ltd......................... 603,773 4,795,961 0.5% #JB Hi-Fi, Ltd...................... 582,072 6,187,633 0.6% #Kingsgate Consolidated, Ltd........ 786,887 4,513,292 0.4% #Medusa Mining, Ltd................. 844,923 5,382,014 0.5% #Monadelphous Group, Ltd............ 319,624 6,988,498 0.7% #Myer Holdings, Ltd................. 3,564,925 7,225,726 0.7% #Navitas, Ltd....................... 1,189,617 5,081,804 0.5% Nufarm, Ltd........................ 817,424 4,873,105 0.5% #*Paladin Energy, Ltd................ 4,096,983 4,805,465 0.5% #Perpetual Trustees Australia, Ltd.. 226,579 6,555,708 0.7% Primary Health Care, Ltd........... 1,960,174 7,906,484 0.8% Reece Australia, Ltd............... 238,457 5,014,858 0.5% #*Resolute Mining, Ltd............... 3,133,646 6,254,867 0.6% #SAI Global, Ltd.................... 1,203,570 5,065,529 0.5% Spark Infrastructure Group, Ltd.... 5,307,759 9,307,506 0.9% #Super Retail Group, Ltd............ 1,291,875 12,068,742 1.2% Other Securities................... 319,950,832 31.9% ------------ ---- TOTAL AUSTRALIA........................ 566,558,727 56.5% ------------ ---- CHINA -- (0.0%) Other Securities................... 287,710 0.0% ------------ ---- HONG KONG -- (17.0%) #*Esprit Holdings, Ltd............... 5,164,900 6,678,378 0.7% Giordano International, Ltd........ 7,246,000 6,015,664 0.6% Luk Fook Holdings International, Ltd.............................. 1,746,000 4,361,261 0.4% Melco International Development, Ltd.............................. 5,117,000 4,932,333 0.5% #Pacific Basin Shipping, Ltd........ 9,730,000 5,180,604 0.5% #Xinyi Glass Holdings, Ltd.......... 8,164,000 4,558,138 0.4% Other Securities................... 172,204,874 17.2% ------------ ---- TOTAL HONG KONG........................ 203,931,252 20.3% ------------ ---- NEW ZEALAND -- (6.4%) Fisher & Paykel Healthcare Corp., Ltd.............................. 3,117,358 6,022,656 0.6% Port of Tauranga, Ltd.............. 528,322 5,622,732 0.6% #Ryman Healthcare, Ltd.............. 1,685,604 5,610,636 0.6% 244 The Asia Pacific Small Company Series CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- NEW ZEALAND -- (Continued) Sky Network Television, Ltd............................................... 1,006,593 $ 4,445,634 0.4% SKYCITY Entertainment Group, Ltd.......................................... 3,227,185 10,293,066 1.0% Other Securities.......................................................... 44,037,042 4.4% -------------- ----- TOTAL NEW ZEALAND............................................................ 76,031,766 7.6% -------------- ----- SINGAPORE -- (12.2%) Singapore Post, Ltd....................................................... 6,199,120 5,789,946 0.6% Venture Corp., Ltd........................................................ 819,000 5,126,251 0.5% Other Securities.......................................................... 134,956,595 13.4% -------------- ----- TOTAL SINGAPORE.............................................................. 145,872,792 14.5% -------------- ----- TOTAL COMMON STOCKS.......................................................... 992,682,247 98.9% -------------- ----- RIGHTS/WARRANTS -- (0.1%) AUSTRALIA -- (0.0%) Other Securities.......................................................... 579,555 0.0% -------------- ----- HONG KONG -- (0.1%) Other Securities.......................................................... 693,092 0.1% -------------- ----- SINGAPORE -- (0.0%) Other Securities.......................................................... 15,070 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS........................................................ 1,287,717 0.1% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (16.9%) (S)@DFA Short Term Investment Fund........................................... 17,286,085 200,000,000 19.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,673,484) to be repurchased at $1,640,687............................. $ 1,641 1,640,671 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 201,640,671 20.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,153,289,637) $1,195,610,635 119.1% ============== =====
245 The Asia Pacific Small Company Series CONTINUED Summary of the Series' investments as of October 31, 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.................. -- $ 566,558,727 -- $ 566,558,727 China...................... -- 287,710 -- 287,710 Hong Kong.................. -- 203,931,252 -- 203,931,252 New Zealand................ -- 76,031,766 -- 76,031,766 Singapore.................. -- 145,872,792 -- 145,872,792 Rights/Warrants Australia.................. -- 579,555 -- 579,555 Hong Kong.................. -- 693,092 -- 693,092 Singapore.................. -- 15,070 -- 15,070 Securities Lending Collateral. -- 201,640,671 -- 201,640,671 -- -------------- -- -------------- TOTAL......................... -- $1,195,610,635 -- $1,195,610,635 == ============== == ==============
See accompanying Notes to Financial Statements. 246 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (98.1%) Consumer Discretionary -- (24.5%) Aegis Group P.L.C.......................... 3,314,004 $ 12,583,830 0.9% *Barratt Developments P.L.C................. 4,366,245 13,384,802 0.9% *Berkeley Group Holdings P.L.C. (The)....... 548,179 13,489,734 0.9% Daily Mail & General Trust P.L.C. Series A. 1,312,593 10,125,279 0.7% Debenhams P.L.C............................ 5,756,729 11,145,139 0.8% GKN P.L.C.................................. 3,193,432 10,740,884 0.7% Greene King P.L.C.......................... 1,421,372 13,637,335 0.9% Inchcape P.L.C............................. 2,005,227 13,040,981 0.9% Informa P.L.C.............................. 2,578,346 16,689,745 1.1% ITV P.L.C.................................. 8,151,944 11,412,918 0.8% Ladbrokes P.L.C............................ 3,736,209 10,821,643 0.7% Persimmon P.L.C............................ 1,429,557 18,394,004 1.3% Rightmove P.L.C............................ 404,934 10,542,022 0.7% Taylor Wimpey P.L.C........................ 14,517,978 14,349,169 1.0% UBM P.L.C.................................. 1,008,603 11,402,231 0.8% William Hill P.L.C......................... 3,062,912 16,735,721 1.2% Other Securities........................... 155,871,714 10.6% ------------ ---- Total Consumer Discretionary.................. 364,367,151 24.9% ------------ ---- Consumer Staples -- (3.9%) Tate & Lyle P.L.C.......................... 1,034,844 12,129,459 0.9% Other Securities........................... 45,737,482 3.1% ------------ ---- Total Consumer Staples........................ 57,866,941 4.0% ------------ ---- Energy -- (4.9%) *Afren P.L.C................................ 4,970,604 11,086,658 0.8% John Wood Group P.L.C...................... 1,017,921 13,991,092 0.9% *Premier Oil P.L.C.......................... 1,957,535 11,099,271 0.8% Other Securities........................... 37,081,172 2.5% ------------ ---- Total Energy.................................. 73,258,193 5.0% ------------ ---- Financials -- (14.1%) Aberdeen Asset Management P.L.C............ 2,601,039 13,663,246 0.9% Amlin P.L.C................................ 2,265,989 13,660,008 0.9% Catlin Group, Ltd.......................... 1,602,895 12,215,551 0.8% Hiscox, Ltd................................ 1,714,088 13,217,072 0.9% IG Group Holdings P.L.C.................... 1,498,282 10,550,404 0.7% Provident Financial P.L.C.................. 496,498 11,004,838 0.8% Other Securities........................... 135,535,536 9.3% ------------ ---- Total Financials.............................. 209,846,655 14.3% ------------ ---- Health Care -- (2.1%) Other Securities........................... 31,080,323 2.1% ------------ ---- Industrials -- (27.8%) Ashtead Group P.L.C........................ 2,502,187 15,116,530 1.0% Babcock International Group P.L.C.......... 1,401,502 22,154,294 1.5% Balfour Beatty P.L.C....................... 3,154,154 16,078,068 1.1% Cobham P.L.C............................... 4,694,331 16,320,407 1.1% Cookson Group P.L.C........................ 1,218,370 11,509,815 0.8% IMI P.L.C.................................. 1,002,882 15,484,442 1.1% Intertek Group P.L.C....................... 378,948 17,273,414 1.2% Invensys P.L.C............................. 3,349,956 12,352,173 0.8% Meggitt P.L.C.............................. 2,407,994 15,018,915 1.0% Melrose P.L.C.............................. 4,749,372 18,500,491 1.3% Qinetiq Group P.L.C........................ 3,030,205 9,651,175 0.7% Rentokil Initial P.L.C..................... 7,256,414 10,329,224 0.7%
247 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- Industrials -- (Continued) Rotork P.L.C.............................................................. 366,679 $ 13,509,077 0.9% Spirax-Sarco Engineering P.L.C............................................ 320,648 10,039,086 0.7% *Travis Perkins P.L.C...................................................... 930,166 16,254,661 1.1% Other Securities.......................................................... 194,040,413 13.2% -------------- ----- Total Industrials............................................................ 413,632,185 28.2% -------------- ----- Information Technology -- (8.9%) Halma P.L.C............................................................... 1,549,740 10,329,189 0.7% Spectris P.L.C............................................................ 515,234 14,431,374 1.0% Telecity Group P.L.C...................................................... 826,400 12,038,001 0.8% Other Securities.......................................................... 95,317,734 6.5% -------------- ----- Total Information Technology................................................. 132,116,298 9.0% -------------- ----- Materials -- (7.3%) Croda International P.L.C................................................. 499,699 17,791,547 1.2% DS Smith P.L.C............................................................ 4,475,611 15,451,908 1.1% Mondi P.L.C............................................................... 1,222,056 13,471,337 0.9% Other Securities.......................................................... 61,388,834 4.2% -------------- ----- Total Materials.............................................................. 108,103,626 7.4% -------------- ----- Telecommunication Services -- (2.2%)......................................... Inmarsat P.L.C............................................................ 1,658,096 15,190,469 1.0% Other Securities.......................................................... 17,064,461 1.2% -------------- ----- Total Telecommunication Services............................................. 32,254,930 2.2% -------------- ----- Utilities -- (2.4%) Drax Group P.L.C.......................................................... 1,615,898 14,665,707 1.0% Pennon Group P.L.C........................................................ 1,434,955 16,622,307 1.1% Other Securities.......................................................... 3,904,650 0.3% -------------- ----- Total Utilities.............................................................. 35,192,664 2.4% -------------- ----- TOTAL COMMON STOCKS.......................................................... 1,457,718,966 99.5% -------------- ----- PREFERRED STOCKS -- (0.0%) Consumer Staples -- (0.0%) Other Securities.......................................................... 15,064 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................................................... -- 0.0% -------------- ----- Shares/ Face Amount (000) Value+ --------- -------------- SECURITIES LENDING COLLATERAL -- (1.9%) (S)@DFA Short Term Investment Fund........................................... 2,420,052 28,000,000 1.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $224) to be repurchased at $220......................................... -- 220 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 28,000,220 1.9% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,210,154,050)..................................................... $1,485,734,250 101.4% ============== =====
248 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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..... -- $ 364,367,151 -- $ 364,367,151 Consumer Staples........... -- 57,866,941 -- 57,866,941 Energy..................... -- 73,258,193 -- 73,258,193 Financials................. -- 209,846,655 -- 209,846,655 Health Care................ -- 31,080,323 -- 31,080,323 Industrials................ -- 413,632,185 -- 413,632,185 Information Technology..... -- 132,116,298 -- 132,116,298 Materials.................. -- 108,103,626 -- 108,103,626 Telecommunication Services. -- 32,254,930 -- 32,254,930 Utilities.................. -- 35,192,664 -- 35,192,664 Preferred Stocks Consumer Staples........... -- 15,064 -- 15,064 Rights/Warrants............... -- -- -- -- Securities Lending Collateral. -- 28,000,220 -- 28,000,220 -- -------------- -- -------------- TOTAL......................... -- $1,485,734,250 -- $1,485,734,250 == ============== == ==============
See accompanying Notes to Financial Statements. 249 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (88.4%) AUSTRIA -- (2.2%) Other Securities........... $ 56,677,767 2.5% ------------ ---- BELGIUM -- (3.2%) Ackermans & van Haaren NV.. 118,073 9,613,309 0.4% Other Securities........... 72,036,340 3.2% ------------ ---- TOTAL BELGIUM.................. 81,649,649 3.6% ------------ ---- DENMARK -- (3.4%) GN Store Nord A.S.......... 803,034 12,585,533 0.5% *Topdanmark A.S............. 53,386 10,826,718 0.5% Other Securities........... 62,778,523 2.8% ------------ ---- TOTAL DENMARK.................. 86,190,774 3.8% ------------ ---- FINLAND -- (6.1%) Elisa Oyj.................. 432,751 9,286,323 0.4% #KCI Konecranes Oyj......... 245,559 7,808,333 0.3% Kesko Oyj Series B......... 250,135 7,821,799 0.4% Orion Oyj Series B......... 384,369 9,510,594 0.4% #Outotec Oyj................ 163,942 8,010,462 0.4% Yit Oyj.................... 479,016 9,445,723 0.4% Other Securities........... 102,256,708 4.6% ------------ ---- TOTAL FINLAND.................. 154,139,942 6.9% ------------ ---- FRANCE -- (9.8%) #*Alcatel-Lucent SA.......... 7,392,628 7,558,803 0.3% Gemalto NV................. 97,900 8,842,316 0.4% #Neopost SA................. 135,048 7,403,969 0.3% Societe BIC SA............. 62,449 7,620,209 0.4% Other Securities........... 216,651,765 9.7% ------------ ---- TOTAL FRANCE................... 248,077,062 11.1% ------------ ---- GERMANY -- (12.9%) *Aareal Bank AG............. 423,110 9,098,181 0.4% Aurubis AG................. 153,470 9,715,684 0.4% #Deutsche Wohnen AG......... 646,717 11,844,087 0.5% Fuchs Petrolub AG.......... 136,940 8,534,620 0.4% Rhoen-Klinikum AG.......... 406,308 7,913,041 0.4% #SGL Carbon SE.............. 229,387 9,149,090 0.4% Stada Arzneimittel AG...... 247,784 7,504,291 0.3% Symrise AG................. 307,713 11,068,532 0.5% Wirecard AG................ 381,688 8,741,631 0.4% Other Securities........... 242,716,782 10.8% ------------ ---- TOTAL GERMANY.................. 326,285,939 14.5% ------------ ---- GREECE -- (2.0%) Other Securities........... 50,142,446 2.2% ------------ ---- IRELAND -- (2.7%) DCC P.L.C.................. 308,989 8,838,285 0.4% Dragon Oil P.L.C........... 990,437 8,866,393 0.4% Paddy Power P.L.C.......... 180,573 13,336,467 0.6% Other Securities........... 36,164,730 1.6% ------------ ---- TOTAL IRELAND.................. 67,205,875 3.0% ------------ ---- ISRAEL -- (2.6%) Other Securities........... 64,711,886 2.9% ------------ ----
250 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- ITALY -- (7.5%) *Banco Popolare Scarl.... 6,311,267 $ 10,071,344 0.5% #*Finmeccanica SpA........ 1,593,106 7,900,845 0.4% Prysmian SpA............ 494,781 9,539,788 0.4% Other Securities........ 162,659,558 7.2% -------------- ---- TOTAL ITALY................. 190,171,535 8.5% -------------- ---- NETHERLANDS -- (5.2%) Aalberts Industries NV.. 469,415 8,532,614 0.4% CSM NV.................. 363,574 7,426,298 0.3% Delta Lloyd NV.......... 472,377 7,855,836 0.4% Nutreco NV.............. 173,920 13,027,581 0.6% *PostNL NV............... 1,920,653 7,579,442 0.3% Royal Imtech NV......... 349,305 8,780,615 0.4% *SBM Offshore NV......... 804,422 10,530,512 0.5% Other Securities........ 68,339,691 3.0% -------------- ---- TOTAL NETHERLANDS........... 132,072,589 5.9% -------------- ---- NORWAY -- (3.3%) Other Securities........ 84,171,601 3.8% -------------- ---- PORTUGAL -- (1.2%) Other Securities........ 29,375,131 1.3% -------------- ---- SPAIN -- (4.5%) Viscofan SA............. 202,123 9,793,173 0.5% Other Securities........ 103,986,927 4.6% -------------- ---- TOTAL SPAIN................. 113,780,100 5.1% -------------- ---- SWEDEN -- (9.4%) Castellum AB............ 726,291 9,735,330 0.4% Holmen AB Series B...... 273,916 8,072,161 0.3% #Husqvarna AB Series B... 1,434,072 8,330,008 0.4% Meda AB Series A........ 857,997 8,790,208 0.4% *Securitas AB Series B... 1,133,353 8,253,893 0.4% Trelleborg AB Series B.. 999,202 10,888,078 0.5% Other Securities........ 183,427,230 8.2% -------------- ---- TOTAL SWEDEN................ 237,496,908 10.6% -------------- ---- SWITZERLAND -- (12.3%) #Clariant AG............. 903,053 9,677,105 0.4% #*Dufry AG................ 77,241 9,824,040 0.4% Galenica Holding AG..... 18,828 11,057,552 0.5% *GAM Holding AG.......... 780,910 10,921,334 0.5% Helvetia Holding AG..... 22,754 7,989,963 0.4% Lonza Group AG.......... 206,376 10,467,022 0.5% PSP Swiss Property AG... 148,327 13,621,861 0.6% Swiss Life Holding AG... 102,976 13,004,543 0.6% Other Securities........ 225,523,358 10.0% -------------- ---- TOTAL SWITZERLAND........... 312,086,778 13.9% -------------- ---- UNITED KINGDOM -- (0.1%) Other Securities........ 3,239,110 0.1% -------------- ---- TOTAL COMMON STOCKS......... 2,237,475,092 99.7% -------------- ---- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities........ 1,250 0.0% -------------- ----
251 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- ITALY -- (0.0%) Other Securities..................................................... $ 8,763 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS................................................... 10,013 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (11.6%) (S)@DFA Short Term Investment Fund...................................... 25,324,114 293,000,000 13.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,011,182) to be repurchased at $991,365......................................................... $ 991 991,355 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..................................... 293,991,355 13.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,583,421,711)................................................ $2,531,476,460 112.8% ============== =====
252 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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.................... -- $ 56,677,767 -- $ 56,677,767 Belgium.................... -- 81,649,649 -- 81,649,649 Denmark.................... -- 86,190,774 -- 86,190,774 Finland.................... -- 154,139,942 -- 154,139,942 France..................... -- 248,077,062 -- 248,077,062 Germany.................... -- 326,285,939 -- 326,285,939 Greece..................... -- 50,142,446 -- 50,142,446 Ireland.................... -- 67,205,875 -- 67,205,875 Israel..................... $849,217 63,862,669 -- 64,711,886 Italy...................... -- 190,171,535 -- 190,171,535 Netherlands................ -- 132,072,589 -- 132,072,589 Norway..................... -- 84,171,601 -- 84,171,601 Portugal................... -- 29,375,131 -- 29,375,131 Spain...................... -- 113,780,100 -- 113,780,100 Sweden..................... -- 237,496,908 -- 237,496,908 Switzerland................ -- 312,086,778 -- 312,086,778 United Kingdom............. -- 3,239,110 -- 3,239,110 Rights/Warrants............... Belgium.................... -- 1,250 -- 1,250 Italy...................... -- 8,763 -- 8,763 Securities Lending Collateral. -- 293,991,355 -- 293,991,355 -------- -------------- -- -------------- TOTAL......................... $849,217 $2,530,627,243 -- $2,531,476,460 ======== ============== == ==============
See accompanying Notes to Financial Statements. 253 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (75.6%) Consumer Discretionary -- (8.5%) Aimia, Inc............................. 310,251 $ 4,647,164 0.7% Astral Media, Inc. Class A............. 197,447 8,081,736 1.2% #Cineplex, Inc.......................... 241,959 7,510,117 1.1% #Corus Entertainment, Inc. Class B...... 304,900 6,902,417 1.0% #*Imax Corp.............................. 260,537 5,874,637 0.8% Linamar Corp........................... 200,980 4,427,094 0.6% #RONA, Inc.............................. 677,175 6,956,511 1.0% Other Securities....................... 32,434,102 4.7% ------------ ---- Total Consumer Discretionary.............. 76,833,778 11.1% ------------ ---- Consumer Staples -- (2.5%) Maple Leaf Foods, Inc.................. 387,979 4,311,957 0.6% #North West Co., Inc. (The)............. 188,473 4,415,788 0.7% Other Securities....................... 14,435,488 2.1% ------------ ---- Total Consumer Staples................. 23,163,233 3.4% ------------ ---- Energy -- (19.2%) #*BlackPearl Resources, Inc.............. 1,165,485 3,979,278 0.6% *Celtic Exploration, Ltd................ 323,700 8,452,662 1.2% *Gran Tierra Energy, Inc................ 1,065,607 5,366,712 0.8% Mullen Group, Ltd...................... 312,028 6,470,188 0.9% #Parkland Fuel Corp..................... 265,671 4,532,700 0.7% Pason Systems, Inc..................... 259,107 4,220,947 0.6% #*Petrobank Energy & Resources, Ltd...... 425,702 5,847,941 0.8% ShawCor, Ltd. Class A.................. 212,900 9,485,907 1.4% #Trican Well Service, Ltd............... 564,307 6,734,958 1.0% Other Securities....................... 118,885,028 17.2% ------------ ---- Total Energy.............................. 173,976,321 25.2% ------------ ---- Financials -- (5.9%) #Canadian Western Bank.................. 271,572 8,037,715 1.2% #Davis & Henderson Corp................. 239,699 5,030,379 0.7% Granite Real Estate, Inc............... 143,257 5,252,637 0.8% #Home Capital Group, Inc................ 120,600 6,140,185 0.9% Laurentian Bank of Canada.............. 109,624 4,878,885 0.7% Other Securities....................... 24,307,922 3.5% ------------ ---- Total Financials.......................... 53,647,723 7.8% ------------ ---- Health Care -- (1.6%) Other Securities....................... 14,136,911 2.0% ------------ ---- Industrials -- (9.0%)..................... #Ritchie Brothers Auctioneers, Inc...... 244,637 5,425,491 0.8% #Russel Metals, Inc..................... 246,300 6,880,370 1.0% Stantec, Inc........................... 182,098 6,272,011 0.9% #Superior Plus Corp..................... 559,647 5,468,991 0.8% Toromont Industries, Ltd............... 274,167 5,380,399 0.8% TransForce, Inc........................ 314,697 5,744,106 0.8% #*Westport Innovations, Inc.............. 158,805 4,436,205 0.7% Other Securities....................... 42,117,801 6.1% ------------ ---- Total Industrials......................... 81,725,374 11.9% ------------ ---- Information Technology -- (3.9%) *Celestica, Inc......................... 874,907 6,351,015 0.9% Constellation Software, Inc............ 36,819 4,223,264 0.6% MacDonald Dettweiler & Associates, Ltd. 128,853 7,224,799 1.0%
254 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------------ ------------ --------------- Information Technology -- (Continued) Other Securities................... $ 17,654,949 2.6% ------------ ----- Total Information Technology.......... 35,454,027 5.1% ------------ ----- Materials -- (21.4%) #Alamos Gold, Inc.................. 382,920 7,495,455 1.1% #*AuRico Gold, Inc.................. 892,052 7,449,025 1.1% #*B2Gold Corp....................... 1,401,050 5,793,578 0.8% *Canfor Corp....................... 411,155 5,862,175 0.9% #CCL Industries, Inc. Class B...... 107,585 3,983,473 0.6% *First Majestic Silver Corp........ 431,070 9,965,869 1.4% *Harry Winston Diamond Corp........ 284,763 4,085,761 0.6% #HudBay Minerals, Inc.............. 734,374 6,816,167 1.0% #*NovaGold Resources, Inc........... 845,155 4,104,132 0.6% #*OceanaGold Corp................... 1,151,416 4,035,000 0.6% Sherritt International Corp....... 1,571,926 6,799,219 1.0% #*Silver Standard Resources, Inc.... 340,397 5,170,285 0.7% #West Fraser Timber Co., Ltd....... 126,174 7,641,818 1.1% Other Securities.................. 115,503,398 16.8% ------------ ----- Total Materials....................... 194,705,355 28.3% ------------ ----- Telecommunication Services -- (0.4%) Other Securities................... 3,228,819 0.5% ------------ ----- Utilities -- (3.2%) #Algonquin Power & Utilities Corp.. 574,574 3,975,275 0.6% Capital Power Corp................ 287,449 6,161,986 0.9% #Just Energy Group, Inc............ 583,478 5,970,608 0.9% #Northland Power, Inc.............. 297,306 5,763,048 0.8% Other Securities.................. 7,611,960 1.1% ------------ ----- Total Utilities.................... 29,482,877 4.3% ------------ ----- TOTAL COMMON STOCKS................... 686,354,418 99.6% ------------ ----- RIGHTS/WARRANTS -- (0.0%) Other Securities................... 12,722 0.0% ------------ ----- Shares/ Face Amount (000) Value+ - ------------ ------------ SECURITIES LENDING COLLATERAL -- (24.4%) (S)@DFA Short Term Investment Fund.... 19,101,124 221,000,000 32.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $448,986) to be repurchased at $440,186....... $ 440 440,182 0.0% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL... 221,440,182 32.1% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $996,859,895) $907,807,322 131.7% ============ =====
255 The Canadian Small Company Series CONTINUED Summary of the Series' investments as of October 31, 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..... $ 76,833,778 -- -- $ 76,833,778 Consumer Staples........... 23,163,233 -- -- 23,163,233 Energy..................... 173,976,321 -- -- 173,976,321 Financials................. 53,647,723 -- -- 53,647,723 Health Care................ 14,136,911 -- -- 14,136,911 Industrials................ 81,725,374 -- -- 81,725,374 Information Technology..... 35,454,027 -- -- 35,454,027 Materials.................. 194,582,087 $ 123,268 -- 194,705,355 Telecommunication Services. 3,228,819 -- -- 3,228,819 Utilities.................. 29,482,877 -- -- 29,482,877 Rights/Warrants............... 1,807 10,915 -- 12,722 Securities Lending Collateral. -- 221,440,182 -- 221,440,182 ------------ ------------ -- ------------ TOTAL......................... $686,232,957 $221,574,365 -- $907,807,322 ============ ============ == ============
See accompanying Notes to Financial Statements. 256 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (87.9%) ARGENTINA -- (0.0%) Other Securities...................................... $ -- 0.0% ------------ ---- BRAZIL -- (5.9%) BM&F Bovespa SA....................................... 1,665,208 10,658,381 0.3% #BRF - Brasil Foods SA ADR............................. 594,060 10,883,179 0.4% Petroleo Brasilerio SA ADR............................ 1,206,339 25,586,450 0.9% #Vale SA Sponsored ADR................................. 1,090,933 19,985,893 0.7% Other Securities...................................... 113,098,162 3.9% ------------ ---- TOTAL BRAZIL.............................................. 180,212,065 6.2% ------------ ---- CHILE -- (1.7%) Other Securities...................................... 52,376,766 1.8% ------------ ---- CHINA -- (14.4%) Bank of China, Ltd. Series H.......................... 54,772,100 22,439,161 0.8% China Construction Bank Corp. Series H................ 50,081,590 37,608,762 1.3% #China Life Insurance Co., Ltd. ADR.................... 323,770 14,304,159 0.5% #China Mobile, Ltd. Sponsored ADR...................... 797,772 44,188,591 1.5% China Petroleum & Chemical Corp. ADR.................. 106,449 11,199,499 0.4% China Shenhua Energy Co., Ltd. Series H............... 2,230,500 9,451,071 0.3% #CNOOC, Ltd. ADR....................................... 105,160 21,615,638 0.7% Industrial & Commercial Bank of China, Ltd. Series H.. 45,200,185 29,764,290 1.0% PetroChina Co., Ltd. ADR.............................. 145,110 19,700,134 0.7% #Ping An Insurance Group Co. of China, Ltd. Series H... 1,230,500 9,683,465 0.3% Tencent Holdings, Ltd................................. 700,600 24,697,196 0.9% Other Securities...................................... 197,502,523 6.8% ------------ ---- TOTAL CHINA............................................... 442,154,489 15.2% ------------ ---- COLOMBIA -- (0.5%) Other Securities...................................... 16,878,201 0.6% ------------ ---- CZECH REPUBLIC -- (0.5%) Other Securities...................................... 14,157,172 0.5% ------------ ---- EGYPT -- (0.2%) Other Securities...................................... 4,867,413 0.2% ------------ ---- HUNGARY -- (0.4%) Other Securities...................................... 11,585,628 0.4% ------------ ---- INDIA -- (7.5%) HDFC Bank, Ltd........................................ 1,422,205 16,628,866 0.6% ITC, Ltd.............................................. 2,036,173 10,663,754 0.4% Reliance Industries, Ltd.............................. 1,432,266 21,357,809 0.7% Tata Consultancy Services, Ltd........................ 436,140 10,644,140 0.3% Other Securities...................................... 171,927,254 5.9% ------------ ---- TOTAL INDIA............................................... 231,221,823 7.9% ------------ ---- INDONESIA -- (3.0%) PT Astra International Tbk............................ 18,834,110 15,721,127 0.5% Other Securities...................................... 75,273,062 2.6% ------------ ---- TOTAL INDONESIA........................................... 90,994,189 3.1% ------------ ---- ISRAEL -- (0.0%) Other Securities...................................... 17 0.0% ------------ ---- MALAYSIA -- (3.9%) CIMB Group Holdings Berhad............................ 3,992,654 9,978,299 0.3%
257 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- MALAYSIA -- (Continued) Other Securities............................ $109,647,195 3.8% ------------ ---- TOTAL MALAYSIA................................. 119,625,494 4.1% ------------ ---- MEXICO -- (5.7%) America Movil S.A.B. de C.V. Series L....... 33,690,314 42,736,835 1.5% *Cemex S.A.B. de C.V. Sponsored ADR.......... 1,144,044 10,342,158 0.3% Fomento Economico Mexicano S.A.B. de C.V.... 1,901,129 17,135,424 0.6% Grupo Mexico S.A.B. de C.V. Series B........ 3,579,616 11,476,423 0.4% #Wal-Mart de Mexico S.A.B. de C.V. Series V.. 4,944,929 14,554,572 0.5% Other Securities............................ 80,544,258 2.8% ------------ ---- TOTAL MEXICO................................... 176,789,670 6.1% ------------ ---- PERU -- (0.4%) Other Securities............................ 13,254,591 0.5% ------------ ---- PHILIPPINES -- (1.1%) Other Securities............................ 34,867,739 1.2% ------------ ---- POLAND -- (1.5%) Other Securities............................ 45,242,356 1.6% ------------ ---- RUSSIA -- (4.5%) Gazprom OAO Sponsored ADR................... 4,557,577 41,861,317 1.4% Lukoil OAO Sponsored ADR.................... 376,321 22,838,291 0.8% *Sberbank of Russia Sponsored ADR............ 1,585,492 18,749,162 0.6% Other Securities............................ 54,443,702 1.9% ------------ ---- TOTAL RUSSIA................................... 137,892,472 4.7% ------------ ---- SOUTH AFRICA -- (7.4%) #AngloGold Ashanti, Ltd. Sponsored ADR....... 331,815 11,275,074 0.4% MTN Group, Ltd.............................. 1,575,988 28,452,821 1.0% Naspers, Ltd. Series N...................... 307,957 19,991,188 0.7% Sasol, Ltd. Sponsored ADR................... 536,546 22,754,916 0.8% Standard Bank Group, Ltd.................... 1,007,241 12,437,628 0.4% Other Securities............................ 133,172,495 4.5% ------------ ---- TOTAL SOUTH AFRICA............................. 228,084,122 7.8% ------------ ---- SOUTH KOREA -- (14.3%) Hyundai Mobis............................... 55,218 14,033,384 0.5% Hyundai Motor Co., Ltd...................... 130,240 26,766,758 0.9% #Kia Motors Corp............................. 224,568 12,449,986 0.4% LG Chemical, Ltd............................ 37,273 10,455,811 0.4% POSCO....................................... 50,240 15,793,173 0.6% Samsung Electronics Co., Ltd................ 71,022 85,229,070 2.9% Samsung Electronics Co., Ltd. GDR........... 49,372 29,919,407 1.0% Shinhan Financial Group Co., Ltd............ 273,716 9,394,602 0.3% Other Securities............................ 236,085,690 8.1% ------------ ---- TOTAL SOUTH KOREA.............................. 440,127,881 15.1% ------------ ---- TAIWAN -- (10.6%) Formosa Plastics Corp....................... 3,709,648 10,098,181 0.3% #Hon Hai Precision Industry Co., Ltd......... 8,047,506 24,400,340 0.8% Taiwan Semiconductor Manufacturing Co., Ltd. 20,007,808 60,964,986 2.1% Other Securities............................ 229,028,962 7.9% ------------ ---- TOTAL TAIWAN................................... 324,492,469 11.1% ------------ THAILAND -- (2.6%) Other Securities............................ 78,635,189 2.7% ------------ ----
258 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- TURKEY -- (1.8%) Other Securities..................................................... $ 56,233,417 1.9% -------------- ----- TOTAL COMMON STOCKS..................................................... 2,699,693,163 92.7% -------------- ----- PREFERRED STOCKS -- (6.4%) BRAZIL -- (6.2%) Banco Bradesco SA.................................................... 1,656,632 26,100,896 0.9% Cia de Bebidas das Americas SA ADR................................... 622,039 25,372,971 0.9% Itau Unibanco Holding SA............................................. 1,765,700 25,819,793 0.9% Petroleo Brasilerio SA ADR........................................... 1,711,000 35,126,830 1.2% Vale SA.............................................................. 1,412,691 25,283,138 0.9% Other Securities..................................................... 53,718,271 1.8% -------------- ----- TOTAL BRAZIL............................................................ 191,421,899 6.6% -------------- ----- CHILE -- (0.2%) Other Securities..................................................... 5,338,531 0.2% -------------- ----- COLOMBIA -- (0.0%) Other Securities..................................................... 350,944 0.0% -------------- ----- TOTAL PREFERRED STOCKS 197,111,374 6.8% -------------- ----- RIGHTS/WARRANTS -- (0.0%)............................................... SOUTH AFRICA -- (0.0%) Other Securities..................................................... 13,007 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (5.7%) (S)@DFA Short Term Investment Fund...................................... 15,125,324 175,000,000 6.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $450,637) to be repurchased at $441,806...... $ 442 441,801 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..................................... 175,441,801 6.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,006,449,577)................................................ $3,072,259,345 105.5% ============== =====
259 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 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..................... $180,212,065 -- -- $ 180,212,065 Chile...................... 52,376,766 -- -- 52,376,766 China...................... 126,342,004 $ 315,812,485 -- 442,154,489 Colombia................... 16,878,201 -- -- 16,878,201 Czech Republic............. -- 14,157,172 -- 14,157,172 Egypt...................... -- 4,867,413 -- 4,867,413 Hungary.................... -- 11,585,628 -- 11,585,628 India...................... 18,446,964 212,774,859 -- 231,221,823 Indonesia.................. 55,259 90,938,930 -- 90,994,189 Israel..................... -- 17 -- 17 Malaysia................... -- 119,625,494 -- 119,625,494 Mexico..................... 176,782,316 7,354 -- 176,789,670 Peru....................... 13,254,591 -- -- 13,254,591 Philippines................ -- 34,867,739 -- 34,867,739 Poland..................... -- 45,242,356 -- 45,242,356 Russia..................... 5,524,026 132,368,446 -- 137,892,472 South Africa............... 44,801,267 183,282,855 -- 228,084,122 South Korea................ 13,060,688 427,067,193 -- 440,127,881 Taiwan..................... 8,756,012 315,736,457 -- 324,492,469 Thailand................... 78,635,189 -- -- 78,635,189 Turkey..................... 1,121,599 55,111,818 -- 56,233,417 Preferred Stocks Brazil..................... 191,421,899 -- -- 191,421,899 Chile...................... 5,338,531 -- -- 5,338,531 Colombia................... 350,944 -- -- 350,944 Rights/Warrants South Africa............... -- 13,007 -- 13,007 Securities Lending Collateral. -- 175,441,801 -- 175,441,801 ------------ -------------- -- -------------- TOTAL......................... $933,358,321 $2,138,901,024 -- $3,072,259,345 ============ ============== == ==============
See accompanying Notes to Financial Statements. 260 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ----------- ------------ --------------- COMMON STOCKS -- (89.1%) ARGENTINA -- (0.0%) Other Securities.............................. $ -- 0.0% ------------ ---- BRAZIL -- (8.9%) All America Latina Logistica SA............... 1,296,400 5,897,805 0.2% Anhanguera Educacional Participacoes SA....... 613,145 10,747,132 0.4% Cia de Saneamento de Minas Gerais-Copasa SA... 298,421 7,043,796 0.2% Cia Hering SA................................. 340,090 7,813,003 0.3% Diagnosticos da America SA.................... 1,189,841 7,908,645 0.3% Duratex SA.................................... 1,087,562 7,566,161 0.3% Energias do Brazil SA......................... 1,190,706 7,445,393 0.2% Estacio Participacoes SA...................... 396,371 7,552,526 0.3% *Kroton Educacional SA Unit Shares............. 367,679 7,349,778 0.2% Localiza Rent a Car SA........................ 397,002 6,958,603 0.2% MRV Engenharia e Participacoes SA............. 1,595,833 8,092,898 0.3% OdontoPrev SA................................. 1,315,743 6,802,049 0.2% PDG Realty SA Empreendimentos e Participacoes. 4,452,753 7,497,804 0.3% Raia Drogasil SA.............................. 652,675 7,182,140 0.2% Sul America SA................................ 872,609 6,874,147 0.2% Totvs SA...................................... 453,100 9,213,476 0.3% Other Securities.............................. 165,898,127 5.6% ------------ ---- TOTAL BRAZIL..................................... 287,843,483 9.7% ------------ ---- CHILE -- (1.4%) Other Securities.............................. 45,262,428 1.5% ------------ ---- CHINA -- (14.1%) #Geely Automobile Holdings, Ltd................ 17,610,000 7,552,943 0.3% Kingboard Chemical Holdings, Ltd.............. 2,516,851 7,467,568 0.2% #Sino-Ocean Land Holdings, Ltd................. 12,181,591 7,613,061 0.3% Yuexiu Property Co., Ltd...................... 21,435,432 5,860,904 0.2% Other Securities.............................. 431,216,407 14.6% ------------ ---- TOTAL CHINA...................................... 459,710,883 15.6% ------------ ---- COLOMBIA -- (0.0%) Other Securities.............................. 753,689 0.0% ------------ ---- HONG KONG -- (0.0%) Other Securities.............................. 12,892 0.0% ------------ ---- HUNGARY -- (0.1%) Other Securities.............................. 2,091,125 0.1% ------------ ---- INDIA -- (8.4%) Other Securities.............................. 272,539,401 9.2% ------------ ---- INDONESIA -- (4.3%) PT Bhakti Investama Tbk....................... 103,922,400 5,917,040 0.2% PT Lippo Karawaci Tbk......................... 78,560,312 7,581,188 0.3% PT Mayorah Indah Tbk.......................... 2,535,500 6,225,811 0.2% Other Securities.............................. 121,590,703 4.1% ------------ ---- TOTAL INDONESIA.................................. 141,314,742 4.8% ------------ ---- ISRAEL -- (0.0%) Other Securities.............................. 294,542 0.0% ------------ ---- MALAYSIA -- (5.0%) Other Securities.............................. 162,803,488 5.5% ------------ ----
261 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- MEXICO -- (3.1%) #Arca Continental S.A.B. de C.V.................... 1,556,394 $ 11,291,999 0.4% #*Genomma Lab Internacional S.A.B. de C.V. Series B. 4,371,954 8,714,526 0.3% *Industrias CH S.A.B. de C.V. Series B............. 1,217,718 7,066,931 0.2% Other Securities.................................. 73,004,310 2.5% -------------- ---- TOTAL MEXICO......................................... 100,077,766 3.4% -------------- ---- PHILIPPINES -- (1.8%) Other Securities.................................. 57,524,419 2.0% -------------- ---- POLAND -- (1.5%) Other Securities.................................. 48,812,366 1.7% -------------- ---- SOUTH AFRICA -- (7.9%) Aveng, Ltd........................................ 2,057,732 7,365,511 0.3% AVI, Ltd.......................................... 1,505,301 9,947,350 0.3% Barloworld, Ltd................................... 854,276 6,922,746 0.2% Clicks Group, Ltd................................. 1,482,749 10,352,580 0.4% DataTec, Ltd...................................... 975,763 6,065,177 0.2% Mr. Price Group, Ltd.............................. 506,742 7,804,688 0.3% *Murray & Roberts Holdings, Ltd.................... 2,783,531 6,981,927 0.2% Nampak, Ltd....................................... 3,859,288 12,860,050 0.4% PPC, Ltd.......................................... 3,061,791 10,222,236 0.4% Reunert, Ltd...................................... 945,660 8,334,441 0.3% *Sappi, Ltd........................................ 2,855,413 8,098,615 0.3% Spar Group, Ltd. (The)............................ 622,477 8,691,302 0.3% Tongaat-Hulett, Ltd............................... 629,016 9,888,343 0.3% Other Securities.................................. 142,665,475 4.8% -------------- ---- TOTAL SOUTH AFRICA................................... 256,200,441 8.7% -------------- ---- SOUTH KOREA -- (13.8%) BS Financial Group, Inc........................... 572,470 6,479,633 0.2% #*Cheil Worldwide, Inc.............................. 380,705 7,332,746 0.3% CJ Corp........................................... 63,673 6,210,345 0.2% DGB Financial Group, Inc.......................... 528,843 6,682,580 0.2% Hyosung Corp...................................... 106,255 5,851,998 0.2% Hyundai Marine & Fire Insurance Co., Ltd.......... 203,720 6,574,751 0.2% Korea Investment Holdings Co., Ltd................ 175,310 5,992,811 0.2% Macquarie Korea Infrastructure Fund............... 1,309,661 8,046,199 0.3% #Woongjin Coway Co., Ltd........................... 187,030 6,814,273 0.2% Yuhan Corp........................................ 34,258 5,913,574 0.2% Other Securities.................................. 382,362,019 13.0% -------------- ---- TOTAL SOUTH KOREA.................................... 448,260,929 15.2% -------------- ---- TAIWAN -- (12.5%) Other Securities.................................. 406,004,257 13.7% -------------- ---- THAILAND -- (3.5%) Other Securities.................................. 112,281,873 3.8% -------------- ---- TURKEY -- (2.8%) Other Securities.................................. 92,008,419 3.1% -------------- ---- TOTAL COMMON STOCKS.................................. 2,893,797,143 98.0% -------------- ---- PREFERRED STOCKS -- (1.6%) BRAZIL -- (1.6%) Marcopolo SA...................................... 1,047,700 6,143,673 0.2% Other Securities.................................. 45,670,415 1.6% -------------- ---- TOTAL BRAZIL......................................... 51,814,088 1.8% -------------- ----
