0001193125-13-285862.txt : 20130709 0001193125-13-285862.hdr.sgml : 20130709 20130709140633 ACCESSION NUMBER: 0001193125-13-285862 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20130430 FILED AS OF DATE: 20130709 DATE AS OF CHANGE: 20130709 EFFECTIVENESS DATE: 20130709 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND CENTRAL INDEX KEY: 0000896163 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 13959325 BUSINESS ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 BUSINESS PHONE: (512) 306-7400 MAIL ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 FORMER COMPANY: FORMER CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND INC DATE OF NAME CHANGE: 19981217 0000896163 S000001027 DIMENSIONAL EMERGING MARKETS VALUE FUND INC C000002781 DIMENSIONAL EMERGING MARKETS VALUE FUND INC N-CSRS 1 d533616dncsrs.txt DIMENSIONAL EMERGING MARKETS VALUE FUND ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 ----------------- FORM N-CSR ----------------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-7440 ----------------- DIMENSIONAL EMERGING MARKETS VALUE FUND (EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER) ----------------- 6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746 (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE) ----------------- CATHERINE L. NEWELL, ESQUIRE, VICE PRESIDENT AND SECRETARY DIMENSIONAL EMERGING MARKETS VALUE FUND, 6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746 (NAME AND ADDRESS OF AGENT FOR SERVICE) ----------------- REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400 DATE OF FISCAL YEAR END: OCTOBER 31 DATE OF REPORTING PERIOD: NOVEMBER 1, 2012 - APRIL 30, 2013 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2013 (Unaudited) DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2013 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 Chairman and Co-Chief Executive Officer SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.......................... 1 DFA Investment Dimensions Group Inc. Disclosure of Fund Expenses...................................... 3 Disclosure of Portfolio Holdings................................. 9 Schedules of Investments/Summary Schedules of Portfolio Holdings. 12 Enhanced U.S. Large Company Portfolio........................ 12 U.S. Large Cap Value Portfolio............................... 16 U.S. Targeted Value Portfolio................................ 17 U.S. Small Cap Value Portfolio............................... 20 U.S. Core Equity 1 Portfolio................................. 23 U.S. Core Equity 2 Portfolio................................. 26 U.S. Vector Equity Portfolio................................. 29 U.S. Small Cap Portfolio..................................... 32 U.S. Micro Cap Portfolio..................................... 35 DFA Real Estate Securities Portfolio......................... 38 Large Cap International Portfolio............................ 40 International Core Equity Portfolio.......................... 44 International Small Company Portfolio........................ 49 Japanese Small Company Portfolio............................. 50 Asia Pacific Small Company Portfolio......................... 50 United Kingdom Small Company Portfolio....................... 51 Continental Small Company Portfolio.......................... 51 DFA International Real Estate Securities Portfolio........... 52 DFA Global Real Estate Securities Portfolio.................. 56 DFA International Small Cap Value Portfolio.................. 57 International Vector Equity Portfolio........................ 62 World ex U.S. Value Portfolio................................ 67 World ex U.S. Targeted Value Portfolio....................... 68 World ex U.S. Core Equity Portfolio.......................... 69 Selectively Hedged Global Equity Portfolio................... 70 Emerging Markets Portfolio................................... 71 Emerging Markets Small Cap Portfolio......................... 71 Emerging Markets Value Portfolio............................. 71 Emerging Markets Core Equity Portfolio....................... 72 Statements of Assets and Liabilities............................. 77 Statements of Operations......................................... 84 Statements of Changes in Net Assets.............................. 91 Financial Highlights............................................. 101 Notes to Financial Statements.................................... 118
i TABLE OF CONTENTS CONTINUED
Page ---- DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Consolidated Disclosure of Fund Expenses............................. 144 Consolidated Disclosure of Portfolio Holdings........................ 145 Consolidated Schedule of Investments................................. 146 Consolidated Statement of Assets and Liabilities..................... 151 Consolidated Statement of Operations................................. 152 Consolidated Statements of Changes in Net Assets..................... 153 Consolidated Financial Highlights.................................... 154 Consolidated Notes to Financial Statements........................... 155 Dimensional Investment Group Inc. Disclosure of Fund Expenses.......................................... 167 Disclosure of Portfolio Holdings..................................... 169 Schedule of Investments/Summary Schedule of Portfolio Holdings....... 170 DFA International Value Portfolio................................ 170 U.S. Large Company Portfolio..................................... 171 Statements of Assets and Liabilities................................. 174 Statements of Operations............................................. 175 Statements of Changes in Net Assets.................................. 176 Financial Highlights................................................. 177 Notes to Financial Statements........................................ 179 The DFA Investment Trust Company Disclosure of Fund Expenses.......................................... 190 Disclosure of Portfolio Holdings..................................... 192 Summary Schedules of Portfolio Holdings.............................. 194 The U.S. Large Cap Value Series.................................. 194 The DFA International Value Series............................... 197 The Japanese Small Company Series................................ 201 The Asia Pacific Small Company Series............................ 204 The United Kingdom Small Company Series.......................... 207 The Continental Small Company Series............................. 210 The Canadian Small Company Series................................ 214 The Emerging Markets Series...................................... 217 The Emerging Markets Small Cap Series............................ 221 Statements of Assets and Liabilities................................. 225 Statements of Operations............................................. 227 Statements of Changes in Net Assets.................................. 229 Financial Highlights................................................. 232 Notes to Financial Statements........................................ 237
ii TABLE OF CONTENTS CONTINUED
Page ---- Dimensional Emerging Markets Value Fund Disclosure of Fund Expenses................... 247 Disclosure of Portfolio Holdings.............. 248 Summary Schedule of Portfolio Holdings........ 249 Statement of Assets and Liabilities........... 253 Statement of Operations....................... 254 Statements of Changes in Net Assets........... 255 Financial Highlights.......................... 256 Notes to Financial Statements................. 257 Voting Proxies on Fund Portfolio Securities...... 263 Board Approval of Investment Advisory Agreements. 264
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings ---------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt FNMA Federal National Mortgage Association P.L.C. Public Limited Company REIT Real Estate Investment Trust SPDR Standard & Poor's Depository Receipts AUD Australian Dollars CAD Canadian Dollars EUR Euro GBP British Pounds NOK Norwegian Krone NZD New Zealand Dollars SEK Swedish Krona USD United States Dollars Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in USD, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of April 30, 2013. ^^ Security segregated as collateral for the Open Futures Contracts. @@ Security segregated as collateral for Swap Agreements. (o) Security is being fair valued as of April 30, 2013. ## Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (S) Affiliated Fund.
1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Annualized (C) Non-Annualized (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (E) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations.
2 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2013 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,143.50 0.25% $1.33 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,023.55 0.25% $1.25
3 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,183.80 0.27% $1.46 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35 U.S. Targeted Value Portfolio ----------------------------- Actual Fund Return Class R1 Shares................. $1,000.00 $1,186.80 0.48% $2.60 Class R2 Shares................. $1,000.00 $1,185.90 0.63% $3.41 Institutional Class Shares...... $1,000.00 $1,187.20 0.37% $2.01 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.41 0.48% $2.41 Class R2 Shares................. $1,000.00 $1,021.67 0.63% $3.16 Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86 U.S. Small Cap Value Portfolio ------------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,188.30 0.52% $2.82 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61 U.S. Core Equity 1 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,161.10 0.19% $1.02 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95 U.S. Core Equity 2 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,165.90 0.22% $1.18 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.70 0.22% $1.10 U.S. Vector Equity Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,175.20 0.32% $1.73 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61 U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,165.30 0.37% $1.99 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
4 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- U.S. Micro Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,164.70 0.52% $2.79 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.22 0.52% $2.61 DFA Real Estate Securities Portfolio ------------------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,186.10 0.18% $0.98 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.90 0.18% $0.90 Large Cap International Portfolio --------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,149.40 0.29% $1.55 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.36 0.29% $1.45 International Core Equity Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,154.80 0.39% $2.08 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.86 0.39% $1.96 International Small Company Portfolio*** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,153.80 0.56% $2.99 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.02 0.56% $2.81 Japanese Small Company Portfolio** ---------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,258.20 0.57% $3.19 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,021.97 0.57% $2.86 Asia Pacific Small Company Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,104.70 0.59% $3.08 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,021.87 0.59% $2.96 United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,149.30 0.59% $3.14 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,021.87 0.59% $2.96