262 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- INDIA -- (0.0%) Other Securities..................... $ 15,097 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 83,726 0.0% -------------- ----- TOTAL PREFERRED STOCKS.................. 51,912,911 1.8% -------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities..................... 11,762 0.0% -------------- ----- INDONESIA -- (0.0%) Other Securities..................... 540 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 5,855 0.0% -------------- ----- POLAND -- (0.0%) Other Securities..................... 12,515 0.0% -------------- ----- SOUTH AFRICA -- (0.0%) Other Securities..................... 84,368 0.0% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities..................... 21,309 0.0% -------------- ----- TAIWAN -- (0.0%) Other Securities..................... 1,792 0.0% -------------- ----- THAILAND -- (0.0%) Other Securities..................... -- 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS................... 138,141 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (9.3%) (S)@DFA Short Term Investment Fund...... 26,101,988 302,000,000 10.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,930,243,382)................ $3,247,848,195 110.0% ============== =====
263 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of October 31, 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..................... $287,843,483 -- -- $ 287,843,483 Chile...................... 45,262,428 -- -- 45,262,428 China...................... 39,450 $ 459,671,433 -- 459,710,883 Colombia................... 753,689 -- -- 753,689 Hong Kong.................. -- 12,892 -- 12,892 Hungary.................... -- 2,091,125 -- 2,091,125 India...................... 822,501 271,716,900 -- 272,539,401 Indonesia.................. -- 141,314,742 -- 141,314,742 Israel..................... -- 294,542 -- 294,542 Malaysia................... -- 162,803,488 -- 162,803,488 Mexico..................... 99,784,365 293,401 -- 100,077,766 Philippines................ -- 57,524,419 -- 57,524,419 Poland..................... -- 48,812,366 -- 48,812,366 South Africa............... -- 256,200,441 -- 256,200,441 South Korea................ -- 448,260,929 -- 448,260,929 Taiwan..................... -- 406,004,257 -- 406,004,257 Thailand................... 112,183,894 97,979 -- 112,281,873 Turkey..................... -- 92,008,419 -- 92,008,419 Preferred Stocks Brazil..................... 51,776,669 37,419 -- 51,814,088 India...................... -- 15,097 -- 15,097 Malaysia................... -- 83,726 -- 83,726 Rights/Warrants Brazil..................... -- 11,762 -- 11,762 Indonesia.................. -- 540 -- 540 Malaysia................... -- 5,855 -- 5,855 Poland..................... -- 12,515 -- 12,515 South Africa............... -- 84,368 -- 84,368 South Korea................ -- 21,309 -- 21,309 Taiwan..................... -- 1,792 -- 1,792 Thailand................... -- -- -- -- Securities Lending Collateral. -- 302,000,000 -- 302,000,000 ------------ -------------- -- -------------- TOTAL......................... $598,466,479 $2,649,381,716 -- $3,247,848,195 ============ ============== == ==============
See accompanying Notes to Financial Statements. 264 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands)
The Japanese The Asia The U.S. The DFA Small Pacific Small Large Cap International Company Company Value Series Value Series Series Series ------------ ------------- ------------ ------------- ASSETS: Investments at Value (including $581,088, $580,675, $211,713 and $179,249 of securities on loan, respectively). $10,580,291 $7,190,531 $1,671,206 $ 993,970 Temporary Cash Investments at Value & Cost.............................. 8,414 -- -- -- Collateral Received from Securities on Loan at Value & Cost......................................................... 1,574 1,682 3,965 1,641 Affiliated Collateral Received from Securities on Loan at Value & Cost................................................. 596,183 610,000 225,000 200,000 Foreign Currencies at Value............................................. -- 11,804 1,629 7,889 Cash.................................................................... -- 10,538 987 421 Receivables: Investment Securities Sold........................................... 154 39 4,651 2,087 Dividends, Interest and Tax Reclaims................................. 13,428 25,600 12,702 2,144 Securities Lending Income............................................ 179 608 263 339 Fund Shares Sold..................................................... 202 5,782 -- 500 Prepaid Expenses and Other Assets....................................... -- 177 -- -- ----------- ---------- ---------- ---------- Total Assets..................................................... 11,200,425 7,856,761 1,920,403 1,208,991 =========== ========== ========== ========== LIABILITIES: Payables: Upon Return of Securities Loaned..................................... 597,757 611,682 228,965 201,641 Investment Securities Purchased...................................... 4,455 2,826 4,385 2,837 Fund Shares Redeemed................................................. 7,689 2,358 62 90 Due to Advisor....................................................... 890 1,209 141 83 Loan Payable......................................................... -- -- -- 401 Unrealized Loss on Foreign Currency Contracts........................... -- -- -- 1 Accrued Expenses and Other Liabilities.................................. 482 437 119 78 ----------- ---------- ---------- ---------- Total Liabilities................................................ 611,273 618,512 233,672 205,131 ----------- ---------- ---------- ---------- NET ASSETS.............................................................. $10,589,152 $7,238,249 $1,686,731 $1,003,860 =========== ========== ========== ========== Investments at Cost..................................................... $ 7,765,593 $6,790,794 $1,867,719 $ 951,649 =========== ========== ========== ========== Foreign Currencies at Cost.............................................. $ -- $ 11,815 $ 1,628 $ 7,863 =========== ========== ========== ==========
See accompanying Notes to Financial Statements. 265 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (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 $26,517, $274,460, $209,339, $211,020 and $330,402 of securities on loan,respectively)....... $1,457,734 $2,237,485 $686,367 $2,896,818 $2,945,848 Collateral Received from Securities on Loan at Value & Cost....... -- 991 440 442 -- Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................ 28,000 293,000 221,000 175,000 302,000 Foreign Currencies at Value....................................... 2,526 2,359 1,190 9,517 2,718 Cash.............................................................. 187 335 466 3,867 7,127 Receivables: Investment Securities Sold..................................... 310 1,981 772 175 138 Dividends and Tax Reclaims..................................... 4,225 2,774 421 3,133 1,986 Securities Lending Income...................................... 43 586 284 395 1,222 Fund Shares Sold............................................... -- 20 -- 4,566 115 ---------- ---------- -------- ---------- ---------- Total Assets............................................... 1,493,025 2,539,531 910,940 3,093,913 3,261,154 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned............................... 28,000 293,991 221,440 175,442 302,000 Investment Securities Purchased................................ -- 10 296 4,269 4,777 Fund Shares Redeemed........................................... 3 -- -- 228 -- Due to Advisor................................................. 121 188 58 242 491 Unrealized Loss on Foreign Currency Contracts..................... -- -- -- -- 1 Accrued Expenses and Other Liabilities............................ 63 163 60 425 535 ---------- ---------- -------- ---------- ---------- Total Liabilities.......................................... 28,187 294,352 221,854 180,606 307,804 ---------- ---------- -------- ---------- ---------- NET ASSETS........................................................ $1,464,838 $2,245,179 $689,086 $2,913,307 $2,953,350 ========== ========== ======== ========== ========== Investments at Cost............................................... $1,182,154 $2,289,430 $775,420 $1,831,008 $2,628,243 ========== ========== ======== ========== ========== Foreign Currencies at Cost........................................ $ 2,508 $ 2,355 $ 1,192 $ 9,562 $ 2,699 ========== ========== ======== ========== ==========
-------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 266 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
The Asia The U.S. The DFA The Japanese Pacific Large International Small Small Cap Value Value Company Company Series Series Series Series ---------- ------------- ------------ -------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $20,887, $2,646 and $869, respectively)............................................................ $ 216,492 $ 263,184 $ 35,255 $37,078 Interest................................................................... 21 2 -- -- Income from Securities Lending............................................. 7,882 13,556 2,692 3,507 ---------- --------- -------- ------- Total Investment Income............................................. 224,395 276,742 37,947 40,585 ---------- --------- -------- ------- Expenses Investment Advisory Services Fees.......................................... 9,897 13,887 1,638 918 Accounting & Transfer Agent Fees........................................... 932 666 176 110 Custodian Fees............................................................. 107 1,453 481 424 Shareholders' Reports...................................................... 52 37 9 5 Directors'/Trustees' Fees & Expenses....................................... 84 59 14 8 Professional Fees.......................................................... 362 237 45 26 Other...................................................................... 114 100 24 15 ---------- --------- -------- ------- Total Expenses...................................................... 11,548 16,439 2,387 1,506 ---------- --------- -------- ------- Fees Paid Indirectly....................................................... -- (18) (7) (3) ---------- --------- -------- ------- Net Expenses............................................................... 11,548 16,421 2,380 1,503 ---------- --------- -------- ------- Net Investment Income (Loss)............................................... 212,847 260,321 35,567 39,082 ---------- --------- -------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................. 408,690 133,256 15,297 27,956 Futures................................................................ -- -- (283) (140) Foreign Currency Transactions.......................................... -- (1,249) 593 (236) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 1,049,282 (157,327) (47,991) 3,183 Translation of Foreign Currency Denominated Amounts.................... -- (266) (76) (94) ---------- --------- -------- ------- Net Realized and Unrealized Gain (Loss).................................... 1,457,972 (25,586) (32,460) 30,669 ---------- --------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations............... $1,670,819 $ 234,735 $ 3,107 $69,751 ========== ========= ======== =======
See accompanying Notes to Financial Statements. 267 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (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 $23, $8,095, $2,668, $8,881 and $7,052, respectively)................ $ 43,186 $56,091 $ 14,549 $ 68,066 $ 58,851 Interest.................................................. -- 20 -- -- -- Income from Securities Lending............................ 337 9,906 2,591 5,012 8,179 -------- ------- -------- -------- -------- Total Investment Income............................ 43,523 66,017 17,140 73,078 67,030 -------- ------- -------- -------- -------- Expenses Investment Advisory Services Fees......................... 1,246 1,999 705 2,666 4,726 Accounting & Transfer Agent Fees.......................... 140 209 90 270 242 Custodian Fees............................................ 115 818 197 2,092 3,244 Shareholders' Reports..................................... 6 11 4 14 12 Directors'/Trustees' Fees & Expenses...................... 10 17 6 22 18 Professional Fees......................................... 33 77 20 111 261 Other..................................................... 18 31 8 43 36 -------- ------- -------- -------- -------- Total Expenses..................................... 1,568 3,162 1,030 5,218 8,539 -------- ------- -------- -------- -------- Fees Paid Indirectly...................................... (3) (8) (1) (19) (21) -------- ------- -------- -------- -------- Net Expenses.............................................. 1,565 3,154 1,029 5,199 8,518 -------- ------- -------- -------- -------- Net Investment Income (Loss).............................. 41,958 62,863 16,111 67,879 58,512 -------- ------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................ (16,423) (4,064) 26,982 34,169 106,663 Futures............................................... 236 69 -- -- (389) Foreign Currency Transactions......................... 339 (359) 111 (571)** (1,553)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 247,250 694 (63,323) 24,259 6,038 Translation of Foreign Currency Denominated Amounts............................................. (35) (285) (7) 20 (15) -------- ------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)................... 231,367 (3,945) (36,237) 57,877 110,744 -------- ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $273,325 $58,918 $(20,126) $125,756 $169,256 ======== ======= ======== ======== ========
-------- ** Net of foreign capital gain taxes withheld of $13 and $87, respectively. See accompanying Notes to Financial Statements. 268 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The U.S. The DFA The Japanese Large Cap Value International Value Small Company Series Series Series ------------------------ ----------------------- ---------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ----------- ----------- ---------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 212,847 $ 168,852 $ 260,321 $ 254,173 $ 35,567 $ 29,896 Net Realized Gain (Loss) on: Investment Securities Sold.................. 408,690 387,017 133,256 161,341 15,297 17,637 Futures..................................... -- (12,646) -- -- (283) -- Foreign Currency Transactions............... -- -- (1,249) 506 593 93 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 1,049,282 (74,679) (157,327) (1,021,735) (47,991) 66,983 Translation of Foreign Currency Denominated Amounts....................... -- -- (266) (517) (76) (598) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 1,670,819 468,544 234,735 (606,232) 3,107 114,011 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions................................... 505,769 1,230,772 699,069 900,473 385,924 212,545 Withdrawals..................................... (922,543) (1,180,609) (651,462) (257,967) (205,115) (35,341) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............... (416,774) 50,163 47,607 642,506 180,809 177,204 ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................. 1,254,045 518,707 282,342 36,274 183,916 291,215 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................................... $10,589,152 $ 9,335,107 $7,238,249 $ 6,955,907 $1,686,731 $1,502,815 =========== =========== ========== =========== ========== ==========
See accompanying Notes to Financial Statements. 269 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Asia Pacific The United Kingdom The Continental Small Company Small Company Small Company Series Series Series --------------------- ---------------------- ---------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ---------- --------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....................... $ 39,082 $ 36,987 $ 41,958 $ 42,984 $ 62,863 $ 61,832 Net Realized Gain (Loss) on: Investment Securities Sold..................... 27,956 71,818 (16,423) 18,980 (4,064) 66,872 Futures........................................ (140) -- 236 -- 69 (287) Foreign Currency Transactions.................. (236) 521 339 33 (359) (576) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................................... 3,183 (158,023) 247,250 (66,130) 694 (377,057) Translation of Foreign Currency Denominated Amounts.......................... (94) 109 (35) 53 (285) 52 ---------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... 69,751 (48,588) 273,325 (4,080) 58,918 (249,164) ---------- --------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions...................................... 161,440 80,765 92,609 125,970 260,944 225,654 Withdrawals........................................ (134,065) (60,581) (34,941) (24,739) (76,446) (47,211) ---------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest.................. 27,375 20,184 57,668 101,231 184,498 178,443 ---------- --------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.................................... 97,126 (28,404) 330,993 97,151 243,416 (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...................................... $1,003,860 $ 906,734 $1,464,838 $1,133,845 $2,245,179 $2,001,763 ========== ========= ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 270 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Canadian The Emerging Small Company The Emerging Markets Small Cap Series Markets Series Series ------------------ ------------------------ ------------------------ Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 -------- -------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....................... $ 16,111 $ 13,890 $ 67,879 $ 62,989 $ 58,512 $ 46,175 Net Realized Gain (Loss) on: Investment Securities Sold..................... 26,982 38,405 34,169 103,456 106,663 29,751 Futures.................... -- -- -- -- (389) -- Foreign Currency Transactions............. 111 (110) (571)** (1,120)** (1,553)** (1,286)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..... (63,323) (68,747) 24,259 (330,512) 6,038 (364,541) Translation of Foreign Currency Denominated Amounts.................. (7) 4 20 (115) (15) (32) Change in Deferred Thailand Capital Gains Tax.......................... -- -- -- 4,428 -- 3,997 -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... (20,126) (16,558) 125,756 (160,874) 169,256 (285,936) -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions.................. 11,500 130,949 523,537 341,207 1,002,685 472,662 Withdrawals.................... (38,550) (41,851) (175,967) (269,845) (93,517) (193,156) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. (27,050) 89,098 347,570 71,362 909,168 279,506 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................... (47,176) 72,540 473,326 (89,512) 1,078,424 (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.................. $689,086 $736,262 $2,913,307 $2,439,981 $2,953,350 $1,874,926 ======== ======== ========== ========== ========== ==========
-------- **Net of foreign capital gain taxes withheld of $13, $903, $ 87 and $652, respectively. See accompanying Notes to Financial Statements. 271 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+ ----------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ----------- ---------- ---------- ---------- ---------- ----------- Total Return.................................. 18.31% 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% ----------- ---------- ---------- ---------- ---------- ----------- Net Assets, End of Period (thousands)......... $10,589,152 $9,335,107 $8,816,400 $7,508,400 $6,739,363 $10,159,322 Ratio of Expenses to Average Net Assets....... 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11% Ratio of Net Investment Income to Average Net Assets...................................... 2.15% 1.79% 2.02% 2.42% 1.97%(B) 1.44% Portfolio Turnover Rate....................... 10% 14% 28% 29% 19%(C) 9% ----------- ---------- ---------- ---------- ---------- ----------- The DFA International Value Series+ ----------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ----------- ---------- ---------- ---------- ---------- ----------- Total Return.................................. 3.17% (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% ----------- ---------- ---------- ---------- ---------- ----------- Net Assets, End of Period (thousands)......... $ 7,238,249 $6,955,907 $6,919,633 $6,191,964 $4,700,337 $ 9,638,721 Ratio of Expenses to Average Net Assets....... 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23% Ratio of Net Investment Income to Average Net Assets...................................... 3.75% 3.47% 2.55% 3.22% 4.15%(B) 3.04% Portfolio Turnover Rate....................... 14% 9% 20% 18% 16%(C) 16% ----------- ---------- ---------- ---------- ---------- -----------
Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes. + See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 272 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Japanese Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 0.54% 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $1,686,731 $1,502,815 $1,211,600 $1,183,036 $1,062,964 $1,504,821 Ratio of Expenses to Average Net Assets....... 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13% Ratio of Net Investment Income to Average Net Assets...................................... 2.17% 2.07% 1.95% 2.15% 2.64%(B) 1.94% Portfolio Turnover Rate....................... 7% 5% 10% 7% 10%(C) 9% ---------- ---------- ---------- ---------- ---------- ---------- The Asia Pacific Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 7.48% (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $1,003,860 $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154 Ratio of Expenses to Average Net Assets....... 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15% Ratio of Net Investment Income to Average Net Assets...................................... 4.26% 3.78% 3.64% 4.00% 4.33%(B) 3.58% Portfolio Turnover Rate....................... 18% 17% 18% 23% 20%(C) 25% ---------- ---------- ---------- ---------- ---------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 273 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 23.41% 0.20% 25.94% 43.51% (50.77)%(C) 2.42% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $1,464,838 $1,133,845 $1,036,694 $ 770,472 $ 555,390 $1,158,580 Ratio of Expenses to Average Net Assets....... 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12% Ratio of Net Investment Income to Average Net Assets...................................... 3.37% 3.76% 2.86% 4.02% 3.79%(B) 2.72% Portfolio Turnover Rate....................... 6% 7% 15% 10% 25%(C) 12% ---------- ---------- ---------- ---------- ---------- ---------- The Continental Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 2.29% (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $2,245,179 $2,001,763 $2,072,484 $1,630,892 $1,111,585 $2,256,122 Ratio of Expenses to Average Net Assets....... 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14% Ratio of Net Investment Income to Average Net Assets...................................... 3.15% 2.72% 2.24% 2.93% 3.49%(B) 2.16% Portfolio Turnover Rate....................... 9% 10% 12% 7% 18%(C) 12% ---------- ---------- ---------- ---------- ---------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 274 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Canadian Small Company Series ------------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Period Ended Ended Ended Ended 2007 to April 2, 2007(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, to 2012 2011 2010 2009 2008 Nov. 30, 2007 ---------- ---------- ---------- ---------- ---------- ---------------- Total Return.................... (2.51)% 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C) ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $ 689,086 $ 736,262 $ 663,722 $ 365,181 $ 232,873 $ 213,529 Ratio of Expenses to Average Net Assets.................... 0.15% 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% 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Net Investment Income to Average Net Assets......... 2.29% 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E) Portfolio Turnover Rate......... 22% 24% 10% 23% 21%(C) 6%(C) ---------- ---------- ---------- ---------- ---------- ---------- The Emerging Markets Series ------------------------------------------------------------------------------- Period Year Year Year Dec. 1, Year Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------------- Total Return.................... 4.55% (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $2,913,307 $2,439,981 $2,529,493 $2,109,316 $1,624,524 $3,707,790 Ratio of Expenses to Average Net Assets.................... 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).............. 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19% Ratio of Net Investment Income to Average Net Assets......... 2.55% 2.48% 2.18% 2.57% 3.00%(B) 2.52% Portfolio Turnover Rate......... 5% 16% 12% 14% 19%(C) 7% ---------- ---------- ---------- ---------- ---------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 275 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series ------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- ---------- Total Return....................................... 7.19% (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% ---------- ---------- ---------- ---------- -------- ---------- Net Assets, End of Period (thousands).............. $2,953,350 $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571 Ratio of Expenses to Average Net Assets............ 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................ 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31% Ratio of Net Investment Income to Average Net Assets........................................... 2.48% 2.32% 2.16% 2.52% 3.07%(B) 1.94% Portfolio Turnover Rate............................ 13% 18% 15% 13% 19%(C) 16% ---------- ---------- ---------- ---------- -------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 276 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. Organization: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of twelve portfolios, nine of which are included in this section of the report (collectively, the "Series"). The remaining operational portfolios are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios ------------------------- ----------------------------------------- The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series
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) 277 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 Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolio and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierachy. 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 had no material transfers between Level 1 and Level 2 during the year ended October 31, 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 278 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 Director/Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board of the Fund (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities 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. 279 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. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Trust. For the year ended October 31, 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 year ended October 31, 2012, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly ---------- The DFA International Value Series...... $18 The Japanese Small Company Series....... 7 The Asia Pacific Small Company Series... 3 The United Kingdom Small Company Series. 3 The Continental Small Company Series.... 8 The Canadian Small Company Series....... 1 The Emerging Markets Series............. 19 The Emerging Markets Small Cap Series... 21 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the year ended October 31, 2012, the total related amounts paid by the Trust to the CCO were $82 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 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.... $262 The DFA International Value Series. 202 280 The Japanese Small Company Series....... $43 The Asia Pacific Small Company Series... 21 The United Kingdom Small Company Series. 25 The Continental Small Company Series.... 51 The Canadian Small Company Series....... 12 The Emerging Markets Series............. 70 The Emerging Markets Small Cap Series... 38 E. Purchases and Sales of Securities: For the year ended October 31, 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......... $1,030,715 $1,245,566 The DFA International Value Series...... 1,297,711 982,391 The Japanese Small Company Series....... 326,323 108,934 The Asia Pacific Small Company Series... 226,329 161,647 The United Kingdom Small Company Series. 174,201 73,000 The Continental Small Company Series.... 454,150 189,112 The Canadian Small Company Series....... 152,466 175,235 The Emerging Markets Series............. 535,514 128,836 The Emerging Markets Small Cap Series... 1,275,998 309,522 There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: No provision for federal income taxes is required since the Series are treated as partnerships for Federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At October 31, 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......... $8,371,961 $3,160,109 $(345,608) $2,814,501 The DFA International Value Series...... 7,407,330 1,170,704 (775,821) 394,883 The Japanese Small Company Series....... 2,103,510 190,394 (393,733) (203,339) The Asia Pacific Small Company Series... 1,180,363 242,749 (227,501) 15,248 The United Kingdom Small Company Series. 1,220,692 426,464 (161,422) 265,042 The Continental Small Company Series.... 2,588,006 453,225 (509,755) (56,530) The Canadian Small Company Series....... 1,004,183 105,385 (201,761) (96,376) The Emerging Markets Series............. 2,009,168 1,170,608 (107,516) 1,063,092 The Emerging Markets Small Cap Series... 2,953,965 649,864 (355,981) 293,883
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 281 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 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 (the "IRC") (S)336(a), the master fund recognized gain or loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized gain or loss as if it liquidated its investment in the master fund. 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 (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. 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 (S)336(a), the master fund recognized a loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master fund. For tax purposes, pursuant to IRC (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 Series' custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign 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. 282 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. 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 year ended October 31, 2012 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures
Realized Gain (Loss) on Derivatives Recognized in Income -------------------- Equity Contracts -------------------- The Japanese Small Company Series*....... $(283) The Asia Pacific Small Company Series*... (140) The United Kingdom Small Company Series*. 236 The Continental Small Company Series*.... 69 The Emerging Markets Small Cap Series*... (389)
* As of October 31, 2012, there were no futures contracts outstanding. During the year ended October 31, 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 283 scheduled to expire on July 6, 2013. There were no borrowings by the Series under this line of credit during the year ended October 31, 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. The Trust expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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......... 0.89% $18,911 99 $46 $58,537 The DFA International Value Series...... 0.87% 10,399 20 5 53,091 The Japanese Small Company Series....... 0.87% 483 9 -- 1,800 The Asia Pacific Small Company Series... 0.86% 508 32 -- 2,385 The United Kingdom Small Company Series. 0.86% 304 10 -- 2,542 The Continental Small Company Series.... 0.91% 1,700 10 -- 3,042 The Canadian Small Company Series....... 0.79% 24 5 -- 121 The Emerging Markets Series............. 0.88% 4,459 28 3 10,372 The Emerging Markets Small Cap Series... 0.87% 2,241 35 2 9,738
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that each Series' available line of credit was utilized. At October 31, 2012, only The Asia Pacific Small Company Series had a loan outstanding in the amount of $401 (in thousands). I. Securities Lending: As of October 31, 2012, each 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 $47,301 and $61,083, respectively (in thousands). Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the 284 average daily net assets of the Money Market Series. Such Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Series will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. J. Indemnitees; Contractual Obligations: Under the Trust's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. K. Recently Issued Accounting Standards: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. Other: The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged 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 285 Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 286 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of the Series, as defined, and Board of Trustees of The DFA Investment Trust Company: In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The U.S. Large Cap Value Series, The DFA International Value Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, The Emerging Markets Series, and The Emerging Markets Small Cap Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at October 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 287 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHART Dimensional Emerging Markets Value Fund vs. MSCI Emerging Markets Index (net div.) October 31, 2002-October 31, 2012
Dimensional Emerging MSCI Emerging BeginDate EndDate FundReturns Benchmark0Returns EndDate Markets Value Fund Markets Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- ------------------------ 2002-10-31 2002-11-30 7.90% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.96% -3.33% 11/2002 10790.45027 10688.20463 2002-12-31 2003-01-31 1.54% -0.44% 12/2002 10471.01268 10332.68124 2003-01-31 2003-02-28 -0.88% -2.81% 01/2003 10632.10519 10287.11002 2003-02-28 2003-03-31 -2.17% -2.86% 02/2003 10538.84111 9998.077641 2003-03-31 2003-04-30 13.16% 8.89% 03/2003 10309.92018 9712.550745 2003-04-30 2003-05-31 7.56% 7.15% 04/2003 11666.48863 10576.25547 2003-05-31 2003-06-30 4.46% 5.67% 05/2003 12548.25812 11332.42116 2003-06-30 2003-07-31 2.26% 6.22% 06/2003 13107.84261 11974.8284 2003-07-31 2003-08-31 6.64% 6.69% 07/2003 13404.59196 12719.45993 2003-08-31 2003-09-30 4.92% 0.73% 08/2003 14294.84 13570.61278 2003-09-30 2003-10-31 8.99% 8.51% 09/2003 14998.55988 13669.44466 2003-10-31 2003-11-30 1.14% 1.22% 10/2003 16346.64978 14832.47204 2003-11-30 2003-12-31 12.10% 7.24% 11/2003 16532.94454 15012.94766 2003-12-31 2004-01-31 2.73% 3.49% 12/2003 18533.72377 16099.9853 2004-01-31 2004-02-29 6.54% 4.59% 01/2004 19039.10975 16662.21886 2004-02-29 2004-03-31 1.25% 1.25% 02/2004 20285.14759 17426.29823 2004-03-31 2004-04-30 -6.96% -8.19% 03/2004 20537.84059 17644.0921 2004-04-30 2004-05-31 -2.96% -2.00% 04/2004 19108.81816 16199.38255 2004-05-31 2004-06-30 1.91% 0.43% 05/2004 18542.43732 15876.20003 2004-06-30 2004-07-31 1.25% -1.83% 06/2004 18896.34863 15943.82184 2004-07-31 2004-08-31 4.54% 4.15% 07/2004 19133.43107 15651.96247 2004-08-31 2004-09-30 6.58% 5.77% 08/2004 20002.73335 16301.04143 2004-09-30 2004-10-31 3.19% 2.39% 09/2004 21319.3255 17241.52745 2004-10-31 2004-11-30 10.81% 9.26% 10/2004 22000.19985 17653.47774 2004-11-30 2004-12-31 6.49% 4.80% 11/2004 24378.83883 19287.7093 2004-12-31 2005-01-31 1.68% 0.25% 12/2004 25959.97635 20214.06032 2005-01-31 2005-02-28 9.13% 8.72% 01/2005 26396.27847 20265.39862 2005-02-28 2005-03-31 -7.27% -6.61% 02/2005 28805.02978 22033.51685 2005-03-31 2005-04-30 -3.54% -2.68% 03/2005 26711.67114 20577.38623 2005-04-30 2005-05-31 1.52% 3.48% 04/2005 25764.83617 20024.99063 2005-05-31 2005-06-30 3.33% 3.40% 05/2005 26156.31601 20722.01549 2005-06-30 2005-07-31 7.26% 6.99% 06/2005 27026.40266 21426.05132 2005-07-31 2005-08-31 1.65% 0.86% 07/2005 28989.11107 22923.68229 2005-08-31 2005-09-30 8.05% 9.31% 08/2005 29468.26993 23119.9891 2005-09-30 2005-10-31 -6.23% -6.54% 09/2005 31839.84165 25272.80535 2005-10-31 2005-11-30 7.42% 8.27% 10/2005 29855.64651 23620.93331 2005-11-30 2005-12-31 6.31% 5.91% 11/2005 32071.93681 25574.955 2005-12-31 2006-01-31 9.60% 11.17% 12/2005 34096.21693 27086.60788 2006-01-31 2006-02-28 0.41% -0.12% 01/2006 37368.99442 30111.9491 2006-02-28 2006-03-31 3.42% 0.88% 02/2006 37522.10682 30076.21583 2006-03-31 2006-04-30 8.73% 7.12% 03/2006 38806.22665 30341.27525 2006-04-30 2006-05-31 -10.78% -10.48% 04/2006 42195.29097 32501.78094 2006-05-31 2006-06-30 -0.89% -0.24% 05/2006 37644.53605 29096.49107 2006-06-30 2006-07-31 2.41% 1.43% 06/2006 37309.19804 29025.36378 2006-07-31 2006-08-31 1.82% 2.55% 07/2006 38209.03088 29440.93262 2006-08-31 2006-09-30 2.07% 0.83% 08/2006 38905.67565 30191.10507 2006-09-30 2006-10-31 6.98% 4.75% 09/2006 39710.00953 30442.48182 2006-10-31 2006-11-30 7.34% 7.43% 10/2006 42482.97306 31887.98293 2006-11-30 2006-12-31 3.54% 4.50% 11/2006 45599.59794 34258.36502 2006-12-31 2007-01-31 1.58% -1.08% 12/2006 47213.71624 35800.88873 2007-01-31 2007-02-28 0.60% -0.59% 01/2007 47958.60523 35415.39915 2007-02-28 2007-03-31 5.24% 3.98% 02/2007 48244.31606 35205.20002 2007-03-31 2007-04-30 8.00% 4.63% 03/2007 50771.34708 36607.13479 2007-04-30 2007-05-31 7.63% 4.95% 04/2007 54835.10208 38301.93602 2007-05-31 2007-06-30 2.87% 4.69% 05/2007 59021.69097 40199.01976 2007-06-30 2007-07-31 4.77% 5.28% 06/2007 60716.24691 42083.39264 2007-07-31 2007-08-31 -3.19% -2.13% 07/2007 63613.38825 44303.84785 2007-08-31 2007-09-30 9.03% 11.04% 08/2007 61582.29628 43362.3024 2007-09-30 2007-10-31 11.01% 11.15% 09/2007 67142.01867 48150.94986 2007-10-31 2007-11-30 -7.26% -7.09% 10/2007 74535.41778 53520.78318 2007-11-30 2007-12-31 -0.13% 0.35% 11/2007 69125.935 49726.86787 2007-12-31 2008-01-31 -9.91% -12.48% 12/2007 69038.26331 49901.25085 2008-01-31 2008-02-29 4.02% 7.38% 01/2008 62193.56065 43673.8733 2008-02-29 2008-03-31 -3.34% -5.29% 02/2008 64694.94701 46897.54641 2008-03-31 2008-04-30 7.74% 8.12% 03/2008 62533.94378 44415.76252 2008-04-30 2008-05-31 0.90% 1.86% 04/2008 67375.79586 48020.26653 2008-05-31 2008-06-30 -11.60% -9.97% 05/2008 67979.60329 48911.10737 2008-06-30 2008-07-31 -1.94% -3.77% 06/2008 60093.69775 44032.83828 2008-07-31 2008-08-31 -8.52% -7.99% 07/2008 58930.74248 42371.91524 2008-08-31 2008-09-30 -17.24% -17.50% 08/2008 53910.46039 38987.53211 2008-09-30 2008-10-31 -31.02% -27.37% 09/2008 44615.6425 32164.58346 2008-10-31 2008-11-30 -7.55% -7.53% 10/2008 30773.70777 23361.83389 2008-11-30 2008-12-31 12.34% 7.80% 11/2008 28451.60634 21603.22571 2008-12-31 2009-01-31 -8.99% -6.46% 12/2008 31962.56422 23288.18785 2009-01-31 2009-02-28 -8.50% -5.64% 01/2009 29090.05385 21784.22273 2009-02-28 2009-03-31 17.36% 14.37% 02/2009 26617.81131 20555.33038 2009-03-31 2009-04-30 19.68% 16.64% 03/2009 31239.11507 23509.27602 2009-04-30 2009-05-31 22.56% 17.09% 04/2009 37385.48175 27421.45939 2009-05-31 2009-06-30 -1.22% -1.35% 05/2009 45820.51471 32106.85072 2009-06-30 2009-07-31 13.46% 11.24% 06/2009 45263.06338 31674.35664 2009-07-31 2009-08-31 0.79% -0.36% 07/2009 51355.93966 35236.07119 2009-08-31 2009-09-30 9.26% 9.08% 08/2009 51759.75602 35109.92688 2009-09-30 2009-10-31 -2.35% 0.12% 09/2009 56553.09626 38296.8602 2009-10-31 2009-11-30 6.41% 4.30% 10/2009 55225.17228 38344.23233 2009-11-30 2009-12-31 5.00% 3.95% 11/2009 58766.64207 39991.33055 2009-12-31 2010-01-31 -5.66% -5.58% 12/2009 61703.76548 41570.63621 2010-01-31 2010-02-28 0.81% 0.35% 01/2010 58210.64339 39252.15628 2010-02-28 2010-03-31 8.82% 8.07% 02/2010 58682.03356 39390.3133 2010-03-31 2010-04-30 0.68% 1.21% 03/2010 63855.23859 42570.3986 2010-04-30 2010-05-31 -10.43% -8.80% 04/2010 64290.36798 43086.13887 2010-05-31 2010-06-30 0.63% -0.74% 05/2010 57582.12315 39296.4307 2010-06-30 2010-07-31 9.30% 8.33% 06/2010 57944.73098 39007.56331 2010-07-31 2010-08-31 -1.79% -1.94% 07/2010 63335.5007 42255.92483 2010-08-31 2010-09-30 12.05% 11.11% 08/2010 62199.32951 41435.27509 2010-09-30 2010-10-31 3.45% 2.90% 09/2010 69693.22463 46039.95583 2010-10-31 2010-11-30 -3.20% -2.64% 10/2010 72098.52321 47376.79589 2010-11-30 2010-12-31 8.35% 7.14% 11/2010 69789.92004 46126.15023 2010-12-31 2011-01-31 -3.12% -2.71% 12/2010 75615.81914 49417.68963 2011-01-31 2011-02-28 -1.62% -0.93% 01/2011 73258.86826 48076.93112 2011-02-28 2011-03-31 5.77% 5.88% 02/2011 72074.34936 47628.60177 2011-03-31 2011-04-30 3.60% 3.10% 03/2011 76232.25243 50428.86654 2011-04-30 2011-05-31 -3.78% -2.62% 04/2011 78975.98501 51993.18073 2011-05-31 2011-06-30 -2.04% -1.54% 05/2011 75990.51389 50629.43612 2011-06-30 2011-07-31 -0.80% -0.44% 06/2011 74443.38715 49850.56795 2011-07-31 2011-08-31 -10.11% -8.94% 07/2011 73851.12768 49629.16113 2011-08-31 2011-09-30 -17.92% -14.58% 08/2011 66381.40643 45194.09196 2011-09-30 2011-10-31 13.18% 13.25% 09/2011 54487.86967 38605.04085 2011-10-31 2011-11-30 -5.04% -6.66% 10/2011 61667.50467 43718.55662 2011-11-30 2011-12-31 -3.55% -1.21% 11/2011 58561.16426 40804.88147 2011-12-31 2012-01-31 13.91% 11.34% 12/2011 56482.21271 40313.07288 2012-01-31 2012-02-29 6.11% 5.99% 01/2012 64338.71567 44885.64739 2012-02-29 2012-03-31 -4.27% -3.34% 02/2012 68266.96715 47574.28607 2012-03-31 2012-04-30 -3.22% -1.20% 03/2012 65354.0176 45986.28864 2012-04-30 2012-05-31 -11.05% -11.21% 04/2012 63250.89219 45436.70648 2012-05-31 2012-06-30 4.55% 3.86% 05/2012 56264.64802 40341.21113 2012-06-30 2012-07-31 -0.60% 1.95% 06/2012 58827.07669 41898.19616 2012-07-31 2012-08-31 1.43% -0.33% 07/2012 58476.55579 42715.46911 2012-08-31 2012-09-30 6.46% 6.03% 08/2012 59310.55379 42573.22844 2012-09-30 2012-10-31 -1.26% -0.61% 09/2012 63142.10985 45142.17877 10/31/2012 62344.37264 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 1.10% -3.51% 20.08% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 288 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT'S DISCUSSION AND ANALYSIS International Equity Market Review 12 Months Ended October 31, 2012 Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI Emerging Markets Index........... 2.63% MSCI Emerging Markets Small Cap Index. 3.74% MSCI Emerging Markets Value Index..... 1.36% MSCI Emerging Markets Growth Index.... 3.89%