5 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- Continental Small Company Portfolio** ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,162.20 0.59% $3.16 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.87 0.59% $2.96 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,154.20 0.40% $2.14 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.81 0.40% $2.01 DFA Global Real Estate Securities Portfolio*** ---------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,171.80 0.32% $1.72 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.21 0.32% $1.61 DFA International Small Cap Value Portfolio ------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,196.00 0.70% $3.81 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.32 0.70% $3.51 International Vector Equity Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,159.60 0.52% $2.78 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.22 0.52% $2.61 World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,129.20 0.60% $3.17 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01 World ex U.S. Targeted Value Portfolio@ --------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,154.90 0.80% $4.25 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,020.83 0.80% $4.01 World ex U.S. Core Equity Portfolio# ------------------------------------ Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,016.00 0.47% $0.27 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.46 0.47% $2.36
6 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,154.20 0.40% $2.14 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.81 0.40% $2.01 Emerging Markets Portfolio** ---------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,060.80 0.59% $3.01 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.87 0.59% $2.96 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,128.10 0.79% $4.17 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,020.88 0.79% $3.96 Emerging Markets Value Portfolio** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $1,082.70 0.84% $4.34 Institutional Class Shares................... $1,000.00 $1,084.00 0.59% $3.05 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,020.63 0.84% $4.21 Institutional Class Shares................... $1,000.00 $1,021.87 0.59% $2.96 Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,081.70 0.64% $3.30 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.62 0.64% $3.21
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. **The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). ***The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). @ World ex U.S. Targeted Value Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). The Portfolio commenced operations on November 1, 2012. Expenses are equal to the fund's annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (180), then divided by the number of days in the 7 DISCLOSURE OF FUND EXPENSES CONTINUED year (365) to reflect the period. The "Ending Account Value" is derived from the fund's share class actual return since inception. The "Hypothetical 5% Annual Return" information reflects the 181 day period for the six months ended April 30, 2013 to allow for comparability. # World ex U.S. Core Equity Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). The Portfolio commenced operations on April 9, 2013. Expenses are equal to the fund's annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (21), then divided by the number of days in the year (365) to reflect the period. The "Ending Account Value" is derived from the fund's share class actual return since inception. The "Hypothetical 5% Annual Return" information reflects the 181 day period for the six months ended April 30, 2013 to allow for comparability. 8 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on March 27, 2013. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. The categories of industry classification for the Affiliated Investment Companies are represented in their Disclosures of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Master Fund's holdings which reflect the investments by category or country. FEEDER FUNDS
Affiliated Investment Companies ------------------------------- U.S. Large Cap Value Portfolio......... 100.0% Japanese Small Company Portfolio....... 100.0% Asia Pacific Small Company Portfolio... 100.0% United Kingdom Small Company Portfolio. 100.0% Continental Small Company Portfolio.... 100.0% Emerging Markets Portfolio............. 100.0% Emerging Markets Small Cap Portfolio... 100.0% Emerging Markets Value Portfolio....... 100.0%
FUND OF FUNDS International Small Company Portfolio....... 100.0% DFA Global Real Estate Securities Portfolio. 100.0% World ex U.S. Value Portfolio............... 100.0% World ex U.S. Targeted Value Portfolio...... 100.0% World ex U.S. Core Equity Portfolio......... 100.0% Selectively Hedged Global Equity Portfolio.. 100.0%
9 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED ENHANCED DOMESTIC EQUITY PORTFOLIOS Enhanced U.S. Large Company Portfolio Corporate.................................... 30.7% Foreign Corporate............................ 23.1% Foreign Government........................... 33.8% Government................................... 5.1% Supranational................................ 7.3% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Targeted Value Portfolio Consumer Discretionary....................... 15.6% Consumer Staples............................. 4.3% Energy....................................... 9.6% Financials................................... 26.0% Health Care.................................. 7.0% Industrials.................................. 15.1% Information Technology....................... 12.8% Materials.................................... 7.8% Other........................................ -- Telecommunication Services................... 1.2% Utilities.................................... 0.6% ----- 100.0%
U.S. Small Cap Value Portfolio Consumer Discretionary....................... 16.4% Consumer Staples............................. 4.4% Energy....................................... 10.1% Financials................................... 26.6% Health Care.................................. 4.4% Industrials.................................. 17.0% Information Technology....................... 12.6% Materials.................................... 8.1% Other........................................ -- Telecommunication Services................... 0.3% Utilities.................................... 0.1% ----- 100.0%
U.S. Core Equity 1 Portfolio Consumer Discretionary....................... 14.1% Consumer Staples............................. 8.1% Energy....................................... 10.4% Financials................................... 17.2% Health Care.................................. 11.1% Industrials.................................. 12.8% Information Technology....................... 15.6% Materials.................................... 4.7% Other........................................ -- Telecommunication Services................... 2.5% Utilities.................................... 3.5% ----- 100.0%
U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 6.5% Energy....................................... 11.3% Financials................................... 20.1% Health Care.................................. 10.6% Industrials.................................. 13.5% Information Technology....................... 13.1% Materials.................................... 5.1% Other........................................ -- Telecommunication Services................... 3.1% Utilities.................................... 2.4% ----- 100.0%
U.S. Vector Equity Portfolio Consumer Discretionary....................... 15.6% Consumer Staples............................. 5.4% Energy....................................... 11.0% Financials................................... 24.1% Health Care.................................. 8.4% Industrials.................................. 13.6% Information Technology....................... 12.0% Materials.................................... 6.2% Other........................................ -- Telecommunication Services................... 2.3% Utilities.................................... 1.4% ----- 100.0%
U.S. Small Cap Portfolio Consumer Discretionary....................... 19.0% Consumer Staples............................. 4.4% Energy....................................... 5.2% Financials................................... 17.0% Health Care.................................. 9.4% Industrials.................................. 18.0% Information Technology....................... 17.1% Materials.................................... 5.8% Other........................................ -- Telecommunication Services................... 0.5% Utilities.................................... 3.6% ----- 100.0%
U.S. Micro Cap Portfolio Consumer Discretionary....................... 19.2% Consumer Staples............................. 4.4% Energy....................................... 4.9% Financials................................... 17.4% Health Care.................................. 9.9% Industrials.................................. 17.3% Information Technology....................... 17.0% Materials.................................... 6.8% Other........................................ -- Telecommunication Services................... 1.1% Utilities.................................... 2.0% ----- 100.0%
DFA Real Estate Securities Portfolio Real Estate Investment Trusts................ 100.0% ----- 100.0%
Large Cap International Portfolio Consumer Discretionary....................... 10.8% Consumer Staples............................. 11.1% Energy....................................... 9.0% Financials................................... 25.9% Health Care.................................. 9.4% Industrials.................................. 12.1% Information Technology....................... 4.3% Materials.................................... 9.5% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.7% Utilities.................................... 3.2% ----- 100.0%
10 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED International Core Equity Portfolio Consumer Discretionary....................... 13.5% Consumer Staples............................. 7.2% Energy....................................... 8.6% Financials................................... 26.7% Health Care.................................. 5.3% Industrials.................................. 16.5% Information Technology....................... 5.5% Materials.................................... 10.8% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.1% Utilities.................................... 2.8% ----- 100.0%
DFA International Real Estate Securities Portfolio Consumer Discretionary....................... 0.2% Financials................................... 0.9% Other........................................ -- Real Estate Investment Trusts................ 98.9% ----- 100.0%
DFA International Small Cap Value Portfolio Consumer Discretionary....................... 20.5% Consumer Staples............................. 4.0% Energy....................................... 4.9% Financials................................... 20.8% Health Care.................................. 2.2% Industrials.................................. 26.0% Information Technology....................... 4.8% Materials.................................... 16.1% Other........................................ -- Telecommunication Services................... 0.3% Utilities.................................... 0.4% ----- 100.0%
International Vector Equity Portfolio Consumer Discretionary....................... 15.1% Consumer Staples............................. 6.4% Energy....................................... 7.5% Financials................................... 26.1% Health Care.................................. 4.2% Industrials.................................. 18.6% Information Technology....................... 6.1% Materials.................................... 12.0% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.3% Utilities.................................... 1.7% ----- 100.0%
Emerging Markets Core Equity Portfolio Consumer Discretionary....................... 10.5% Consumer Staples............................. 8.2% Energy....................................... 8.8% Financials................................... 26.2% Health Care.................................. 2.4% Industrials.................................. 10.8% Information Technology....................... 12.3% Materials.................................... 12.6% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.4% Utilities.................................... 3.8% ----- 100.0%
11 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (88.8%) AUSTRALIA -- (4.5%) Commonwealth Bank of Australia ^^ 3.500%, 03/19/15............................. $ 4,000 $ 4,217,724 Westpac Banking Corp. ^^ 6.500%, 06/24/13............................. EUR 3,500 4,647,861 ----------- TOTAL AUSTRALIA.................................. 8,865,585 ----------- AUSTRIA -- (4.7%) Austria Government International Bond ^^ 5.000%, 05/19/14............................. 3,500 3,673,005 KA Finanz AG ^^ 2.250%, 03/24/14............................. EUR 4,300 5,766,835 ----------- TOTAL AUSTRIA.................................... 9,439,840 ----------- BELGIUM -- (1.3%) Belgium Government International Bond ^^ 2.750%, 03/05/15............................. 2,500 2,598,600 ----------- CANADA -- (6.2%) Canadian Imperial Bank of Commerce ^^ 1.450%, 09/13/13............................. 600 602,191 Enbridge, Inc. ^^ 5.800%, 06/15/14............................. 1,100 1,162,270 Encana Corp. ^^ 4.750%, 10/15/13............................. 800 814,721 Husky Energy, Inc. ^^ 5.900%, 06/15/14............................. 1,000 1,055,868 Ontario, Province of Canada ^^ 4.100%, 06/16/14............................. 1,000 1,042,656 Thomson Reuters Corp. ^^ 5.700%, 10/01/14............................. 800 856,051 Toronto-Dominion Bank (The) ^^ 1.375%, 07/14/14............................. 5,000 5,057,495 TransAlta Corp. ^^ 4.750%, 01/15/15............................. 925 976,189 TransCanada PipeLines, Ltd. ^^ 4.000%, 06/15/13............................. 685 687,645 ----------- TOTAL CANADA..................................... 12,255,086 ----------- DENMARK -- (2.0%) Kommunekredit ^^ 1.250%, 09/03/13............................. 4,000 4,011,744 ----------- FINLAND -- (2.7%) Municipality Finance P.L.C. ^^ 2.000%, 05/28/14............................. SEK 35,000 5,435,462 -----------
Face Amount^ Value+ ------- ------ (000) FRANCE -- (8.3%) BNP Paribas SA ^^ 3.250%, 03/11/15............................. $1,500 $ 1,560,724 Caisse d'Amortissement de la Dette Sociale ^^ 1.625%, 03/17/14............................. 5,000 5,056,380 France Telecom SA ^^ 4.375%, 07/08/14............................. 1,000 1,040,934 Reseau Ferre de France ^^ 4.625%, 03/17/14............................. EUR 3,000 4,100,984 Societe Financement de l'Economie Francaise ^^ 3.250%, 01/16/14............................. EUR 3,500 4,708,999 ----------- TOTAL FRANCE..................................... 16,468,021 ----------- GERMANY -- (9.2%) KFW ^^ 4.950%, 10/14/14............................. CAD 5,000 5,223,445 Landeskreditbank Baden- Wuerttemberg Foerderbank ^^ 3.250%, 01/29/14............................. EUR 3,000 4,041,721 Landwirtschaftliche Rentenbank ^^ 4.125%, 07/15/13............................. 4,000 4,031,360 NRW Bank ^^ 1.375%, 08/26/13............................. 5,000 5,015,730 ----------- TOTAL GERMANY.................................... 18,312,256 ----------- NETHERLANDS -- (9.6%) Bank Nederlandse Gemeenten ^^ 3.750%, 03/14/14............................. EUR 3,000 4,073,344 ^^ 3.125%, 01/12/15............................. 1,500 1,567,500 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA ^^ 2.500%, 12/12/13............................. 2,000 2,022,928 ^^ 4.375%, 01/22/14............................. EUR 2,000 2,710,363 Koninklijke Philips Electronics NV ^^ 7.250%, 08/15/13............................. 1,000 1,019,164 Nederlandse Waterschapsbank NV ^^ 3.000%, 03/17/15............................. 2,900 3,035,430 SNS Bank NV ^^ 3.500%, 03/10/14............................. EUR 3,500 4,739,448 ----------- TOTAL NETHERLANDS................................ 19,168,177 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.3%) EUROFIMA ^^ 6.000%, 01/28/14............................. AUD 625 661,065 ^^ 4.250%, 02/04/14............................. 2,500 2,573,250
12 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued) European Financial Stability Facility ^^ 1.000%, 03/12/14............................. EUR 1,000 $ 1,326,696 European Investment Bank ^^ 3.125%, 06/04/14............................. 5,000 5,154,450 International Finance Facility for Immunisation ^^ 3.375%, 05/15/14............................. GBP 3,000 4,792,260 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 14,507,721 ----------- SWEDEN -- (6.4%) Nordea Bank AB ^^ 4.500%, 05/12/14............................. EUR 3,000 4,118,984 Svensk Exportkredit AB ^^ 3.000%, 06/10/13............................. NOK 22,100 3,834,780 Svenska Handelsbanken AB ^^ 4.875%, 03/25/14............................. EUR 3,500 4,797,654 ----------- TOTAL SWEDEN..................................... 12,751,418 ----------- SWITZERLAND -- (0.3%) Credit Suisse New York ^^ 5.000%, 05/15/13............................. 600 600,937 ----------- UNITED KINGDOM -- (1.6%) Barclays Bank P.L.C. ^^ 5.200%, 07/10/14............................. 300 315,765 BP Capital Markets P.L.C. ^^ 5.250%, 11/07/13............................. 1,750 1,794,005 Vodafone Group P.L.C. ^^ 5.000%, 12/16/13............................. 1,000 1,028,141 ----------- TOTAL UNITED KINGDOM............................. 3,137,911 ----------- UNITED STATES -- (24.7%) Allstate Corp. (The) ^^ 7.500%, 06/15/13............................. $ 489 493,076 American Express Credit Corp. ^^ 7.300%, 08/20/13............................. 500 510,250 American International Group, Inc. ^^ 3.000%, 03/20/15............................. 1,500 1,555,428 Assurant, Inc. ^^ 5.625%, 02/15/14............................. 1,000 1,036,696 Bank of America Corp. ^^ 7.375%, 05/15/14............................. 1,000 1,066,434 BB&T Corp. ^^ 3.375%, 09/25/13............................. 600 607,327 Boston Scientific Corp. ^^ 4.500%, 01/15/15............................. 1,000 1,058,122 Bristol-Myers Squibb Co. ^^ 5.250%, 08/15/13............................. 345 349,206
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Burlington Northern Santa Fe LLC ^^ 4.300%, 07/01/13............................. $ 600 $ 603,765 Campbell Soup Co. ^^ 4.875%, 10/01/13............................. 251 255,650 Capital One Financial Corp. ^^ 2.125%, 07/15/14............................. 1,000 1,015,775 Cisco Systems, Inc. ^^ 1.625%, 03/14/14............................. 1,000 1,011,761 Citigroup, Inc. ^^ 6.375%, 08/12/14............................. 1,500 1,603,831 Coca-Cola Enterprises, Inc. ^^ 1.125%, 11/12/13............................. 1,921 1,928,690 Consolidated Edison Co. of New York, Inc. ^^ 3.850%, 06/15/13............................. 250 250,937 Daimler Finance North America LLC ^^ 6.500%, 11/15/13............................. 1,500 1,548,193 Dell, Inc. ^^ 1.400%, 09/10/13............................. 600 600,816 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. ^^ 4.750%, 10/01/14............................. 1,500 1,581,633 Duke Energy Corp. ^^ 3.950%, 09/15/14............................. 1,600 1,673,486 Enterprise Products Operating LLC ^^ 9.750%, 01/31/14............................. 1,000 1,067,506 ^^ 5.600%, 10/15/14............................. 500 534,972 Fifth Third Bancorp ^^ 6.250%, 05/01/13............................. 600 600,000 Freeport-McMoRan Copper & Gold, Inc. ^^ 1.400%, 02/13/15............................. 500 504,566 Georgia Power Co. ^^ 1.300%, 09/15/13............................. 700 702,526 Goldman Sachs Group, Inc. (The) ^^ 5.125%, 01/15/15............................. 894 955,507 Hartford Financial Services Group, Inc. ^^ 4.750%, 03/01/14............................. 1,580 1,629,489 Hewlett-Packard Co. ^^ 1.250%, 09/13/13............................. 500 500,860 HSBC USA, Inc. ^^ 2.375%, 02/13/15............................. 1,000 1,030,238 JPMorgan Chase & Co. ^^ 2.050%, 01/24/14............................. 1,000 1,012,450 Kimberly-Clark Corp. ^^ 5.000%, 08/15/13............................. 600 607,854 MetLife, Inc. ^^ 5.000%, 11/24/13............................. 350 359,030 Morgan Stanley ^^ 4.200%, 11/20/14............................. 1,500 1,569,693
13 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) National City Corp. ^^ 4.900%, 01/15/15............................. $ 1,500 $ 1,605,973 PACCAR Financial Corp. ^^ 2.050%, 06/17/13............................. 600 601,360 Philip Morris International, Inc. ^^ 4.875%, 05/16/13............................. 600 600,998 Praxair, Inc. ^^ 2.125%, 06/14/13............................. 815 816,728 Safeway, Inc. ^^ 5.625%, 08/15/14............................. 1,500 1,585,020 Spectra Energy Capital LLC ^^ 5.500%, 03/01/14............................. 1,500 1,558,284 St Jude Medical, Inc. ^^ 2.200%, 09/15/13............................. 1,800 1,811,781 Toyota Motor Credit Corp. ^^ 3.820%, 10/24/13............................. NZD 4,000 3,436,887 Union Bank NA ^^ 2.125%, 12/16/13............................. 1,050 1,060,372 Viacom, Inc. ^^ 4.375%, 09/15/14............................. 1,500 1,573,551 Wachovia Corp. ^^ 5.500%, 05/01/13............................. 1,000 1,000,000 WellPoint, Inc. ^^ 5.000%, 12/15/14............................. 1,572 1,679,910 Williams Partners L.P. ^^ 3.800%, 02/15/15............................. 1,000 1,051,343 Xerox Corp. ^^ 4.250%, 02/15/15............................. 1,000 1,054,714 ------------ TOTAL UNITED STATES.............................. 49,262,688 ------------ TOTAL BONDS...................................... 176,815,446 ------------