-------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ----------- China.................................. 7.71% 7.92% South Korea............................ 1.71% 3.35% Brazil................................. 4.65% -12.68% Taiwan................................. -1.78% 0.59% South Africa........................... 17.70% 6.84% India.................................. 5.24% -4.73% Russia................................. -1.42% -4.50% Mexico................................. 16.32% 17.03% Malaysia............................... 11.39% 12.19% Indonesia.............................. 12.64% 3.82%
-------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. International Equity Fund Performance Overview Dimensional Emerging Markets Value Fund The Dimensional Emerging Markets Value Fund seeks to capture the returns of value stocks of any market capitalization size in selected emerging markets. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to emerging markets value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Fund held approximately 2,200 securities across 18 emerging markets. In general, the Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Fund's assets. The Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager, Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"), to limit single-country risk exposure. 289 For the 12 months ended October 31, 2012, total returns were 1.10% for the Fund and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Fund's diversified investment approach, performance was generally determined by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Fund focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks in emerging markets significantly underperformed during the period. The Fund had significantly greater exposure than the Index to value stocks, which was the primary contributor to relative underperformance. In particular, the Fund had lower exposure than the Index to large cap growth stocks in the Information Technology sector, which significantly outperformed and detracted from the Fund's relative performance. Differences in the valuation timing and methodology between the Fund and the Index contributed positively to performance of the Fund. The Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 290 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2012 EXPENSE TABLE
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $ 985.64 0.21% $1.05 Hypothetical 5% Annual Return. $1,000.00 $1,024.08 0.21% $1.07
-------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 291 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on September 28, 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........ 6.4% Consumer Staples.............. 6.1% Energy........................ 16.5% Financials.................... 33.7% Health Care................... 0.7% Industrials................... 11.1% Information Technology........ 6.4% Materials..................... 15.9% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 1.6% Utilities..................... 1.6% ----- 100.0% 292 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- COMMON STOCKS -- (89.7%) BRAZIL -- (6.4%) Banco Santander Brasil SA ADR..... 18,012,780 $ 122,486,904 0.7% BM&F Bovespa SA................... 28,221,345 180,634,394 1.1% Petroleo Brasileiro SA ADR........ 15,613,857 331,169,907 1.9% Other Securities.................. 518,166,763 3.1% -------------- ---- TOTAL BRAZIL......................... 1,152,457,968 6.8% -------------- ---- CHILE -- (1.4%) Empresas CMPC SA.................. 17,517,205 66,712,099 0.4% Other Securities.................. 188,039,527 1.1% -------------- ---- TOTAL CHILE.......................... 254,751,626 1.5% -------------- ---- CHINA -- (15.1%) #Agricultural Bank of China, Ltd. Series H................... 255,464,000 109,741,972 0.6% #Bank of China, Ltd. Series H..... 989,630,331 405,434,042 2.4% Bank of Communications Co., Ltd. Series H.................. 110,893,574 79,063,779 0.5% #China Communications Construction Co., Ltd. Series H. 65,910,327 61,689,391 0.4% China Construction Bank Corp. Series H....................... 214,422,940 161,020,872 0.9% #China Petroleum & Chemical Corp. ADR....................... 993,796 104,557,277 0.6% China Petroleum & Chemical Corp. Series H................. 163,824,289 172,860,447 1.0% #China Unicom Hong Kong, Ltd. ADR............................. 7,316,862 117,728,310 0.7% Other Securities................. 1,480,337,248 8.8% -------------- ---- TOTAL CHINA.......................... 2,692,433,338 15.9% -------------- ---- COLOMBIA -- (0.0%) Other Securities.................. 6,305,780 0.0% -------------- ---- CZECH REPUBLIC -- (0.3%) Other Securities.................. 45,582,734 0.3% -------------- ---- HONG KONG -- (0.0%) Other Securities.................. 39,287 0.0% -------------- ---- HUNGARY -- (0.5%) #OTP Bank P.L.C................... 3,793,491 72,294,221 0.4% Other Securities................. 24,821,623 0.2% -------------- ---- TOTAL HUNGARY........................ 97,115,844 0.6% -------------- ---- INDIA -- (7.7%) #ICICI Bank, Ltd. Sponsored ADR... 3,805,302 149,358,103 0.9% Reliance Industries, Ltd......... 19,097,966 284,786,980 1.7% State Bank of India.............. 2,228,831 86,802,979 0.5% Other Securities................. 848,004,441 5.0% -------------- ---- TOTAL INDIA.......................... 1,368,952,503 8.1% -------------- ---- INDONESIA -- (2.9%) Other Securities.................. 524,481,734 3.1% -------------- ---- ISRAEL -- (0.0%) Other Securities.................. 864,856 0.0% -------------- ---- MALAYSIA -- (3.2%) Other Securities.................. 571,995,908 3.4% -------------- ---- MEXICO -- (6.6%) #Alfa S.A.B. de C.V. Series A..... 51,397,020 94,755,160 0.6% *Cemex S.A.B. de C.V. Sponsored ADR............................. 16,022,635 144,844,622 0.9% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR... 2,494,369 226,014,775 1.3%
293 Dimensional Emerging Markets Value Fund CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- MEXICO -- (Continued) Grupo Financiero Banorte S.A.B. de C.V. Series O......................... 23,160,991 $ 128,770,440 0.8% Grupo Mexico S.A.B. de C.V. Series B.... 26,180,390 83,935,602 0.5% Other Securities........................ 495,698,970 2.9% -------------- ---- TOTAL MEXICO................................ 1,174,019,569 7.0% -------------- ---- PHILIPPINES -- (1.1%) Other Securities........................ 188,668,045 1.1% -------------- ---- POLAND -- (1.4%) *Polski Koncern Naftowy Orlen SA......... 5,693,986 78,039,888 0.5% Other Securities........................ 173,374,865 1.0% -------------- ---- TOTAL POLAND................................ 251,414,753 1.5% -------------- ---- RUSSIA -- (4.3%) Gazprom OAO Sponsored ADR............... 72,700,131 667,750,267 3.9% Other Securities........................ 97,505,229 0.6% -------------- ---- TOTAL RUSSIA................................ 765,255,496 4.5% -------------- ---- SOUTH AFRICA -- (7.2%) ABSA Group, Ltd......................... 5,160,055 82,730,749 0.5% #Gold Fields, Ltd. Sponsored ADR......... 11,629,304 145,482,593 0.8% Nedbank Group, Ltd...................... 3,179,691 65,565,003 0.4% Sanlam, Ltd............................. 28,863,728 128,793,703 0.8% Standard Bank Group, Ltd................ 14,939,038 184,470,451 1.1% #*Steinhoff International Holdings, Ltd... 19,509,004 65,620,688 0.4% Other Securities........................ 616,495,777 3.6% -------------- ---- TOTAL SOUTH AFRICA.......................... 1,289,158,964 7.6% -------------- ---- SOUTH KOREA -- (14.4%) Hana Financial Group, Inc............... 3,300,484 96,014,717 0.6% #Hyundai Steel Co........................ 1,031,183 74,092,555 0.4% KB Financial Group, Inc................. 2,902,753 98,710,063 0.6% KB Financial Group, Inc. ADR............ 3,182,416 108,361,265 0.6% #LG Electronics, Inc..................... 1,750,233 121,766,959 0.7% POSCO................................... 673,915 211,848,256 1.3% #POSCO ADR............................... 1,618,522 126,859,754 0.7% #Samsung SDI Co., Ltd.................... 500,681 62,766,213 0.4% Shinhan Financial Group Co., Ltd........ 5,415,719 185,880,713 1.1% SK Holdings Co., Ltd.................... 454,913 63,318,025 0.4% #SK Innovation Co., Ltd.................. 595,603 87,545,630 0.5% Other Securities........................ 1,326,862,243 7.9% -------------- ---- TOTAL SOUTH KOREA........................... 2,564,026,393 15.2% -------------- ---- TAIWAN -- (11.7%) First Financial Holding Co., Ltd........ 110,152,437 62,493,660 0.4% Fubon Financial Holding Co., Ltd........ 74,753,471 76,587,420 0.5% #Mega Financial Holding Co., Ltd......... 123,517,381 89,722,186 0.5% #United Microelectronics Corp............ 206,208,681 76,461,049 0.4% Other Securities........................ 1,787,063,949 10.6% -------------- ---- TOTAL TAIWAN................................ 2,092,328,264 12.4% -------------- ---- THAILAND -- (3.0%) PTT Global Chemical PCL (Foreign)....... 31,932,741 63,552,927 0.4% PTT PCL (Foreign)....................... 5,915,600 61,375,556 0.4% Other Securities........................ 411,283,606 2.4% -------------- ---- TOTAL THAILAND.............................. 536,212,089 3.2% -------------- ---- TURKEY -- (2.5%) Turkiye Is Bankasi A.S.................. 26,987,224 91,891,467 0.6%
294 Dimensional Emerging Markets Value Fund CONTINUED
Percentage Shares Value++ of Net Assets** ----------- --------------- --------------- TURKEY -- (Continued) Other Securities............................ $ 359,019,734 2.1% --------------- ----- TOTAL TURKEY.................................... 450,911,201 2.7% --------------- ----- TOTAL COMMON STOCKS............................. 16,026,976,352 94.9% --------------- ----- PREFERRED STOCKS -- (4.4%) BRAZIL -- (4.4%) #Gerdau SA Sponsored ADR..................... 10,428,393 91,665,574 0.5% Petroleo Brasileiro SA...................... 12,506,758 128,081,813 0.8% Petroleo Brasileiro SA ADR.................. 16,172,808 332,027,748 2.0% Other Securities............................ 222,129,866 1.3% --------------- ----- TOTAL BRAZIL.................................... 773,905,001 4.6% --------------- ----- COLOMBIA -- (0.0%) Other Securities............................ 3,489,767 0.0% --------------- ----- INDIA -- (0.0%) Other Securities............................ 41,292 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities............................ 281,138 0.0% --------------- ----- TOTAL PREFERRED STOCKS.......................... 777,717,198 4.6% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................ 50,099 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities............................ 10,728 0.0% --------------- ----- POLAND -- (0.0%) Other Securities............................ 48,734 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities............................ -- 0.0% --------------- ----- TURKEY -- (0.0%) Other Securities............................ -- 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS........................... 109,561 0.0% --------------- ----- Shares/ Face Amount (000) Value+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (5.9%) (S)@DFA Short Term Investment Fund.............. 90,406,223 1,046,000,000 6.2% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $10,294,594) to be repurchased at $10,092,837........... $ 10,093 10,092,739 0.1% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL............. 1,056,092,739 6.3% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $18,106,640,494)........................ $17,860,895,850 105.8% =============== =====
295 Dimensional Emerging Markets Value Fund CONTINUED Summary of the Fund's investments as of October 31, 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.............. $1,152,457,968 -- -- $ 1,152,457,968 Chile............... 254,751,626 -- -- 254,751,626 China............... 235,243,847 $ 2,457,189,491 -- 2,692,433,338 Colombia............ 6,305,780 -- -- 6,305,780 Czech Republic...... -- 45,582,734 -- 45,582,734 Hong Kong........... -- 39,287 -- 39,287 Hungary............. -- 97,115,844 -- 97,115,844 India............... 168,733,905 1,200,218,598 -- 1,368,952,503 Indonesia........... -- 524,481,734 -- 524,481,734 Israel.............. -- 864,856 -- 864,856 Malaysia............ -- 571,995,908 -- 571,995,908 Mexico.............. 1,173,372,993 646,576 -- 1,174,019,569 Philippines......... -- 188,668,045 -- 188,668,045 Poland.............. -- 251,414,753 -- 251,414,753 Russia.............. 1,477,962 763,777,534 -- 765,255,496 South Africa........ 204,518,729 1,084,640,235 -- 1,289,158,964 South Korea......... 350,558,671 2,213,467,722 -- 2,564,026,393 Taiwan.............. 35,124,278 2,057,203,986 -- 2,092,328,264 Thailand............ 530,357,027 5,855,062 -- 536,212,089 Turkey.............. -- 450,911,201 -- 450,911,201 Preferred Stocks Brazil.............. 773,905,001 -- -- 773,905,001 Colombia............ 3,489,767 -- -- 3,489,767 India............... -- 41,292 -- 41,292 Malaysia............ -- 281,138 -- 281,138 Rights/Warrants Brazil.............. -- 50,099 -- 50,099 Malaysia............ -- 10,728 -- 10,728 Poland.............. -- 48,734 -- 48,734 Thailand............ -- -- -- -- Turkey.............. -- -- -- -- Securities Lending Collateral........... -- 1,056,092,739 -- 1,056,092,739 -------------- --------------- -- --------------- TOTAL.................. $4,890,297,554 $12,970,598,296 -- $17,860,895,850 ============== =============== == =============== 296 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands) ASSETS: Investments at Value (including $1,186,068 of securities on loan)*...... $16,804,803 Collateral Received from Securities on Loan at Value & Cost............. 10,093 Affiliated Collateral Received from Securities on Loan at Value & Cost.. 1,046,000 Foreign Currencies at Value............................................. 45,598 Cash.................................................................... 4,151 Receivables: Investment Securities Sold........................................... 24,446 Dividends, Interest and Tax Reclaims................................. 8,000 Fund Shares Sold..................................................... 21,560 Securities Lending Income............................................ 2,963 ----------- Total Assets..................................................... 17,967,614 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned..................................... 1,056,093 Investment Securities Purchased...................................... 23,801 Due to Advisor....................................................... 1,421 Accrued Expenses and Other Liabilities.................................. 1,977 ----------- Total Liabilities................................................ 1,083,292 ----------- NET ASSETS $16,884,322 =========== Investments at Cost..................................................... $17,050,548 =========== Foreign Currencies at Cost.............................................. $ 44,606 ===========
-------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 297 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $49,100)......... $ 377,538 Interest..................................................... 7 Income from Securities Lending............................... 28,924 --------- Total Investment Income............................... 406,469 --------- Expenses Investment Advisory Services Fees............................ 15,417 Accounting & Transfer Agent Fees............................. 1,444 Custodian Fees............................................... 13,411 Shareholders' Reports........................................ 78 Directors'/Trustees' Fees & Expenses......................... 128 Professional Fees............................................ 555 Other........................................................ 313 --------- Total Expenses........................................ 31,346 --------- Fees Paid Indirectly......................................... (105) --------- Net Expenses................................................. 31,241 --------- Net Investment Income (Loss)................................. 375,228 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................... 398,744 Futures.................................................. (1,269) Foreign Currency Transactions............................ (4,761)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... (574,018) Translation of Foreign Currency Denominated Amounts...... (185) --------- Net Realized and Unrealized Gain (Loss)...................... (181,489) --------- Net Increase (Decrease) in Net Assets Resulting from Operations. $ 193,739 =========
-------- ** Net of foreign capital gain taxes withheld of $314. See accompanying Notes to Financial Statements. 298 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Year Year Ended Ended Oct. 31, Oct. 31, 2012 2011 ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................................. $ 375,228 $ 320,817 Net Realized Gain (Loss) on: Investment Securities Sold................................................ 398,744 201,891 Futures................................................................... (1,269) -- Foreign Currency Transactions............................................. (4,761)** (3,672)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................ (574,018) (2,901,288) Translation of Foreign Currency Denominated Amounts....................... (185) (7) Change in Deferred Thailand Capital Gains Tax................................. -- 16,303 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........ 193,739 (2,365,956) ----------- ----------- Transactions in Interest: Contributions................................................................. 3,560,477 5,059,674 Withdrawals................................................................... (873,473) (608,094) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 2,687,004 4,451,580 ----------- ----------- Total Increase (Decrease) in Net Assets................................ 2,880,743 2,085,624 Net Assets Beginning of Period........................................................... 14,003,579 11,917,955 ----------- ----------- End of Period................................................................. $16,884,322 $14,003,579 =========== ===========
-------- ** Net of foreign capital gain taxes withheld of $314 and $1,707, respectively. See accompanying Notes to Financial Statements. 299 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Year Year Year Year Period Year Ended Ended Ended Ended Dec. 1, 2007 Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30, 2012 2011 2010 2009 Oct. 31, 2008 2007 ----------- ----------- ----------- ---------- ------------- ---------- Total Return.................................. 1.10% (14.47%) 30.55% 79.39% (55.47)%(C) 51.59% ----------- ----------- ----------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $16,884,322 $14,003,579 $11,917,955 $7,965,125 $4,048,404 $8,188,710 Ratio of Expenses to Average Net Assets....... 0.20% 0.20% 0.19% 0.21% 0.19%(B) 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.20% 0.20% 0.19% 0.21% 0.19%(B) 0.19% Ratio of Net Investment Income to Average Net Assets...................................... 2.43% 2.29% 1.81% 2.17% 3.19%(B) 2.50% Portfolio Turnover Rate....................... 8% 5% 15% 20% 14%(C) 14% ----------- ----------- ----------- ---------- ---------- ----------
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. 300 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS A. Organization: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F). Effective November 1, 2009, 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 301 net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The Fund will also 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 had no material transfers between Level 1 and Level 2 during the year ended October 31, 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/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, 302 such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At October 31, 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 $261 (in thousands). Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board of the Fund (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities 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: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Fund. For the year ended October 31, 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 303 financial statements is presented before reduction for credits. During the year ended October 31, 2012, expenses reduced were $105 (amount in thousands). Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $26 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. D. Purchases and Sales of Securities: For the year ended October 31, 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. $4,238,656 Sales..... 1,158,122
There were no purchases or sales of long-term U.S. government securities. E. Federal Income Taxes: No provision for federal income taxes is required since the Fund is treated as a partnership for Federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At October 31, 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) -------- ------------ -------------- -------------- $18,160,399 $2,642,341 $(2,941,844) $(299,503)
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's 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, made a "Check-the-Box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles 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 had a shareholder owning 80% or more of its shares, and also had shareholders owning less than 80%, the transaction created a non-taxable transaction, pursuant to IRC (S)332, for those owning more than 80%, and a taxable transaction, pursuant to IRC (S)331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of 304 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 IRC (S)336(a), the master fund recognized gain or loss relative to the investment of the less than 80% shareholders as if the master fund's investment securities were sold to those shareholders and, pursuant to IRC (S)331, each of those shareholders recognized gain or loss as if it liquidated its investment in the master fund. Pursuant to IRC (S)334(a), each of these shareholders 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. In regards to the shareholder owning 80% or more of the master fund, pursuant to IRC (S)332(a), the shareholder did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC (S)332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it was utilized by the master fund to satisfy its dividends paid deduction for the tax year, had to be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to IRC (S)334(b)(1) and (S)1223, the 80% or greater shareholder's basis and holding period in the securities received in liquidation was the same as it was in the possession of the master fund. 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 objective and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Fund may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities 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. Entering into stock index futures subjects the Fund to equity price risk from those futures contracts. Counterparty 305 credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The following is a summary of the location of realized gains and losses on the Fund's Statement of Operations for the Fund's derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2012:
Realized Gain (Loss) on Derivatives Recognized in Income -------------------- Location on the Statement Equity of Operations Contracts ------------------------- -------------------- Net Realized Gain Dimensional Emerging Markets Value Fund. (Loss) on: Futures $(1,269)*
/*/ As of October 31, 2012, the Fund had no outstanding futures contracts. During the year ended October 31, 2012, the Fund had limited activity in 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, 2013. There were no borrowings by the Fund under this line of credit during the year ended October 31, 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 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% $23,251 25 $14 $71,121
/*/ Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that the Fund's available line of credit was utilized. There were no outstanding borrowings by the Fund under this line of credit as of October 31, 2012. H. Securities Lending: As of October 31, 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 $247,081 (in thousands). The Fund invests the cash collateral, as described below, 306 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 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 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 307 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. 308 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Directors of Dimensional Emerging Markets Value Fund: In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the "Fund") at October 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 309 FUND MANAGEMENT (Unaudited) Trustees/Directors Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has four standing committees, an Audit Committee, a Nominating Committee, a Portfolio Performance and Service Review Committee (the "Performance Committee") and an Independent Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also acts as a liaison between the Fund's independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2012. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2012. Each Board's Performance Committee is comprised of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S. Scholes. Each member of the Performance Committee is a disinterested Trustee/Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2012. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2012. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at www.dimensional.com. 310
Name, Position Portfolios within the with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and Address and Age Length of Service Overseen Other Directorships of Public Companies Held --------------- ------------------- --------------------- -------------------------------------------------------- Disinterested Trustees/Directors George M. Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The University of Constantinides Director investment companies Chicago Booth School of Business. of DFAIDG and DIG. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 64 John P. Gould Director Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of of DFAIDG and DIG. investment companies Economics, The University of Chicago Booth School of Trustee of DFAITC and Business (since 1965). Member and Chair, Competitive DEM. Markets Advisory Committee, Chicago Mercantile The University of Exchange (futures trading exchange) (since 2004). Chicago Booth School Formerly, Director of UNext, Inc. (1999-2006). Trustee, of Business 5807 Harbor Fund (registered investment company) (30 S. Woodlawn Avenue Portfolios) (since 1994). Formerly, Member of the Board Chicago, IL 60637 of Milwaukee Mutal Insurance Company (1997-2010). Age: 73 Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG investment companies Management (since 1984). Chairman, CIO and Partner, and DIG. Trustee of Zebra Capital Management, LLC (hedge fund manager) DFAITC and DEM. (since 2001). Consultant to Morningstar, Inc. (since Yale School of 2006). Formerly, Chairman, Ibbotson Associates, Inc., Management P.O. Box Chicago, IL (software data publishing and consulting) 208200 New Haven, CT (1977-2006). Formerly, Director, BIRR Portfolio 06520-8200 Analysis, Inc. (software products) (1990-2010). Age: 68
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Name, Position Portfolios within the with the Fund, Term of Office/1 /and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and Address and Age Length of Service Overseen Other Directorships of Public Companies Held --------------- ------------------- --------------------- -------------------------------------------------------- Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution Director of DFAIDG investment companies (since 2002). Jack Steele Parker Professor of Human and DIG. Resources Management and Economics, Graduate Trustee of DFAITC and School of Business, Stanford University (since 1995). DEM. Stanford Cornerstone Research (expert testimony and economic University Graduate and financial analysis) (since 2009). Formerly, School of Business 518 Chairman of the President George W. Bush's Council Memorial Way of Economic Advisers (2006-2009). Formerly, Stanford, CA 94305- Council of Economic Advisors, State of California 5015 Age: 64 (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG investment companies Stanford University (since 1981). Formerly, and DIG. Trustee of Chairman, Platinum Grove Asset Management, L.P. DFAITC and DEM. (hedge fund) (formerly, Oak Hill Platinum Partners) c/o Dimensional Fund (1999-2009). Formerly, Managing Partner, Oak Hill Advisors, LP 6300 Bee Capital Management (private equity firm) (until Cave Road Building 1 2004). Director, American Century Fund Complex Austin, TX 78746 (registered investment companies) (40 Portfolios) Age: 70 (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Abbie J. Smith Director Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service Professor of DFAIDG and DIG. investment companies of Accounting, The University of Chicago Booth Trustee of DFAITC and School of Business (since 1980). Co-Director DEM. Investment Research, Fundamental Investment The University of Advisors (hedge fund) (since 2008). Director, HNI Chicago Booth School Corporation (formerly known as HON Industries Inc.) of Business 5807 (office furniture) (since 2000). Director, Ryder System S. Woodlawn Avenue Inc. (transportation, logistics and supply-chain Chicago, IL 60637 management) (since 2003). Trustee, UBS Funds (4 Age: 58 investment companies within the fund complex) (52 portfolios) (since 2009).
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Name, Position Portfolios within the with the Fund, Term of Office/1 /and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and Address and Age Length of Service Overseen Other Directorships of Public Companies Held --------------- ------------------- --------------------- ----------------------------------------------- Interested Trustees/Directors* David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President, Chairman, Director, investment companies and Co-Chief Executive Officer (since Co-Chief Executive Officer January 2010) of Dimensional Holdings and President of DFAIDG Inc., Dimensional Fund Advisors LP, and DIG. Chairman, DFA Securities LLC, Dimensional Trustee, Co-Chief Emerging Markets Value Fund, DFAIDG, Executive Officer and Dimensional Investment Group Inc. and President of DFAITC and The DFA Investment Trust Company. DEM. 6300 Bee Cave Road, Director of Dimensional Fund Advisors Building One Ltd., Dimensional Funds PLC, Austin, Texas 78746 Dimensional Funds II PLC, DFA Age: 65 Australia Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. President, Dimensional SmartNest (US) LLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since Director, Co-Chief investment companies January 2010), Chief Investment Officer Executive Officer and (since March 2007) and Director/Trustee Chief Investment Officer of of Dimensional Holdings Inc., DFAIDG and DIG. Dimensional Fund Advisors LP, DFA Trustee, Co-Chief Securities LLC, Dimensional Emerging Executive Officer and Markets Value Fund, DFAIDG, Chief Investment Officer of Dimensional Investment Group Inc., The DFAITC and DEM. DFA Investment Trust Company and 6300 Bee Cave Road, Dimensional Cayman Commodity Fund I Building One Ltd. Co-Chief Executive Officer, Austin, TX 78746 President and Chief Investment Officer of Age: 45 Dimensional Fund Advisors Canada ULC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC, Dimensional Funds II PLC, Dimensional Japan Ltd. and Dimensional Advisors Ltd. Co-Chief Executive Officer of Dimensional Retirement Plan Services LLC. Formerly, Vice President of Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Fund Advisors Canada ULC.
-------- /1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. /*/ Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 313 Officers The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Officers April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President Vice President, Global Business Development of all the DFA Entities. Global Business Formerly, Chief Learning Officer of Dimensional Development (2008-2011); Regional Director of Dimensional (2004-2008). Age: 49 Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice Vice President President Business Development at Capson Physicians Age: 37 Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President Age: 46 Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Age: 56 John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2010-January 2011); Chief Market Age: 43 Strategist at Commonwealth Financial (2007-2010); Director of Research at Commonwealth Financial (2000-2007). Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President Age: 43 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Vice President and Assistant Entities, DFA Australia Limited, Dimensional Fund Advisors Secretary Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Age: 45 Retirement Plan Services LLC, Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Vice President Financial Services of Dimensional (since 2008). Formerly, Age: 48 Regional Director of Dimensional (January 1995 to January 2005). Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (December Age: 41 2010-January 2012); Regional Director at Russell Investments (April 2006-December 2010). James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2008-2010); Vice President, Age: 56 Client Portfolio Manager at American Century Investments (2001-2008). Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Vice President Portfolio Management of Dimensional (since March 2012). Sr. Age: 46 Portfolio Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (October 2005-January 2012). Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Vice President Limited and Dimensional Fund Advisors Canada ULC. Head of Age: 40 Institutional, North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (August Age: 36 2002-January 2012).
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Financial Services Group of Dimensional (since August Age: 63 1993). George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice President Vice President and Managing Director at State Street Bank & Age: 57 Trust Company (2007-2008); Managing Director, Head of Investment Administration and Operations at State Street Research & Management Company (2002-2005). Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all Vice President and Global the DFA Entities, DFA Australia Limited, Dimensional Fund Chief Compliance Officer Advisors Ltd., Dimensional SmartNest LLC, Dimensional Age: 46 SmartNest (US) LLC and Dimensional Retirement Plan Services LLC. Chief Compliance Officer of Dimensional Fund Advisors Canada ULC. James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President Age: 55 Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Vice President Limited and Dimensional Fund Advisors Canada ULC. Age: 55 Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate Vice President for Dimensional (since August 2008). Formerly, Research Age: 40 Assistant for Dimensional (April 2006-August 2008). Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief Vice President and Chief Communications Officer of Dimensional (since 2010). Communications Officer Age: 42 Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Vice President and Assistant Entities and DFA Australia Limited. Chief Operating Officer Secretary of Dimensional Fund Advisors Ltd. (since July 2008). Age: 47 Formerly, Vice President of Dimensional Fund Advisors Ltd. Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President Age: 41 Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Vice President Portfolio Management of Dimensional (since March 2012). Sr. Age: 38 Portfolio Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (since September 2004). Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Vice President Manager for Dimensional (since June 2006). Formerly, Age: 41 Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998-June 2006). Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional. Age: 45 Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Vice President Director at BlackRock (2004-January 2012). Age: 44 Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President Age: 45 John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional Vice President Director of Dimensional (January 2005 to February 2007). Age: 38
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ------------------------------------------------------------ Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior Age: 37 Trader for Dimensional Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Advisors Ltd. (2008-2009); Trader for Dimensional Fund Advisors LP (2004-2008). Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional (since June 1998). Age: 44 Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities Vice President and Fund and Dimensional Cayman Commodity Fund I Ltd. and Controller Dimensional Japan Ltd. Age: 38 Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President Age: 44 Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President Age: 44 Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Vice President Director, Co-Head Global Consultant Relations at BlackRock Age: 52 (2004-2011). Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Vice President Cayman Commodity Fund I Ltd. Age: 38 Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Facilities Manager for Dimensional Fund Advisors LP Age: 44 (October 2008-January 2012); General Manager at Intereity Investments (March 2007-October 2008). Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Vice President and Chief Entities, Dimensional Cayman Commodity Fund I Ltd., Operating Officer Dimensional Japan Ltd., Dimensional Advisors Ltd., Age: 57 Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Retirement Plan Services LLC. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. Director and Vice President of Dimensional Hong Kong Limited. Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (April Age: 64 2006-January 2012). David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since June 2004). Age: 41 Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Accounting Manager for Dimensional Fund Advisors LP Age: 32 (January 2006-January 2012). Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Vice President Contribution Sales for Dimensional (since August 2010). Age: 41 Formerly, Chief DC Strategist, Barclays Global Investors (2005-2009). Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Vice President Manager of Dimensional (since January 2012). Formerly, Age: 40 Portfolio Manager for Dimensional (April 2007-January 2012). Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (2007-2010). Age: 43 Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Vice President Officer of Dimensional SmartNest (US) LLC (since 2012). Age: 45
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice Vice President President - Global Operations at Janus Capital Group Age: 43 (2005-2011). Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Vice President Manager of Dimensional (since January 2004). Age: 41 Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (July 2008-2010). Age: 31 Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since February 2004). Age: 43 Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Vice President Cayman Commodity Fund I Ltd. Counsel for Dimensional (since Age: 39 September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Vice President & Head of Human Resources of Dimensional. Formerly, Global Head of Global Human Resources Recruiting and Vice President of Goldman Sachs & Co. (June Age: 42 2006 to January 2008). David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of Vice President, Chief all the DFA Entities. Director, Vice President, Chief Financial Officer and Financial Officer and Treasurer of Dimensional Fund Treasurer Advisors Ltd., DFA Australia Limited, Dimensional Advisors Age: 55 Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice President of Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Retirement Plan Services LLC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. Catherine L. Newell Vice Vice President and Secretary of all the DFA Entities and Vice President and Secretary President Dimensional Retirement Plan Services LLC (since June 2012). Age: 48 since 1997 Director, Vice President and Secretary of DFA Australia and Limited and Dimensional Fund Advisors Ltd. (since February Secretary 2002, April 1997 and May 2002, respectively). Vice since 2000 President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and Dimensional Hong Kong Limited (since August 2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager Vice President for Dimensional (since January 2008). Formerly, Design Age: 37 Manager of Dimensional (2005-2008). Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (2008-2010). Formerly, Vice President and Age: 48 Portfolio Manager at USAA Investment Management Company (2001-2006). Carolyn L. O Vice Since 2010 Vice President of all the DFA Entities and Dimensional President Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds Age: 38 (since 2011). Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates LLP (January 2004-September 2007).