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (5.2%) Federal National Mortgage Association ^^ 0.750%, 12/18/13............................. $ 800 $ 803,246 Federal National Mortgage Association Discount Note ^^ 0.117%, 06/24/13............................. 4,500 4,498,591 ^^ 0.127%, 07/02/13............................. 5,000 4,999,655 ------------ TOTAL AGENCY OBLIGATIONS......................... 10,301,492 ------------ COMMERCIAL PAPER -- (2.5%) UNITED STATES -- (2.5%) Walt Disney Co. (The) ## 0.100%, 05/24/13............................. 4,900 4,899,687 ------------ Shares ------ EXCHANGE-TRADED FUNDS -- (3.5%) UNITED STATES -- (3.5%) ^^ SPDR S&P 500 ETF Trust....................... 44,100 $ 7,041,888 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $195,388,359).............................. $199,058,513 ============
14 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Bonds Australia.............................. -- $ 8,865,585 -- $ 8,865,585 Austria................................ -- 9,439,840 -- 9,439,840 Belgium................................ -- 2,598,600 -- 2,598,600 Canada................................. -- 12,255,086 -- 12,255,086 Denmark................................ -- 4,011,744 -- 4,011,744 Finland................................ -- 5,435,462 -- 5,435,462 France................................. -- 16,468,021 -- 16,468,021 Germany................................ -- 18,312,256 -- 18,312,256 Netherlands............................ -- 19,168,177 -- 19,168,177 Supranational Organization Obligations. -- 14,507,721 -- 14,507,721 Sweden................................. -- 12,751,418 -- 12,751,418 Switzerland............................ -- 600,937 -- 600,937 United Kingdom......................... -- 3,137,911 -- 3,137,911 United States.......................... -- 49,262,688 -- 49,262,688 Agency Obligations....................... -- 10,301,492 -- 10,301,492 Commercial Paper United States.......................... -- 4,899,687 -- 4,899,687 Exchange-Traded Funds.................... $ 7,041,888 -- -- 7,041,888 Forward Currency Contracts**............. -- (511,511) -- (511,511) Futures Contracts**...................... 7,774,388 -- -- 7,774,388 ----------- ------------ -- ------------ TOTAL.................................... $14,816,276 $191,505,114 -- $206,321,390 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 15 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.................................. $10,293,125,141 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $7,006,025,277)........................................ $10,293,125,141 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 16 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (86.8%) Consumer Discretionary -- (13.5%) #* Cabela's, Inc.......................... 326,469 $ 20,959,310 0.6% Dillard's, Inc. Class A................ 222,853 18,365,316 0.5% # GameStop Corp. Class A................. 635,798 22,189,350 0.6% # Lennar Corp. Class A................... 440,863 18,172,373 0.5% * Mohawk Industries, Inc................. 298,339 33,079,828 0.9% # Washington Post Co. (The) Class B...... 28,060 12,440,120 0.4% Other Securities....................... 429,317,414 12.0% ------------ ----- Total Consumer Discretionary............... 554,523,711 15.5% ------------ ----- Consumer Staples -- (3.7%) * Constellation Brands, Inc. Class A..... 373,609 18,437,604 0.5% #* Hain Celestial Group, Inc. (The)....... 202,444 13,209,471 0.4% * Smithfield Foods, Inc.................. 767,800 19,655,680 0.6% Other Securities....................... 101,274,572 2.8% ------------ ----- Total Consumer Staples..................... 152,577,327 4.3% ------------ ----- Energy -- (8.4%) * Helix Energy Solutions Group, Inc...... 550,015 12,672,346 0.4% * Rowan Cos. P.L.C. Class A.............. 630,839 20,521,193 0.6% # Tesoro Corp............................ 728,585 38,906,439 1.1% # Tidewater, Inc......................... 256,438 13,450,173 0.4% # Western Refining, Inc.................. 423,850 13,101,203 0.4% Other Securities....................... 243,319,507 6.7% ------------ ----- Total Energy............................... 341,970,861 9.6% ------------ ----- Financials -- (22.6%) Allied World Assurance Co. Holdings AG. 192,146 17,448,778 0.5% Alterra Capital Holdings, Ltd.......... 443,922 14,449,661 0.4% * American Capital, Ltd.................. 1,347,022 20,380,443 0.6% American Financial Group, Inc.......... 465,600 22,474,512 0.6% Aspen Insurance Holdings, Ltd.......... 342,379 13,075,454 0.4% # Assurant, Inc.......................... 429,284 20,408,161 0.6% Assured Guaranty, Ltd.................. 647,146 13,350,622 0.4% Axis Capital Holdings, Ltd............. 593,046 26,467,643 0.8% CNO Financial Group, Inc............... 1,174,038 13,290,110 0.4% # Legg Mason, Inc........................ 686,279 21,864,849 0.6% NASDAQ OMX Group, Inc. (The)........... 858,799 25,317,395 0.7% # Old Republic International Corp........ 1,178,722 15,912,747 0.5% # PartnerRe, Ltd......................... 301,355 28,429,831 0.8% # People's United Financial, Inc......... 1,422,378 18,718,494 0.5% # Protective Life Corp................... 383,246 14,586,343 0.4% Reinsurance Group of America, Inc...... 356,518 22,300,201 0.6% # Validus Holdings, Ltd.................. 384,059 14,828,518 0.4% # Zions BanCorp.......................... 749,845 18,461,184 0.5% Other Securities....................... 582,814,487 16.2% ------------ ----- Total Financials........................... 924,579,433 25.9% ------------ ----- Health Care -- (6.0%) Community Health Systems, Inc.......... 328,963 14,990,844 0.4% Coventry Health Care, Inc.............. 662,402 32,822,019 0.9%
17 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) # Omnicare, Inc.............................. 551,404 $ 24,134,953 0.7% Other Securities........................... 174,964,866 4.9% -------------- ------ Total Health Care................................ 246,912,682 6.9% -------------- ------ Industrials -- (13.1%) AMERCO..................................... 84,246 13,538,332 0.4% * Avis Budget Group, Inc..................... 578,582 16,686,305 0.5% #* Owens Corning.............................. 567,793 23,881,374 0.7% Ryder System, Inc.......................... 245,750 14,270,702 0.4% * Terex Corp................................. 442,498 12,655,443 0.4% Trinity Industries, Inc.................... 409,075 17,267,056 0.5% URS Corp................................... 294,716 12,943,927 0.4% Other Securities........................... 425,915,873 11.7% -------------- ------ Total Industrials................................ 537,159,012 15.0% -------------- ------ Information Technology -- (11.1%) AOL, Inc................................... 465,034 17,968,914 0.5% #* Arrow Electronics, Inc..................... 463,696 18,190,794 0.5% #* Avnet, Inc................................. 540,580 17,703,995 0.5% * Tech Data Corp............................. 261,278 12,209,521 0.4% Other Securities........................... 389,626,984 10.9% -------------- ------ Total Information Technology..................... 455,700,208 12.8% -------------- ------ Materials -- (6.8%) # Domtar Corp................................ 168,731 11,728,492 0.3% * Louisiana-Pacific Corp..................... 736,661 13,348,297 0.4% # Reliance Steel & Aluminum Co............... 364,801 23,737,601 0.7% # Rock Tenn Co. Class A...................... 203,483 20,376,788 0.6% Other Securities........................... 208,854,485 5.8% -------------- ------ Total Materials.................................. 278,045,663 7.8% -------------- ------ Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ------ Telecommunication Services -- (1.1%) Other Securities........................... 43,220,714 1.2% -------------- ------ Utilities -- (0.5%) Other Securities........................... 19,372,071 0.5% -------------- ------ TOTAL COMMON STOCKS.............................. 3,554,061,682 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities........................... 75,599 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves. 15,049,046 15,049,046 0.4% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (12.8%) (S)@ DFA Short Term Investment Fund............. 45,232,151 523,335,992 14.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,202,716,216)........................ $4,092,522,319 114.5% ============== ======
18 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 554,523,711 -- -- $ 554,523,711 Consumer Staples............ 152,577,327 -- -- 152,577,327 Energy...................... 341,970,861 -- -- 341,970,861 Financials.................. 924,571,921 $ 7,512 -- 924,579,433 Health Care................. 246,771,362 141,320 -- 246,912,682 Industrials................. 537,049,912 109,100 -- 537,159,012 Information Technology...... 455,700,208 -- -- 455,700,208 Materials................... 278,045,663 -- -- 278,045,663 Other....................... -- -- -- -- Telecommunication Services.. 43,220,714 -- -- 43,220,714 Utilities................... 19,372,071 -- -- 19,372,071 Rights/Warrants............... -- 75,599 -- 75,599 Temporary Cash Investments.... 15,049,046 -- -- 15,049,046 Securities Lending Collateral. -- 523,335,992 -- 523,335,992 -------------- ------------ -- -------------- TOTAL......................... $3,568,852,796 $523,669,523 -- $4,092,522,319 ============== ============ == ==============