317
Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2004 to 2006). Age: 35 Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since July 2005). Age: 38 Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Vice President Officer for Dimensional (since January 2008). Formerly, Age: 34 Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd. and Dimensional Age: 51 Fund Advisors Canada ULC. Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (July 2006-2010). Age: 41 Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). Systems Developer of Age: 39 Dimensional (2001-2006). Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional Fund Advisors LP (June Age: 31 2011-January 2012); Research Assistant for Dimensional Fund Advisors LP (July 2004-August 2007). L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President Age: 41 Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Vice President Manager for Dimensional (since July 2008). Formerly, Senior Age: 53 Manager at Vanguard (November 1997-July 2008). David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. Age: 66 Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (March 2006-January 2010). Age: 50 Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Vice President Operations Manager for Dimensional (since May 2007). Age: 47 Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007). Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional (since December 2002). Age: 44 Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional Vice President Director of Dimensional (December 1999 to January 2007). Age: 37 Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). Formerly, Business Analyst Age: 44 Manager, National Instruments (2003-2007). Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. Age: 56 Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President Age: 49 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President Age: 64
318
Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice President Vice President of Dimensional Fund Advisors Canada ULC. Age: 39 John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (January Age: 34 2008-January 2012). Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Vice President Technology for Dimensional (since March 2007). Formerly, Age: 54 Director of Technology at AMVESCAP (2002-2007). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd., and Dimensional Age: 46 Fund Advisors Canada ULC. Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since 2004). Age: 42 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President Age: 61 Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of Vice President Dimensional (since 2007). Age: 36 Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology Vice President Officer for Dimensional (since 2004). Age: 57 Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior Vice President Vice President, Global Public Relations at Natixis Global Age: 50 Asset Management (2008-2011); Senior Vice President, Media Relations at Bank of America (2007-2008). Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2005-2010). Age: 33
/1 /Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. 319 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. 320 NOTICE TO SHAREHOLDERS (Unaudited) For shareholders that do not have an October 31, 2012 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2012 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2011 to October 31, 2012, each Portfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolio to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
Net Investment Short-Term Long-Term Return Income Capital Gain Capital Gain of Tax-Exempt Total DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Capital Interest Distributions ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- Enhanced U.S. Large Company Portfolio....... 100% -- -- -- -- 100% U.S. Large Cap Value Portfolio.............. 100% -- -- -- -- 100% U.S. Targeted Value Portfolio............... 45% 1% 54% -- -- 100% U.S. Small Cap Value Portfolio.............. 30% 1% 69% -- -- 100% U.S. Core Equity 1 Portfolio................ 100% -- -- -- -- 100% U.S. Core Equity 2 Portfolio................ 98% -- 2% -- -- 100% U.S. Vector Equity Portfolio................ 99% -- 1% -- -- 100% U.S. Small Cap Portfolio.................... 75% 1% 24% -- -- 100% U.S. Micro Cap Portfolio.................... 69% -- 31% -- -- 100% DFA Real Estate Securities Portfolio........ 100% -- -- -- -- 100% Large Cap International Portfolio........... 100% -- -- -- -- 100% International Core Equity Portfolio......... 100% -- -- -- -- 100% International Small Company Portfolio....... 61% -- 39% -- -- 100% Japanese Small Company Portfolio............ 100% -- -- -- -- 100% Asia Pacific Small Company Portfolio........ 100% -- -- -- -- 100% United Kingdom Small Company Portfolio...... 100% -- -- -- -- 100% Continental Small Company Portfolio......... 100% -- -- -- -- 100% DFA International Real Estate Securities Portfolio................................. 100% -- -- -- -- 100% DFA Global Real Estate Securities Portfolio. 100% -- -- -- -- 100% DFA International Small Cap Value Portfolio. 58% 3% 39% -- -- 100% International Vector Equity Portfolio....... 69% -- 31% -- -- 100% World ex U.S. Value Portfolio............... 100% -- -- -- -- 100% Selectively Hedged Global Equity Portfolio.. 100% -- -- -- -- 100% Emerging Markets Portfolio.................. 36% -- 64% -- -- 100% Emerging Markets Small Cap Portfolio........ 51% -- 49% -- -- 100% Emerging Markets Value Portfolio............ 60% -- 40% -- -- 100% Emerging Markets Core Equity Portfolio...... 100% -- -- -- -- 100% DFA Commodity Strategy Portfolio............ 91% 8% 1% -- -- 100% Dimensional Investment Group Inc. DFA International Value Portfolio........... 100% -- -- -- -- 100% U.S. Large Company Portfolio................ 100% -- -- -- -- 100%
Qualifying For Corporate Dividends Qualifying U.S. Foreign Foreign Qualifying Qualifying Received Dividend Government Tax Source Interest Short-Term DFA Investment Dimensions Group Inc. Deduction(1) Income(2) Interest(3) Credit(4) Income(5) Income(6) Capital Gain(7) ------------------------------------ ------------- ---------- ----------- --------- --------- ---------- --------------- Enhanced U.S. Large Company Portfolio.... -- -- -- -- -- 100% 100% U.S. Large Cap Value Portfolio........... 100% 100% -- -- -- 100% 100% U.S. Targeted Value Portfolio............ 100% 100% -- -- -- 100% 100% U.S. Small Cap Value Portfolio........... 100% 100% -- -- -- 100% 100% U.S. Core Equity 1 Portfolio............. 100% 100% -- -- -- 100% 100% U.S. Core Equity 2 Portfolio............. 100% 100% -- -- -- 100% 100% U.S. Vector Equity Portfolio............. 100% 100% -- -- -- 100% 100% U.S. Small Cap Portfolio................. 100% 100% -- -- -- 100% 100% U.S. Micro Cap Portfolio................. 100% 100% -- -- -- 100% 100% DFA Real Estate Securities Portfolio..... 100% 100% -- -- -- 100% 100% Large Cap International Portfolio........ 100% 100% -- 3% 96% 100% 100% International Core Equity Portfolio...... 100% 100% -- 3% 94% 100% 100% International Small Company Portfolio.... 100% 100% -- 4% 91% 100% 100% Japanese Small Company Portfolio......... 100% 100% -- 7% 92% 100% 100% Asia Pacific Small Company Portfolio..... 100% 100% -- 1% 92% 100% 100% United Kingdom Small Company Portfolio.............................. 100% 100% -- -- 100% 100% 100% Continental Small Company Portfolio...... 100% 100% -- 5% 87% 100% 100% DFA International Real Estate Securities Portfolio.............................. 100% 100% -- 1% 98% 100% 100% DFA Global Real Estate Securities Portfolio.............................. 100% 100% -- 1% 43% 100% 100% DFA International Small Cap Value Portfolio.............................. 100% 100% -- 4% 90% 100% 100% International Vector Equity Portfolio.... 100% 100% -- 3% 94% 100% 100% World ex U.S. Value Portfolio............ 100% 100% -- 3% 95% 100% 100% Selectively Hedged Global Equity Portfolio.............................. 100% 100% -- 3% 58% 100% 100% Emerging Markets Portfolio............... 100% 100% -- 6% 95% 100% 100% Emerging Markets Small Cap Portfolio..... 100% 100% -- 5% 86% 100% 100% Emerging Markets Value Portfolio......... 100% 100% -- 6% 95% 100% 100% Emerging Markets Core Equity Portfolio... 100% 100% -- 6% 91% 100% 100% DFA Commodity Strategy Portfolio......... 100% 100% 1% -- -- 100% 100% Dimensional Investment Group Inc. DFA International Value Portfolio........ 100% 100% -- 2% 96% 100% 100% U.S. Large Company Portfolio............. 100% 100% -- -- -- 100% 100%
-------- (1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. (3) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. (4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income. (5) "Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (6) The percentage in this column represents the amount of "Qualifying Interest Income" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). (7) The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 321 [LOGO] Recycled Recyclable DFA103112-001A ITEM 2. CODE OF ETHICS. The Registrant has adopted, as of the end of the period covered by this Form N-CSR (the "Report"), a code of ethics that applies to the Registrant's principal executive officer and principal financial officer (the "Code of Business Ethics"). The Registrant has not made any substantive amendments to the Code of Business Ethics during the period covered by this Report. The Registrant also has not granted any waiver from any provisions of the Code of Business Ethics during the period covered by this Report. A copy of the Code of Business Ethics is filed as an exhibit to this Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an "audit committee financial expert" serving on the Registrant's Audit Committee and has designated Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith's education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant's financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees Fiscal Year Ended October 31, 2012: $17,476 Fiscal Year Ended October 31, 2011: $24,346 (b) Audit-Related Fees Fees for Registrant Fiscal Year Ended October 31, 2012: $1,402 Fiscal Year Ended October 31, 2011: $1,257 For fiscal years ended October 31, 2012 and October 31, 2011, Audited-Related Fees included fees for services related to limited procedures performed in connection with the production of the Registrant's semi-annual financial statements. Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X Fiscal Year Ended October 31, 2012: $170,000 Fiscal Year Ended October 31, 2011: $160,000 For the fiscal years ended October 31, 2012 and October 31, 2011, Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services rendered in connection with the issuance of a Type II SSAE 16 over controls at the Registrant's investment adviser. (c) Tax Fees Fees for Registrant Fiscal Year Ended October 31, 2012: $9,037 Fiscal Year Ended October 31, 2011: $20,517 Tax Fees included, for the fiscal years ended October 31, 2012 and October 31, 2011, fees for tax services in connection with the Registrant's excise tax calculations, limited review of the Registrant's applicable tax returns and capital gains tax services in India. There were no Tax Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (d) All Other Fees Fees for Registrant Fiscal Year Ended October 31, 2012: $0 Fiscal Year Ended October 31, 2011: $0 There were no "All Other Fees" required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (e)(1) Audit Committee's Pre-Approval Policies and Procedures Pre-Approval Policies and Procedures as adopted by the Audit Committees of DFA Investment Dimensions Group Inc. Dimensional Emerging Markets Value Fund Dimensional Investment Group Inc. The DFA Investment Trust Company (together, the "Funds") The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules") adopted by the U.S. Securities and Exchange Commission (the "SEC") require that the Funds' Audit Committees (together, the "Committee") pre-approve all audit services and non-audit services provided to the Funds by their independent registered public accounting firm (the "Auditor"). The Act and the Rules also require that the Committee pre-approve all non-audit services provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the Funds' investment advisor, and to affiliates of Dimensional that provide ongoing services to the Funds (with Dimensional, together the "Service Affiliates") if the services directly impact the Funds' operations and financial reporting. The following policies and procedures govern the ways in which the Committee will pre-approve audit and various types of non-audit services that the Auditor provides to the Funds and to Service Affiliates. These policies and procedures do not apply in the case of audit services that the Auditor provides to Service Affiliates, nor do they apply to services that an audit firm other than the Auditor provides to such entities. These policies and procedures comply with the requirements for pre-approval, but also provide mechanisms by which management of the Funds may request and secure pre-approval of audit and non-audit services in an orderly manner with minimal disruption to normal business operations. Pre-approval of non-audit services may be achieved through a combination of the procedures described in Sections C and D below. A. General 1. The Committee must pre-approve all audit services and non-audit services that the Auditor provides to the Funds. 2. The Committee must pre-approve any engagement of the Auditor to provide non-audit services to any Service Affiliate during the period of the Auditor's engagement to provide audit services to the Funds, if the non- audit services to the Service Affiliate directly impact the Funds' operations and financial reporting. B. Pre-Approval of Audit Services to the Funds 1. The Committee shall approve the engagement of an independent registered public accounting firm to certify the Funds' financial statements for each fiscal year (the "Engagement"). The approval of the Engagement shall not be delegated to a Designated Member (as that term is defined in Section D below). In approving the Engagement, the Committee shall obtain, review and consider sufficient information concerning the proposed Auditor to enable the Committee to make a reasonable evaluation of the Auditor's qualifications and independence. The Committee also shall consider the Auditor's proposed fees for the Engagement, in light of the scope and nature of the audit services that the Funds will receive. 2. The Committee shall report to the Boards of Directors/Trustees of the Funds (together, the "Board") regarding its approval of the Engagement and of the proposed fees for the Engagement, and the basis for such approval. 3. Unless otherwise in accordance with applicable law, the Engagement, in any event, shall require that the Auditor be selected by the vote, cast in person, of a majority of the members of the Board who are not "interested persons" of the Funds (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940) (the "Independent Directors"). C. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--by Types of Services 1. The Committee may pre-approve types of non-audit services (including tax services) to the Funds and their Service Affiliates pursuant to this Section C. 2. Annually, at such time as the Committee considers the Engagement of the Auditor, management of the Funds, in consultation with the Auditor, shall provide to the Committee, for its consideration and action, the following: (a) a list of those types of non-audit services, if any, that the Funds may request from the Auditor during the fiscal year; and (b) a list of those types of non-audit services directly impacting the Funds' operations and financial reporting that Service Affiliates may request from the Auditor during the fiscal year. 3. The lists submitted to the Committee shall describe the types of non-audit services in reasonable detail (which may include a range of tax services) and shall include an estimated budget (or budgeted range) of fees, where possible, and such other information as the Committee may request. If management and the Auditor desire the Committee to preapprove the furnishing of a range of tax services, the Auditor shall provide an estimated range of fees for such tax services for the consideration and approval by the Committee. 4. The Committee's pre-approval of the types of non-audit services submitted pursuant to this Section C shall constitute authorization for management of the Funds to utilize the Auditor for the types of non-audit services so pre-approved, if needed or desired during the fiscal year. 5. A list of the types of non-audit services pre-approved by the Committee pursuant to this Section C will be distributed to management of the Service Affiliates and the appropriate partners of the Auditor. Periodically, the Auditor will discuss with the Committee those non-audit services that have been or are being provided pursuant to this Section C. D. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--Project-by-Project Basis 1. The Committee also may pre-approve non-audit services on a project-by-project basis pursuant to this Section D. 2. Management of the Funds, in consultation with the Auditor, may submit either to the Committee or to the Designated Member, as provided in this Section D, for their consideration and action, a pre-approval request identifying one or more non-audit service projects. The request so submitted shall describe the project(s) in reasonable detail and shall include an estimated budget (or budgeted range) of fees and such other information as the Committee or the Designated Member, as appropriate, shall request. 3. The Committee, from time to time, shall designate one or more of its members who are Independent Directors (each a "Designated Member") to consider, on the Committee's behalf, any non-audit services, whether to the Funds or to any Service Affiliate, that have not been pre-approved by the Committee. The Designated Member also shall review, on the Committee's behalf, any proposed material change in the nature or extent of any non-audit services previously approved. The Funds' management, in consultation with the Auditor, shall explain why such non-audit services or material change in non-audit services are necessary and appropriate and the anticipated costs thereof. 4. The Designated Member will review the requested non-audit services or proposed material change in such services and will either: (a) pre-approve, pre-approve subject to conditions, or disapprove any such requested services, or any proposed material change in services, whether to the Funds or to a Service Affiliate; or (b) refer such matter to the full Committee for its consideration and action. In considering any requested non-audit services or proposed material change in such services, the Designated Member's authority shall be limited to approving non-audit services or proposed material changes that do not exceed $10,000 in value. 5. The Designated Member's pre-approval (or pre-approval subject to conditions) of the requested non-audit services or proposed material change in services pursuant to this Section D shall constitute authorization for the management of the Funds or the Service Affiliate, as the case may be, to utilize the Auditor for the non-audit services so pre-approved. Any action by the Designated Member in approving a requested non-audit service shall be presented for ratification by the Committee not later than at its next scheduled meeting. If the Designated Member does not approve the Auditor providing the requested non-audit service, the matter may be presented to the full Committee for its consideration and action. E. Amendment; Annual Review 1. The Committee may amend these procedures from time to time. 2. These procedures shall be reviewed annually by the Committee. F. Recordkeeping 1. The Funds shall maintain a written record of all decisions made by the Committee or by a Designated Member pursuant to these procedures, together with appropriate supporting materials. 2. In connection with the approval of any non-audit service pursuant to the de minimis exception provided in the Rules, a record shall be made indicating that each of the conditions for this exception, as set forth in the Rules, has been satisfied. 3. A copy of these Procedures (and of any amendments to these Procedures) shall be maintained and preserved permanently in an easily accessible place. The written records referred to in paragraphs 1 and 2 of this Section F shall be maintained and preserved for six years from the end of the fiscal year in which the actions recorded were taken, for at least the first two years in an easily accessible location. (e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) The percentage of hours expended on the principal accountant's engagement to audit the Registrant's financial statements for the fiscal year ended October 31, 2012 that were attributed to work performed by persons other than the principal accountant's full time, permanent employees was not greater than 50%. --- (g) Aggregate Non-Audit Fees Fiscal Year Ended October 31, 2012: $1,736,797 Fiscal Year Ended October 31, 2011: $1,247,583 (h) The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant because it is not a listed issuer. ITEM 6. INVESTMENTS. (a) The Registrant's schedule of investments is provided below. DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULE OF INVESTMENTS ----------------------- Investment Abbreviations ADR American Depository Receipt FNMA Federal National Mortgage Association GDR Global Depository Receipt NVDR Non-Voting Depository Receipt P.L.C. Public Limited Company Investment Footnotes + See Security Valuation Note within the Notes to Schedule of Investments. ++ Securities have generally been fair valued. See Security Valuation Note within the Notes to Schedule of Investments. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. -- Amounts designated as -- are either zero or rounded to zero. (S) Affiliated Fund. 1 DIMENSIONAL EMERGING MARKETS VALUE FUND SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
SHARES VALUE++ ---------- ------------ COMMON STOCKS -- (89.7%) BRAZIL -- (6.4%) *B2W Cia Global Do Varejo SA.................................... 97,634 $ 474,939 Banco Alfa de Investimento SA.................................. 96,500 261,793 Banco do Brasil SA............................................. 2,525,346 26,943,821 Banco Santander Brasil SA...................................... 1,701,517 11,686,646 Banco Santander Brasil SA ADR.................................. 18,012,780 122,486,904 Bematech SA.................................................... 559,900 1,337,001 *BHG SA - Brazil Hospitality Group.............................. 214 2,118 BM&F Bovespa SA................................................ 28,221,345 180,634,394 BR Malls Participacoes SA...................................... 2,523,897 33,178,922 *BrasilAgro - Companhia Brasileira de Propriedades Agricolas SA. 10,400 47,365 Brookfield Incorporacoes SA.................................... 6,434,284 11,246,256 *Brookfield Incorporacoes SA Receipt............................ 1,914,862 3,365,775 *CCX Carvao da Colombia SA...................................... 198,100 214,579 Cia Providencia Industria e Comercio SA........................ 340,000 1,354,275 Cosan SA Industria e Comercio.................................. 996,581 19,111,706 CR2 Empreendimentos Imobiliarios SA............................ 99,200 237,859 Cremer SA...................................................... 251,370 1,730,215 Eternit SA..................................................... 382,123 1,580,381 Even Construtora e Incorporadora SA............................ 4,862,748 19,393,052 EZ Tec Empreendimentos e Participacoes SA...................... 333,141 4,379,442 *Fertilizantes Heringer SA...................................... 260,400 1,424,408 *Fibria Celulose SA............................................. 1,837,064 15,593,404 #*Fibria Celulose SA Sponsored ADR............................... 3,957,047 34,861,584 Forjas Taurus SA............................................... 224,056 351,906 *Gafisa SA...................................................... 5,603,978 10,291,641 #*Gafisa SA ADR.................................................. 3,057,757 11,221,968 *General Shopping Brasil SA..................................... 263,330 1,387,278 Gerdau SA...................................................... 1,893,096 13,766,785 #*Gol Linhas Aereas Inteligentes SA ADR.......................... 34,659 172,948 Grendene SA.................................................... 1,029,364 7,779,591 Guararapes Confeccoes SA....................................... 3,550 209,744 *Hypermarcas SA................................................. 5,559,281 44,204,913 *IdeiasNet SA................................................... 619,330 594,615 Iguatemi Empresa de Shopping Centers SA........................ 181,520 2,305,810 *Industrias Romi SA............................................. 628,500 1,652,441 *Inepar SA Industria e Construcoes.............................. 26,528 25,078 *JBS SA......................................................... 17,008,240 55,017,915 JHSF Participacoes SA.......................................... 1,253,400 5,442,992 *Kepler Weber SA................................................ 92,218 459,035 *Kroton Educacional SA Unit Shares.............................. 205,136 4,100,599 *Log-in Logistica Intermodal SA................................. 807,500 2,385,466 Magnesita Refratarios SA....................................... 3,009,984 11,233,440 *Marfrig Alimentos SA........................................... 5,057,848 26,147,758 *Metalfrio Solutions SA......................................... 97,900 214,497 Minerva SA..................................................... 768,777 4,163,633 *MMX Mineracao e Metalicos SA................................... 1,048,833 2,075,926 *MPX Energia SA................................................. 697,500 3,684,880 Obrascon Huarte Lain Brasil SA................................. 354,000 3,329,017 *Paranapanema SA................................................ 4,240,245 7,119,094 PDG Realty SA Empreendimentos e Participacoes.................. 12,121,117 20,410,241 Petroleo Brasileiro SA......................................... 2,556,198 27,059,037 Petroleo Brasileiro SA ADR..................................... 15,613,857 331,169,907 Plascar Participacoes Industriais SA........................... 1,212,900 477,743 *Positivo Informatica SA........................................ 666,226 1,725,388 Profarma Distribuidora de Produtos Farmaceuticos SA............ 192,125 1,377,288 Rodobens Negocios Imobiliarios SA.............................. 323,101 2,036,234 Rossi Residencial SA........................................... 6,073,331 12,768,333 Sao Carlos Empreendimentos e Participacoes SA.................. 77,100 1,731,006
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- -------------- BRAZIL -- (Continued) Sao Martinho SA................................. 600,232 $ 7,500,499 SLC Agricola SA................................. 804,917 7,688,334 *Springs Global Participacoes SA................. 438,409 582,804 Sul America SA.................................. 915,490 7,211,957 Tecnisa SA...................................... 545,739 2,257,063 Tereos Internacional SA......................... 474,404 639,998 *Trisul SA....................................... 91,961 110,024 Triunfo Participacoes e Investimentos SA........ 211,500 1,161,087 Usinas Siderurgicas de Minas Gerais SA.......... 2,197,000 11,487,723 *Vanguarda Agro SA............................... 11,811,465 2,035,407 *Via Varejo SA................................... 42,731 383,959 *Viver Incorporadora e Construtora SA............ 2,903,125 1,758,127 -------------- TOTAL BRAZIL....................................... 1,152,457,968 -------------- CHILE -- (1.4%) Almendral SA.................................... 788,995 118,837 Banco de Credito e Inversiones SA............... 77,327 4,969,724 *Cementos Bio-Bio SA............................. 665,307 912,611 Cencosud SA..................................... 894,470 4,896,115 Cia General de Electricidad SA.................. 1,055,985 5,442,882 Cintac SA....................................... 155,202 67,739 *Compania Sud Americana de Vapores SA............ 49,740,965 4,755,449 Corpbanca SA.................................... 996,591,595 13,044,859 Cristalerias de Chile SA........................ 264,624 2,100,932 CTI Cia Tecno Industrial SA..................... 488,163 32,466 Embotelladora Andina SA Series A ADR............ 19,979 611,757 Empresas CMPC SA................................ 17,517,205 66,712,099 Empresas Copec SA............................... 2,279,625 32,830,106 Empresas Hites SA............................... 357,558 279,046 Empresas Iansa SA............................... 43,801,768 3,413,834 *Empresas La Polar SA............................ 1,547,312 739,970 Enersis SA...................................... 37,924,945 12,955,095 Enersis SA Sponsored ADR........................ 3,368,927 57,069,623 Gasco SA........................................ 155,648 1,164,570 Grupo Security SA............................... 983,876 357,847 Inversiones Aguas Metropolitanas SA............. 5,759,080 10,712,619 Madeco SA....................................... 64,223,012 2,314,511 Masisa SA....................................... 37,061,086 4,005,355 Minera Valparaiso SA............................ 6,193 201,435 Multiexport Foods SA............................ 194,384 46,460 Parque Arauco SA................................ 1,342,635 3,063,937 PAZ Corp. SA.................................... 1,306,428 824,476 Ripley Corp. SA................................. 8,738,892 8,245,780 Salfacorp SA.................................... 419,917 991,428 *Sociedad Matriz SAAM SA......................... 51,571,533 6,029,094 Sociedad Quimica y Minera de Chile SA Series A.. 31,824 1,934,640 Socovesa SA..................................... 5,049,841 2,655,325 Soquimic Comercial SA........................... 189,354 46,438 Vina Concha Y Toro SA........................... 367,145 742,249 Vina Concha Y Toro SA Sponsored ADR............. 2,846 114,978 Vina San Pedro Tarapaca SA...................... 57,038,434 347,340 -------------- TOTAL CHILE........................................ 254,751,626 -------------- CHINA -- (15.1%) #361 Degrees International, Ltd.................. 6,803,000 1,950,977 #Agile Property Holdings, Ltd.................... 17,582,000 19,865,040 #Agricultural Bank of China, Ltd. Series H....... 255,464,000 109,741,972 *Air China, Ltd. Series H........................ 1,580,000 1,116,368 #*Aluminum Corp. of China, Ltd. ADR............... 276,693 2,979,984 #*Aluminum Corp. of China, Ltd. Series H.......... 8,702,000 3,769,477 AMVIG Holdings, Ltd............................. 5,605,100 1,660,159
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ CHINA -- (Continued) #*Angang Steel Co., Ltd. Series H.......................... 15,187,640 $ 9,048,285 Anhui Tianda Oil Pipe Co., Ltd. Series H................. 2,847,412 512,446 Anton Oilfield Services Group............................ 12,450,527 3,747,856 *Apollo Solar Energy Technology Holdings, Ltd............. 40,574,000 1,086,263 Asia Cement China Holdings Corp.......................... 7,788,500 3,302,934 Asian Citrus Holdings, Ltd............................... 6,995,000 3,907,712 #*Ausnutria Dairy Corp., Ltd............................... 268,000 50,487 *AVIC International Holding HK, Ltd....................... 19,134,285 606,568 #Bank of China, Ltd. Series H............................. 989,630,331 405,434,042 Bank of Communications Co., Ltd. Series H................ 110,893,574 79,063,779 Baoye Group Co., Ltd. Series H........................... 2,061,120 1,052,136 *BaWang International Group Holding, Ltd.................. 2,692,000 245,399 *BBMG Corp. Series H...................................... 2,013,500 1,721,670 Beijing Capital International Airport Co., Ltd. Series H. 24,347,599 15,621,486 Beijing Capital Land, Ltd. Series H...................... 17,229,060 5,138,108 *Beijing Development HK, Ltd.............................. 1,545,000 284,467 Beijing Enterprises Holdings, Ltd........................ 6,247,500 40,350,941 Beijing Jingkelong Co., Ltd. Series H.................... 457,000 265,207 Beijing North Star Co., Ltd. Series H.................... 8,382,000 1,730,883 *Beijing Properties Holdings, Ltd......................... 312,000 11,444 *Besunyen Holdings Co., Ltd............................... 5,053,000 390,094 Boer Power Holdings, Ltd................................. 2,122,000 762,687 BYD Electronic International Co., Ltd.................... 13,059,136 2,769,653 C C Land Holdings, Ltd................................... 20,827,286 4,741,728 #*Carnival Group International Holdings, Ltd............... 1,700,000 77,962 Catic Shenzhen Holdings, Ltd. Series H................... 2,526,000 924,902 Central China Real Estate, Ltd........................... 7,932,350 1,919,116 #Changshouhua Food Co., Ltd............................... 856,000 440,312 #*Chaoda Modern Agriculture Holdings, Ltd.................. 37,445,412 861,239 *Chigo Holding, Ltd....................................... 48,856,000 1,205,800 China Aerospace International Holdings, Ltd.............. 32,830,000 2,613,800 China Agri-Industries Holdings, Ltd...................... 23,705,000 14,834,208 #China All Access Holdings, Ltd........................... 2,300,000 438,148 #China Aoyuan Property Group, Ltd......................... 14,941,000 2,057,938 #China Automation Group, Ltd.............................. 6,821,000 1,613,333 China BlueChemical, Ltd. Series H........................ 8,950,878 5,663,159 #*China Chengtong Development Group, Ltd................... 4,982,000 186,895 China Citic Bank Corp., Ltd. Series H.................... 113,494,716 57,666,623 China Coal Energy Co., Ltd. Series H..................... 60,445,000 59,809,419 #China Communications Construction Co., Ltd. Series H..... 65,910,327 61,689,391 China Communications Services Corp., Ltd. Series H....... 29,797,071 16,666,953 China Construction Bank Corp. Series H................... 214,422,940 161,020,872 #*China COSCO Holdings Co., Ltd. Series H.................. 37,168,500 18,345,577 #China Dongxiang Group Co., Ltd........................... 46,914,127 5,847,553 *China Energine International Holdings, Ltd............... 7,322,390 296,490 China Everbright, Ltd.................................... 12,195,869 17,681,868 *China Fiber Optic Network System Group, Ltd.............. 660,000 113,233 China Glass Holdings, Ltd................................ 8,960,000 1,240,063 *China Grand Forestry Green Resources Group, Ltd.......... 665,110 47,946 #*China Green Holdings, Ltd................................ 7,842,800 1,723,225 China Haidian Holdings, Ltd.............................. 22,761,108 2,458,620 #China High Precision Automation Group, Ltd............... 429,000 68,640 #*China High Speed Transmission Equipment Group Co., Ltd... 17,215,000 5,873,411 #*China Huiyuan Juice Group, Ltd........................... 8,259,483 2,604,816 *China ITS Holdings Co., Ltd.............................. 7,630,000 1,195,056 #China Lumena New Materials Corp.......................... 53,224,000 10,784,314 *China Merchants Bank Co., Ltd. Series H.................. 5,494,000 10,207,999 China Merchants Holdings International Co., Ltd.......... 9,101,424 30,023,402 #China Metal Recycling Holdings, Ltd...................... 3,259,800 3,246,766 *China Mining Resources Group, Ltd........................ 30,230,000 440,770 #China Minsheng Banking Corp., Ltd. Series H.............. 63,178,500 57,299,918
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ CHINA -- (Continued) *China Mobile Games & Entertainment Group, Ltd............. 24,079 $ 144,474 #*China Molybdenum Co., Ltd. Series H....................... 10,332,000 4,391,597 *China National Building Material Co., Ltd. Series H....... 4,884,000 6,181,465 #China National Materials Co., Ltd. Series H............... 13,923,000 4,317,768 *China New Town Development Co., Ltd....................... 19,348,022 736,385 China Nickel Resources Holdings Co., Ltd.................. 5,532,000 440,865 *China Oil & Gas Group, Ltd................................ 26,345,715 3,150,135 #China Oriental Group Co., Ltd............................. 26,000 5,637 #China Petroleum & Chemical Corp. ADR...................... 993,796 104,557,277 China Petroleum & Chemical Corp. Series H................. 163,824,289 172,860,447 *China Pharmaceutical Group, Ltd........................... 15,098,000 4,393,221 #*China Precious Metal Resources Holdings Co., Ltd.......... 6,830,000 1,320,762 *China Properties Group, Ltd............................... 7,347,000 2,274,624 #*China Qinfa Group, Ltd.................................... 6,458,000 969,839 #China Railway Construction Corp., Ltd. Series H........... 29,430,014 29,188,235 #China Rare Earth Holdings, Ltd............................ 20,507,000 4,661,314 #*China Resources Cement Holdings, Ltd...................... 2,830,000 1,909,455 China Resources Enterprise, Ltd........................... 2,408,000 7,848,209 #China Resources Land, Ltd................................. 21,837,727 49,593,033 #China Rongsheng Heavy Industries Group Holdings, Ltd...... 25,007,500 5,319,859 China Sanjiang Fine Chemicals Co., Ltd.................... 1,852,000 595,563 China SCE Property Holdings, Ltd.......................... 1,331,000 307,327 China Shanshui Cement Group, Ltd.......................... 1,255,000 926,864 #*China Shipping Container Lines Co., Ltd. Series H......... 56,393,700 14,959,826 #China Shipping Development Co., Ltd. Series H............. 19,327,488 10,121,566 #China Singyes Solar Technologies Holdings, Ltd............ 3,824,800 2,255,308 #China South City Holdings, Ltd............................ 13,892,462 2,198,177 China Southern Airlines Co., Ltd. Series H................ 17,624,000 8,333,149 China Starch Holdings, Ltd................................ 18,995,000 564,247 China Sunshine Paper Holdings Co., Ltd.................... 1,195,500 135,382 *China Tianyi Holdings, Ltd................................ 756,000 109,060 China Tontine Wines Group, Ltd............................ 7,118,000 732,428 China Travel International Investment Hong Kong, Ltd...... 52,275,631 10,081,640 China Unicom Hong Kong, Ltd............................... 4,822,000 7,798,236 #China Unicom Hong Kong, Ltd. ADR.......................... 7,316,862 117,728,310 #China Vanadium Titano - Magnetite Mining Co., Ltd......... 14,828,000 2,833,589 China Wireless Technologies, Ltd.......................... 928,000 269,167 #*China Yurun Food Group, Ltd............................... 13,285,000 9,691,697 #*China ZhengTong Auto Services Holdings, Ltd............... 197,000 132,740 #*China Zhongwang Holdings, Ltd............................. 20,874,954 8,315,626 #*Chongqing Iron & Steel Co., Ltd. Series H................. 7,456,000 1,168,155 Chongqing Machinery & Electric Co., Ltd. Series H......... 18,992,000 2,875,392 *Chongqing Rural Commercial Bank Series H.................. 907,000 424,536 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 5,728,000 2,324,748 CIMC Enric Holdings, Ltd.................................. 3,446,000 2,498,694 #Citic Pacific, Ltd........................................ 16,793,000 21,326,676 *Citic Resources Holdings, Ltd............................. 42,880,000 6,546,662 Clear Media, Ltd.......................................... 650,000 335,208 *Coastal Greenland, Ltd.................................... 4,654,000 197,722 #*Comba Telecom Systems Holdings, Ltd....................... 4,323,500 1,682,118 #*Comtec Solar Systems Group, Ltd........................... 6,346,000 740,407 #COSCO International Holdings, Ltd......................... 10,104,000 4,081,367 COSCO Pacific, Ltd........................................ 21,118,180 30,835,667 #*Country Garden Holdings Co., Ltd.......................... 32,900,203 13,132,595 CPMC Holdings, Ltd........................................ 2,018,000 1,421,318 Da Ming International Holdings, Ltd....................... 32,000 4,878 DaChan Food Asia, Ltd..................................... 3,535,000 501,131 Dalian Port (PDA) Co., Ltd. Series H...................... 14,226,000 3,130,764 #*Daqing Dairy Holdings, Ltd................................ 3,316,000 -- Dawnrays Pharmaceutical Holdings, Ltd..................... 156,000 32,979 DBA Telecommunication Asia Holdings, Ltd.................. 248,000 135,210