See accompanying Notes to Financial Statements. 19 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (87.1%) Consumer Discretionary -- (14.3%) #* Cabela's, Inc........................... 753,597 $ 48,380,927 0.6% # Dillard's, Inc. Class A................. 711,596 58,642,626 0.7% #* Iconix Brand Group, Inc................. 2,233,461 63,988,658 0.8% #* Live Nation Entertainment, Inc.......... 2,980,399 37,642,439 0.5% Penske Automotive Group, Inc............ 1,250,616 38,669,047 0.5% # Rent-A-Center, Inc...................... 1,669,788 58,325,695 0.7% # Scholastic Corp......................... 1,407,493 38,635,683 0.5% Other Securities........................ 964,508,688 12.1% -------------- ----- Total Consumer Discretionary................ 1,308,793,763 16.4% -------------- ----- Consumer Staples -- (3.9%) # Fresh Del Monte Produce, Inc............ 1,540,549 39,145,350 0.5% #* Prestige Brands Holdings, Inc........... 1,324,865 35,705,112 0.5% Seaboard Corp........................... 18,588 51,042,276 0.6% # Universal Corp.......................... 830,795 47,812,252 0.6% Other Securities........................ 177,113,610 2.2% -------------- ----- Total Consumer Staples...................... 350,818,600 4.4% -------------- ----- Energy -- (8.8%) # Bristow Group, Inc...................... 1,323,551 83,648,423 1.1% #* Exterran Holdings, Inc.................. 2,112,961 55,824,430 0.7% #* Helix Energy Solutions Group, Inc....... 3,427,466 78,968,817 1.0% #* Hercules Offshore, Inc.................. 5,178,862 38,168,213 0.5% #* Hornbeck Offshore Services, Inc......... 1,296,122 58,221,800 0.7% #* PDC Energy, Inc......................... 877,106 37,978,690 0.5% # Western Refining, Inc................... 1,903,294 58,830,818 0.7% Other Securities........................ 394,702,541 4.9% -------------- ----- Total Energy................................ 806,343,732 10.1% -------------- ----- Financials -- (23.2%) # Argo Group International Holdings, Ltd.. 926,512 38,403,922 0.5% CNO Financial Group, Inc................ 8,581,021 97,137,158 1.2% # Endurance Specialty Holdings, Ltd....... 1,100,056 53,869,742 0.7% First American Financial Corp........... 1,333,977 35,710,564 0.5% # Kemper Corp............................. 1,579,058 50,308,788 0.6% #* MBIA, Inc............................... 4,001,054 37,849,971 0.5% # Montpelier Re Holdings, Ltd............. 2,155,898 55,535,932 0.7% #* PHH Corp................................ 1,970,813 41,544,738 0.5% # Platinum Underwriters Holdings, Ltd..... 838,148 47,564,899 0.6% # Radian Group, Inc....................... 3,406,246 40,704,640 0.5% # Selective Insurance Group, Inc.......... 1,844,118 43,207,685 0.6% # Susquehanna Bancshares, Inc............. 4,934,549 57,586,187 0.7% # Umpqua Holdings Corp.................... 3,925,750 47,109,000 0.6% # Webster Financial Corp.................. 2,089,538 48,832,503 0.6% # Wintrust Financial Corp................. 1,227,565 44,020,481 0.6% Other Securities........................ 1,379,658,082 17.1% -------------- ----- Total Financials............................ 2,119,044,292 26.5% -------------- ----- Health Care -- (3.8%) #* LifePoint Hospitals, Inc................ 1,892,213 90,826,224 1.2% Other Securities........................ 257,609,024 3.1% -------------- ----- Total Health Care........................... 348,435,248 4.3% -------------- -----
20 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (14.8%) AMERCO...................................... 346,122 $ 55,621,805 0.7% #* Avis Budget Group, Inc...................... 4,147,655 119,618,370 1.5% * Esterline Technologies Corp................. 1,117,001 83,819,755 1.1% # GATX Corp................................... 1,692,613 86,238,632 1.1% #* General Cable Corp.......................... 1,363,354 47,008,446 0.6% #* JetBlue Airways Corp........................ 10,066,250 69,356,462 0.9% Other Securities............................ 893,175,584 11.0% -------------- ------ Total Industrials................................. 1,354,839,054 16.9% -------------- ------ Information Technology -- (10.9%) #* Benchmark Electronics, Inc.................. 2,299,623 41,025,274 0.5% #* CACI International, Inc. Class A............ 767,088 44,866,977 0.6% # Convergys Corp.............................. 3,909,664 66,542,481 0.8% #* Fairchild Semiconductor International, Inc.. 2,878,146 37,128,083 0.5% #* SYNNEX Corp................................. 1,147,081 39,689,003 0.5% #* Vishay Intertechnology, Inc................. 4,241,593 59,551,966 0.8% Other Securities............................ 709,996,028 8.8% -------------- ------ Total Information Technology...................... 998,799,812 12.5% -------------- ------ Materials -- (7.0%) #* Graphic Packaging Holding Co................ 5,789,957 43,540,477 0.5% # Kaiser Aluminum Corp........................ 623,602 39,286,926 0.5% #* Louisiana-Pacific Corp...................... 5,071,045 91,887,335 1.2% Westlake Chemical Corp...................... 770,014 64,018,964 0.8% Other Securities............................ 403,397,619 5.0% -------------- ------ Total Materials................................... 642,131,321 8.0% -------------- ------ Other -- (0.0%) Other Securities............................ 85,259 0.0% -------------- ------ Telecommunication Services -- (0.3%) Other Securities............................ 25,631,364 0.3% -------------- ------ Utilities -- (0.1%) Other Securities............................ 5,505,366 0.1% -------------- ------ TOTAL COMMON STOCKS............................... 7,960,427,811 99.5% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities............................ -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities............................ 127,077 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves.. 33,495,935 33,495,935 0.4% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund.............. 99,180,485 1,147,518,217 14.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,377,560,625)......................... $9,141,569,040 114.2% ============== ======
21 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Consumer Discretionary...... $1,308,793,763 -- -- $1,308,793,763 Consumer Staples............ 350,818,600 -- -- 350,818,600 Energy...................... 806,343,732 -- -- 806,343,732 Financials.................. 2,118,994,389 $ 49,903 -- 2,119,044,292 Health Care................. 347,583,046 852,202 -- 348,435,248 Industrials................. 1,354,215,317 623,737 -- 1,354,839,054 Information Technology...... 998,799,812 -- -- 998,799,812 Materials................... 642,131,321 -- -- 642,131,321 Other....................... -- 85,259 -- 85,259 Telecommunication Services.. 25,631,364 -- -- 25,631,364 Utilities................... 5,505,366 -- -- 5,505,366 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 127,077 -- 127,077 Temporary Cash Investments.... 33,495,935 -- -- 33,495,935 Securities Lending Collateral. -- 1,147,518,217 -- 1,147,518,217 -------------- -------------- -- -------------- TOTAL......................... $7,992,312,645 $1,149,256,395 -- $9,141,569,040 ============== ============== == ==============
See accompanying Notes to Financial Statements. 22 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (86.9%) Consumer Discretionary -- (12.2%) * Amazon.com, Inc...................... 80,522 $ 20,437,289 0.3% Comcast Corp. Class A................ 634,102 26,188,413 0.4% Home Depot, Inc. (The)............... 327,533 24,024,546 0.4% McDonald's Corp...................... 218,435 22,310,951 0.4% Time Warner, Inc..................... 289,777 17,322,869 0.3% Walt Disney Co. (The)................ 447,208 28,102,551 0.5% Other Securities..................... 713,428,852 11.7% -------------- ----- Total Consumer Discretionary............. 851,815,471 14.0% -------------- ----- Consumer Staples -- (7.0%) # Altria Group, Inc.................... 437,249 15,963,961 0.3% Coca-Cola Co. (The).................. 875,095 37,042,771 0.6% CVS Caremark Corp.................... 382,692 22,265,021 0.4% Mondelez International, Inc. Class A. 517,494 16,275,186 0.3% PepsiCo, Inc......................... 335,773 27,691,199 0.5% Philip Morris International, Inc..... 365,866 34,973,131 0.6% Procter & Gamble Co. (The)........... 566,788 43,512,315 0.7% Wal-Mart Stores, Inc................. 499,081 38,788,575 0.6% Other Securities..................... 252,485,914 4.0% -------------- ----- Total Consumer Staples................... 488,998,073 8.0% -------------- ----- Energy -- (9.1%) Chevron Corp......................... 605,873 73,922,565 1.2% ConocoPhillips....................... 368,973 22,304,418 0.4% Exxon Mobil Corp..................... 1,342,599 119,477,885 2.0% Occidental Petroleum Corp............ 229,346 20,471,424 0.3% Schlumberger, Ltd.................... 275,998 20,542,531 0.3% Other Securities..................... 373,742,419 6.1% -------------- ----- Total Energy............................. 630,461,242 10.3% -------------- ----- Financials -- (15.0%) American Express Co.................. 214,443 14,670,046 0.3% * American International Group, Inc.... 444,345 18,404,770 0.3% Bank of America Corp................. 3,474,950 42,776,634 0.7% * Berkshire Hathaway, Inc. Class B..... 387,167 41,163,595 0.7% Citigroup, Inc....................... 973,938 45,443,947 0.8% Goldman Sachs Group, Inc. (The)...... 142,009 20,743,255 0.4% JPMorgan Chase & Co.................. 1,229,045 60,235,495 1.0% U.S. Bancorp......................... 564,831 18,797,576 0.3% Wells Fargo & Co..................... 1,607,133 61,038,911 1.0% Other Securities..................... 718,338,168 11.6% -------------- ----- Total Financials......................... 1,041,612,397 17.1% -------------- ----- Health Care -- (9.7%) AbbVie, Inc.......................... 326,296 15,025,931 0.3% Amgen, Inc........................... 198,736 20,710,279 0.4% #* Gilead Sciences, Inc................. 331,127 16,768,271 0.3% Johnson & Johnson.................... 612,773 52,226,643 0.9% Merck & Co., Inc..................... 801,185 37,655,695 0.6% Pfizer, Inc.......................... 2,214,432 64,373,538 1.1% UnitedHealth Group, Inc.............. 287,692 17,241,382 0.3% Other Securities..................... 450,148,439 7.2% -------------- ----- Total Health Care........................ 674,150,178 11.1% -------------- -----
23 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (11.1%) # 3M Co...................................... 141,624 $ 14,829,449 0.3% General Electric Co........................ 3,238,107 72,177,405 1.2% Union Pacific Corp......................... 144,700 21,409,812 0.4% United Technologies Corp................... 189,500 17,299,455 0.3% Other Securities........................... 647,855,877 10.5% -------------- ------ Total Industrials................................ 773,571,998 12.7% -------------- ------ Information Technology -- (13.5%) Apple, Inc................................. 195,508 86,561,167 1.4% Cisco Systems, Inc......................... 1,465,624 30,660,854 0.5% * Google, Inc. Class A....................... 59,591 49,136,951 0.8% # Intel Corp................................. 1,089,538 26,094,435 0.4% # International Business Machines Corp....... 233,618 47,316,990 0.8% # Microsoft Corp............................. 1,531,421 50,690,035 0.8% Oracle Corp................................ 824,388 27,023,439 0.5% QUALCOMM, Inc.............................. 373,897 23,039,533 0.4% Visa, Inc. Class A......................... 116,505 19,626,432 0.3% Other Securities........................... 581,944,942 9.6% -------------- ------ Total Information Technology..................... 942,094,778 15.5% -------------- ------ Materials -- (4.1%) Other Securities........................... 287,322,356 4.7% -------------- ------ Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ------ Telecommunication Services -- (2.2%) AT&T, Inc.................................. 1,714,631 64,230,077 1.1% # Verizon Communications, Inc................ 743,452 40,079,497 0.7% Other Securities........................... 45,371,354 0.6% -------------- ------ Total Telecommunication Services................. 149,680,928 2.4% -------------- ------ Utilities -- (3.0%) Other Securities........................... 211,496,170 3.5% -------------- ------ TOTAL COMMON STOCKS.............................. 6,051,203,591 99.3% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities........................... 26,070 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.7%) State Street Institutional Liquid Reserves. 45,236,061 45,236,061 0.7% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (12.4%) (S)@ DFA Short Term Investment Fund............. 74,510,716 862,088,981 14.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,462,403,208)........................ $6,958,554,703 114.2% ============== ======
24 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 851,815,471 -- -- $ 851,815,471 Consumer Staples............ 488,998,073 -- -- 488,998,073 Energy...................... 630,461,242 -- -- 630,461,242 Financials.................. 1,041,610,597 $ 1,800 -- 1,041,612,397 Health Care................. 674,134,720 15,458 -- 674,150,178 Industrials................. 773,555,198 16,800 -- 773,571,998 Information Technology...... 942,094,778 -- -- 942,094,778 Materials................... 287,322,356 -- -- 287,322,356 Other....................... -- -- -- -- Telecommunication Services.. 149,680,928 -- -- 149,680,928 Utilities................... 211,496,170 -- -- 211,496,170 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 26,070 -- 26,070 Temporary Cash Investments.... 45,236,061 -- -- 45,236,061 Securities Lending Collateral. -- 862,088,981 -- 862,088,981 -------------- ------------ -- -------------- TOTAL......................... $6,096,405,594 $862,149,109 -- $6,958,554,703 ============== ============ == ==============
See accompanying Notes to Financial Statements. 25 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ----- --------------- COMMON STOCKS -- (88.0%) Consumer Discretionary -- (12.6%) CBS Corp. Class B........................ 398,207 $ 18,229,916 0.2% Comcast Corp. Class A.................... 1,099,320 45,401,916 0.6% Home Depot, Inc. (The)................... 301,629 22,124,487 0.3% News Corp. Class A....................... 846,333 26,210,933 0.3% Time Warner, Inc......................... 510,336 30,507,886 0.4% # Walt Disney Co. (The).................... 830,524 52,190,128 0.6% Other Securities......................... 1,001,169,942 11.8% -------------- ----- Total Consumer Discretionary................. 1,195,835,208 14.2% -------------- ----- Consumer Staples -- (5.7%) # Coca-Cola Co. (The)...................... 439,242 18,593,114 0.2% CVS Caremark Corp........................ 672,828 39,145,133 0.5% Mondelez International, Inc. Class A..... 875,793 27,543,690 0.3% Procter & Gamble Co. (The)............... 646,219 49,610,233 0.6% Wal-Mart Stores, Inc..................... 387,774 30,137,795 0.4% # Walgreen Co.............................. 475,167 23,525,518 0.3% Other Securities......................... 356,801,327 4.2% -------------- ----- Total Consumer Staples....................... 545,356,810 6.5% -------------- ----- Energy -- (9.9%) Anadarko Petroleum Corp.................. 277,978 23,561,415 0.3% Chevron Corp............................. 1,066,951 130,178,691 1.6% ConocoPhillips........................... 632,838 38,255,057 0.5% EOG Resources, Inc....................... 150,872 18,279,651 0.2% Exxon Mobil Corp......................... 1,756,682 156,327,131 1.9% Occidental Petroleum Corp................ 382,913 34,178,814 0.4% Phillips 66.............................. 330,183 20,124,654 0.2% Other Securities......................... 525,193,897 6.1% -------------- ----- Total Energy................................. 946,099,310 11.2% -------------- ----- Financials -- (17.7%) * American International Group, Inc........ 719,365 29,796,098 0.4% Bank of America Corp..................... 5,751,978 70,806,849 0.9% * Berkshire Hathaway, Inc. Class B......... 232,188 24,686,228 0.3% # BlackRock, Inc........................... 73,022 19,460,363 0.2% Citigroup, Inc........................... 1,616,027 75,403,820 0.9% Goldman Sachs Group, Inc. (The).......... 227,319 33,204,486 0.4% JPMorgan Chase & Co...................... 2,076,088 101,749,073 1.2% MetLife, Inc............................. 512,756 19,992,356 0.2% PNC Financial Services Group, Inc. (The). 268,801 18,246,212 0.2% Travelers Cos., Inc. (The)............... 235,445 20,109,357 0.3% U.S. Bancorp............................. 949,300 31,592,704 0.4% Wells Fargo & Co......................... 2,707,168 102,818,241 1.2% Other Securities......................... 1,137,723,037 13.4% -------------- ----- Total Financials............................. 1,685,588,824 20.0% -------------- ----- Health Care -- (9.4%) Amgen, Inc............................... 259,507 27,043,224 0.3% Johnson & Johnson........................ 388,122 33,079,638 0.4% Merck & Co., Inc......................... 1,401,705 65,880,135 0.8%
26 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ----- --------------- Health Care -- (Continued) Pfizer, Inc................................ 3,896,797 $ 113,279,889 1.4% UnitedHealth Group, Inc.................... 466,552 27,960,461 0.3% Other Securities........................... 621,897,137 7.4% -------------- ----- Total Health Care.............................. 889,140,484 10.6% -------------- ----- Industrials -- (11.9%) General Electric Co........................ 5,693,661 126,911,704 1.5% Union Pacific Corp......................... 253,811 37,553,876 0.5% Other Securities........................... 965,441,740 11.4% -------------- ----- Total Industrials.............................. 1,129,907,320 13.4% -------------- ----- Information Technology -- (11.5%) Apple, Inc................................. 123,530 54,692,907 0.7% Cisco Systems, Inc......................... 1,850,259 38,707,418 0.5% * Google, Inc. Class A....................... 29,049 23,952,934 0.3% # Hewlett-Packard Co......................... 879,452 18,116,711 0.2% # Intel Corp................................. 1,645,400 39,407,330 0.5% International Business Machines Corp....... 104,255 21,115,808 0.3% # Microsoft Corp............................. 928,949 30,748,212 0.4% Visa, Inc. Class A......................... 232,750 39,209,065 0.5% Other Securities........................... 829,257,478 9.6% -------------- ----- Total Information Technology................... 1,095,207,863 13.0% -------------- ----- Materials -- (4.5%) Dow Chemical Co. (The)..................... 627,320 21,272,421 0.3% Other Securities........................... 404,334,686 4.8% -------------- ----- Total Materials................................ 425,607,107 5.1% -------------- ----- Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ----- Telecommunication Services -- (2.7%) AT&T, Inc.................................. 3,049,991 114,252,663 1.4% * Sprint Nextel Corp......................... 2,576,737 18,165,996 0.2% # Verizon Communications, Inc................ 1,449,236 78,128,313 0.9% Other Securities........................... 47,396,779 0.6% -------------- ----- Total Telecommunication Services............... 257,943,751 3.1% -------------- ----- Utilities -- (2.1%) Other Securities........................... 197,670,461 2.4% -------------- ----- TOTAL COMMON STOCKS............................ 8,368,357,138 99.5% -------------- ----- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities........................... 63,895 0.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves. 33,805,971 33,805,971 0.4% -------------- -----
27 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------ ----- --------------- (000) SECURITIES LENDING COLLATERAL -- (11.6%) (S)@ DFA Short Term Investment Fund.. 95,917,561 $1,109,766,178 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,442,495,082)............... $9,511,993,182 113.1% ============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Consumer Discretionary...... $1,195,835,208 -- -- $1,195,835,208 Consumer Staples............ 545,356,810 -- -- 545,356,810 Energy...................... 946,099,310 -- -- 946,099,310 Financials.................. 1,685,584,510 $ 4,314 -- 1,685,588,824 Health Care................. 889,104,511 35,973 -- 889,140,484 Industrials................. 1,129,865,099 42,221 -- 1,129,907,320 Information Technology...... 1,095,207,863 -- -- 1,095,207,863 Materials................... 425,607,107 -- -- 425,607,107 Other....................... -- -- -- -- Telecommunication Services.. 257,943,751 -- -- 257,943,751 Utilities................... 197,670,461 -- -- 197,670,461 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 63,895 -- 63,895 Temporary Cash Investments.... 33,805,971 -- -- 33,805,971 Securities Lending Collateral. -- 1,109,766,178 -- 1,109,766,178 -------------- -------------- -- -------------- TOTAL......................... $8,402,080,601 $1,109,912,581 -- $9,511,993,182 ============== ============== == ==============
See accompanying Notes to Financial Statements. 28 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (87.7%) Consumer Discretionary -- (13.7%) Comcast Corp. Class A.................... 322,118 $ 13,303,473 0.6% * Jarden Corp.............................. 117,655 5,295,652 0.2% # Lennar Corp. Class A..................... 134,243 5,533,496 0.2% * Liberty Interactive Corp. Class A........ 267,922 5,704,059 0.2% * Mohawk Industries, Inc................... 54,426 6,034,755 0.3% Time Warner, Inc......................... 135,201 8,082,316 0.3% #* Toll Brothers, Inc....................... 151,825 5,209,116 0.2% # Walt Disney Co. (The).................... 118,253 7,431,019 0.3% Other Securities......................... 324,853,607 13.2% ------------ ----- Total Consumer Discretionary................. 381,447,493 15.5% ------------ ----- Consumer Staples -- (4.7%) Bunge, Ltd............................... 79,327 5,728,203 0.2% CVS Caremark Corp........................ 121,704 7,080,739 0.3% Mondelez International, Inc. Class A..... 260,500 8,192,725 0.3% Procter & Gamble Co. (The)............... 91,517 7,025,760 0.3% Other Securities......................... 103,293,668 4.2% ------------ ----- Total Consumer Staples....................... 131,321,095 5.3% ------------ ----- Energy -- (9.6%) Anadarko Petroleum Corp.................. 72,636 6,156,627 0.3% # Chesapeake Energy Corp................... 360,915 7,052,279 0.3% Chevron Corp............................. 159,692 19,484,021 0.8% ConocoPhillips........................... 175,685 10,620,158 0.4% Exxon Mobil Corp......................... 246,627 21,947,337 0.9% HollyFrontier Corp....................... 109,681 5,423,725 0.2% Murphy Oil Corp.......................... 107,339 6,664,679 0.3% Phillips 66.............................. 91,273 5,563,089 0.2% Tesoro Corp.............................. 131,157 7,003,784 0.3% Other Securities......................... 178,331,945 7.2% ------------ ----- Total Energy................................. 268,247,644 10.9% ------------ ----- Financials -- (21.1%) American Financial Group, Inc............ 127,737 6,165,865 0.3% Bank of America Corp..................... 1,263,850 15,557,993 0.6% Citigroup, Inc........................... 300,702 14,030,755 0.6% Goldman Sachs Group, Inc. (The).......... 47,945 7,003,326 0.3% Hartford Financial Services Group, Inc... 216,706 6,087,272 0.3% Invesco, Ltd............................. 186,136 5,907,957 0.3% JPMorgan Chase & Co...................... 570,669 27,968,488 1.2% # Lincoln National Corp.................... 152,570 5,188,906 0.2% MetLife, Inc............................. 141,103 5,501,606 0.2% PNC Financial Services Group, Inc. (The). 76,226 5,174,221 0.2% Principal Financial Group, Inc........... 157,281 5,677,844 0.2% Regions Financial Corp................... 661,387 5,615,176 0.2% Wells Fargo & Co......................... 522,373 19,839,727 0.8% Other Securities......................... 460,085,807 18.6% ------------ ----- Total Financials............................. 589,804,943 24.0% ------------ ----- Health Care -- (7.4%) * Boston Scientific Corp................... 767,057 5,745,257 0.2% Johnson & Johnson........................ 61,338 5,227,838 0.2% Merck & Co., Inc......................... 149,737 7,037,639 0.3%