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- CHINA -- (Continued) Dongfeng Motor Group Co., Ltd. Series H................ 558,000 $ 690,134 #*Dynasty Fine Wines Group, Ltd.......................... 9,228,600 1,519,914 Embry Holdings, Ltd.................................... 544,000 258,306 #Evergrande Real Estate Group, Ltd...................... 5,087,000 2,206,287 Evergreen International Holdings, Ltd.................. 1,628,000 326,409 Fantasia Holdings Group Co., Ltd....................... 9,902,515 978,284 *First Tractor Co., Ltd. Series H....................... 2,252,000 1,870,289 #Fosun International, Ltd............................... 14,274,244 6,993,523 Franshion Properties China, Ltd........................ 44,364,580 13,507,734 #Fufeng Group, Ltd...................................... 2,215,000 840,508 #GCL-Poly Energy Holdings, Ltd.......................... 35,208,000 6,223,861 #Global Bio-Chem Technology Group Co., Ltd.............. 35,702,360 4,128,873 *Global Sweeteners Holdings, Ltd........................ 10,400,350 722,919 *Glorious Property Holdings, Ltd........................ 41,022,000 6,376,972 *Goldbond Group Holdings, Ltd........................... 1,830,000 68,264 Golden Meditech Holdings, Ltd.......................... 11,771,679 1,393,764 Goldlion Holdings, Ltd................................. 1,298,000 590,372 *GOME Electrical Appliances Holding, Ltd................ 47,272,000 4,910,162 Great Wall Motor Co., Ltd. Series H.................... 293,500 802,695 Great Wall Technology Co., Ltd. Series H............... 7,550,035 1,347,031 #Greentown China Holdings, Ltd.......................... 9,234,591 11,345,051 #Guangshen Railway Co., Ltd. Series H................... 888,000 306,245 #Guangshen Railway Co., Ltd. Sponsored ADR.............. 426,392 7,316,887 Guangzhou Automobile Group Co., Ltd. Series H.......... 27,145,572 18,587,985 #Guangzhou R&F Properties Co., Ltd. Series H............ 13,308,714 16,266,250 Hainan Meilan International Airport Co., Ltd. Series H. 1,989,000 1,240,069 Harbin Electric Co., Ltd. Series H..................... 10,673,474 8,784,926 *Heng Tai Consumables Group, Ltd........................ 74,825,195 1,578,905 *Hi Sun Technology, Ltd................................. 423,000 43,544 #Hidili Industry International Development, Ltd......... 20,082,000 5,072,042 *Hilong Holding, Ltd.................................... 5,000 1,363 #HKC Holdings, Ltd...................................... 39,674,878 1,583,098 #Honghua Group, Ltd..................................... 16,779,970 3,901,418 #*Hopson Development Holdings, Ltd....................... 11,228,000 10,838,043 #Hua Han Bio-Pharmaceutical Holdings, Ltd............... 17,032,104 3,924,086 *Hunan Nonferrous Metal Corp., Ltd. Series H............ 7,126,000 2,107,534 *Huscoke Resources Holdings, Ltd........................ 9,616,000 97,689 Hutchison Harbour Ring, Ltd............................ 6,830,000 579,860 Industrial & Commercial Bank of China, Ltd. Series H... 71,682,996 47,203,203 Inspur International, Ltd.............................. 33,726,713 1,083,997 International Taifeng Holdings, Ltd.................... 462,000 140,060 Jingwei Textile Machinery Co., Ltd. Series H........... 190,000 101,326 Ju Teng International Holdings, Ltd.................... 11,466,249 4,569,111 *Kai Yuan Holdings, Ltd................................. 64,220,000 1,737,859 #*Kaisa Group Holdings, Ltd.............................. 21,380,632 3,985,840 *Kasen International Holdings, Ltd...................... 1,885,000 364,201 Kingboard Chemical Holdings, Ltd....................... 7,717,371 22,897,658 Kingboard Laminates Holdings, Ltd...................... 7,016,500 2,979,444 Kingway Brewery Holdings, Ltd.......................... 3,238,000 1,147,456 KWG Property Holding, Ltd.............................. 20,557,000 12,146,355 Lai Fung Holdings, Ltd................................. 53,769,560 1,122,741 Le Saunda Holdings, Ltd................................ 82,000 24,079 Lee & Man Paper Manufacturing, Ltd..................... 18,038,000 9,421,609 Leoch International Technology, Ltd.................... 1,278,000 200,681 #*Li Ning Co., Ltd....................................... 1,151,000 608,426 #Lijun International Pharmaceutical Holding, Ltd........ 6,294,055 1,702,839 Lingbao Gold Co., Ltd. Series H........................ 4,220,000 1,858,527 LK Technology Holdings, Ltd............................ 112,500 19,114 #Lonking Holdings, Ltd.................................. 9,166,000 2,135,749 *Loudong General Nice Resources China Holdings, Ltd..... 21,592,800 932,050 #*Maanshan Iron & Steel Co., Ltd. Series H............... 27,282,000 7,025,688
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- CHINA -- (Continued) #Maoye International Holdings, Ltd................................ 7,283,000 $ 1,457,586 #*Metallurgical Corp of China, Ltd. Series H....................... 23,897,659 4,393,182 *MIE Holdings Corp................................................ 14,000 3,824 Min Xin Holdings, Ltd............................................ 1,654,000 907,058 *Mingyuan Medicare Development Co., Ltd........................... 14,370,264 292,236 Minmetals Land, Ltd.............................................. 19,977,205 2,667,549 Minth Group, Ltd................................................. 3,854,000 3,893,161 *MMG, Ltd......................................................... 1,424,000 562,479 *Nan Hai Corp, Ltd................................................ 32,700,000 130,546 NetDragon Websoft, Inc........................................... 1,502,500 1,602,999 New World China Land, Ltd........................................ 25,450,600 11,782,938 #New World Department Store China, Ltd............................ 565,000 337,969 #Nine Dragons Paper Holdings, Ltd................................. 19,317,000 13,437,856 #O-Net Communications Group, Ltd.................................. 3,619,000 951,920 Overseas Chinese Town Asia Holdings, Ltd......................... 160,000 58,458 *PAX Global Technology, Ltd....................................... 135,000 24,335 PCD Stores Group, Ltd............................................ 4,664,000 437,294 #Peak Sport Products Co., Ltd..................................... 10,288,000 1,956,250 *PetroAsian Energy Holdings, Ltd.................................. 19,174,084 396,994 #*Poly Property Group Co., Ltd..................................... 31,419,488 18,829,732 *Pou Sheng International Holdings, Ltd............................ 9,813,529 625,538 #Powerlong Real Estate Holdings, Ltd.............................. 9,989,000 1,679,726 #*Prosperity International Holdings HK, Ltd........................ 19,500,000 993,865 Qin Jia Yuan Media Services Co., Ltd............................. 903,250 9,414 Qingling Motors Co., Ltd. Series H............................... 12,058,000 2,900,437 Qunxing Paper Holdings Co., Ltd.................................. 5,020,071 1,308,365 #Real Gold Mining, Ltd............................................ 3,137,500 3,566,606 #Real Nutriceutical Group, Ltd.................................... 11,046,000 3,929,051 Regent Manner International Holdings, Ltd........................ 738,000 153,698 #*Renhe Commercial Holdings Co., Ltd............................... 45,780,000 1,933,979 #REXLot Holdings, Ltd............................................. 95,781,150 7,027,346 Royale Furniture Holdings, Ltd................................... 3,664,672 305,880 Samson Holding, Ltd.............................................. 7,831,452 1,118,930 *Semiconductor Manufacturing International Corp................... 173,313,000 6,773,596 *Semiconductor Manufacturing International Corp. ADR.............. 1,331,701 2,516,915 #Shandong Chenming Paper Holdings, Ltd. Series H.................. 4,153,318 1,536,375 Shanghai Industrial Holdings, Ltd................................ 8,464,918 27,085,941 *Shanghai Industrial Urban Development Group, Ltd................. 15,164,000 2,528,878 #Shanghai Jin Jiang International Hotels Group Co., Ltd. Series H. 17,400,000 2,687,359 Shanghai Prime Machinery Co., Ltd. Series H...................... 8,790,000 1,243,556 *Shanghai Zendai Property, Ltd.................................... 19,155,000 313,218 Shengli Oil & Gas Pipe Holdings, Ltd............................. 9,946,500 907,409 Shenzhen International Holdings, Ltd............................. 110,282,500 9,225,279 Shenzhen Investment, Ltd......................................... 38,517,494 10,235,892 #Shimao Property Holdings, Ltd.................................... 22,765,535 43,179,838 *Shougang Concord Century Holdings, Ltd........................... 5,822,299 213,518 #*Shougang Concord International Enterprises Co., Ltd.............. 83,508,208 4,449,837 #Shougang Fushan Resources Group, Ltd............................. 43,564,594 15,157,832 #Shui On Land, Ltd................................................ 43,500,603 18,329,149 Sijia Group Co., Ltd............................................. 1,152,649 237,416 Silver Grant International Industries, Ltd....................... 20,310,804 3,578,717 *SIM Technology Group, Ltd........................................ 11,326,000 509,400 *Sino Dragon New Energy Holdings, Ltd............................. 1,128,000 26,611 *Sino Oil & Gas Holdings, Ltd..................................... 94,765,000 1,829,839 *Sino Prosper State Gold Resources Holdings, Ltd.................. 10,250,000 462,900 Sinofert Holdings, Ltd........................................... 33,002,000 6,949,003 *Sinolink Worldwide Holdings, Ltd................................. 16,942,508 1,238,846 SinoMedia Holding, Ltd........................................... 2,897,139 1,411,744 #Sino-Ocean Land Holdings, Ltd.................................... 43,523,524 27,200,653 Sinopec Kantons Holdings, Ltd.................................... 16,676,600 12,391,766 Sinotrans Shipping, Ltd.......................................... 17,217,916 4,231,216
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- CHINA -- (Continued) Sinotrans, Ltd. Series H.................................. 24,315,000 $ 3,721,228 #Sinotruk Hong Kong, Ltd................................... 9,113,335 5,227,375 *SITC International Holdings Co., Ltd...................... 52,000 13,574 #Skyworth Digital Holdings, Ltd............................ 31,468,708 16,914,070 *SMI Corp., Ltd............................................ 11,728,000 275,961 #Soho China, Ltd........................................... 29,586,388 20,019,429 #*Solargiga Energy Holdings, Ltd............................ 10,560,486 589,166 *Sparkle Roll Group, Ltd................................... 472,000 27,621 *SPG Land Holdings, Ltd.................................... 3,730,575 926,611 #*SRE Group, Ltd............................................ 41,222,285 1,614,080 #Sunac China Holdings, Ltd................................. 4,498,000 2,375,944 Sunny Optical Technology Group Co., Ltd................... 3,089,000 1,809,554 Tak Sing Alliance Holdings, Ltd........................... 3,394,391 418,810 #TCC International Holdings, Ltd........................... 13,997,056 3,796,235 TCL Communication Technology Holdings, Ltd................ 1,860,000 568,563 TCL Multimedia Technology Holdings, Ltd................... 8,874,200 4,913,223 *Texhong Textile Group, Ltd................................ 1,716,000 807,657 Tian An China Investments Co., Ltd........................ 7,019,000 4,072,055 Tian Shan Development Holdings, Ltd....................... 806,000 193,310 Tiangong International Co., Ltd........................... 15,623,944 3,753,449 Tianjin Port Development Holdings, Ltd.................... 12,609,657 1,556,900 Tianneng Power International, Ltd......................... 5,282,280 3,560,433 Tomson Group, Ltd......................................... 2,979,206 705,993 TPV Technology, Ltd....................................... 10,594,496 2,352,563 Travelsky Technology, Ltd. Series H....................... 16,861,500 8,685,935 *Trony Solar Holdings Co., Ltd............................. 8,775,000 713,318 Truly International Holdings, Ltd......................... 21,705,500 3,292,045 VODone, Ltd............................................... 48,158,000 4,694,041 Wasion Group Holdings, Ltd................................ 5,951,291 2,171,593 Weiqiao Textile Co., Ltd. Series H........................ 7,549,500 2,943,472 Welling Holding, Ltd...................................... 12,000 1,464 #West China Cement, Ltd.................................... 27,792,000 4,989,818 *Winsway Coking Coal Holdings, Ltd......................... 829,000 133,243 Wuyi International Pharmaceutical Co., Ltd................ 175,000 8,579 Xiamen International Port Co., Ltd. Series H.............. 15,252,000 1,767,677 Xingda International Holdings, Ltd........................ 10,726,000 3,732,853 Xinhua Winshare Publishing & Media Co., Ltd. Series H..... 4,837,000 2,590,450 #Xinjiang Goldwind Science & Technology Co., Ltd. Series H. 1,354,800 512,628 #Xinjiang Xinxin Mining Industry Co., Ltd. Series H........ 10,075,000 2,109,503 Xiwang Sugar Holdings Co., Ltd............................ 11,548,736 1,216,464 #XTEP International Holdings, Ltd.......................... 2,745,500 1,188,337 *Yanchang Petroleum International, Ltd..................... 44,770,000 2,938,850 Yantai North Andre Juice Co. Series H..................... 2,365,000 92,828 *Yashili International Holdings, Ltd....................... 397,000 92,922 #Yip's Chemical Holdings, Ltd.............................. 438,000 296,441 #Youyuan International Holdings, Ltd....................... 85,663 20,958 Yuexiu Property Co., Ltd.................................. 75,308,170 20,590,858 #Yuzhou Properties Co...................................... 910,800 210,926 #*Zhejiang Glass Co., Ltd. Series H......................... 437,000 -- *Zhong An Real Estate, Ltd................................. 4,695,800 484,399 -------------- TOTAL CHINA.................................................. 2,692,433,338 -------------- COLOMBIA -- (0.0%) *Cementos Argos SA......................................... 206,640 994,977 *Fabricato SA.............................................. 17,729,182 880,766 Grupo de Inversiones Suramericana SA...................... 169,566 3,299,185 Grupo Nutresa SA.......................................... 83,729 1,130,852 -------------- TOTAL COLOMBIA............................................... 6,305,780 -------------- CZECH REPUBLIC -- (0.3%) CEZ A.S................................................... 58,205 2,150,929
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- CZECH REPUBLIC -- (Continued) Komercni Banka A.S................................... 35,556 $ 7,275,855 Pegas Nonwovens SA................................... 147,266 3,372,855 Telefonica Czech Republic A.S........................ 1,025,276 20,422,860 #*Unipetrol A.S........................................ 1,424,029 12,360,235 ----------- TOTAL CZECH REPUBLIC.................................... 45,582,734 ----------- HONG KONG -- (0.0%) *Qualipak International Holdings, Ltd................. 344,816 39,287 ----------- HUNGARY -- (0.5%) *Danubius Hotel & Spa P.L.C........................... 136,180 1,666,382 EGIS Pharmaceuticals P.L.C........................... 58,095 4,675,302 *Fotex Holding SE..................................... 899,183 717,695 MOL Hungarian Oil & Gas P.L.C........................ 175,254 15,245,185 #OTP Bank P.L.C....................................... 3,793,491 72,294,221 *PannErgy P.L.C....................................... 177,767 489,451 *Tisza Chemical Group P.L.C........................... 235,511 2,027,608 ----------- TOTAL HUNGARY........................................... 97,115,844 ----------- INDIA -- (7.7%) *A2Z Maintenance & Engineering Services, Ltd.......... 59,997 64,719 Aban Offshore, Ltd................................... 238,529 1,946,683 *ABG Shipyard, Ltd.................................... 257,426 1,776,856 Adani Enterprises, Ltd............................... 1,192,978 4,752,476 *Adani Power, Ltd..................................... 635,365 565,364 Aditya Birla Nuvo, Ltd............................... 526,274 8,879,677 Ajmera Realty & Infra India, Ltd..................... 14,563 30,970 Akzo Nobel India, Ltd................................ 47,267 850,016 Alembic Pharmaceuticals, Ltd......................... 609,121 766,624 *Alembic, Ltd......................................... 90,643 26,248 Allahabad Bank, Ltd.................................. 1,927,170 4,856,509 Alok Industries, Ltd................................. 6,859,055 1,467,776 Amara Raja Batteries, Ltd............................ 14,826 62,645 Ambuja Cements, Ltd.................................. 2,142,772 8,033,509 Amtek Auto, Ltd...................................... 1,125,521 1,507,930 *Amtek India, Ltd..................................... 84,531 148,673 Anant Raj Industries, Ltd............................ 1,659,009 2,497,674 Andhra Bank, Ltd..................................... 2,193,717 4,214,576 *Ansal Properties & Infrastructure, Ltd............... 141,443 77,261 Apollo Hospitals Enterprise, Ltd..................... 271,724 3,931,006 Apollo Tyres, Ltd.................................... 1,676,970 2,664,381 Arvind, Ltd.......................................... 2,495,370 3,761,153 Ashok Leyland, Ltd................................... 17,832,368 7,740,468 Asian Hotels East, Ltd............................... 1,050 4,399 Aurobindo Pharma, Ltd................................ 2,169,870 6,376,445 Bajaj Finance, Ltd................................... 93,467 2,226,373 Bajaj Finserv, Ltd................................... 2,335 36,669 Bajaj Hindusthan, Ltd................................ 4,307,376 2,355,319 Bajaj Holdings & Investment, Ltd..................... 357,463 5,771,707 Balkrishna Industries, Ltd........................... 18,159 89,588 Ballarpur Industries, Ltd............................ 4,040,976 1,647,059 Balmer Lawrie & Co., Ltd............................. 64,768 770,351 *Balrampur Chini Mills, Ltd........................... 2,467,289 3,119,472 Bank of Baroda....................................... 797,959 10,714,311 Bank of India........................................ 1,696,673 8,667,214 Bank of Maharashtra, Ltd............................. 1,477,172 1,440,739 BEML, Ltd............................................ 190,772 1,023,005 BGR Energy Systems, Ltd.............................. 116,212 566,999 *Bharat Electronics, Ltd.............................. 3,615 82,649 Bhushan Steel, Ltd................................... 1,046,329 9,556,197 Birla Corp., Ltd..................................... 121,368 584,373
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- INDIA -- (Continued) Bombay Dyeing & Manufacturing Co., Ltd............... 625,585 $ 1,302,454 *Bombay Rayon Fashions, Ltd........................... 65,879 319,576 Brigade Enterprises, Ltd............................. 5,099 6,167 *Cairn India, Ltd..................................... 4,115,319 25,714,883 Canara Bank.......................................... 1,406,261 10,480,046 Central Bank of India................................ 3,204,753 4,118,064 Century Textiles & Industries, Ltd................... 692,091 4,978,051 Chambal Fertilizers & Chemicals, Ltd................. 1,527,668 1,894,822 Cholamandalam Investment & Finance Co., Ltd.......... 7,476 30,454 City Union Bank, Ltd................................. 1,212,375 1,269,536 Coromandel International, Ltd........................ 56,625 299,961 Corporation Bank..................................... 357,471 2,648,681 *Cranes Software International, Ltd................... 114,443 5,167 Dalmia Bharat Enterprises, Ltd....................... 159,852 478,201 *DB Realty, Ltd....................................... 1,121,894 2,033,426 DCM Shriram Consolidated, Ltd........................ 216,466 286,487 Deepak Fertilizers & Petrochemicals Corp., Ltd....... 424,886 1,048,213 *DEN Networks, Ltd.................................... 8,713 28,530 Dena Bank............................................ 939,377 1,845,390 *Development Credit Bank, Ltd......................... 2,779,600 2,210,269 Dewan Housing Finance Corp., Ltd..................... 115,020 404,942 DLF, Ltd............................................. 6,678,402 24,980,191 *Dredging Corp. of India, Ltd......................... 66,613 289,459 E.I.D. - Parry (India), Ltd.......................... 809,522 3,503,483 Edelweiss Financial Services, Ltd.................... 1,091,035 683,997 Educomp Solutions, Ltd............................... 819,103 2,226,027 Eicher Motors, Ltd................................... 40,646 1,753,370 EIH, Ltd............................................. 872,785 1,228,407 Elder Pharmaceuticals, Ltd........................... 136,186 720,340 Electrosteel Casings, Ltd............................ 723,522 343,823 Elgi Equipments, Ltd................................. 11,589 19,610 Era Infra Engineering, Ltd........................... 994,586 2,521,232 Escorts, Ltd......................................... 1,272,669 1,559,083 Ess Dee Aluminium, Ltd............................... 7,727 39,320 *Essar Oil, Ltd....................................... 1,456,017 1,692,039 Essar Ports, Ltd..................................... 628,225 1,178,072 *Essar Shipping, Ltd.................................. 288,928 156,273 Essel Propack, Ltd................................... 750,981 532,247 FDC, Ltd............................................. 81,359 129,154 Federal Bank, Ltd.................................... 1,722,798 15,454,071 *Federal-Mogul Goetze (India), Ltd.................... 6,858 25,215 Financial Technologies (India), Ltd.................. 99,172 1,828,539 Finolex Cables, Ltd.................................. 530,760 420,751 Finolex Industries, Ltd.............................. 695,629 834,260 *Fortis Healthcare, Ltd............................... 1,275,271 2,405,396 Future Capital Holdings, Ltd......................... 273,553 780,522 GAIL India, Ltd...................................... 381,180 2,465,030 Gammon India, Ltd.................................... 487,594 367,724 Gateway Distriparks, Ltd............................. 231,605 614,194 *Geodesic, Ltd........................................ 157,411 116,490 Gitanjali Gems, Ltd.................................. 722,699 5,357,405 *Glodyne Technoserve, Ltd............................. 26,287 26,805 Godfrey Phillips India, Ltd.......................... 628 38,835 Graphite India, Ltd.................................. 547,257 846,641 Grasim Industries, Ltd............................... 15,142 932,077 Great Eastern Shipping Co., Ltd...................... 1,015,463 4,835,336 *GTL Infrastructure, Ltd.............................. 2,971,465 430,479 Gujarat Alkalies & Chemicals, Ltd.................... 427,411 1,039,646 Gujarat Fluorochemicals, Ltd......................... 222,613 1,358,453 Gujarat Narmada Valley Fertilizers Co., Ltd.......... 702,608 1,060,275 Gujarat NRE Coke, Ltd................................ 2,737,130 924,397
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Gujarat State Fertilisers & Chemicals, Ltd........... 2,186,080 $ 3,019,157 Gujarat State Petronet, Ltd.......................... 209,832 292,633 Gulf Oil Corp., Ltd.................................. 239,031 394,472 *HBL Power Systems, Ltd............................... 404,469 115,028 HCL Infosystems, Ltd................................. 1,197,393 937,620 HEG, Ltd............................................. 138,103 586,502 *HeidelbergCement India, Ltd.......................... 595,402 536,759 *Hexa Tradex, Ltd..................................... 319,009 208,107 Hexaware Technologies, Ltd........................... 2,372,265 4,926,790 Hindalco Industries, Ltd............................. 16,705,416 36,014,770 Hinduja Global Solutions, Ltd........................ 63,466 378,783 Hinduja Ventures, Ltd................................ 67,133 585,848 *Hindustan Construction Co., Ltd...................... 6,741,542 2,124,615 *Hotel Leelaventure, Ltd.............................. 1,561,467 859,890 *Housing Development & Infrastructure, Ltd............ 4,919,930 8,702,497 HSIL, Ltd............................................ 187,119 413,203 ICICI Bank, Ltd...................................... 919,070 17,900,734 #ICICI Bank, Ltd. Sponsored ADR....................... 3,805,302 149,358,103 IDBI Bank, Ltd....................................... 3,116,338 5,336,965 *Idea Cellular, Ltd................................... 6,510,570 10,300,196 IDFC, Ltd............................................ 6,072,777 18,157,294 IFCI, Ltd............................................ 6,602,323 3,384,832 India Cements, Ltd................................... 3,198,513 5,671,479 India Infoline, Ltd.................................. 2,746,026 3,522,276 Indiabulls Financial Services, Ltd................... 1,795,884 8,258,746 *Indiabulls Infrastructure and Power, Ltd............. 10,676,958 1,260,316 *Indiabulls Real Estate, Ltd.......................... 2,937,281 3,099,290 Indian Bank.......................................... 1,269,647 3,953,991 Indian Hotels Co., Ltd............................... 3,751,849 4,368,744 Indian Overseas Bank................................. 2,980,762 3,947,898 Indo Rama Synthetics (India), Ltd.................... 100,225 45,755 IndusInd Bank, Ltd................................... 993,138 6,678,781 Infotech Enterprises, Ltd............................ 21,152 73,388 ING Vysya Bank, Ltd.................................. 289,910 2,466,460 Ingersoll-Rand India, Ltd............................ 28,609 256,392 Ipca Laboratories, Ltd............................... 57,340 488,646 ISMT, Ltd............................................ 73,774 32,674 *IVRCL Infrastructures & Projects, Ltd................ 4,406,969 3,233,161 J.B. Chemicals & Pharmaceuticals, Ltd................ 373,888 476,309 Jai Corp., Ltd....................................... 659,451 687,895 *Jain Irrigation Systems, Ltd......................... 513,679 622,946 Jaiprakash Associates, Ltd........................... 18,602,264 29,908,547 Jammu & Kashmir Bank, Ltd............................ 286,979 6,570,352 Jaypee Infratech, Ltd................................ 431,895 380,611 JBF Industries, Ltd.................................. 140,876 369,368 *Jet Airways (India), Ltd............................. 201,869 1,255,304 Jindal Poly Films, Ltd............................... 210,342 785,483 Jindal Saw, Ltd...................................... 2,076,447 4,387,079 *Jindal South West Holdings, Ltd...................... 364 3,765 *Jindal Stainless, Ltd................................ 781,507 956,344 JK Cement, Ltd....................................... 102,159 477,990 JK Lakshmi Cement, Ltd............................... 242,246 559,037 JM Financial, Ltd.................................... 3,894,277 1,174,774 JSW Energy, Ltd...................................... 4,846,066 5,729,167 *JSW ISPAT Steel, Ltd................................. 4,724,692 863,768 JSW Steel, Ltd....................................... 1,467,112 19,998,431 Jubilant Organosys, Ltd.............................. 484,440 1,997,552 Jyothy Laboratories, Ltd............................. 764 2,510 Kakinada Fertilizers, Ltd............................ 2,082,494 433,958 Kalpataru Power Transmission, Ltd.................... 157,933 257,407 *Kalyani Investment Co., Ltd.......................... 6,442 40,016
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) Karnataka Bank, Ltd.................................. 1,816,926 $4,555,315 Karur Vysya Bank, Ltd................................ 294,278 2,532,595 *Karuturi Global, Ltd................................. 1,532,053 126,518 KEC International, Ltd............................... 263,134 310,533 Kesoram Industries, Ltd.............................. 187,382 508,407 *Kingfisher Airlines, Ltd............................. 2,060,576 478,744 Kirloskar Industries, Ltd............................ 8,578 50,231 Kirloskar Oil Engines, Ltd........................... 325,726 1,152,871 KSB Pumps, Ltd....................................... 7,582 32,337 *KSK Energy Ventures, Ltd............................. 10,787 12,254 Lakshmi Machine Works, Ltd........................... 3,315 126,846 Lakshmi Vilas Bank, Ltd.............................. 384,784 549,913 LIC Housing Finance, Ltd............................. 588,295 2,658,160 Madras Cements, Ltd.................................. 490,640 1,847,016 *Mahanagar Telephone Nigam, Ltd....................... 2,299,357 1,119,528 #*Mahanagar Telephone Nigam, Ltd. ADR.................. 100,249 99,246 Maharashtra Scooters, Ltd............................ 4,450 30,437 Maharashtra Seamless, Ltd............................ 194,873 1,195,811 Mahindra & Mahindra Financial Services, Ltd.......... 14,853 238,653 Mahindra Lifespace Developers, Ltd................... 138,282 1,042,005 *Man Infraconstruction, Ltd........................... 1,387 4,612 *Manaksia, Ltd........................................ 108,685 89,840 *MAX India, Ltd....................................... 28,842 129,427 McLeod Russel (India), Ltd........................... 707,622 3,987,261 *Mercator Lines, Ltd.................................. 2,281,469 894,337 *Merck, Ltd........................................... 25,112 289,251 MindTree, Ltd........................................ 23,786 289,700 Monnet Ispat, Ltd.................................... 183,497 1,000,343 *Motilal Oswal Financial Services, Ltd................ 3,624 8,022 Mphasis, Ltd......................................... 37,279 268,657 MRF, Ltd............................................. 17,453 3,292,125 *Mukand, Ltd.......................................... 122,024 64,559 Nagarjuna Construction Co., Ltd...................... 2,921,412 2,366,360 *Nagarjuna Oil Refinery, Ltd.......................... 1,740,645 174,006 Nahar Capital & Financial Services, Ltd.............. 18,244 15,905 National Aluminium Co., Ltd.......................... 1,244,968 1,078,800 Nava Bharat Ventures, Ltd............................ 27,806 92,373 NIIT Technologies, Ltd............................... 436,637 2,379,685 NIIT, Ltd............................................ 1,287,158 794,220 Noida Toll Bridge Co., Ltd........................... 361,467 169,188 OCL India, Ltd....................................... 61,362 177,416 *OMAXE, Ltd........................................... 760,005 2,210,662 *Orbit Corp., Ltd..................................... 431,838 438,507 Orchid Chemicals & Pharmaceuticals, Ltd.............. 609,939 1,179,045 Orient Paper & Industries, Ltd....................... 452,522 642,499 Oriental Bank of Commerce............................ 1,002,858 5,752,004 *Oswal Chemical & Fertilizers, Ltd.................... 490,659 274,550 *Panacea Biotec, Ltd.................................. 32,900 64,951 *Parsvnath Developers, Ltd............................ 1,662,316 1,135,446 Peninsula Land, Ltd.................................. 254,726 344,939 Petronet LNG, Ltd.................................... 1,865,317 5,798,989 Piramal Enterprises, Ltd............................. 666,316 6,119,769 *Plethico Pharmaceuticals, Ltd........................ 205,772 941,302 Polaris Financial Technology, Ltd.................... 641,382 1,422,408 Polyplex Corp., Ltd.................................. 22,174 85,202 Power Finance Corp., Ltd............................. 16,793 57,618 Prism Cement, Ltd.................................... 426,424 439,481 PTC (India), Ltd..................................... 3,100,766 3,655,204 Punj Lloyd, Ltd...................................... 3,167,108 2,954,108 Punjab & Sind Bank................................... 116,252 139,061 Rain Commodities, Ltd................................ 1,362,709 980,634
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Rajesh Exports, Ltd.................................. 325,512 $ 736,854 Raymond, Ltd......................................... 389,633 2,764,308 REI Agro, Ltd........................................ 4,398,461 832,734 *REI Six Ten Retail, Ltd.............................. 337,935 24,053 Reliance Capital, Ltd................................ 1,987,403 14,012,038 Reliance Communications, Ltd......................... 7,699,434 7,673,909 Reliance Industries, Ltd............................. 19,097,966 284,786,980 Reliance Industries, Ltd. Sponsored GDR.............. 107,000 3,172,550 *Reliance Power, Ltd.................................. 8,966,445 15,315,707 Rolta (India), Ltd................................... 1,719,900 2,067,121 Ruchi Soya Industries, Ltd........................... 1,722,168 2,122,315 Rural Electrification Corp., Ltd..................... 2,768,400 11,033,859 S. Kumars Nationwide, Ltd............................ 2,532,190 700,210 *SEAMEC, Ltd.......................................... 9,774 16,512 Sesa Goa, Ltd........................................ 5,801,167 18,348,913 *Shipping Corp. of India, Ltd......................... 2,146,903 2,016,890 Shiv-Vani Oil & Gas Exploration Services, Ltd........ 93,090 225,391 Shree Renuka Sugars, Ltd............................. 7,048,981 4,104,739 Simplex Infrastructures, Ltd......................... 2,212 8,349 Sintex Industries, Ltd............................... 2,971,670 3,538,472 SKF (India), Ltd..................................... 6,871 82,557 Sobha Developers, Ltd................................ 489,167 3,246,719 South Indian Bank, Ltd............................... 9,724,062 4,164,831 SREI Infrastructure Finance, Ltd..................... 1,470,670 748,085 SRF, Ltd............................................. 269,009 1,113,379 State Bank of Bikaner & Jaipur....................... 22,710 159,521 State Bank of India.................................. 2,228,831 86,802,979 State Bank of India Sponsored GDR.................... 5,732 473,630 Steel Authority of India, Ltd........................ 8,166,695 12,144,115 *Sterling Biotech, Ltd................................ 844,710 84,974 Sterlite Industries (India), Ltd..................... 5,746,256 10,596,597 #Sterlite Industries (India), Ltd. ADR................ 2,573,639 19,276,556 Sterlite Technologies, Ltd........................... 1,733,519 959,521 Strides Arcolab, Ltd................................. 219,001 3,621,435 Styrolution ABS India, Ltd........................... 28,114 334,815 Sundaram Finance, Ltd................................ 4,139 70,341 Sundram Fastners, Ltd................................ 55,097 48,947 *Suzlon Energy, Ltd................................... 14,019,450 4,084,795 Syndicate Bank....................................... 2,298,219 5,002,267 Tamilnadu Newsprint & Papers, Ltd.................... 58,711 118,645 Tata Chemicals, Ltd.................................. 1,136,067 6,673,052 Tata Communications, Ltd............................. 1,042,873 4,704,661 Tata Investment Corp., Ltd........................... 38,357 315,321 Tata Steel, Ltd...................................... 6,428,335 46,503,151 Tata Tea, Ltd........................................ 4,929,114 13,604,602 *Teledata Marine Solutions, Ltd....................... 267,258 1,490 Time Technoplast, Ltd................................ 498,379 421,039 Titagarh Wagons, Ltd................................. 106,381 648,037 Transport Corp of India, Ltd......................... 23,907 28,023 Trent, Ltd........................................... 18,226 374,955 Triveni Turbine, Ltd................................. 240,000 245,792 Tube Investments of India, Ltd....................... 574,844 1,846,627 *Tulip IT Services, Ltd............................... 707,174 486,838 *TV18 Broadcast, Ltd.................................. 473,330 244,377 UCO Bank............................................. 2,836,237 3,820,158 Uflex, Ltd........................................... 451,319 844,059 Unichem Laboratories, Ltd............................ 191,773 679,057 Union Bank of India, Ltd............................. 797,003 2,892,589 *Unitech, Ltd......................................... 25,504,208 10,889,620 *United Bank of India................................. 28,596 33,500 United Phosphorus, Ltd............................... 2,712,633 5,721,307
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- -------------- INDIA -- (Continued) United Spirits, Ltd.................................. 41,486 $ 907,985 *Usha Martin, Ltd..................................... 1,702,109 912,759 *Vardhman Special Steels, Ltd......................... 19,609 11,956 Vardhman Textiles, Ltd............................... 104,526 480,683 Videocon Industries, Ltd............................. 1,005,750 3,189,569 Vijaya Bank, Ltd..................................... 2,397,311 2,385,690 Voltamp Transformers, Ltd............................ 724 6,383 Welspun Corp., Ltd................................... 1,848,725 3,330,760 *Wockhardt, Ltd....................................... 23,681 661,305 Zee Entertainment Enterprises, Ltd................... 1,235,669 4,331,225 *Zee Learn, Ltd....................................... 228,211 118,699 Zensar Technologies, Ltd............................. 6,739 28,787 *Zuari Agro Chemicals, Ltd............................ 128,304 797,324 Zuari Global, Ltd.................................... 118,753 266,775 Zylog Systems, Ltd................................... 154,229 428,390 -------------- TOTAL INDIA............................................. 1,368,952,503 -------------- INDONESIA -- (2.9%) PT Adaro Energy Tbk.................................. 56,029,500 7,946,157 PT Adhi Karya Persero Tbk............................ 13,358,117 1,956,461 *PT Agis Tbk.......................................... 57,627,500 2,603,566 PT Agung Podomoro Land Tbk........................... 3,748,500 141,581 PT AKR Corporindo Tbk................................ 3,981,400 1,834,267 *PT Alam Sutera Realty Tbk............................ 32,426,000 1,947,509 PT Aneka Tambang Persero Tbk......................... 64,753,500 8,591,267 PT Asahimas Flat Glass Tbk........................... 5,277,000 4,274,799 PT Astra Graphia Tbk................................. 4,213,000 611,861 *PT Bakrie & Brothers Tbk............................. 1,056,525,750 4,284,560 PT Bakrie Sumatera Plantations Tbk................... 182,168,500 2,245,652 *PT Bakrie Telecom Tbk................................ 288,731,000 1,800,310 *PT Bakrieland Development Tbk........................ 623,458,520 4,194,690 PT Bank Bukopin Tbk.................................. 61,269,333 4,056,153 PT Bank Danamon Indonesia Tbk........................ 34,396,054 21,805,087 PT Bank Mandiri Persero Tbk.......................... 59,143,431 50,525,080 PT Bank Negara Indonesia Persero Tbk................. 118,251,941 47,184,137 *PT Bank Pan Indonesia Tbk............................ 150,362,201 11,380,737 *PT Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk. 7,433,500 846,803 *PT Bank Permata Tbk.................................. 304,000 44,815 PT Bank Tabungan Negara Persero Tbk.................. 41,974,862 6,606,398 *PT Barito Pacific Tbk................................ 15,126,000 784,165 *PT Benakat Petroleum Energy Tbk...................... 2,249,500 41,558 *PT Berau Coal Energy Tbk............................. 10,353,500 236,734 *PT Berlian Laju Tanker Tbk........................... 128,161,466 -- PT Bhakti Investama Tbk.............................. 267,646,200 15,238,998 PT Bisi International Tbk............................ 6,891,000 764,567 *PT Budi Acid Jaya Tbk................................ 15,362,000 225,165 *PT Bumi Resources Minerals Tbk....................... 541,000 24,373 PT Bumi Resources Tbk................................ 238,608,500 16,287,078 PT Bumi Serpong Damai Tbk............................ 19,383,000 2,483,967 *PT Central Proteinaprima Tbk......................... 178,071,500 621,072 PT Charoen Pokphand Indonesia Tbk.................... 70,545,330 22,841,603 PT Ciputra Development Tbk........................... 108,128,000 7,614,911 PT Ciputra Property Tbk.............................. 1,855,000 127,015 PT Ciputra Surya Tbk................................. 16,452,000 2,985,643 PT Clipan Finance Indonesia Tbk...................... 2,995,500 124,179 *PT Darma Henwa Tbk................................... 246,575,442 1,277,726 *PT Davomas Adabi Tbk................................. 138,239,500 719,623 *PT Delta Dunia Makmur Tbk............................ 4,956,500 90,278 *PT Elnusa Tbk........................................ 27,207,500 508,066 *PT Energi Mega Persada Tbk........................... 568,704,378 5,349,639 PT Ever Shine Textile Tbk............................ 19,342,215 320,189
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ INDONESIA -- (Continued) *PT Exploitasi Energi Indonesia Tbk.................... 9,451,000 $ 352,996 PT Gajah Tunggal Tbk.................................. 24,993,500 5,629,490 *PT Garuda Indonesia Persero Tbk....................... 1,741,500 124,812 PT Global Mediacom Tbk................................ 92,510,500 21,856,804 PT Gozco Plantations Tbk.............................. 30,426,400 678,725 *PT Great River International Tbk...................... 1,788,000 -- PT Gudang Garam Tbk................................... 5,176,000 26,394,284 *PT Hero Supermarket Tbk............................... 306,500 106,329 PT Holcim Indonesia Tbk............................... 15,667,000 5,286,659 *PT Indah Kiat Pulp & Paper Corp. Tbk.................. 32,693,500 3,325,405 PT Indika Energy Tbk.................................. 29,492,000 4,733,790 PT Indofood Sukses Makmur Tbk......................... 60,328,500 35,695,707 PT Indorama Synthetics Tbk............................ 41,500 6,504 PT Intiland Development Tbk........................... 35,952,500 1,174,717 PT Japfa Comfeed Indonesia Tbk........................ 5,422,250 2,745,704 PT Jaya Real Property Tbk............................. 25,528,000 7,308,902 *PT Kawasan Industri Jababeka Tbk...................... 294,868,000 6,255,563 PT Lautan Luas Tbk.................................... 1,040,000 86,400 PT Lippo Karawaci Tbk................................. 276,014,437 26,635,809 PT Matahari Putra Prima Tbk........................... 35,957,400 5,641,129 PT Mayorah Indah Tbk.................................. 8,301,072 20,382,925 PT Medco Energi Internasional Tbk..................... 26,880,000 4,405,173 PT Media Nusantara Citra Tbk.......................... 15,413,094 4,520,102 PT Mitra Adiperkasa Tbk............................... 1,460,000 991,580 *PT Mitra International Resources Tbk.................. 38,631,660 599,283 PT Pabrik Kertas Tjiwi Kimia Tbk...................... 246,000 56,871 PT Pan Brothers Tbk................................... 87,500 3,816 *PT Panasia Indo Resources Tbk......................... 403,200 12,803 *PT Panin Financial Tbk................................ 247,955,500 3,421,127 PT Panin Insurance Tbk................................ 30,688,500 1,711,910 PT Pembangunan Perumahan Persero Tbk.................. 16,435,000 1,311,126 PT Perusahaan Perkebunan London Sumatra Indonesia Tbk. 25,417,884 6,124,631 *PT Polychem Indonesia Tbk............................. 16,925,000 639,838 PT Ramayana Lestari Sentosa Tbk....................... 25,267,500 2,908,372 PT Sampoerna Agro Tbk................................. 10,891,441 2,737,980 PT Samudera Indonesia Tbk............................. 290,000 115,437 PT Selamat Sempurna Tbk............................... 14,510,000 3,689,173 *PT Sentul City Tbk.................................... 265,783,500 5,299,695 PT Sinar Mas Agro Resources & Technology Tbk.......... 7,808,900 5,649,175 PT Sinar Mas Multiartha Tbk........................... 2,000 946 PT Summarecon Agung Tbk............................... 38,574,857 7,023,603 *PT Sunson Textile Manufacturer Tbk.................... 6,012,000 123,933 *PT Surya Dumai Industri Tbk........................... 5,145,000 -- PT Surya Toto Indonesia Tbk........................... 464,000 322,656 *PT Suryainti Permata Tbk.............................. 17,378,000 161,025 PT Tiga Pilar Sejahtera Food Tbk...................... 26,697,722 2,491,292 PT Timah Persero Tbk.................................. 35,523,900 5,262,363 PT Trias Sentosa Tbk.................................. 336,500 10,651 *PT Trimegah Securities Tbk............................ 34,267,000 419,273 *PT Truba Alam Manunggal Engineering Tbk............... 129,244,500 672,798 PT Tunas Baru Lampung Tbk............................. 16,371,000 865,134 PT Tunas Ridean Tbk................................... 42,848,500 4,006,295 PT Ultrajaya Milk Industry & Trading Co. Tbk.......... 13,717,500 1,793,953 PT Unggul Indah Cahaya Tbk............................ 371,435 80,242 PT United Tractors Tbk................................ 1,386,500 3,027,425 PT Vale Indonesia Tbk................................. 41,280,500 11,520,820 PT Wijaya Karya Persero Tbk........................... 31,859,002 4,530,140 ------------ TOTAL INDONESIA.......................................... 524,481,734 ------------ ISRAEL -- (0.0%) Delta-Galil Industries, Ltd........................... -- 5
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- ISRAEL -- (Continued) *Electra Real Estate, Ltd............................. -- $ -- Elron Electronic Industries, Ltd..................... 1 3 *Feuchtwanger Investments, Ltd........................ 10,500 32 *Formula Systems (1985), Ltd.......................... -- -- *Formula Vision Technologies, Ltd..................... -- -- *Israel Steel Mills, Ltd.............................. 97,000 974 *Kardan Israel, Ltd................................... -- -- *Knafaim Holdings, Ltd................................ 69,033 203,352 *Koor Industries, Ltd................................. 1 11 *Liberty Properties, Ltd.............................. 2,533 19,932 *Mivtach Shamir Holdings, Ltd......................... 35,121 640,546 *Naphtha Israel Petroleum Corp., Ltd.................. -- 1 ----------- TOTAL ISRAEL............................................ 864,856 ----------- MALAYSIA -- (3.2%) *Adventa Berhad....................................... 62,000 38,606 Affin Holdings Berhad................................ 9,611,900 10,670,460 AirAsia Berhad....................................... 3,868,000 3,839,103 *Alam Maritim Resources Berhad........................ 4,226,700 1,002,491 Alliance Financial Group Berhad...................... 15,889,900 21,197,980 AMMB Holdings Berhad................................. 22,188,962 46,394,893 Ann Joo Resources Berhad............................. 2,874,900 1,394,855 APM Automotive Holdings Berhad....................... 1,238,800 1,977,556 Apollo Food Holdings Berhad.......................... 38,400 41,808 Asas Dunia Berhad.................................... 252,800 124,945 Batu Kawan Berhad.................................... 2,242,250 13,216,133 Berjaya Assets Berhad................................ 171,900 50,583 Berjaya Corp. Berhad................................. 32,247,480 6,762,131 Berjaya Land Berhad.................................. 13,220,000 3,516,419 BIMB Holdings Berhad................................. 4,700,400 4,663,366 BLD Plantation Berhad................................ 6,600 17,267 *Bolton Berhad........................................ 1,352,400 357,183 *Boustead Heavy Industries Corp. Berhad............... 63,700 52,877 Boustead Holdings Berhad............................. 7,021,598 11,536,541 Cahya Mata Sarawak Berhad............................ 1,978,700 2,160,140 CB Industrial Product Holding Berhad................. 451,100 402,505 Chemical Co. of Malaysia Berhad...................... 311,000 133,442 Chin Teck Plantations Berhad......................... 309,100 913,642 Coastal Contracts Berhad............................. 2,547,400 1,593,277 CSC Steel Holdings Berhad............................ 2,469,800 988,164 Cycle & Carriage Bintang Berhad...................... 241,300 220,518 *Datuk Keramik Holdings Berhad........................ 127,000 -- Dijaya Corp. Berhad.................................. 1,364,600 474,700 DRB-Hicom Berhad..................................... 13,640,500 11,070,084 Eastern & Oriental Berhad............................ 12,998,415 6,976,868 ECM Libra Financial Group Berhad..................... 7,270,726 2,118,814 Evergreen Fibreboard Berhad.......................... 3,603,526 762,724 Faber Group Berhad................................... 2,767,000 1,323,566 Far East Holdings Berhad............................. 403,800 960,599 *Fountain View Development Berhad..................... 2,573,200 -- Gamuda Berhad........................................ 1,852,500 2,190,665 Genting (Malaysia) Berhad............................ 10,284,500 12,100,834 Genting Plantations Berhad........................... 400,300 1,178,429 Globetronics Technology Berhad....................... 730,700 361,557 Glomac Berhad........................................ 4,446,600 1,230,128 Goldis Berhad........................................ 3,042,225 2,005,832 *Green Packet Berhad.................................. 1,037,400 205,840 GuocoLand (Malaysia) Berhad.......................... 1,321,700 340,492 Hap Seng Consolidated Berhad......................... 13,168,500 7,032,096 Hap Seng Plantations Holdings Berhad................. 3,649,300 3,518,212 *Hiap Teck Venture Berhad............................. 183,300 30,037
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (Continued) *Ho Wah Genting Berhad................................ 2,210,200 $ 227,710 Hong Leong Financial Group Berhad.................... 2,148,951 9,083,126 Hong Leong Industries Berhad......................... 1,233,000 1,898,528 *Hubline Berhad....................................... 6,941,850 136,304 Hunza Properties Berhad.............................. 1,033,300 518,027 Hwang-DBS (Malaysia) Berhad.......................... 925,100 766,161 IGB Corp. Berhad..................................... 14,898,690 11,900,736 *IGB Real Estate Investment Trust..................... 1,145,343 496,340 IJM Corp. Berhad..................................... 21,232,980 34,849,020 IJM Land Berhad...................................... 5,455,700 3,939,118 IJM Plantations Berhad............................... 514,200 527,657 *Inch Kenneth Kajang Rubber Berhad.................... 119,800 28,818 *Insas Berhad......................................... 5,034,048 660,263 Integrax Berhad...................................... 936,300 426,733 *Iris Corp. Berhad.................................... 4,773,700 272,999 *Jaks Resources Berhad................................ 6,197,900 749,902 Jaya Tiasa Holdings Berhad........................... 3,976,133 2,997,622 *JCY International Berhad............................. 3,383,400 830,112 K & N Kenanga Holdings Berhad........................ 3,187,800 700,834 *Karambunai Corp. Berhad.............................. 19,239,800 751,884 Keck Seng (Malaysia) Berhad.......................... 2,515,500 3,243,499 Kian Joo Can Factory Berhad.......................... 4,383,180 3,405,070 *KIG Glass Industrial Berhad.......................... 260,000 2,561 Kim Loong Resources Berhad........................... 491,900 364,566 *Kinsteel Berhad...................................... 8,342,300 1,079,001 KLCC Property Holdings Berhad........................ 6,568,600 12,795,626 *KNM Group Berhad..................................... 14,497,525 2,538,640 Knusford Berhad...................................... 73,800 42,045 KrisAssets Holdings Berhad........................... 218,577 198,468 *KSL Holdings Berhad.................................. 994,966 464,035 *KUB (Malaysia) Berhad................................ 6,366,600 1,020,704 Kulim (Malaysia) Berhad.............................. 9,703,300 15,931,915 *Kumpulan Fima Berhad................................. 2,178,600 1,385,497 Kumpulan Perangsang Selangor Berhad.................. 1,741,700 553,493 Kwantas Corp. Berhad................................. 288,400 187,904 *Land & General Berhad................................ 5,542,700 831,567 *Landmarks Berhad..................................... 4,118,808 1,275,822 Latexx Partners Berhad............................... 1,412,600 1,055,711 LBS Bina Group Berhad................................ 430,700 122,886 Lingui Development Berhad............................ 1,356,814 725,656 *Lion Corp. Berhad.................................... 1,371,081 127,872 Lion Diversified Holdings Berhad..................... 4,064,800 412,367 Lion Forest Industries Berhad........................ 46,348 19,574 Lion Industries Corp. Berhad......................... 7,840,481 2,723,645 Mah Sing Group Berhad................................ 2,467,700 1,815,725 Malayan Flour Mills Berhad........................... 1,386,750 622,665 Malaysia Airports Holdings Berhad.................... 1,060,500 2,021,572 *Malaysian Airlines System Berhad..................... 2,202,100 742,429 Malaysian Bulk Carriers Berhad....................... 3,692,325 1,754,470 Malaysian Pacific Industries Berhad.................. 939,475 813,914 Malaysian Resources Corp. Berhad..................... 5,785,200 3,328,249 MBM Resources Berhad................................. 2,406,003 2,682,037 Media Prima Berhad................................... 551,000 411,890 Mega First Corp. Berhad.............................. 1,154,600 624,933 *Metroplex Berhad..................................... 817,000 -- *MISC Berhad.......................................... 5,859,504 8,138,716 *MK Land Holdings Berhad.............................. 9,637,500 1,177,242 MKH Berhad........................................... 1,225,659 942,461 MMC Corp. Berhad..................................... 13,905,480 11,871,127 *MNRB Holdings Berhad................................. 1,295,300 1,229,162 Mudajaya Group Berhad................................ 3,280,000 2,869,847
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (Continued) Muhibbah Engineering Berhad.......................... 5,272,100 $ 1,596,544 *Mulpha International Berhad.......................... 31,821,100 4,273,788 *Multi-Purpose Holdings Berhad........................ 1,040,100 1,237,446 MWE Holdings Berhad.................................. 290,400 167,768 Naim Holdings Berhad................................. 2,063,100 1,345,012 NCB Holdings Berhad.................................. 2,451,500 3,544,287 Negri Sembilan Oil Palms Berhad...................... 167,600 317,607 Oriental Holdings Berhad............................. 3,680,879 9,412,501 Oriental Interest Berhad............................. 139,100 60,555 OSK Holdings Berhad.................................. 7,069,371 3,383,071 OSK Ventures International Berhad.................... 59,397 8,051 P.I.E. Industrial Berhad............................. 323,600 470,728 Pacific & Orient Berhad.............................. 283,730 107,710 Panasonic Manufacturing (Malaysia) Berhad............ 383,380 2,766,364 *Paracorp Berhad...................................... 252,000 827 Paramount Corp. Berhad............................... 1,049,300 519,334 PBA Holdings Berhad.................................. 1,362,400 402,570 Pelikan International Corp. Berhad................... 4,182,926 1,027,279 *Perdana Petroleum Berhad............................. 3,698,200 1,167,911 *Perisai Petroleum Teknologi Berhad................... 824,300 277,866 Perusahaan Sadur Timah Malaysia (Perstima) Berhad.... 6,800 7,138 PJ Development Holdings Berhad....................... 3,182,100 839,602 POS (Malaysia) Berhad................................ 3,638,617 3,600,302 PPB Group Berhad..................................... 7,552,466 33,332,351 Press Metal Berhad................................... 2,734,381 1,559,664 *Prime Utilities Berhad............................... 39,000 1,152 Protasco Berhad...................................... 282,200 85,129 *QSR Brands Berhad.................................... 56,800 122,529 RCE Capital Berhad................................... 5,440,500 552,243 RHB Capital Berhad................................... 10,646,121 26,165,572 *Rimbunan Sawit Berhad................................ 144,400 44,433 Salcon Berhad........................................ 416,700 60,126 Sarawak Oil Palms Berhad............................. 596,220 1,218,649 Sarawak Plantation Berhad............................ 66,900 57,244 Scientex Berhad...................................... 746,748 785,991 *Scomi Group Berhad................................... 22,855,300 3,063,838 Selangor Dredging Berhad............................. 1,312,700 328,940 Selangor Properties Berhad........................... 59,800 68,467 Shangri-La Hotels (Malaysia) Berhad.................. 753,100 1,046,248 Shell Refining Co. Federation of Malaysia Berhad..... 241,200 696,145 SHL Consolidated Berhad.............................. 1,008,700 381,024 *Sino Hua-An International Berhad..................... 3,829,800 219,222 Subur Tiasa Holdings Berhad.......................... 507,130 376,758 *Sunway Berhad........................................ 8,362,945 6,461,566 Supermax Corp. Berhad................................ 6,526,800 4,319,116 Suria Capital Holdings Berhad........................ 694,100 330,117 Ta Ann Holdings Berhad............................... 579,722 722,204 TA Enterprise Berhad................................. 18,077,500 3,019,233 TA Global Berhad..................................... 9,842,580 821,967 TAHPS Group Berhad................................... 27,000 48,310 Tan Chong Motor Holdings Berhad...................... 4,699,300 6,828,172 TDM Berhad........................................... 1,942,600 2,254,883 *TH Heavy Engineering Berhad.......................... 4,521,200 873,022 TH Plantations Berhad................................ 39,200 29,683 *Time Dotcom Berhad................................... 5,476,280 6,275,930 *Tiong Nam Transport Holdings Berhad.................. 40,400 16,178 Tradewinds (Malaysia) Berhad......................... 1,948,000 4,683,114 Tradewinds Corp. Berhad.............................. 5,394,700 1,799,849 Tradewinds Plantation Berhad......................... 540,800 758,068 *Trinity Corp. Berhad................................. 15,950,050 236,888 TSH Resources Berhad................................. 496,200 387,104
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ MALAYSIA -- (Continued) *UEM Land Holdings Berhad............................. 3,982,945 $ 2,759,324 UMW Holdings Berhad.................................. 988,586 3,221,773 Unico-Desa Plantations Berhad........................ 4,258,528 1,773,672 Unisem (Malaysia) Berhad............................. 8,256,000 2,750,789 United Malacca Berhad................................ 957,500 2,249,479 United Plantations Berhad............................ 602,700 4,978,688 VS Industry Berhad................................... 1,337,193 657,444 Wah Seong Corp. Berhad............................... 3,847,911 2,206,415 WCT Berhad........................................... 7,324,200 6,622,903 Wing Tai (Malaysia) Berhad........................... 1,868,800 1,109,965 WTK Holdings Berhad.................................. 4,994,050 1,716,312 Yeo Hiap Seng (Malaysia) Berhad...................... 354,220 412,614 YNH Property Berhad.................................. 5,291,959 3,304,443 YTL Corp. Berhad..................................... 69,817,250 39,997,867 *YTL Land & Development Berhad........................ 1,918,300 608,850 *Zelan Berhad......................................... 5,049,100 595,161 ------------ TOTAL MALAYSIA.......................................... 571,995,908 ------------ MEXICO -- (6.6%) #Alfa S.A.B. de C.V. Series A......................... 51,397,020 94,755,160 *Alsea S.A.B. de C.V.................................. 2,045,320 3,284,946 Arca Continental S.A.B. de C.V....................... 4,696,529 34,074,405 #*Axtel S.A.B. de C.V.................................. 8,940,907 1,993,848 Bolsa Mexicana de Valores S.A. de C.V................ 3,264,525 7,230,123 *Cemex S.A.B. de C.V. Sponsored ADR................... 16,022,635 144,844,622 #Cia Minera Autlan S.A.B. de C.V. Series B............ 1,187,152 1,175,003 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR......... 151,579 19,388,470 *Consorcio ARA S.A.B. de C.V. Series *................ 11,911,323 3,738,776 #Controladora Comercial Mexicana S.A.B. de C.V. Series B............................................ 4,941,405 13,849,822 Corp Actinver S.A.B. de C.V.......................... 3,700 3,218 *Corporacion GEO S.A.B. de C.V. Series B.............. 9,461,653 11,359,186 *Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B....................................... 1,560,786 786,711 #*Desarrolladora Homex S.A.B. de C.V................... 3,619,653 7,997,294 #*Desarrolladora Homex S.A.B. de C.V. ADR.............. 115,455 1,529,779 *Dine S.A.B. de C.V................................... 1,027,267 329,504 El Puerto de Liverpool S.A.B. de C.V. Series 1....... 19,600 184,115 El Puerto de Liverpool S.A.B. de C.V. Series C-1..... 202,440 1,813,209 *Empaques Ponderosa S.A. de C.V. Series B............. 90,000 6,186 #*Empresas ICA S.A.B. de C.V........................... 6,728,823 14,465,890 #*Empresas ICA S.A.B. de C.V. Sponsored ADR............ 1,118,155 9,660,859 #*Financiera Independencia S.A.B. de C.V............... 14,576 4,497 #Fomento Economico Mexicano S.A.B. de C.V............. 2,311,921 20,838,011 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,494,369 226,014,775 *Gruma S.A.B. de C.V. ADR............................. 15,222 176,575 #*Gruma S.A.B. de C.V. Series B........................ 3,607,804 10,497,734 *Grupo Aeromexico S.A.B. de C.V....................... 47,800 74,690 #Grupo Aeroportuario del Centro Norte S.A.B. de C.V... 868,688 2,065,240 #Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR................................................. 46,309 892,374 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR.. 636,889 30,328,654 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Series B........................................... 1,268,733 6,089,802 #Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR... 271,607 26,229,088 #Grupo Aeroportuario del Sureste S.A.B. de C.V. Series B............................................ 1,203,482 11,672,691 #Grupo Bimbo S.A.B. de C.V. Series A.................. 187,300 435,851 Grupo Carso S.A.B. de C.V. Series A-1................ 10,574,593 38,174,814 *Grupo Cementos de Chihuahua S.A.B. de C.V............ 2,799,892 9,470,537 #Grupo Comercial Chedraui S.A. de C.V................. 1,382,379 3,726,743 #*Grupo Famsa S.A.B. de C.V. Series A.................. 2,995,218 3,545,584 Grupo Financiero Banorte S.A.B. de C.V. Series O..... 23,160,991 128,770,440 #Grupo Financiero Inbursa S.A.B. de C.V. Series O..... 16,767,514 44,550,314 Grupo Gigante S.A.B. de C.V. Series*................. 471,076 870,631 #Grupo Industrial Maseca S.A.B. de C.V. Series B...... 2,724,300 3,274,819
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- -------------- MEXICO -- (Continued) Grupo Industrial Saltillo S.A.B. de C.V......... 1,332,369 $ 2,386,135 Grupo Kuo S.A.B. de C.V. Series B............... 2,056,267 4,337,414 Grupo Mexico S.A.B. de C.V. Series B............ 26,180,390 83,935,602 *Grupo Pochteca S.A.B. de C.V.................... 288,324 99,528 *Grupo Posadas S.A.B. de C.V. Series L........... 355,600 429,088 *Grupo Qumma S.A. de C.V. Series B............... 5,301 73 *Grupo Simec S.A. de C.V. Series B............... 1,732,137 6,919,817 #*Grupo Simec S.A. de C.V. Sponsored ADR.......... 19,072 231,534 #Industrias Bachoco S.A.B. de C.V. Series B...... 924,065 1,952,011 Industrias Bachoco S.A.B. de C.V. Sponsored ADR. 382 9,645 *Industrias CH S.A.B. de C.V. Series B........... 3,336,823 19,364,990 #*Inmuebles Carso S.A.B. de C.V. Series B-1....... 10,258,893 7,967,996 Medica Sur S.A.B. de C.V. Series B.............. 1,000 1,834 #*Megacable Holdings S.A.B. de C.V................ 84,894 215,898 *Minera Frisco S.A.B. de C.V. Series A-1......... 9,613,778 38,179,048 *OHL Mexico S.A.B. de C.V........................ 2,713,151 4,517,084 #Organizacion Soriana S.A.B. de C.V. Series B.... 14,981,589 50,342,899 *Qualitas Controladora S.A.B. de C.V............. 2,054,000 3,058,882 #*Sare Holding S.A.B. de C.V...................... 1,159,700 97,424 *Savia S.A. de C.V. Series A..................... 3,457,285 211,229 TV Azteca S.A.B. de C.V......................... 2,655,220 1,664,836 #*Urbi Desarrollos Urbanos S.A.B. de C.V.......... 9,102,158 5,679,291 #*Vitro S.A.B. de C.V. Series A................... 1,546,127 2,242,321 -------------- TOTAL MEXICO....................................... 1,174,019,569 -------------- PHILIPPINES -- (1.1%) A. Soriano Corp................................. 20,195,000 2,429,772 Alliance Global Group, Inc...................... 34,135,406 12,309,818 Alsons Consolidated Resources, Inc.............. 17,757,000 607,973 *Atlas Consolidated Mining & Development......... 937,200 404,109 Ayala Corp. Series A............................ 39,500 424,014 *BDO Unibank, Inc................................ 9,833,155 15,257,818 *Cebu Air, Inc................................... 45,980 63,839 Cebu Holdings, Inc.............................. 6,655,750 794,849 China Banking Corp.............................. 313,420 402,175 DMCI Holdings, Inc.............................. 3,702,200 4,848,211 *Empire East Land Holdings, Inc.................. 43,393,000 1,042,294 *Export & Industry Bank, Inc. Class A............ 14,950 94 Filinvest Development Corp...................... 60,000 6,534 Filinvest Land, Inc............................. 187,358,031 6,631,722 *Filipina Water Bottling Corp.................... 5,471,786 -- First Philippines Holdings Corp................. 4,465,530 9,360,728 *Global Estate Resorts, Inc...................... 10,608,000 489,327 JG Summit Holdings, Inc......................... 1,834,300 1,467,898 Lopez Holdings Corp............................. 29,100,800 3,848,131 Macroasia Corp.................................. 1,418,000 94,330 Megaworld Corp.................................. 201,087,600 11,931,002 Metro Bank & Trust Co........................... 9,336,217 21,527,860 *Mondragon International Philippines, Inc........ 2,464,000 -- *Philippine National Bank........................ 4,253,308 7,435,348 *Philippine National Construction Corp........... 398,900 47,448 *Philippine Realty & Holdings Corp............... 4,612,000 53,813 Philippine Savings Bank......................... 1,232,313 2,572,304 *Philippine Townships, Inc....................... 226,200 26,082 *Philtown Properties, Inc........................ 6,701 250 Phinma Corp..................................... 2,545,498 659,840 *Prime Orion Philippines, Inc.................... 3,470,000 46,330 Rizal Commercial Banking Corp................... 4,707,948 5,241,984 Robinson's Land Corp. Series B.................. 29,013,450 13,378,530 San Miguel Corp................................. 5,669,766 14,999,752 Security Bank Corp.............................. 1,603,132 6,294,154
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ PHILIPPINES -- (Continued) Shang Properties, Inc................................ 614,285 $ 41,105 SM Development Corp.................................. 53,432,694 8,086,925 *Solid Group, Inc..................................... 6,660,000 310,149 Union Bank of Philippines............................ 2,670,714 6,940,246 Universal Robina Corp................................ 12,672,335 22,099,589 Vista Land & Lifescapes, Inc......................... 55,755,868 6,491,698 ------------ TOTAL PHILIPPINES....................................... 188,668,045 ------------ POLAND -- (1.4%) Agora SA............................................. 722,661 1,923,463 Asseco Poland SA..................................... 1,044,952 13,093,225 *ATM SA............................................... 8,569 22,342 ATM Systemy Informatyczne SA......................... 9,205 3,215 *Bank Millennium SA................................... 6,694,382 8,868,437 *Bioton SA............................................ 42,632,004 1,201,785 *Ciech SA............................................. 612,452 4,079,916 ComArch SA........................................... 3,061 68,125 Debica SA............................................ 111,346 1,778,132 Dom Development SA................................... 42,315 386,992 *Dom Maklerski IDM SA................................. 375,896 23,602 Emperia Holding SA................................... 36,432 616,408 Enea SA.............................................. 1,431,546 6,916,786 *Farmacol SA.......................................... 5,526 46,973 *Getin Holding SA..................................... 3,486,673 2,515,428 *Getin Noble Bank SA.................................. 4,515,878 2,360,205 Grupa Kety SA........................................ 126,784 5,136,147 *Grupa Lotos SA....................................... 1,221,898 12,910,872 *Impexmetal SA........................................ 5,864,978 6,663,837 Koelner SA........................................... 133,100 378,124 *Kopex SA............................................. 530,842 3,224,158 *Kredyt Bank SA....................................... 619,815 3,013,127 *LC Corp. SA.......................................... 1,798,181 646,816 *Mostostal Warszawa SA................................ 1,892 7,727 *Netia SA............................................. 3,575,413 6,507,872 Orbis SA............................................. 541,449 6,041,875 Pelion SA............................................ 12,612 103,409 *Petrolinvest SA...................................... 1,183,087 739,942 PGE SA............................................... 9,843,377 53,409,982 *Polimex-Mostostal SA................................. 10,512,907 1,852,220 *Polnord SA........................................... 127,797 498,153 *Polski Koncern Miesny Duda SA........................ 951,758 122,621 *Polski Koncern Naftowy Orlen SA...................... 5,693,986 78,039,888 *Rovese SA............................................ 224,341 168,954 *Sygnity SA........................................... 206,622 773,672 Synthos SA........................................... 8,088,504 13,487,974 Tauron Polska Energia SA............................. 8,717,162 12,056,178 Zaklady Azotowe Pulawy SA............................ 45,643 1,708,235 *Zaklady Chemiczne Police SA.......................... 5,277 17,936 ------------ TOTAL POLAND............................................ 251,414,753 ------------ RUSSIA -- (4.3%) *AFI Development P.L.C. GDR........................... 156,273 87,846 Federal Hydrogenerating Co. ADR...................... 6,014,665 14,328,985 Gazprom OAO Sponsored ADR............................ 72,700,131 667,750,267 Lukoil OAO Sponsored ADR............................. 826,146 50,137,416 *Magnitogorsk Iron & Steel Works Sponsored GDR........ 1,528,863 6,637,388 #*Mechel Sponsored ADR................................. 232,750 1,477,962 Surgutneftegas OAO Sponsored ADR..................... 2,838,071 24,835,632 ------------ TOTAL RUSSIA............................................ 765,255,496 ------------
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ SOUTH AFRICA -- (7.2%) ABSA Group, Ltd...................................... 5,160,055 $ 82,730,749 Adcorp Holdings, Ltd................................. 506,290 1,763,260 AECI, Ltd............................................ 1,453,855 12,331,669 Afgri, Ltd........................................... 4,750,643 2,869,406 African Bank Investments, Ltd........................ 4,073,100 13,812,847 African Rainbow Minerals, Ltd........................ 1,604,787 33,629,376 Allied Electronics Corp., Ltd........................ 563,821 1,417,033 *ArcelorMittal South Africa, Ltd...................... 2,505,685 9,659,754 Argent Industrial, Ltd............................... 1,278,773 887,031 Aveng, Ltd........................................... 6,987,825 25,012,441 AVI, Ltd............................................. 2,417,494 15,975,316 Barloworld, Ltd...................................... 3,844,893 31,157,633 *Basil Read Holdings, Ltd............................. 422,383 479,718 *Bell Equipment, Ltd.................................. 416,814 961,212 Blue Label Telecoms, Ltd............................. 3,149,370 2,463,886 Brait SE............................................. 1,676,738 6,589,565 Business Connexion Group, Ltd........................ 1,564,081 883,843 Cadiz Holdings, Ltd.................................. 6,673 1,184 Caxton & CTP Publishers & Printers, Ltd.............. 3,018,326 5,756,464 Cipla Medpro South Africa, Ltd....................... 6,592,706 5,713,379 *Clover Industries, Ltd............................... 19,668 32,108 *Consolidated Infrastructure Group, Ltd............... 51,564 78,344 *Corpgro, Ltd......................................... 579,166 -- Datacentrix Holdings, Ltd............................ 188,927 90,020 DataTec, Ltd......................................... 2,817,764 17,514,742 Delta EMD, Ltd....................................... 227,884 150,238 Distell Group, Ltd................................... 345,859 3,833,067 *Distribution & Warehousing Network, Ltd.............. 250,120 180,864 DRDGOLD, Ltd......................................... 5,565,922 3,978,505 ElementOne, Ltd...................................... 391,810 439,567 Eqstra Holdings, Ltd................................. 2,013,343 1,516,886 *Evraz Highveld Steel & Vanadium, Ltd................. 169,665 331,091 FirstRand, Ltd....................................... 1,212,575 4,028,803 *Gijima Group, Ltd.................................... 396,488 17,773 Gold Fields, Ltd..................................... 515,937 6,409,182 #Gold Fields, Ltd. Sponsored ADR...................... 11,629,304 145,482,593 Grindrod, Ltd........................................ 6,827,699 11,648,964 Group Five, Ltd...................................... 1,170,693 3,351,518 Harmony Gold Mining Co., Ltd......................... 2,956,676 24,213,944 #Harmony Gold Mining Co., Ltd. Sponsored ADR.......... 3,247,220 26,951,926 Hudaco Industries, Ltd............................... 30,876 384,721 *Hulamin, Ltd......................................... 1,390,917 549,713 Iliad Africa, Ltd.................................... 179,921 101,329 Illovo Sugar, Ltd.................................... 488,879 1,784,583 Impala Platinum Holdings, Ltd........................ 2,086,879 37,612,839 Imperial Holdings, Ltd............................... 1,205,334 27,330,021 Investec, Ltd........................................ 3,892,489 22,950,387 *JCI, Ltd............................................. 10,677,339 -- JD Group, Ltd........................................ 2,283,573 12,191,265 Lewis Group, Ltd..................................... 1,663,114 13,221,596 Liberty Holdings, Ltd................................ 1,523,202 17,662,164 Mediclinic International, Ltd........................ 2,347,045 12,701,197 *Merafe Resources, Ltd................................ 21,582,853 1,723,819 Metair Investments, Ltd.............................. 1,444,005 5,083,638 MMI Holdings, Ltd.................................... 14,082,809 33,981,395 Mondi, Ltd........................................... 1,771,208 19,209,717 Mpact, Ltd........................................... 1,992,090 4,305,887 *Murray & Roberts Holdings, Ltd....................... 633,703 1,589,516 *Mustek, Ltd.......................................... 80,318 52,931 *Mvelaphanda Group, Ltd............................... 4,416,916 1,066,718 Mvelaserve, Ltd...................................... 1,059,863 1,060,168
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- SOUTH AFRICA -- (Continued) Nampak, Ltd.......................................... 3,614,161 $ 12,043,229 Nedbank Group, Ltd................................... 3,179,691 65,565,003 #Northam Platinum, Ltd................................ 2,536,359 9,515,371 Omnia Holdings, Ltd.................................. 727,952 10,740,992 Palabora Mining Co., Ltd............................. 177,318 1,739,336 Peregrine Holdings, Ltd.............................. 1,487,502 1,871,522 Petmin, Ltd.......................................... 1,359,741 337,147 PSG Group, Ltd....................................... 669,810 4,886,090 *Randgold & Exploration Co., Ltd...................... 255,138 69,711 Raubex Group, Ltd.................................... 930,856 1,789,487 *Royal Bafokeng Platinum, Ltd......................... 59,522 382,536 Sanlam, Ltd.......................................... 28,863,728 128,793,703 #*Sappi, Ltd........................................... 7,514,840 21,313,834 *Sappi, Ltd. Sponsored ADR............................ 803,111 2,216,586 Sasol, Ltd. Sponsored ADR............................ 704,259 29,867,624 *Sentula Mining, Ltd.................................. 2,156,745 421,559 Standard Bank Group, Ltd............................. 14,939,038 184,470,451 Stefanutti Stocks Holdings, Ltd...................... 408,800 474,234 #*Steinhoff International Holdings, Ltd................ 19,509,004 65,620,688 *Super Group, Ltd..................................... 3,253,041 5,805,753 *Telkom South Africa, Ltd............................. 3,785,590 7,985,814 *Times Media Group, Ltd............................... 470,190 744,005 Tongaat-Hulett, Ltd.................................. 350,322 5,507,179 Trencor, Ltd......................................... 1,049,094 6,664,315 Value Group, Ltd..................................... 976,777 585,831 Village Main Reef, Ltd............................... 2,263,269 319,859 *Wesizwe Platinum, Ltd................................ 9,762 717 Zeder Investments, Ltd............................... 1,545,606 516,883 -------------- TOTAL SOUTH AFRICA...................................... 1,289,158,964 -------------- SOUTH KOREA -- (14.4%) *Aekyung Petrochemical Co., Ltd....................... 21,007 1,138,401 AK Holdings, Inc..................................... 37,347 765,309 Amorepacific Group................................... 27,361 11,793,897 #Asia Cement Co., Ltd................................. 36,168 1,904,546 Asia Paper Manufacturing Co., Ltd.................... 27,000 340,189 #*AUK Corp............................................. 633,480 1,233,349 Bookook Securities Co., Ltd.......................... 28,655 461,255 #Boryung Pharmaceutical Co., Ltd...................... 71,324 1,623,622 BS Financial Group, Inc.............................. 1,606,361 18,181,966 BYC Co., Ltd......................................... 810 137,496 #*Byucksan Corp........................................ 129,370 245,668 *Chin Hung International, Inc......................... 283,424 167,911 #China Ocean Resources Co., Ltd....................... 324,290 1,145,784 #Chong Kun Dang Pharmaceutical Corp................... 135,010 4,292,880 Chosun Refractories Co., Ltd......................... 9,371 543,903 CJ Cheiljedang Corp.................................. 199 62,444 #CJ Corp.............................................. 238,449 23,257,120 *CJ E&M Corp.......................................... 238,392 6,410,376 #*CJ Korea Express Co., Ltd............................ 99,247 10,327,744 #*Cosmochemical Co., Ltd............................... 157,200 1,382,019 Crown Confectionery Co., Ltd......................... 1,119 195,900 #Dae Dong Industrial Co., Ltd......................... 141,640 797,940 #Dae Han Flour Mills Co., Ltd......................... 14,607 1,674,080 #Dae Won Kang Up Co., Ltd............................. 322,056 2,243,033 *Dae Young Packaging Co., Ltd......................... 421,390 359,196 #*Daechang Co., Ltd.................................... 761,760 872,566 #Daeduck GDS Co., Ltd................................. 281,480 3,068,660 #Daegu Department Store Co., Ltd...................... 116,061 1,447,430 #Daehan Steel Co., Ltd................................ 142,010 1,181,997 *Dae-Il Corp.......................................... 63,610 244,840
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- SOUTH KOREA -- (Continued) Daekyo Co., Ltd........................................ 521,770 $ 2,879,066 Daelim Industrial Co., Ltd............................. 453,905 31,546,072 Daelim Trading Co., Ltd................................ 25,904 98,743 Daesang Corp........................................... 318,142 7,712,442 #Daesang Holdings Co., Ltd.............................. 141,446 763,452 Daesung Group Partners Co., Ltd........................ 4,307 146,800 Daesung Holdings Co., Ltd.............................. 52,450 334,951 *Daesung Industrial Co., Ltd............................ 8,916 147,717 #*Daewoo Engineering & Construction Co., Ltd............. 1,079,210 9,175,424 Daewoo Securities Co., Ltd............................. 2,739,222 27,583,059 #Daewoo Shipbuilding & Marine Engineering Co., Ltd...... 810,562 17,357,632 Daewoong Co., Ltd...................................... 9,098 174,568 *Daewoong Pharmaceutical Co., Ltd....................... 16,880 745,940 Dahaam E-Tec Co., Ltd.................................. 8,575 139,833 #Daishin Securities Co., Ltd............................ 613,405 4,885,790 *Daou Data Corp......................................... 102,531 338,680 #Daou Technology, Inc................................... 353,388 5,017,841 *Dasan Networks, Inc.................................... 75,621 338,778 DGB Financial Group, Inc............................... 1,271,752 16,070,145 #Digital Power Communications Co., Ltd.................. 62,160 155,984 Dong Ah Tire & Rubber Co., Ltd......................... 81,994 1,154,921 #*Dong Yang Gang Chul Co., Ltd........................... 291,430 588,974 #*Dong-Ah Geological Engineering Co., Ltd................ 23,240 193,023 Dongbang Agro Co., Ltd................................. 53,610 316,050 Dongbang Transport Logistics Co., Ltd.................. 273,670 992,532 *Dongbu CNI Co., Ltd.................................... 7,930 44,828 #*Dongbu Corp............................................ 60,900 189,864 #*Dongbu HiTek Co., Ltd.................................. 360,004 2,232,662 Dongbu Securities Co., Ltd............................. 351,526 1,095,769 #*Dongbu Steel Co., Ltd.................................. 368,974 1,225,986 Dong-Il Corp........................................... 19,098 756,657 #Dongil Industries Co., Ltd............................. 18,961 843,615 *Dongkook Industrial Co., Ltd........................... 61,530 161,098 #Dongkuk Steel Mill Co., Ltd............................ 693,279 8,887,721 *Dongkuk Structure & Construction Co., Ltd.............. 22,883 46,441 #*Dongsung Holdings Co., Ltd............................. 176,790 968,333 #Dongwha Pharm Co., Ltd................................. 247,660 1,473,775 #Dongwon F&B Co., Ltd................................... 19,443 1,256,220 *Dongwon Systems Corp................................... 112,750 107,429 #Doosan Corp............................................ 109,796 12,676,055 #*Doosan Engineering & Construction Co., Ltd............. 465,690 1,003,589 #DRB Holding Co., Ltd................................... 129,859 691,235 #*DRB Industrial Co., Ltd................................ 112,998 818,526 *Eagon Industrial Co., Ltd.............................. 1,140 6,567 *Eugene Investment & Securities Co., Ltd................ 763,229 1,749,065 F&F Co., Ltd........................................... 510 2,853 #Fursys, Inc............................................ 31,943 795,912 #Gaon Cable Co., Ltd.................................... 9,877 195,951 Global & Yuasa Battery Co., Ltd........................ 59,250 2,512,493 #Green Cross Holdings Corp.............................. 61,960 965,978 #GS Engineering & Construction Corp..................... 356,517 20,035,252 #GS Holdings Corp....................................... 736,970 46,289,581 Gwangju Shinsegae Co., Ltd............................. 5,985 1,294,678 #Halla Engineering & Construction Corp.................. 246,661 1,935,931 #Han Kuk Carbon Co., Ltd................................ 301,200 1,951,747 Hana Financial Group, Inc.............................. 3,300,484 96,014,717 Handok Pharmaceuticals Co., Ltd........................ 22,330 355,809 #Handsome Co., Ltd...................................... 214,790 5,446,525 Hanil Cement Co., Ltd.................................. 52,035 2,107,461 *Hanil E-Wha Co., Ltd................................... 46,440 300,237 #*Hanjin Heavy Industries & Construction Co., Ltd........ 518,752 5,603,322