29 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Pfizer, Inc.................................. 563,682 $ 16,386,236 0.7% Other Securities............................. 170,918,476 7.0% -------------- ------ Total Health Care.................................. 205,315,446 8.4% -------------- ------ Industrials -- (11.9%) General Electric Co.......................... 856,705 19,095,954 0.8% Southwest Airlines Co........................ 417,610 5,721,257 0.2% Union Pacific Corp........................... 34,880 5,160,845 0.2% Other Securities............................. 302,960,107 12.4% -------------- ------ Total Industrials.................................. 332,938,163 13.6% -------------- ------ Information Technology -- (10.5%) Fidelity National Information Services, Inc.. 150,228 6,317,087 0.3% IAC/InterActiveCorp.......................... 115,491 5,436,161 0.2% * Micron Technology, Inc....................... 569,578 5,365,425 0.2% Visa, Inc. Class A........................... 37,703 6,351,447 0.3% Western Digital Corp......................... 122,881 6,792,862 0.3% Xerox Corp................................... 731,469 6,276,004 0.3% Other Securities............................. 257,448,917 10.4% -------------- ------ Total Information Technology....................... 293,987,903 12.0% -------------- ------ Materials -- (5.5%) Other Securities............................. 152,898,070 6.2% -------------- ------ Other -- (0.0%) Other Securities............................. -- 0.0% -------------- ------ Telecommunication Services -- (2.0%) AT&T, Inc.................................... 570,322 21,364,262 0.9% Verizon Communications, Inc.................. 219,736 11,845,968 0.5% Other Securities............................. 22,462,968 0.9% -------------- ------ Total Telecommunication Services................... 55,673,198 2.3% -------------- ------ Utilities -- (1.3%) NRG Energy, Inc.............................. 195,195 5,440,085 0.2% Other Securities............................. 29,615,330 1.2% -------------- ------ Total Utilities.................................... 35,055,415 1.4% -------------- ------ TOTAL COMMON STOCKS................................ 2,446,689,370 99.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities............................. 48,489 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves... 7,725,736 7,725,736 0.3% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (12.0%) (S)@ DFA Short Term Investment Fund............... 28,858,608 333,894,098 13.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,215,891,463).......................... $2,788,357,693 113.5% ============== ======
30 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 381,447,493 -- -- $ 381,447,493 Consumer Staples............ 131,321,095 -- -- 131,321,095 Energy...................... 268,247,644 -- -- 268,247,644 Financials.................. 589,802,926 $ 2,017 -- 589,804,943 Health Care................. 205,289,383 26,063 -- 205,315,446 Industrials................. 332,906,327 31,836 -- 332,938,163 Information Technology...... 293,987,903 -- -- 293,987,903 Materials................... 152,898,070 -- -- 152,898,070 Other....................... -- -- -- -- Telecommunication Services.. 55,673,198 -- -- 55,673,198 Utilities................... 35,055,415 -- -- 35,055,415 Rights/Warrants............... -- 48,489 -- 48,489 Temporary Cash Investments.... 7,725,736 -- -- 7,725,736 Securities Lending Collateral. -- 333,894,098 -- 333,894,098 -------------- ------------ -- -------------- TOTAL......................... $2,454,355,190 $334,002,503 -- $2,788,357,693 ============== ============ == ==============
See accompanying Notes to Financial Statements. 31 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (82.2%) Consumer Discretionary -- (15.6%) # Brinker International, Inc............. 322,412 $ 12,541,827 0.2% # Brunswick Corp......................... 401,911 12,724,502 0.2% # Buckle, Inc. (The)..................... 240,240 11,663,652 0.2% #* Cabela's, Inc.......................... 277,885 17,840,217 0.3% # Dillard's, Inc. Class A................ 158,530 13,064,457 0.2% Domino's Pizza, Inc.................... 270,452 14,928,950 0.3% # Pier 1 Imports, Inc.................... 641,193 14,882,090 0.3% # Pool Corp.............................. 227,978 11,175,482 0.2% # Sinclair Broadcast Group, Inc. Class A. 447,331 11,988,471 0.2% * Tenneco, Inc........................... 302,739 11,706,917 0.2% # Wolverine World Wide, Inc.............. 240,448 11,486,201 0.2% Other Securities....................... 900,568,741 16.4% -------------- ----- Total Consumer Discretionary............... 1,044,571,507 18.9% -------------- ----- Consumer Staples -- (3.6%) #* Hain Celestial Group, Inc. (The)....... 180,533 11,779,778 0.2% Other Securities....................... 229,110,428 4.2% -------------- ----- Total Consumer Staples 240,890,206 4.4% -------------- ----- Energy -- (4.3%) Bristow Group, Inc..................... 180,340 11,397,488 0.2% * Gulfport Energy Corp................... 245,449 12,809,983 0.2% * Helix Energy Solutions Group, Inc...... 491,600 11,326,464 0.2% # Lufkin Industries, Inc................. 164,767 14,547,278 0.3% # Western Refining, Inc.................. 371,375 11,479,201 0.2% Other Securities....................... 225,417,420 4.1% -------------- ----- Total Energy............................... 286,977,834 5.2% -------------- ----- Financials -- (14.0%) Geo Group, Inc. (The).................. 311,791 11,676,573 0.2% * Ocwen Financial Corp................... 328,355 12,011,226 0.2% # TCF Financial Corp..................... 832,287 12,109,776 0.2% Other Securities....................... 902,198,385 16.3% -------------- ----- Total Financials........................... 937,995,960 16.9% -------------- ----- Health Care -- (7.7%) #* Centene Corp........................... 258,159 11,926,946 0.2% * LifePoint Hospitals, Inc............... 236,483 11,351,184 0.2% #* Medicines Co. (The).................... 351,538 11,867,923 0.2% #* PAREXEL International Corp............. 290,659 11,902,486 0.2% # STERIS Corp............................ 282,552 11,751,338 0.2% * Team Health Holdings, Inc.............. 317,151 11,823,389 0.2% * Thoratec Corp.......................... 319,166 11,553,809 0.2% Other Securities....................... 435,421,077 8.0% -------------- ----- Total Health Care.......................... 517,598,152 9.4% -------------- ----- Industrials -- (14.8%) # Actuant Corp. Class A.................. 365,245 11,432,168 0.2% # Alliant Techsystems, Inc............... 154,313 11,474,715 0.2% AMERCO................................. 73,467 11,806,147 0.2% * Avis Budget Group, Inc................. 493,987 14,246,585 0.3% #* Chart Industries, Inc.................. 150,375 12,753,304 0.2%
32 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) # EMCOR Group, Inc........................... 306,181 $ 11,451,169 0.2% * EnerSys, Inc............................... 244,184 11,193,395 0.2% Huntington Ingalls Industries, Inc......... 227,971 12,059,666 0.2% # Manitowoc Co., Inc. (The).................. 650,586 12,204,993 0.2% #* Middleby Corp.............................. 78,446 11,733,953 0.2% #* US Airways Group, Inc...................... 795,980 13,452,062 0.3% Other Securities........................... 858,631,446 15.5% -------------- ----- Total Industrials.............................. 992,439,603 17.9% -------------- ----- Information Technology -- (14.0%) # Anixter International, Inc................. 161,603 11,593,399 0.2% #* Compuware Corp............................. 995,933 11,951,196 0.2% #* Cymer, Inc................................. 144,305 15,117,392 0.3% # FEI Co..................................... 177,398 11,332,184 0.2% # MAXIMUS, Inc............................... 157,974 12,588,948 0.2% # Mentor Graphics Corp....................... 661,422 12,077,566 0.2% #* ValueClick, Inc............................ 372,765 11,503,528 0.2% Other Securities........................... 853,619,765 15.5% -------------- ----- Total Information Technology................... 939,783,978 17.0% -------------- ----- Materials -- (4.8%) # Eagle Materials, Inc....................... 212,595 14,403,311 0.3% * Louisiana-Pacific Corp..................... 633,346 11,476,230 0.2% PolyOne Corp............................... 496,230 11,180,062 0.2% Other Securities........................... 284,520,162 5.1% -------------- ----- Total Materials................................ 321,579,765 5.8% -------------- ----- Other -- (0.0%) Other Securities........................... 7,948 0.0% -------------- ----- Telecommunication Services -- (0.4%) Other Securities........................... 27,200,521 0.5% -------------- ----- Utilities -- (3.0%) Portland General Electric Co............... 369,541 11,917,697 0.2% # Southwest Gas Corp......................... 222,051 11,251,324 0.2% Other Securities........................... 172,877,836 3.1% -------------- ----- Total Utilities................................ 196,046,857 3.5% -------------- ----- TOTAL COMMON STOCKS............................ 5,505,092,331 99.5% -------------- ----- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities........................... 196,119 0.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves. 35,634,656 35,634,656 0.6% -------------- -----
33 U.S. SMALL CAP PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (17.3%) (S)@ DFA Short Term Investment Fund 100,407,456 $1,161,714,264 21.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,460,276,208)............... $6,702,637,370 121.1% ============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Consumer Discretionary...... $1,044,571,507 -- -- $1,044,571,507 Consumer Staples............ 240,890,206 -- -- 240,890,206 Energy...................... 286,977,834 -- -- 286,977,834 Financials.................. 937,980,902 $ 15,058 -- 937,995,960 Health Care................. 517,507,784 90,368 -- 517,598,152 Industrials................. 992,129,464 310,139 -- 992,439,603 Information Technology...... 939,783,978 -- -- 939,783,978 Materials................... 321,579,765 -- -- 321,579,765 Other....................... -- 7,948 -- 7,948 Telecommunication Services.. 27,200,521 -- -- 27,200,521 Utilities................... 196,046,857 -- -- 196,046,857 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 196,119 -- 196,119 Temporary Cash Investments.... 35,634,656 -- -- 35,634,656 Securities Lending Collateral. -- 1,161,714,264 -- 1,161,714,264 -------------- -------------- -- -------------- TOTAL......................... $5,540,303,474 $1,162,333,896 -- $6,702,637,370 ============== ============== == ==============