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) #Hanjin Heavy Industries & Construction Holdings Co., Ltd. 181,040 $ 1,156,051 #*Hanjin Shipping Co., Ltd................................. 1,344,240 14,957,772 *Hanjin Shipping Holdings Co., Ltd........................ 150,884 765,045 #Hanjin Transportation Co., Ltd........................... 127,710 2,698,538 Hankuk Glass Industries, Inc............................. 29,050 622,723 #Hankuk Paper Manufacturing Co., Ltd...................... 32,000 594,233 *Hanmi Science Co., Ltd................................... 40,780 175,618 Hanmi Semiconductor Co., Ltd............................. 157,920 1,005,390 Hansae Yes24 Holdings Co., Ltd........................... 5,060 34,340 Hanshin Construction Co., Ltd............................ 12,240 79,848 Hansol Chemical Co., Ltd................................. 34,707 756,749 Hansol CSN Co., Ltd...................................... 467,300 1,232,604 Hansol Paper Co., Ltd.................................... 590,094 4,954,628 #*Hansol Technics Co., Ltd................................. 48,410 621,147 #Hanwha Chemical Corp..................................... 1,372,315 22,758,062 Hanwha Corp.............................................. 594,563 16,960,084 *Hanwha General Insurance Co., Ltd........................ 88,563 600,760 #Hanwha Investment & Securities Co., Ltd.................. 935,001 3,355,842 Hanwha Life Insurance Co., Ltd........................... 1,282,685 9,040,489 Hanwha Timeworld Co., Ltd................................ 12,290 223,015 Hanyang Securities Co., Ltd.............................. 90,530 567,089 #*Heung-A Shipping Co., Ltd................................ 412,990 414,829 Hite Jinro Co., Ltd...................................... 95,203 2,814,055 #Hite Jinro Holdings Co., Ltd............................. 89,481 1,148,566 HMC Investment Securities Co., Ltd....................... 259,785 3,067,311 #HS R&A Co., Ltd.......................................... 37,336 361,325 #Husteel Co., Ltd......................................... 54,010 1,356,950 *Hwa Sung Industrial Co., Ltd............................. 280 927 Hwacheon Machine Tool Co., Ltd........................... 14,227 551,912 *Hwashin Co., Ltd......................................... 2,590 20,734 Hyosung Corp............................................. 370,458 20,402,988 #*Hyundai BNG Steel Co., Ltd............................... 142,590 1,287,450 #Hyundai Development Co................................... 904,704 16,239,317 *Hyundai Heavy Industries Co., Ltd........................ 36,899 7,732,595 *Hyundai Hy Communications & Networks Co., Ltd............ 163,440 778,826 #Hyundai Mipo Dockyard Co., Ltd........................... 81,875 8,731,226 Hyundai Motor Co., Ltd................................... 175,890 36,148,687 Hyundai Securities Co., Ltd.............................. 1,929,728 14,796,787 #Hyundai Steel Co......................................... 1,031,183 74,092,555 #Il Dong Pharmaceutical Co., Ltd.......................... 130,570 1,067,289 #Iljin Electric Co., Ltd.................................. 315,890 1,331,071 Iljin Holdings Co., Ltd.................................. 7,669 11,800 #Ilshin Spinning Co., Ltd................................. 15,565 1,129,434 #Ilsung Pharmaceutical Co., Ltd........................... 9,407 714,421 Industrial Bank of Korea, Ltd............................ 2,572,180 28,276,049 Inzi Controls Co., Ltd................................... 41,230 275,369 *INZI Display Co., Ltd.................................... 165,116 497,405 #IS Dongseo Co., Ltd...................................... 100,175 995,735 #ISU Chemical Co., Ltd.................................... 164,530 3,190,667 #IsuPetasys Co., Ltd...................................... 214,471 852,793 #Jeil Pharmaceutical Co................................... 71,040 1,122,890 Jeonbuk Bank, Ltd........................................ 707,883 2,694,082 #JW Pharmaceutical Corp................................... 123,163 1,581,350 KB Financial Group, Inc.................................. 2,902,753 98,710,063 KB Financial Group, Inc. ADR............................. 3,182,416 108,361,265 #KC Tech Co., Ltd......................................... 288,362 998,669 KCC Corp................................................. 64,340 18,044,347 #Keangnam Enterprises, Ltd................................ 144,590 772,581 #*KEC Corp................................................. 361,360 179,306 #Keyang Electric Machinery Co., Ltd....................... 393,920 895,254 #KG Chemical Corp......................................... 47,243 500,795
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) #KISCO Corp........................................... 56,021 $ 1,512,296 #KISCO Holdings Co., Ltd.............................. 11,673 399,743 #Kishin Corp.......................................... 113,945 623,412 #KISWIRE, Ltd......................................... 69,836 2,026,261 #Kolon Corp........................................... 86,715 1,366,973 #Kolon Global Corp.................................... 290,500 836,166 #Kolon Industries, Inc................................ 170,961 8,702,128 Korea Airport Service Co., Ltd....................... 16,760 437,493 Korea Cast Iron Pipe Industries Co., Ltd............. 11,608 37,098 #Korea Electric Terminal Co., Ltd..................... 89,230 2,125,910 *Korea Exchange Bank.................................. 4,108,346 28,475,264 #Korea Flange Co., Ltd................................ 58,560 665,443 Korea Investment Holdings Co., Ltd................... 541,536 18,511,909 *Korea Line Corp...................................... 16,465 59,887 #Korea Petrochemical Industrial Co., Ltd.............. 37,400 1,707,174 *Korea Reinsurance Co., Ltd........................... 6,720 65,853 Korea United Pharm, Inc.............................. 93,970 748,858 KPX Chemical Co., Ltd................................ 12,667 583,263 *KTB Investment & Securities Co., Ltd................. 1,066,210 2,017,257 #Kukdo Chemical Co., Ltd.............................. 50,038 1,957,683 #Kumho Electric Co., Ltd.............................. 52,624 1,324,825 #Kunsul Chemical Industrial Co., Ltd.................. 25,470 459,893 #Kwang Dong Pharmaceutical Co., Ltd................... 627,670 3,030,915 #Kyeryong Construction Industrial Co., Ltd............ 58,970 473,595 Kyobo Securities Co., Ltd............................ 272,242 1,150,792 Kyung Dong Navien Co., Ltd........................... 16,050 168,575 Kyung Nong Corp...................................... 3,450 10,670 *Kyungbang Co., Ltd................................... 7,656 712,540 #Kyung-In Synthetic Corp.............................. 184,400 464,085 LG Corp.............................................. 843,237 51,425,387 #*LG Display Co., Ltd.................................. 1,309,420 38,860,273 #*LG Display Co., Ltd. ADR............................. 3,996,524 59,308,416 #LG Electronics, Inc.................................. 1,750,233 121,766,959 LG Hausys, Ltd....................................... 85,498 6,143,403 #*LG Innotek Co., Ltd.................................. 85,825 5,918,003 LG Uplus Corp........................................ 3,789,011 24,197,562 #Livart Furniture Co., Ltd............................ 23,870 154,297 Lotte Chilsung Beverage Co., Ltd..................... 9,880 12,897,015 #Lotte Confectionary Co., Ltd......................... 9,269 13,345,974 Lotte Midopa Co., Ltd................................ 162,410 1,866,360 Lotte Samkang Co., Ltd............................... 9,319 6,242,067 #Lotte Shopping Co., Ltd.............................. 144,966 44,820,810 LS Corp.............................................. 15,317 1,250,745 *Meritz Finance Group, Inc............................ 16,600 55,108 Meritz Securities Co., Ltd........................... 2,576,974 3,083,336 Mi Chang Oil Industrial Co., Ltd..................... 3,725 177,585 Mirae Asset Securities Co., Ltd...................... 379,379 10,277,733 #Moorim P&P Co., Ltd.................................. 422,608 1,378,815 #Moorim Paper Co., Ltd................................ 264,210 604,243 #Motonic Corp......................................... 142,640 1,613,042 Namyang Dairy Products Co., Ltd...................... 4,383 3,798,852 National Plastic Co.................................. 174,380 405,298 *Neowiz Corp.......................................... 58,547 855,518 Nexen Corp........................................... 14,080 1,086,852 NH Investment & Securities Co., Ltd.................. 441,874 2,042,551 NICE Holdings Co., Ltd............................... 710 37,642 NK Co., Ltd.......................................... 196,310 682,900 #Nong Shim Holdings Co., Ltd.......................... 24,129 1,370,859 #NongShim Co., Ltd.................................... 45,202 10,676,763 #*Osung LST Co., Ltd................................... 115,621 358,905 Ottogi Corp.......................................... 15,537 3,374,846
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) Pacific Pharmaceutical Co., Ltd...................... 390 $ 12,078 *Paik Kwang Industrial Co., Ltd....................... 6,670 25,942 #*PaperCorea, Inc...................................... 404,380 296,485 #Poongsan Corp........................................ 298,230 8,683,791 Poongsan Holdings Corp............................... 48,688 1,037,608 POSCO................................................ 673,915 211,848,256 #POSCO ADR............................................ 1,618,522 126,859,754 #POSCO Coated & Color Steel Co., Ltd.................. 23,830 342,786 Pulmuone Co., Ltd.................................... 6,875 236,402 Pusan City Gas Co., Ltd.............................. 81,090 1,635,925 #S&T Dynamics Co., Ltd................................ 358,824 3,588,355 S&T Holdings Co., Ltd................................ 87,883 756,801 #S&T Motiv Co., Ltd................................... 121,150 2,104,488 Saeron Automotive Corp............................... 14,035 72,986 Sajodaerim Corp...................................... 8,180 106,505 #Sam Jin Pharmaceutical Co., Ltd...................... 98,603 1,099,005 Sam Lip General Foods Co., Ltd....................... 25,580 599,105 #Sam Young Electronics Co., Ltd....................... 151,190 1,208,035 Sam Yung Trading Co., Ltd............................ 52,314 509,028 *Sambu Construction Co., Ltd.......................... 27,930 103,252 Samhwa Paints Industrial Co., Ltd.................... 14,430 57,834 #Samick Musical Instruments Co., Ltd.................. 1,089,770 1,568,189 SamkwangGlass Co., Ltd............................... 11,418 714,741 Samsung C&T Corp..................................... 942,703 51,204,907 #Samsung SDI Co., Ltd................................. 500,681 62,766,213 *Samwhan Corp......................................... 21,940 42,016 Samyang Genex Co., Ltd............................... 17,763 850,603 Samyang Holdings Corp................................ 83,652 5,484,209 Samyang Tongsang Co., Ltd............................ 8,060 169,217 *Samyoung Chemical Co., Ltd........................... 64,920 198,944 SAVEZONE I&C Corp.................................... 27,710 67,829 SBS Media Holdings Co., Ltd.......................... 547,050 3,311,049 #Seah Besteel Corp.................................... 134,034 3,130,816 SeAH Holdings Corp................................... 13,089 1,127,296 #SeAH Steel Corp...................................... 35,474 3,058,551 Sebang Co., Ltd...................................... 134,640 2,197,708 Sejong Industrial Co., Ltd........................... 81,880 934,868 #*Seohee Construction Co., Ltd......................... 914,584 1,025,733 *Seong An Co., Ltd.................................... 86,190 109,076 #Seowon Co., Ltd...................................... 156,260 507,839 *Sewon Cellontech Co., Ltd............................ 153,450 431,006 #*SG Corp.............................................. 1,945,560 1,158,714 Shinhan Financial Group Co., Ltd..................... 5,415,719 185,880,713 #Shinhan Financial Group Co., Ltd. ADR................ 1,630,308 55,789,140 Shinpoong Pharmaceutical Co., Ltd.................... 173,689 814,741 *Shinsegae Co., Ltd................................... 36,607 6,541,344 Shinsegae Information & Communication Co., Ltd....... 3,778 202,092 #*Shinsung Solar Energy Co., Ltd....................... 528,790 862,167 #Shinsung Tongsang Co., Ltd........................... 1,106,860 1,286,845 Shinyoung Securities Co., Ltd........................ 35,820 994,486 #Silla Co., Ltd....................................... 66,973 1,489,448 Sindoh Co., Ltd...................................... 43,098 2,615,860 SJM Co., Ltd......................................... 51,214 337,436 SJM Holdings Co., Ltd................................ 8,441 28,693 *SK Broadband Co., Ltd................................ 120,175 439,503 #SK Chemicals Co., Ltd................................ 26,371 1,625,391 SK Gas Co., Ltd...................................... 46,183 3,344,269 SK Holdings Co., Ltd................................. 454,913 63,318,025 #SK Innovation Co., Ltd............................... 595,603 87,545,630 SK Networks Co., Ltd................................. 1,878,746 16,433,843 #SK Securities Co., Ltd............................... 3,836,680 4,075,549
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- SOUTH KOREA -- (Continued) *Songwon Industrial Co., Ltd.......................... 79,580 $ 787,559 #*Ssangyong Cement Industrial Co., Ltd................. 275,686 1,397,099 #STX Corp............................................. 518,863 3,798,725 #STX Engine Co., Ltd.................................. 340,950 2,496,812 STX Metal Co, Ltd.................................... 20,150 97,680 #STX Offshore & Shipbuilding Co., Ltd................. 832,230 6,019,422 #STX Pan Ocean Co., Ltd............................... 1,551,280 4,899,664 #Suheung Capsule Co., Ltd............................. 74,590 1,250,722 Sung Bo Chemicals Co., Ltd........................... 920 21,084 *Sungshin Cement Co., Ltd............................. 66,250 259,610 Sunjin Co., Ltd...................................... 34,369 418,998 *Sunjin Holdings Co., Ltd............................. 98 1,802 #Tae Kyung Industrial Co., Ltd........................ 116,020 360,140 TaeKwang Industrial Co., Ltd......................... 4,239 3,938,893 #*Taewoong Co., Ltd.................................... 46,814 758,872 #Taeyoung Engineering & Construction Co., Ltd......... 561,870 2,824,147 *Taihan Electric Wire Co., Ltd........................ 111,547 165,183 #Tailim Packaging Industries Co., Ltd................. 374,220 578,478 TCC Steel............................................ 45,410 197,754 Telcoware Co., Ltd................................... 5,127 38,113 *Tong Kook Corp....................................... 607 870 #Tong Yang Moolsan Co., Ltd........................... 72,180 1,042,170 #Tong Yang Securities, Inc............................ 918,859 3,237,655 *Tongyang Life Insurance.............................. 32,380 350,039 #TS Corp.............................................. 65,206 1,581,528 #Unid Co., Ltd........................................ 45,301 1,518,439 Union Steel.......................................... 38,477 438,922 Whanin Pharmaceutical Co., Ltd....................... 80,150 705,999 Wiscom Co., Ltd...................................... 32,980 130,813 #*Woongjin Chemical Co., Inc........................... 922,020 490,202 #*Woongjin Energy Co., Ltd............................. 444,950 763,939 #*Woongjin Holdings Co., Ltd........................... 405,344 633,775 *Woongjin Thinkbig Co., Ltd........................... 49,700 290,346 Woori Finance Holdings Co., Ltd...................... 5,158,647 48,698,466 #Woori Finance Holdings Co., Ltd. ADR................. 8,505 240,096 Woori Financial Co., Ltd............................. 118,381 1,784,392 Woori Investment & Securities Co., Ltd............... 2,389,383 23,067,302 *WooSung Feed Co., Ltd................................ 42,930 205,218 YESCO Co., Ltd....................................... 29,110 801,842 #Yoosung Enterprise Co., Ltd.......................... 36,225 98,845 *YooSung T&S Co., Ltd................................. 52,492 188,200 #Youlchon Chemical Co., Ltd........................... 159,290 1,257,201 Young Poong Corp..................................... 4,715 4,354,537 *Young Poong Mining & Construction Corp............... 18,030 909 *Young Poong Precision Corp........................... 12,929 142,235 Youngone Holdings Co., Ltd........................... 36,489 2,029,355 Yuhwa Securities Co., Ltd............................ 28,680 339,203 *Zinus, Inc........................................... 1,866 6,416 -------------- TOTAL SOUTH KOREA....................................... 2,564,026,393 -------------- TAIWAN -- (11.7%) #*A.G.V. Products Corp................................. 7,871,701 2,421,414 Ability Enterprise Co., Ltd.......................... 1,286,000 1,156,679 AcBel Polytech, Inc.................................. 6,475,219 4,204,918 Accton Technology Corp............................... 8,742,156 4,333,553 #*Acer, Inc............................................ 38,402,364 29,644,652 #ACHEM Technology Corp................................ 2,656,981 1,172,862 #*Action Electronics Co., Ltd.......................... 3,562,084 845,583 *A-DATA Technology Co., Ltd........................... 657,000 643,635 #Allis Electric Co., Ltd.............................. 1,471,000 413,071 #Alpha Networks, Inc.................................. 4,912,237 3,125,128
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) Altek Corp........................................... 6,075,808 $ 2,980,752 Ambassador Hotel (The)............................... 274,000 282,495 #Ampoc Far-East Co., Ltd.............................. 1,772,000 1,493,645 #AmTRAN Technology Co., Ltd........................... 10,322,956 8,719,593 APCB, Inc............................................ 2,460,000 1,568,926 #Apex Science & Engineering Corp...................... 690,713 213,064 *Ardentec Corp........................................ 394,000 244,644 Arima Communications Corp............................ 2,421,468 926,655 *Arima Optoelectronics Corp........................... 1,245,750 154,048 #Asia Cement Corp..................................... 25,134,362 31,302,346 #*Asia Optical Co., Inc................................ 4,105,290 3,736,872 Asia Polymer Corp.................................... 3,543,478 2,831,992 Asia Vital Components Co., Ltd....................... 4,334,962 1,985,305 Asustek Computer, Inc................................ 145,515 1,556,783 #*AU Optronics Corp.................................... 42,013,812 15,905,181 #*AU Optronics Corp. Sponsored ADR..................... 9,292,137 35,124,278 Audix Corp........................................... 1,726,164 1,396,139 #Aurora Systems Corp.................................. 572,281 494,315 Avermedia Technologies, Inc.......................... 2,140,000 991,301 Avision, Inc......................................... 2,782,555 727,931 *AVY Precision Technology, Inc........................ 16,000 27,318 #*Bank of Kaohsiung.................................... 6,164,397 1,770,095 Basso Industry Corp., Ltd............................ 856,000 483,256 #BES Engineering Corp................................. 23,952,443 5,847,440 Biostar Microtech International Corp................. 2,245,055 751,848 Bright Led Electronics Corp.......................... 941,000 382,771 C Sun Manufacturing, Ltd............................. 2,431,837 1,551,119 #*Cameo Communications, Inc............................ 3,014,197 670,172 Capital Securities Corp.............................. 19,937,447 6,620,852 #*Carnival Industrial Corp............................. 5,594,000 1,763,077 Cathay Chemical Works, Inc........................... 959,000 393,754 Cathay Real Estate Development Co., Ltd.............. 14,314,421 6,585,888 *Celxpert Energy Corp................................. 101,000 67,805 *Central Reinsurance Co., Ltd......................... 2,477,781 1,088,629 #ChainQui Construction Development Co., Ltd........... 1,547,173 918,629 #Champion Building Materials Co., Ltd................. 5,563,828 1,921,237 Chang Hwa Commercial Bank............................ 74,828,525 37,718,713 *Chang-Ho Fibre Corp.................................. 163,000 56,031 Charoen Pokphand Enterprises Co., Ltd................ 3,296,000 1,556,153 Cheng Loong Corp..................................... 13,494,659 5,402,430 #Cheng Uei Precision Industry Co., Ltd................ 4,338,635 9,595,505 Chia Hsin Cement Corp................................ 7,482,191 3,365,799 #Chien Kuo Construction Co., Ltd...................... 4,887,247 2,173,311 *Chien Shing Stainless Steel Co., Ltd................. 2,052,000 214,718 #Chilisin Electronics Corp............................ 754,300 404,897 #*Chimei Innolux Corp.................................. 92,219,745 34,346,026 *China Airlines, Ltd.................................. 37,803,786 14,740,405 China Chemical & Pharmaceutical Co., Ltd............. 4,203,264 2,620,841 *China Development Financial Holding Corp............. 168,715,960 37,654,758 China Electric Manufacturing Corp.................... 3,295,200 1,921,243 *China General Plastics Corp.......................... 6,665,000 2,939,551 China Glaze Co., Ltd................................. 2,248,363 983,396 *China ManMade Fibers Corp............................ 18,686,813 6,286,196 China Metal Products Co., Ltd........................ 3,833,689 3,488,325 #China Motor Corp..................................... 11,155,749 9,997,518 China Petrochemical Development Corp................. 22,960,338 15,940,979 *China Rebar Co., Ltd................................. 439,188 -- #China Steel Structure Co., Ltd....................... 1,580,219 1,552,088 #China Synthetic Rubber Corp.......................... 7,333,711 7,840,988 *China United Trust & Investment Corp................. 493,999 -- #*China Wire & Cable Co., Ltd.......................... 2,900,000 996,644
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Chinatrust Financial Holdings Co., Ltd............... 80,013,464 $44,043,171 Chinese Maritime Transport, Ltd...................... 1,361,000 1,564,110 Chin-Poon Industrial Co., Ltd........................ 6,117,815 6,642,151 *Chun Yu Works & Co., Ltd............................. 2,757,000 952,289 Chun Yuan Steel Industrial Co., Ltd.................. 6,411,287 2,423,719 *Chung Hung Steel Corp................................ 12,762,046 3,218,331 *Chung Hwa Pulp Corp.................................. 9,259,011 2,812,587 *Chung Shing Textile Co., Ltd......................... 600 10 Chung-Hsin Electric & Machinery Manufacturing Corp... 6,609,000 3,470,653 *Chungwa Picture Tubes Co., Ltd....................... 55,899,412 1,737,818 Chuwa Wool Industry Co., Ltd......................... 13,734 6,573 #*Chyang Sheng Dyeing & Finishing Co., Ltd............. 328,000 113,347 #*CMC Magnetics Corp................................... 46,775,830 6,973,055 *CoAsia Microelectronics Corp......................... 212,000 167,042 #Collins Co., Ltd..................................... 2,417,224 929,962 #Compal Electronics, Inc.............................. 56,485,332 35,530,229 Compeq Manufacturing Co., Ltd........................ 17,518,000 6,463,469 *Compex International Co., Ltd........................ 46,400 318 *Concord Securities Corp.............................. 194,000 40,274 #Continental Holdings Corp............................ 7,293,848 2,620,527 *Coretronic Corp...................................... 932,000 674,919 *Cosmos Bank Taiwan................................... 2,250,756 538,285 #Coxon Precise Industrial Co., Ltd.................... 1,994,000 3,777,204 Creative Sensor, Inc................................. 40,000 19,561 CSBC Corp. Taiwan.................................... 4,959,654 2,885,182 Da Cin Construction Co., Ltd......................... 2,614,579 1,694,903 #Darfon Electronics Corp.............................. 4,614,950 2,619,266 #Delpha Construction Co., Ltd......................... 3,708,016 1,115,265 Depo Auto Parts Industrial Co., Ltd.................. 375,000 782,345 *Der Pao Construction Co., Ltd........................ 6,037 31,968 DFI, Inc............................................. 302,280 228,068 #D-Link Corp.......................................... 10,484,939 5,882,143 Dynamic Electronics Co., Ltd......................... 3,877,287 1,215,809 #E.Sun Financial Holding Co., Ltd..................... 60,038,285 30,044,920 *Eastern Media International Corp..................... 13,931,399 1,833,772 Eclat Textile Co., Ltd............................... 136,747 404,090 *Edimax Technology Co., Ltd........................... 2,220,000 827,400 *Edison Opto Corp..................................... 201,000 216,406 Edom Technology Co., Ltd............................. 943,800 311,894 Elite Material Co., Ltd.............................. 2,495,905 2,466,073 Elite Semiconductor Memory Technology, Inc........... 2,589,000 1,716,500 #Elitegroup Computer Systems Co., Ltd................. 11,548,066 3,124,138 EnTie Commercial Bank................................ 2,197,232 1,059,807 *Episil Technologies, Inc............................. 617,000 158,366 #Epistar Corp......................................... 11,546,000 18,341,532 Eternal Chemical Co., Ltd............................ 1,029,000 800,386 *E-Ton Solar Tech Co., Ltd............................ 563,000 171,527 *Etron Technology Inc................................. 572,000 131,263 *Eva Airways Corp..................................... 13,358,738 7,743,697 *Ever Fortune Industrial Co., Ltd..................... 409,000 4,620 *Everest Textile Co., Ltd............................. 4,055,002 1,044,914 Evergreen International Storage & Transport Corp..... 9,117,000 5,623,792 *Evergreen Marine Corp., Ltd.......................... 24,715,998 12,720,921 Everlight Chemical Industrial Corp................... 2,211,100 1,337,741 Everlight Electronics Co., Ltd....................... 938,000 977,513 #*Everspring Industry Co., Ltd......................... 1,767,180 646,778 Excel Cell Electronics Co., Ltd...................... 32,000 11,163 Excelsior Medical Co., Ltd........................... 1,410,200 2,574,063 Far Eastern Department Stores Co., Ltd............... 4,363,362 4,101,337 Far Eastern International Bank....................... 25,287,873 9,302,342 Far Eastern New Century Corp......................... 506,760 523,915
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) *Farglory F T Z Investment Holding Co., Ltd........... 779,000 $ 496,470 Farglory Land Development Co., Ltd................... 293,000 493,035 Federal Corp......................................... 6,646,367 4,287,397 *First Copper Technology Co., Ltd..................... 3,642,750 1,246,417 First Financial Holding Co., Ltd..................... 110,152,437 62,493,660 First Hotel.......................................... 1,124,612 727,017 #First Insurance Co., Ltd............................. 3,275,064 1,651,089 First Steamship Co., Ltd............................. 1,468,000 1,132,171 Forhouse Corp........................................ 6,938,635 3,379,309 Formosa Advanced Technologies Co., Ltd............... 705,000 373,722 #*Formosa Epitaxy, Inc................................. 8,228,000 5,396,856 #Formosa Oilseed Processing Co., Ltd.................. 1,111,977 489,061 #Formosa Taffeta Co., Ltd............................. 10,429,511 9,186,198 Formosan Rubber Group, Inc........................... 7,703,000 5,207,282 #Formosan Union Chemical Corp......................... 2,229,034 1,244,770 Fortune Electric Co., Ltd............................ 436,000 177,481 Founding Construction & Development Co., Ltd......... 2,225,780 1,354,296 *Froch Enterprise Co., Ltd............................ 1,885,000 637,148 FSP Technology, Inc.................................. 1,745,283 1,540,064 Fu I Industrial Co., Ltd............................. 13,799 24,990 Fubon Financial Holding Co., Ltd..................... 74,753,471 76,587,420 Fullerton Technology Co., Ltd........................ 1,702,200 1,353,823 *Fulltech Fiber Glass Corp............................ 1,139,000 499,971 #Fwusow Industry Co., Ltd............................. 2,728,427 1,409,551 #G Shank Enterprise Co., Ltd.......................... 2,503,880 1,408,759 #Gemtek Technology Corp............................... 5,752,962 5,665,498 *Genesis Photonics, Inc............................... 486,000 331,390 #Getac Technology Corp................................ 7,753,065 3,498,407 #*Giantplus Technology Co., Ltd........................ 4,260,100 1,214,217 Gigabyte Technology Co., Ltd......................... 9,308,287 7,671,659 #Gigastorage Corp..................................... 4,526,600 2,380,767 #*Gintech Energy Corp.................................. 6,102,942 4,380,607 #Global Brands Manufacture, Ltd....................... 4,372,951 1,490,063 Globe Union Industrial Corp.......................... 2,747,000 1,188,983 #*Gold Circuit Electronics, Ltd........................ 7,828,965 1,480,654 Goldsun Development & Construction Co., Ltd.......... 22,243,261 7,834,592 Good Will Instrument Co., Ltd........................ 444,172 266,848 Grand Pacific Petrochemical Corp..................... 16,312,000 8,393,575 Great China Metal Industry Co., Ltd.................. 1,216,000 1,332,965 Great Wall Enterprise Co., Ltd....................... 3,198,767 2,735,121 #*Green Energy Technology, Inc......................... 4,746,880 2,272,034 #*GTM Corp............................................. 2,427,000 1,091,081 #Hannstar Board Corp.................................. 4,718,635 2,209,506 *HannStar Display Corp................................ 44,505,000 3,510,476 *HannsTouch Solution, Inc............................. 2,140,000 595,627 #Harvatek Corp........................................ 2,966,459 1,115,468 *Helix Technology, Inc................................ 29,585 -- Hey Song Corp........................................ 4,633,000 5,413,595 Hiti Digital, Inc.................................... 266,000 109,677 Hitron Technologies, Inc............................. 2,916,525 1,435,747 #*Ho Tung Holding Corp................................. 10,852,669 5,385,057 #Hocheng Corp......................................... 4,204,300 1,262,784 Hold-Key Electric Wire & Cable Co., Ltd.............. 1,844,124 615,580 Holy Stone Enterprise Co., Ltd....................... 3,561,643 2,875,421 Hong Tai Electric Industrial Co., Ltd................ 3,822,000 1,235,618 Hong Yi Fiber Industry Co., Ltd...................... 84,040 25,869 *Horizon Securities Co., Ltd.......................... 606,000 136,877 Hsin Kuang Steel Co., Ltd............................ 4,299,124 2,462,932 Hsing Ta Cement Co., Ltd............................. 2,071,980 744,657 *Hua Eng Wire & Cable Co., Ltd........................ 7,255,035 2,642,801 Hua Nan Financial Holding Co., Ltd................... 38,820,267 20,377,046
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) *Hualon Corp.......................................... 257,040 $ 9,503 #Hung Ching Development & Construction Co., Ltd....... 1,906,468 746,527 Hung Poo Real Estate Development Corp................ 3,079,655 2,836,009 Hung Sheng Construction Co., Ltd..................... 8,769,892 4,739,653 *Hwa Fong Rubber Co., Ltd............................. 3,194,960 658,696 #*Ichia Technologies, Inc.............................. 5,720,260 2,209,598 #*I-Chiun Precision Industry Co., Ltd.................. 3,537,000 2,115,612 *Infortrend Technology, Inc........................... 34,000 17,780 #*Inotera Memories, Inc................................ 33,144,728 4,494,643 Inventec Corp........................................ 34,077,277 11,643,430 *ITE Technology, Inc.................................. 2,913,000 2,076,192 *J Touch Corp......................................... 538,000 357,039 *Janfusun Fancyworld Corp............................. 297,000 46,222 *Jess-Link Products Co., Ltd.......................... 439,000 344,924 *Jih Sun Financial Holdings Co., Ltd.................. 443,000 115,444 Jui Li Enterprise Co., Ltd........................... 288,760 75,713 #*K Laser Technology, Inc.............................. 1,056,601 384,880 #Kang Na Hsiung Enterprise Co., Ltd................... 1,655,078 693,668 *Kao Hsing Chang Iron & Steel Corp.................... 1,589,000 321,576 #Kaulin Manufacturing Co., Ltd........................ 2,823,656 1,583,683 *Kenmec Mechanical Engineering Co., Ltd............... 279,000 79,444 Kerry TJ Logistics Co., Ltd.......................... 825,000 1,314,731 #King Yuan Electronics Co., Ltd....................... 20,346,805 11,056,065 Kingdom Construction Co., Ltd........................ 6,258,000 4,016,375 *King's Town Bank..................................... 11,813,012 8,075,467 King's Town Construction Co., Ltd.................... 447,510 431,288 #Kinpo Electronics, Inc............................... 16,915,375 3,402,111 KS Terminals, Inc.................................... 736,880 535,823 *Kuo Toong International Co., Ltd..................... 359,000 209,053 Kuoyang Construction Co., Ltd........................ 7,591,029 3,439,493 #*Kwong Fong Industries Corp........................... 5,261,900 2,896,183 *KYE Systems Corp..................................... 3,831,000 1,100,305 L&K Engineering Co., Ltd............................. 1,952,000 1,839,856 #Lan Fa Textile Co., Ltd.............................. 3,158,713 841,438 *Lead Data Co., Ltd................................... 613,537 37,338 Leader Electronics, Inc.............................. 958,056 529,054 Lealea Enterprise Co., Ltd........................... 11,542,118 4,042,256 Ledtech Electronics Corp............................. 390,000 120,129 #Lee Chi Enterprises Co., Ltd......................... 3,461,900 1,278,245 #Lelon Electronics Corp............................... 1,390,200 517,852 #*Leofoo Development Co., Ltd.......................... 4,409,774 2,276,466 *Li Peng Enterprise Co., Ltd.......................... 7,709,823 2,181,423 *Lien Chang Electronic Enterprise Co., Ltd............ 345,273 72,284 #Lien Hwa Industrial Corp............................. 8,501,990 5,326,958 Lingsen Precision Industries, Ltd.................... 6,071,480 2,926,300 LITE-ON IT Corp...................................... 6,213,174 5,206,059 Lite-On Semiconductor Corp........................... 4,819,190 2,059,224 Lite-On Technology Corp.............................. 31,525,495 40,107,318 *Long Bon International Co., Ltd...................... 1,987,865 1,298,895 *Long Chen Paper Co., Ltd............................. 6,893,369 1,766,246 Lotes Co., Ltd....................................... 818,000 2,457,550 *Lucky Cement Corp.................................... 3,099,000 655,296 #Macronix International Co., Ltd...................... 65,580,913 17,037,692 #Marketech International Corp......................... 2,010,000 982,786 Masterlink Securities Corp........................... 15,927,000 4,648,583 #Maxtek Technology Co., Ltd........................... 262,000 159,544 #*Mayer Steel Pipe Corp................................ 2,425,456 913,042 Maywufa Co., Ltd..................................... 252,070 132,878 #Mega Financial Holding Co., Ltd...................... 123,517,381 89,722,186 *Megamedia Corp....................................... 782 6 *Meiloon Co., Ltd..................................... 1,753,352 617,792
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Mercuries & Associates, Ltd.......................... 2,787,127 $ 2,381,628 #Mercuries Data Systems, Ltd.......................... 1,537,800 430,949 Merry Electronics Co., Ltd........................... 666,750 786,355 *Microelectronics Technology, Inc..................... 5,409,911 2,051,367 #Micro-Star International Co., Ltd.................... 13,181,985 5,951,895 #Mirle Automation Corp................................ 523,550 332,273 Mitac International Corp............................. 19,879,450 6,571,337 Mobiletron Electronics Co., Ltd...................... 153,000 80,920 *Mosel Vitelic, Inc................................... 10,157,170 636,290 #*Motech Industries, Inc............................... 971,000 747,907 #Nan Ya Printed Circuit Board Corp.................... 3,320,000 3,806,908 Nantex Industry Co., Ltd............................. 2,120,063 1,353,421 *Nanya Technology Corp................................ 4,221,000 201,945 #*Neo Solar Power Corp................................. 9,217,000 4,440,434 #New Asia Construction & Development Co., Ltd......... 1,773,993 490,565 Nichidenbo Corp...................................... 90,474 62,331 Nien Hsing Textile Co., Ltd.......................... 4,012,602 2,746,541 *Nishoku Technology, Inc.............................. 7,000 12,803 *Ocean Plastics Co., Ltd.............................. 469,000 377,128 *Optimax Technology Corp.............................. 1,305,597 118,285 OptoTech Corp........................................ 9,223,000 3,419,580 *Orient Semiconductor Electronics, Ltd................ 5,107,276 698,394 Pacific Construction Co., Ltd........................ 1,922,452 513,408 *Pan Jit International, Inc........................... 5,521,837 1,830,622 *Pan-International Industrial Corp.................... 2,210,967 1,824,215 #Paragon Technologies Co., Ltd........................ 1,209,100 1,393,603 #*Pegatron Corp........................................ 26,498,998 33,409,015 Phihong Technology Co., Ltd.......................... 682,320 446,571 *Picvue Electronics, Ltd.............................. 241,600 -- Plotech Co., Ltd..................................... 894,282 345,593 *Portwell, Inc........................................ 152,000 145,523 *Potrans Electrical Corp.............................. 1,139,000 169,997 Pou Chen Corp........................................ 29,022,550 29,339,874 *Power Quotient International Co., Ltd................ 876,000 365,173 Powercom Co., Ltd.................................... 2,937,930 655,582 *Powertech Industrial Co., Ltd........................ 131,000 84,262 #Powertech Technology, Inc............................ 5,986,000 9,286,157 *President Securities Corp............................ 12,145,992 6,542,501 Prince Housing & Development Corp.................... 5,177,075 3,478,066 *Procomp Informatics, Ltd............................. 391,440 -- *Prodisc Technology, Inc.............................. 6,185,157 35,994 #Promate Electronic Co., Ltd.......................... 949,000 758,212 *Promise Technology, Inc.............................. 74,000 27,822 #*Qisda Corp........................................... 25,179,171 5,422,436 *Quanta Storage, Inc.................................. 477,000 283,471 Quintain Steel Co., Ltd.............................. 5,769,629 1,232,772 Radiant Opto-Electronics Corp........................ 1,331,624 5,530,761 #Radium Life Tech Corp................................ 9,580,369 5,956,544 #Ralec Electronic Corp................................ 477,087 443,081 Realtek Semiconductor Corp........................... 1,418,888 2,667,519 Rechi Precision Co., Ltd............................. 2,253,836 1,607,054 *Rich Development Co., Ltd............................ 1,472,000 712,735 #*Ritek Corp........................................... 46,819,622 4,785,546 *Sainfoin Technology Corp............................. 835,498 -- Sampo Corp........................................... 9,606,925 2,969,508 *Sanyang Industrial Co., Ltd.......................... 12,416,624 7,894,886 Sanyo Electric Taiwan Co., Ltd....................... 318,000 321,502 SDI Corp............................................. 1,039,000 683,714 Sesoda Corp.......................................... 927,500 980,453 Shan-Loong Transportation Co., Ltd................... 66,000 48,224 Sheng Yu Steel Co., Ltd.............................. 1,918,000 1,174,813
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) #ShenMao Technology, Inc.............................. 1,034,000 $ 1,115,079 Shih Wei Navigation Co., Ltd......................... 1,430,000 1,179,327 Shihlin Electric & Engineering Corp.................. 4,381,000 5,201,589 #*Shin Kong Financial Holding Co., Ltd................. 94,145,151 24,354,505 Shin Zu Shing Co., Ltd............................... 685,067 2,365,731 #Shinkong Insurance Co., Ltd.......................... 3,044,412 1,942,971 Shinkong Synthetic Fibers Co., Ltd................... 26,053,754 7,988,518 #*Shuttle, Inc......................................... 2,425,015 825,069 #Sigurd Microelectronics Corp......................... 6,636,047 5,503,768 #*Silicon Integrated Systems Corp...................... 10,194,165 3,729,806 Sinbon Electronics Co., Ltd.......................... 2,428,000 2,129,480 Sincere Navigation Corp.............................. 4,532,740 3,798,742 Sinkang Industries, Ltd.............................. 910,557 307,423 #*Sino-American Silicon Products, Inc.................. 1,344,000 1,296,724 #Sinon Corp........................................... 5,964,877 2,612,259 SinoPac Financial Holdings Co., Ltd.................. 105,379,958 40,717,341 *Sirtec International Co., Ltd........................ 277,000 307,749 Sitronix Technology Corp............................. 1,341,000 1,679,693 #*Siward Crystal Technology Co., Ltd................... 1,411,875 392,467 *Solomon Technology Corp.............................. 1,375,950 520,136 #*Solytech Enterprise Corp............................. 2,027,000 588,880 #Southeast Cement Co., Ltd............................ 3,491,700 1,522,458 Spirox Corp.......................................... 1,115,661 425,507 Standard Chemical & Pharmaceutical Co., Ltd.......... 166,181 137,521 Star Comgistic Capital Co., Ltd...................... 964,460 345,799 #Stark Technology, Inc................................ 2,041,200 1,678,746 Sunonwealth Electric Machine Industry Co., Ltd....... 478,421 286,431 *Sunplus Technology Co., Ltd.......................... 8,214,620 2,289,878 Sunrex Technology Corp............................... 920,000 385,665 Sunspring Metal Corp................................. 96,000 88,193 Super Dragon Technology Co., Ltd..................... 184,175 146,185 #Supreme Electronics Co., Ltd......................... 3,110,681 1,133,137 Sweeten Construction Co., Ltd........................ 1,191,825 651,121 *Sysage Technology Co., Ltd........................... 104,000 87,670 Sysware Systex Corp.................................. 801,801 846,353 Ta Chen Stainless Pipe Co., Ltd...................... 7,322,074 3,545,203 *Ta Chong Bank, Ltd................................... 25,875,840 8,115,619 Ta Ya Electric Wire & Cable Co., Ltd................. 8,860,329 2,039,908 #Tah Hsin Industrial Corp............................. 1,700,000 1,598,822 *TAI Roun Products Co., Ltd........................... 63,000 22,418 TA-I Technology Co., Ltd............................. 1,605,915 911,729 Taichung Commercial Bank............................. 24,913,654 7,881,109 #Tainan Enterprises Co., Ltd.......................... 1,689,183 1,640,960 #Tainan Spinning Co., Ltd............................. 16,079,442 7,091,633 #Taishin Financial Holdings Co., Ltd.................. 89,807,230 32,081,338 #Taisun Enterprise Co., Ltd........................... 3,464,410 1,847,795 Taita Chemical Co., Ltd.............................. 3,960,264 1,171,694 *Taiwan Business Bank................................. 51,666,106 14,360,067 Taiwan Cement Corp................................... 44,762,440 57,316,325 Taiwan Cogeneration Corp............................. 3,677,333 2,358,389 Taiwan Cooperative Financial Holding, Ltd............ 76,087,819 39,553,995 Taiwan Fertilizer Co., Ltd........................... 601,000 1,430,323 Taiwan Fire & Marine Insurance Co., Ltd.............. 1,144,000 802,296 *Taiwan Flourescent Lamp Co., Ltd..................... 756,000 77,120 #Taiwan Fu Hsing Industrial Co., Ltd.................. 2,083,000 1,646,817 #Taiwan Glass Industry Corp........................... 9,558,710 9,133,916 *Taiwan Hopax Chemicals Manufacturing Co., Ltd........ 235,000 93,312 *Taiwan Kolin Co., Ltd................................ 5,797,000 -- #*Taiwan Land Development Corp......................... 9,613,215 3,743,027 Taiwan Mask Corp..................................... 3,148,250 996,342 Taiwan Navigation Co., Ltd........................... 541,000 424,085
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) Taiwan Paiho Co., Ltd................................ 3,052,550 $ 1,665,130 #Taiwan Pulp & Paper Corp............................. 7,035,660 2,062,217 Taiwan Sakura Corp................................... 2,643,472 1,410,236 *Taiwan Semiconductor Co., Ltd........................ 239,000 102,142 Taiwan Sogo Shinkong Security Co., Ltd............... 612,205 692,651 *Taiwan Styrene Monomer Corp.......................... 10,231,856 2,592,839 Taiwan Tea Corp...................................... 10,090,092 4,879,039 *Taiwan Union Technology Corp......................... 767,000 370,207 Taiyen Biotech Co., Ltd.............................. 3,286,000 2,192,316 #*Tatung Co., Ltd...................................... 30,310,982 6,951,726 *Teapo Electronic Corp................................ 679,860 90,178 Teco Electric & Machinery Co., Ltd................... 29,929,725 20,321,333 *Tecom, Ltd........................................... 703,753 46,197 *Tekcore Co., Ltd..................................... 82,000 32,055 Test-Rite International Co., Ltd..................... 1,841,266 1,363,542 #Thinking Electronic Industrial Co., Ltd.............. 1,350,000 1,285,364 Ton Yi Industrial Corp............................... 12,140,600 6,830,762 #Tong Yang Industry Co., Ltd.......................... 5,178,808 4,173,652 Tong-Tai Machine & Tool Co., Ltd..................... 2,875,753 2,144,237 Topco Scientific Co., Ltd............................ 1,312,719 1,939,695 #Topoint Technology Co., Ltd.......................... 2,277,924 1,281,687 Tung Ho Steel Enterprise Corp........................ 10,511,274 9,960,407 #Tung Ho Textile Co., Ltd............................. 2,775,000 763,657 TYC Brother Industrial Co., Ltd...................... 2,759,212 980,122 #*Tycoons Group Enterprise Co., Ltd.................... 8,168,938 1,234,833 *Tyntek Corp.......................................... 4,128,683 893,596 #*Tze Shin International Co., Ltd...................... 1,161,418 554,642 Unimicron Technology Corp............................ 22,801,363 23,297,221 #*Union Bank of Taiwan................................ 9,859,493 3,373,124 #Unitech Electronics Co., Ltd......................... 1,308,739 624,869 #Unitech Printed Circuit Board Corp................... 10,397,281 3,045,653 United Integration Service Co., Ltd.................. 1,576,000 1,382,173 #United Microelectronics Corp......................... 206,208,681 76,461,049 #Universal Cement Corp................................ 5,691,551 2,715,938 *Universal Microelectronics Co., Ltd.................. 353,491 77,848 Universal, Inc....................................... 62,902 35,307 Unizyx Holding Corp.................................. 6,453,000 2,625,603 UPC Technology Corp.................................. 11,858,140 6,104,808 USI Corp............................................. 5,766,691 4,338,462 #*U-Tech Media Corp.................................... 1,946,799 345,642 Ve Wong Corp......................................... 1,594,806 1,053,295 *Via Technologies, Inc................................ 14,500 6,639 *Wafer Works Corp..................................... 434,000 171,558 *Wah Hong Industrial Corp............................. 132,000 182,297 Wah Lee Industrial Corp.............................. 1,610,000 2,059,407 *Walsin Lihwa Corp.................................... 50,946,412 13,928,723 *Walsin Technology Corp., Ltd......................... 9,444,230 2,095,163 #*Walton Advanced Engineering, Inc..................... 4,981,853 1,300,880 *Wan Hai Lines Co., Ltd............................... 7,337,000 3,586,682 WAN HWA Enterprise Co., Ltd.......................... 676,568 330,980 Waterland Financial Holdings Co., Ltd................ 29,605,572 8,953,828 *WEI Chih Steel Industrial Co., Ltd................... 1,914,898 291,404 *Wei Mon Industry Co., Ltd............................ 1,515,000 720,767 Weikeng Industrial Co., Ltd.......................... 1,544,550 1,075,247 Well Shin Technology Co., Ltd........................ 935,080 1,282,753 *Wellypower Optronics Corp............................ 2,128,000 825,688 *Weltrend Semiconductor, Inc.......................... 1,405,000 494,642 #*Winbond Electronics Corp............................. 47,362,885 6,375,695 #*Wintek Corp.......................................... 32,517,507 12,829,762 #Wistron Corp......................................... 13,521,650 12,971,337 WPG Holdings, Ltd.................................... 1,513,092 1,825,024
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- -------------- TAIWAN -- (Continued) WT Microelectronics Co., Ltd................................... 3,043,096 $ 3,678,042 #*WUS Printed Circuit Co., Ltd................................... 5,868,928 2,377,765 *Yageo Corp..................................................... 33,089,840 9,571,392 *Yang Ming Marine Transport Corp................................ 22,980,676 8,960,819 YC INOX Co., Ltd............................................... 4,340,667 2,286,335 Yem Chio Co., Ltd.............................................. 2,810,511 1,995,090 YFY, Inc....................................................... 17,172,847 6,990,485 #*Yi Jinn Industrial Co., Ltd.................................... 4,146,796 985,362 Yieh Phui Enterprise Co., Ltd.................................. 15,236,235 4,243,557 #Young Fast Optoelectronics Co., Ltd............................ 2,425,000 4,153,545 Yuanta Financial Holding Co., Ltd.............................. 133,219,654 60,117,619 #Yulon Motor Co., Ltd........................................... 12,335,572 21,485,248 Yung Chi Paint & Varnish Manufacturing Co., Ltd................ 368,687 696,386 Yung Tay Engineering Co., Ltd.................................. 2,305,000 4,590,780 #Zenitron Corp.................................................. 2,906,000 1,759,239 #Zig Sheng Industrial Co., Ltd.................................. 8,081,834 2,464,211 Zippy Technology Corp.......................................... 343,000 239,261 -------------- TOTAL TAIWAN...................................................... 2,092,328,264 -------------- THAILAND -- (3.0%) A.J. Plast PCL (Foreign)....................................... 1,901,100 936,594 Aapico Hitech PCL (Foreign).................................... 539,800 390,981 Asia Plus Securities PCL (Foreign)............................. 13,554,300 1,008,281 Asian Property Development PCL (Foreign)....................... 7,736,700 2,196,062 Bangchak Petroleum PCL (Foreign)............................... 9,727,700 8,331,228 Bangkok Bank PCL (Foreign)..................................... 6,294,000 37,168,483 Bangkok Bank PCL (Foreign) NVDR................................ 8,364,700 48,305,119 Bangkok Expressway PCL (Foreign)............................... 5,220,100 4,726,192 Bangkok Insurance PCL (Foreign)................................ 151,520 1,319,930 Bangkokland PCL (Foreign)...................................... 119,899,203 5,163,685 Bank of Ayudhya PCL (Foreign).................................. 22,788,300 22,305,024 Bank of Ayudhya PCL (Foreign) NVDR............................. 6,065,200 5,855,062 Banpu PCL (Foreign)............................................ 818,450 10,681,240 Cal-Comp Electronics (Thailand) PCL (Foreign).................. 19,067,700 1,654,815 Capital Nomura Securities PCL (Foreign)........................ 248,600 255,494 Central Plaza Hotel PCL (Foreign).............................. 4,827,500 3,071,330 Charoong Thai Wire & Cable PCL (Foreign)....................... 7,300 2,322 Delta Electronics Thailand PCL (Foreign)....................... 6,746,600 6,438,436 Eastern Water Resources Development & Management PCL (Foreign). 8,211,500 3,402,481 Erawan Group PCL (Foreign)..................................... 5,037,850 562,135 Esso (Thailand) PCL (Foreign).................................. 23,143,400 8,154,934 *G J Steel PCL (Foreign)........................................ 214,856,100 981,398 *G Steel PCL (Foreign).......................................... 79,804,200 911,304 *GFPT PCL(Foreign).............................................. 151,500 36,083 *Golden Land Property PCL (Foreign) NVDR........................ 2,669,500 688,060 Hana Microelectronics PCL (Foreign)............................ 4,898,000 3,515,693 Hermraj Land & Development PCL (Foreign)....................... 29,104,000 2,981,617 ICC International PCL (Foreign)................................ 2,682,700 3,632,367 IRPC PCL (Foreign)............................................. 109,888,500 15,416,657 *Italian-Thai Development PCL (Foreign) NVDR.................... 26,606,800 3,507,063 Kang Yong Electric PCL (Foreign)............................... 3,400 36,052 KGI Securities (Thailand) PCL (Foreign)........................ 10,147,500 728,369 Kiatnakin Bank PCL (Foreign)................................... 4,546,400 6,600,809 Krung Thai Bank PCL (Foreign).................................. 81,680,000 48,235,171 *Krungthai Card PCL (Foreign)................................... 315,900 280,857 *Laguna Resorts & Hotels PCL (Foreign).......................... 1,342,400 1,565,768 Loxley PCL (Foreign)........................................... 9,376,400 1,419,462 MBK PCL (Foreign).............................................. 992,100 3,576,739 Padaeng Industry PCL (Foreign) NVDR............................ 1,412,500 599,103 Polyplex PCL (Foreign)......................................... 4,533,900 2,041,364 Precious Shipping PCL (Foreign)................................ 5,787,500 2,530,261
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ THAILAND -- (Continued) Property Perfect PCL (Foreign)...................... 35,661,100 $ 1,291,479 PTT Global Chemical PCL (Foreign)................... 31,932,741 63,552,927 PTT PCL (Foreign)................................... 5,915,600 61,375,556 Quality Houses PCL (Foreign)........................ 65,900,941 4,601,240 *Regional Container Lines PCL (Foreign).............. 5,424,700 1,238,920 Saha Pathana Inter-Holding PCL (Foreign)............ 2,906,200 2,797,158 Saha Pathanapibul PCL (Foreign)..................... 1,594,833 2,939,904 Saha-Union PCL (Foreign)............................ 2,976,400 3,690,153 *Sahaviriya Steel Industries PCL (Foreign)........... 117,166,640 2,523,001 Samart Corp. PCL (Foreign).......................... 1,561,100 570,451 Sansiri PCL (Foreign)............................... 51,381,964 5,163,343 SC Asset Corp. PCL (Foreign)........................ 4,542,500 2,845,546 Siamgas & Petrochemicals PCL (Foreign).............. 114,900 54,357 Somboon Advance Technology PCL (Foreign)............ 57,600 53,090 Sri Ayudhya Capital PCL (Foreign)................... 233,300 176,592 Sri Trang Agro Industry PCL (Foreign)............... 7,551,700 3,892,883 *Srithai Superware PCL (Foreign)..................... 348,100 329,361 *Tata Steel (Thailand) PCL (Foreign)................. 37,981,100 991,350 *Thai Airways International PCL (Foreign)............ 14,595,611 11,000,281 Thai Carbon Black PCL (Foreign)..................... 197,900 179,175 Thai Oil PCL (Foreign).............................. 10,763,000 23,439,812 Thai Rayon PCL (Foreign)............................ 165,000 274,551 Thai Stanley Electric PCL (Foreign)................. 193,800 1,378,414 Thai Stanley Electric PCL (Foreign) NVDR............ 43,100 306,551 Thai Wacoal PCL (Foreign)........................... 93,300 145,353 *Thaicom PCL (Foreign)............................... 7,862,900 5,643,843 Thanachart Capital PCL (Foreign).................... 9,080,500 10,961,778 Thoresen Thai Agencies PCL (Foreign)................ 5,034,900 2,628,333 Ticon Industrial Connection PCL (Foreign)........... 2,440,687 1,043,165 *Tipco Asphalt PCL (Foreign)......................... 13,700 20,561 Tisco Financial Group PCL (Foreign)................. 1,804,300 2,634,337 TMB Bank PCL (Foreign).............................. 209,038,700 12,549,142 Total Access Communication PCL (Foreign) (B1XFLM7).. 1,045,780 3,027,533 Total Access Communication PCL (Foreign) (B231MK7).. 7,344,500 20,847,357 TPI Polene PCL (Foreign)............................ 11,792,824 5,425,084 *Tycoons Worldwide Group PCL (Foreign)............... 1,243,300 261,641 Vanachai Group PCL (Foreign)........................ 7,803,700 1,237,389 Vinythai PCL (Foreign).............................. 6,507,217 3,906,453 ------------ TOTAL THAILAND......................................... 536,212,089 ------------ TURKEY -- (2.5%) Adana Cimento Sanayii T.A.S. Series A............... 929,251 1,830,537 Adana Cimento Sanayii T.A.S. Series C............... 48,500 18,948 Akcansa Cimento A.S................................. 275,629 1,357,435 *Akenerji Elektrik Uretim A.S........................ 610,003 711,421 *Akfen Holding A.S................................... 29,109 147,492 Aksa Akrilik Kimya Sanayii A.S...................... 1,735,088 4,557,939 Aksigorta A.S....................................... 1,246,074 1,405,275 Alarko Holding A.S.................................. 1,328,166 3,083,313 *Albaraka Turk Katilim Bankasi A.S................... 3,069,160 2,432,344 *Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 57,536 1,148,962 *Anadolu Anonim Tuerk Sigorta Sirketi A.S............ 4,326,842 2,219,411 *Anadolu Cam Sanayii A.S............................. 1,914,191 2,863,431 Arcelik A.S......................................... 1,205,734 7,968,964 *Asya Katilim Bankasi A.S............................ 9,625,868 10,803,678 Ayen Enerji A.S..................................... 1 1 Aygaz A.S........................................... 1,020,159 4,703,766 Baticim Bati Anabolu Cimento Sanayii A.S............ 259,882 974,395 Bolu Cimento Sanayii A.S............................ 1,056,634 777,852 Borusan Mannesmann Boru Sanayi ve Ticaret A.S....... 146,421 2,197,490 Cimsa Cimento Sanayi ve Ticaret A.S................. 588,148 2,780,919
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TURKEY -- (Continued) *Deva Holding A.S.......................................................... 620,118 $ 699,342 *Dogan Gazetecilik A.S..................................................... 572,836 463,848 *Dogan Sirketler Grubu Holding A.S......................................... 16,350,353 7,112,943 *Dogan Yayin Holding A.S................................................... 32,763 11,878 Dogus Otomotiv Servis ve Ticaret A.S...................................... 1,016,045 3,778,653 Eczacibasi Yatirim Holding Ortakligi A.S.................................. 665,589 2,176,244 EGE Seramik Sanayi ve Ticaret A.S......................................... 1,130,334 1,432,147 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 3,475,392 3,683,797 Eregli Demir ve Celik Fabrikalari T.A.S................................... 17,225,650 20,468,013 Gentas Genel Metal Sanayi ve Ticaret A.S.................................. 806,153 593,430 *Global Yatirim Holding A.S................................................ 4,381,715 3,078,888 *GSD Holding A.S........................................................... 4,585,286 1,764,418 *Gunes Sigorta A.S......................................................... 424,619 495,365 *Hurriyet Gazetecilik ve Matbaacilik A.S................................... 3,447,484 1,556,518 *Ihlas EV Aletleri A.S..................................................... 2,765,346 1,095,205 *Ihlas Holding A.S......................................................... 14,129,873 10,324,144 *Ipek Dogal Enerji Kaynaklari Ve Uretim A.S................................ 1,550,703 3,912,422 *Is Finansal Kiralama A.S.................................................. 2,665,969 1,456,643 Is Yatirim Menkul Degerler A.S............................................ 415,031 403,291 *Isiklar Yatirim Holding A.S............................................... 1,581,704 564,404 Ittifak Holding A.S....................................................... 92,228 266,691 *Izmir Demir Celik Sanayi A.S.............................................. 1,606,043 3,644,654 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A............... 3,504,754 2,875,300 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B............... 1,815,352 2,106,447 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D............... 11,265,029 8,292,991 KOC Holding A.S. Series B................................................. 12,307,828 57,824,446 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S........ 818,697 1,640,004 *Koza Anadolu Metal Madencilik Isletmeleri A.S............................. 3,016,595 7,658,974 *Marti Otel Isletmeleri A.S................................................ -- -- *Menderes Tekstil Sanayi ve Ticaret A.S.................................... 4,899,721 1,638,983 *Metro Ticari ve Mali Yatirimlar Holding A.S............................... 3,286,794 863,049 *Net Turizm Ticaret ve Sanayi A.S.......................................... 3,429,929 1,225,609 Netas Telekomunikasyon A.S................................................ 1,704 9,878 Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S..................... 99,140 363,968 Petkim Petrokimya Holding A.S............................................. 5,609,676 6,416,583 Pinar Entegre Et ve Un Sanayi A.S......................................... 319,142 1,022,469 Pinar SUT Mamulleri Sanayii A.S........................................... 184,329 1,505,761 *Polyester Sanayi A.S...................................................... 2,097,738 1,404,211 *Raks Elektronik Sanayi ve Ticaret A.S..................................... 5,859 2,582 *Reysas Tasimacilik ve Lojistik Ticaret A.S................................ 43,575 17,988 *Sabah Yayincilik A.S...................................................... 31,938 67,707 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S........................ 1,335,250 1,714,070 *Sekerbank T.A.S........................................................... 6,881,502 5,875,256 Selcuk Ecza Deposu Ticaret ve Sanayi A.S.................................. 2,180,465 2,616,310 *Soda Sanayii A.S.......................................................... 854,840 1,326,634 Tekfen Holding A.S........................................................ 1,777,235 6,430,987 *Tekstil Bankasi A.S....................................................... 1,683,023 647,794 *Trakya Cam Sanayii A.S.................................................... 4,162,753 5,093,631 Turcas Petrol A.S......................................................... 1,352,130 2,188,279 *Turk Hava Yollari A.S..................................................... 11,412,196 26,434,224 Turkiye Is Bankasi A.S.................................................... 26,987,224 91,891,467 Turkiye Sinai Kalkinma Bankasi A.S........................................ 5,427,931 6,240,300 Turkiye Sise ve Cam Fabrikalari A.S....................................... 6,563,912 9,596,242 Turkiye Vakiflar Bankasi T.A.O............................................ 13,789,100 32,480,322 Ulker Biskuvi Sanayi A.S.................................................. 1,193,622 5,415,268 *Uzel Makina Sanayii A.S................................................... 275,043 -- *Vestel Beyaz Esya Sanayi ve Ticaret A.S................................... 1,067,440 1,524,611 *Vestel Elektronik Sanayi ve Ticaret A.S................................... 2,059,212 2,069,583
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- --------------- TURKEY -- (Continued) *Yapi ve Kredi Bankasi A.S................................. 13,027,710 $ 33,462,762 --------------- TOTAL TURKEY.................................................. 450,911,201 --------------- TOTAL COMMON STOCKS........................................... 16,026,976,352 --------------- PREFERRED STOCKS -- (4.4%) BRAZIL -- (4.4%) Alpargatas SA.............................................. 396,962 3,005,974 Banco ABC Brasil SA........................................ 836,004 4,749,999 Banco Alfa de Investimento SA.............................. 60,126 150,681 Banco Daycoval SA.......................................... 566,248 2,952,446 Banco do Estado do Rio Grande do Sul SA.................... 825,871 6,526,294 Banco Industrial e Comercial SA............................ 1,643,900 5,390,499 *Banco Indusval SA.......................................... 200 664 Banco Panamericano SA...................................... 1,025,800 2,353,575 Banco Pine SA.............................................. 347,277 2,427,972 Banco Sofisa SA............................................ 694,800 1,221,258 Braskem SA Preferred Series A.............................. 1,953,967 12,910,680 #Braskem SA Sponsored ADR................................... 625,703 8,184,195 *Cia de Tecidos Norte de Minas - Coteminas SA............... 901,775 1,243,185 Cia Ferro Ligas da Bahia - Ferbasa......................... 887,334 4,355,737 Eucatex SA Industria e Comercio SA......................... 163,188 645,987 Financeira Alfa SA Credito Financiamento e Investimentos... 33,900 74,942 Forjas Taurus SA........................................... 995,390 1,622,186 Gerdau SA.................................................. 4,348,672 38,004,445 #Gerdau SA Sponsored ADR.................................... 10,428,393 91,665,574 *Inepar SA Industria e Construcoes.......................... 1,430,808 1,352,577 Klabin SA.................................................. 7,228,638 42,459,640 *Mangels Industrial SA...................................... 3,600 5,707 Marcopolo SA............................................... 1,173,349 6,880,474 Parana Banco SA............................................ 117,100 780,647 Petroleo Brasileiro SA..................................... 12,506,758 128,081,813 Petroleo Brasileiro SA ADR................................. 16,172,808 332,027,748 Suzano Papel e Celulose SA................................. 6,209,800 16,143,248 Unipar Participacoes SA Preferred Series B................. 8,925,036 1,801,662 Usinas Siderurgicas de Minas Gerais SA Perferred Series A.. 11,752,415 56,764,329 *Vale SA.................................................... 239,144 10,479 Whirlpool SA............................................... 71,400 110,384 --------------- TOTAL BRAZIL.................................................. 773,905,001 --------------- COLOMBIA -- (0.0%) Grupo de Inversiones Suramericana SA....................... 170,374 3,489,767 --------------- INDIA -- (0.0%) *JSW ISPAT Steel, Ltd....................................... 488,036 41,292 --------------- MALAYSIA -- (0.0%) *TA Global Berhad........................................... 3,497,803 281,138 --------------- TOTAL PREFERRED STOCKS........................................ 777,717,198 --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) *Viver Incorporadora e Construtora SA Rights 11/05/12....... 508,767 50,099 --------------- MALAYSIA -- (0.0%) *Hubline Berhad Warrants 11/04/19........................... 925,580 7,597 *Malayan Flour Mills Berhad Warrants 05/09/17............... 27,250 3,131 *RCE Capital Berhad Rights 11/19/12......................... 2,176,200 -- --------------- TOTAL MALAYSIA................................................ 10,728 --------------- POLAND -- (0.0%) *Polimex-Mostostal SA Rights................................ 10,512,907 48,734 ---------------
39 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- --------------- THAILAND -- (0.0%) *Sahaviriya Steel Industries PCL (Foreign) Rights 11/30/12................................. 11,716,664 $ -- --------------- TURKEY -- (0.0%) *ArcelorMittal Warrants 12/04/12........................................................... 794,124 -- --------------- TOTAL RIGHTS/WARRANTS........................................................................ 109,561 --------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (5.9%) (S)@DFA Short Term Investment Fund........................................................... 90,406,223 1,046,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $10,294,594) to be repurchased at $10,092,837............................................................................. $ 10,093 10,092,739 --------------- TOTAL SECURITIES LENDING COLLATERAL.......................................................... 1,056,092,739 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $18,106,640,494) $17,860,895,850 ===============
40 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors and Shareholders of Dimensional Emerging Markets Value Fund: We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of Dimensional Emerging Markets Value Fund (hereafter referred to as the "Fund") as of October 31, 2012, and for the year then ended and have issued our unqualified report thereon dated December 21, 2012 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audit included an audit of the Fund's investment portfolio (the "Portfolio") as of October 31, 2012 appearing in Item 6 of this Form N-CSR. This Portfolio is the responsibility of the Fund's management. Our responsibility is to express an opinion on this Portfolio based on our audit. In our opinion, the Portfolio referred to above, when read in conjunction with the financial statements of the Fund referred to above, presents fairly, in all material respects, the information set forth therein. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 11. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR (the "Report"), the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Code of Ethics is filed herewith. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3) This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Emerging Markets Value Fund By: /s/ David G. Booth ------------------------------------ David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: January 3, 2013 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth ---------------------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund Date: January 3, 2013 By: /s/ David R. Martin ---------------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 3, 2013 EX-99.CODE ETH 2 d413354dex99codeeth.txt CODE OF ETHICS EFFECTIVE DATE: JANUARY 1, 2006* CONFIDENTIAL AND PROPRIETARY CODE OF BUSINESS ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL EMERGING MARKETS VALUE FUND INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY I. COVERED OFFICERS AND PURPOSES OF THE CODE ----------------------------------------- The Boards of Directors/Trustees (together, the "Boards") of DFA Investment Dimensions Group Inc., Dimensional Emerging Markets Value Fund Inc., Dimensional Investment Group Inc. and The DFA Investment Trust Company (each a "Fund," and together, the "Funds") have adopted this Code of Business Ethics for Principal Executive and Financial Officers (the "Code"). The Code applies to the Funds' principal executive officers and principal financial officers (together, the "Covered Officers"), and is adopted to promote: . honest and ethical conduct, including the ethical handling of conflicts of interest; . full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (the "SEC"), and in other public communications made by the Funds; . compliance with applicable laws and governmental rules and regulations; . the prompt internal reporting of violations of the Code to the appropriate person(s) identified in the Code; and . accountability for adherence to the Code. II. COVERED OFFICERS SHOULD "ADHERE TO A HIGH STANDARD OF BUSINESS ETHICS" --------------------------------------------------------------------- Each Covered Officer owes a duty to the Funds to adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual, as well as apparent, conflicts of interests. Each Covered Officer shall: . observe all laws and governmental rules and regulations, accounting standards and Fund policies; . adhere to a high standard of business ethics; and . place the interests of the Funds before the Covered Officer's own personal interests. All activities of Covered Officers should be guided by and adhere to these fiduciary standards. [GRAPHIC] III. COVERED OFFICERS SHOULD HANDLE ETHICALLY CONFLICTS OF INTEREST -------------------------------------------------------------- GUIDING PRINCIPLES. A "conflict of interest" occurs when a Covered Officer's private interests interfere with the interests of, or his service to, the Funds. A conflict of interest can arise when a Covered Officer takes actions or has interests that may make it difficult to perform his Fund work objectively and effectively. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his positions with the Funds. In addition, the Funds must be sensitive to situations that create apparent, if not actual, conflicts of interest. Service to the Funds should not be subordinated to personal gain and advantage. Certain conflicts of interest covered by this Code arise out of the relationships between Covered Officers and the Funds that already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the "1940 Act"), and the Investment Advisers Act of 1940, as amended (the "Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of the Covered Officers' status as "affiliated persons" of the Funds. The compliance programs and procedures of the Funds and Dimensional Fund Advisors LP, the Funds' investment advisor and administrator (the "Advisor"), are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace those compliance programs and procedures. Covered Officers must in all cases comply with applicable statutes and regulations. Although typically not presenting an opportunity for improper personal benefit, conflicts of interest arise from, or as a result of, the contractual relationships between the Funds and the Advisor, of which the Covered Officers are also officers or employees. As a result, it is recognized by the Boards that, subject to the Advisor's fiduciary duties to the Funds, the Covered Officers will, in the normal course of their duties (whether formally for the Funds or for the Advisor, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Advisor and the Funds. The Boards recognize that the participation of the Covered Officers in such activities is inherent in the contractual relationships between the Funds and the Advisor, and is consistent with the expectation of the Boards of the performance by the Covered Officers of their duties as officers of the Funds. Such participation, if addressed in conformity with the provisions of the 1940 Act and the Advisers Act, will be deemed to have been handled ethically. In addition, it is recognized by the Boards that the Covered Officers may also be officers or employees of one or more other investment companies advised by the Advisor and covered by this or other Codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the 1940 Act and the Advisers Act. In reading the following examples of conflicts of interest under the Code, the Covered Officers should keep in mind that such a list cannot be exhaustive by covering every possible scenario. It follows that the overarching principle--that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fund--should be the guiding principle in all circumstances. Each Covered Officer must: . avoid conflicts of interest whenever possible; . handle any actual or apparent conflict of interest ethically; 2 [GRAPHIC] . not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds; . not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Funds; . not use material, non-public knowledge of portfolio transactions made or contemplated for the Funds to profit personally, or to cause others to profit, by the market effect of such transactions; and . as described in more detail below, discuss any material transaction or relationship, which could reasonably be expected to give rise to a conflict of interest, with the Chief Compliance Officer of the Funds (the "Designated Ethics Officer"). In the event the Chief Compliance Officer of the Funds is not available, the Chairman of the Audit Committee may take action required hereunder of the Designated Ethics Officer. There are some conflict of interest situations that should always be discussed with the Designated Ethics Officer, if material. Examples of these situations include: . any outside business activity that detracts from an individual's ability to devote appropriate time and attention to his responsibilities with the Funds; . service as a director on the board of any public or private company; . the receipt of any non-nominal gifts; . the receipt of any entertainment from any company with which the Funds have current or prospective business dealings, unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; . being in the position of supervising, reviewing or having any influence on the job evaluation, pay or benefit of any immediate family member; . any ownership interest in, or any consulting or employment relationship with, any of the Funds' service providers, other than the Advisor and DFA Securities LLC ("DFAS"), or any affiliated person thereof; and . a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership. IV. DISCLOSURE ---------- Each Covered Officer is required to be familiar and comply with the Funds' disclosure controls and procedures so that the Funds' subject reports and documents filed with the SEC comply in all material respects with the applicable federal securities laws and SEC rules. In addition, each Covered 3 [GRAPHIC] Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his area of responsibility, consult with other Fund officers and employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure. Each Covered Officer: . must familiarize himself with the disclosure requirements applicable to the Funds as well as the business and financial operations of the Funds; and . must not knowingly misrepresent, or intentionally cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds' directors/trustees and auditors, and to governmental regulators and self-regulatory organizations. V. COMPLIANCE ---------- It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters. VI. REPORTING AND ACCOUNTABILITY ---------------------------- Each Covered Officer must: . upon adoption of the Code, affirm in writing to the Designated Ethics Officer that he has received, read, and understands the Code; . annually thereafter affirm to the Designated Ethics Officer that he has received, read and understands the Code and has complied with the requirements of the Code; . not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith; and . notify the Designated Ethics Officer promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Designated Ethics Officer is responsible for applying the provisions of the Code to specific situations in which questions arise under the Code, and the Designated Ethics Officer has the authority to interpret this Code in any particular situation. The Designated Ethics Officer is authorized (and encouraged) to consult, as appropriate, with the Audit Committee of the Funds, the members of the Boards who are not "interested persons" (together, the "Independent Directors"), and counsel to the Funds and the Independent Directors. The Funds will comply with the following procedures in investigating and enforcing this Code: 4 [GRAPHIC] . the Designated Ethics Officer will take all appropriate action to investigate any violations and potential violations reported to him; . violations and potential violations will be reported to the Audit Committee after such investigation; . if the Audit Committee determines that a violation of this Code has occurred, the Audit Committee will consider appropriate action, which may include the review of, and necessary modifications to, applicable policies and procedures; notification to appropriate personnel of the Advisor or the Advisor's board of directors; or recommending the dismissal of the Covered Officer; . appropriate disciplinary or preventive action may include a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities; . the Audit Committee will report to the Boards any action (whether disciplinary, preventive or otherwise) taken to address violations of this Code; . the Audit Committee will be responsible for granting waivers and determining sanctions, as appropriate; and . any changes to or waivers of this Code will, to the extent required, be disclosed on Form N-CSR as provided by SEC rules. VII. OTHER POLICIES AND PROCEDURES ----------------------------- The code of ethics under Rule 17j-1 under the 1940 Act, adopted by the Funds, the Advisor and the affiliated companies of the Advisor, and the Advisor's policies and procedures set forth in the Statement of Policy of Employee Trading are separate requirements applying to the Covered Officers and others, and are not part of this Code. VIII. AMENDMENTS ---------- This Code may not be amended except in written form, which is specifically approved or ratified by a majority vote of the Boards, including a majority of the Independent Directors. IX. CONFIDENTIALITY --------------- All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the members of the Boards and their counsel, the Funds, and the Advisor. 5 [GRAPHIC] X. INTERNAL USE ------------ The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion. Date: January 1, 2006 6 [GRAPHIC] EXHIBIT A PERSONS COVERED BY THIS CODE OF BUSINESS ETHICS ----------------------------------------------- David G. Booth (Principal Executive Officer of the Funds) David R. Martin (Principal Financial Officer of the Funds) A-1 [GRAPHIC] EX-99.CERT 3 d413354dex99cert.txt 302 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: January 3, 2013 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: January 3, 2013 By: /s/ David R. Martin ------------------------------------------ David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906CERT 4 d413354dex99906cert.txt 906 CERTIFICATIONS CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and David R. Martin, Principal Financial Officer, of Dimensional Emerging Markets Value Fund, a Delaware statutory trust (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended October 31, 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: January 3, 2013 By: /s/ David R. Martin ------------------------------------------ David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 3, 2013