See accompanying Notes to Financial Statements. 34 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (85.7%) Consumer Discretionary -- (16.4%) #* Asbury Automotive Group, Inc........... 303,771 $ 12,178,179 0.3% # Belo Corp. Class A..................... 813,649 8,722,317 0.2% Churchill Downs, Inc................... 117,187 8,960,118 0.2% #* Conn's, Inc............................ 311,038 13,471,056 0.3% # Dorman Products, Inc................... 312,058 11,777,069 0.3% #* Grand Canyon Education, Inc............ 362,840 9,277,819 0.2% La-Z-Boy, Inc.......................... 515,798 9,315,312 0.2% Lithia Motors, Inc. Class A............ 188,702 9,344,523 0.2% #* Lumber Liquidators Holdings, Inc....... 138,270 11,332,609 0.3% # Oxford Industries, Inc................. 148,270 8,767,205 0.2% * Papa John's International, Inc......... 214,930 13,540,590 0.4% #* Pinnacle Entertainment, Inc............ 540,950 10,310,507 0.3% #* Quiksilver, Inc........................ 1,340,079 9,018,732 0.2% # Ryland Group, Inc. (The)............... 206,913 9,323,500 0.2% # Sinclair Broadcast Group, Inc. Class A. 401,740 10,766,632 0.3% # Sturm Ruger & Co., Inc................. 185,803 9,526,120 0.2% Other Securities....................... 587,926,550 15.1% ------------ ----- Total Consumer Discretionary............... 753,558,838 19.1% ------------ ----- Consumer Staples -- (3.8%) # Andersons, Inc. (The).................. 159,711 8,707,444 0.2% # Cal-Maine Foods, Inc................... 202,886 8,659,174 0.2% #* Elizabeth Arden, Inc................... 241,815 9,902,324 0.3% # J&J Snack Foods Corp................... 179,640 13,476,593 0.3% * Prestige Brands Holdings, Inc.......... 356,410 9,605,249 0.3% #* Susser Holdings Corp................... 176,060 9,361,110 0.2% Other Securities....................... 113,777,778 2.9% ------------ ----- Total Consumer Staples..................... 173,489,672 4.4% ------------ ----- Energy -- (4.2%) * EPL Oil & Gas, Inc..................... 290,804 9,500,567 0.2% * Hercules Offshore, Inc................. 1,228,317 9,052,696 0.2% Other Securities....................... 172,766,101 4.4% ------------ ----- Total Energy............................... 191,319,364 4.8% ------------ ----- Financials -- (14.9%) # Bank of the Ozarks, Inc................ 296,309 12,127,927 0.3% # FBL Financial Group, Inc. Class A...... 271,726 10,681,549 0.3% Horace Mann Educators Corp............. 423,287 9,545,122 0.2% #* Western Alliance Bancorp............... 614,415 9,038,045 0.2% #* World Acceptance Corp.................. 153,471 13,637,433 0.4% Other Securities....................... 629,840,256 15.9% ------------ ----- Total Financials........................... 684,870,332 17.3% ------------ ----- Health Care -- (8.5%) * Amsurg Corp............................ 286,482 9,614,336 0.3% # Analogic Corp.......................... 123,731 9,834,140 0.3% #* Hanger, Inc............................ 295,250 8,972,647 0.2% Other Securities....................... 362,734,433 9.1% ------------ ----- Total Health Care.......................... 391,155,556 9.9% ------------ -----
35 U.S. MICRO CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (14.8%) AZZ, Inc................................... 227,597 $ 9,625,077 0.3% #* EnPro Industries, Inc...................... 181,024 8,920,863 0.2% # Lindsay Corp............................... 114,790 8,818,168 0.2% Other Securities........................... 652,055,425 16.5% -------------- ----- Total Industrials.............................. 679,419,533 17.2% -------------- ----- Information Technology -- (14.6%) * Electronics for Imaging, Inc............... 361,249 9,652,573 0.3% # Forrester Research, Inc.................... 256,189 9,184,376 0.2% # Heartland Payment Systems, Inc............. 279,163 9,181,671 0.2% * iGATE Corp................................. 527,877 8,810,267 0.2% * Manhattan Associates, Inc.................. 216,969 15,233,393 0.4% # MTS Systems Corp........................... 165,039 10,059,127 0.3% * Tyler Technologies, Inc.................... 230,600 14,583,144 0.4% Other Securities........................... 591,619,780 14.9% -------------- ----- Total Information Technology................... 668,324,331 16.9% -------------- ----- Materials -- (5.8%) # Balchem Corp............................... 221,446 9,597,470 0.2% Buckeye Technologies, Inc.................. 257,175 9,667,208 0.3% KapStone Paper and Packaging Corp.......... 331,563 9,807,633 0.3% PH Glatfelter Co........................... 389,968 9,359,232 0.2% # Stepan Co.................................. 165,990 9,451,471 0.2% # Tredegar Corp.............................. 328,579 9,725,938 0.3% Other Securities........................... 209,084,962 5.3% -------------- ----- Total Materials................................ 266,693,914 6.8% -------------- ----- Other -- (0.0%) Other Securities........................... 58,742 0.0% -------------- ----- Telecommunication Services -- (1.0%) Other Securities........................... 44,711,868 1.1% -------------- ----- Utilities -- (1.7%) # American States Water Co................... 161,488 8,959,354 0.2% # MGE Energy, Inc............................ 194,367 10,855,397 0.3% Other Securities........................... 59,938,853 1.5% -------------- ----- Total Utilities................................ 79,753,604 2.0% -------------- ----- TOTAL COMMON STOCKS............................ 3,933,355,754 99.5% -------------- ----- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities........................... -- 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities........................... 190,735 0.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves. 18,813,733 18,813,733 0.5% -------------- -----
36 U.S. MICRO CAP PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (13.9%) (S)@ DFA Short Term Investment Fund.. 55,331,133 $ 640,181,210 16.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,675,115,793)............... $4,592,541,432 116.2% ============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 753,558,838 -- -- $ 753,558,838 Consumer Staples............ 173,489,672 -- -- 173,489,672 Energy...................... 191,319,364 -- -- 191,319,364 Financials.................. 684,850,357 $ 19,975 -- 684,870,332 Health Care................. 391,028,691 126,865 -- 391,155,556 Industrials................. 679,146,848 272,685 -- 679,419,533 Information Technology...... 668,324,331 -- -- 668,324,331 Materials................... 266,693,914 -- -- 266,693,914 Other....................... -- 58,742 -- 58,742 Telecommunication Services.. 44,711,868 -- -- 44,711,868 Utilities................... 79,753,604 -- -- 79,753,604 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 190,735 -- 190,735 Temporary Cash Investments.... 18,813,733 -- -- 18,813,733 Securities Lending Collateral. -- 640,181,210 -- 640,181,210 -------------- ------------ -- -------------- TOTAL......................... $3,951,691,220 $640,850,212 -- $4,592,541,432 ============== ============ == ==============
See accompanying Notes to Financial Statements. 37 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.3%) Real Estate Investment Trusts -- (90.3%) Alexandria Real Estate Equities, Inc.......... 577,338 $ 42,012,886 0.9% # American Campus Communities, Inc.............. 890,610 39,756,830 0.9% # American Tower Corp........................... 520,737 43,736,701 0.9% # Apartment Investment & Management Co. Class A. 1,329,343 41,355,861 0.9% # AvalonBay Communities, Inc.................... 1,082,271 143,985,334 3.1% # BioMed Realty Trust, Inc...................... 1,536,625 34,589,429 0.7% # Boston Properties, Inc........................ 1,364,786 149,348,532 3.2% # BRE Properties, Inc........................... 696,475 35,158,058 0.8% # Camden Property Trust......................... 762,773 55,178,999 1.2% # CBL & Associates Properties, Inc.............. 1,414,994 34,157,955 0.7% # DDR Corp...................................... 2,268,727 41,608,453 0.9% # Digital Realty Trust, Inc..................... 1,155,672 81,497,989 1.7% # Douglas Emmett, Inc........................... 1,227,846 32,132,730 0.7% # Duke Realty Corp.............................. 2,894,958 51,067,059 1.1% # EPR Properties................................ 425,310 24,047,027 0.5% # Equity Lifestyle Properties, Inc.............. 355,621 28,894,206 0.6% # Equity Residential............................ 3,035,682 176,251,697 3.8% # Essex Property Trust, Inc..................... 337,696 53,035,157 1.1% # Extra Space Storage, Inc...................... 936,883 40,829,361 0.9% # Federal Realty Investment Trust............... 585,831 68,548,085 1.5% # General Growth Properties, Inc................ 3,910,099 88,837,449 1.9% HCP, Inc...................................... 4,035,325 215,082,823 4.6% Health Care REIT, Inc......................... 2,351,323 176,278,685 3.8% Healthcare Realty Trust, Inc.................. 798,782 23,979,436 0.5% # Highwoods Properties, Inc..................... 725,043 29,748,514 0.6% # Home Properties, Inc.......................... 453,491 29,232,030 0.6% # Hospitality Properties Trust.................. 1,169,563 34,396,848 0.7% # Host Hotels & Resorts, Inc.................... 6,540,269 119,490,715 2.6% # Kilroy Realty Corp............................ 674,011 38,142,283 0.8% # Kimco Realty Corp............................. 3,670,642 87,287,867 1.9% Liberty Property Trust........................ 1,076,122 46,262,485 1.0% # Macerich Co. (The)............................ 1,224,215 85,756,261 1.8% # Mid-America Apartment Communities, Inc........ 376,394 25,869,560 0.6% # National Retail Properties, Inc............... 1,021,448 40,531,057 0.9% # Omega Healthcare Investors, Inc............... 1,005,858 33,062,552 0.7% Piedmont Office Realty Trust, Inc. Class A.... 1,492,632 30,628,809 0.7% # Post Properties, Inc.......................... 490,262 24,233,651 0.5% # Prologis, Inc................................. 4,165,220 174,730,979 3.8% # Public Storage................................ 1,315,495 217,056,675 4.7% # Realty Income Corp............................ 1,452,697 74,043,966 1.6% # Regency Centers Corp.......................... 806,772 45,388,993 1.0% # Senior Housing Properties Trust............... 1,660,758 47,215,350 1.0% # Simon Property Group, Inc..................... 2,731,455 486,390,192 10.5% # SL Green Realty Corp.......................... 821,410 74,501,887 1.6% # Tanger Factory Outlet Centers................. 844,545 31,349,510 0.7% # Taubman Centers, Inc.......................... 562,976 48,140,078 1.0% # UDR, Inc...................................... 2,242,916 55,130,875 1.2% # Ventas, Inc................................... 2,582,823 205,670,196 4.4% Vornado Realty Trust.......................... 1,512,590 132,442,380 2.8% # Weingarten Realty Investors................... 1,047,119 35,675,344 0.8% Other Securities.............................. 657,982,496 14.2% -------------- ----- TOTAL COMMON STOCKS............................... 4,631,732,295 99.6% -------------- -----
38 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves. 23,600,975 $ 23,600,975 0.5% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (9.2%) (S)@ DFA Short Term Investment Fund............. 40,723,526 471,171,199 10.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,410,560,413)........................ $5,126,504,469 110.2% ============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks................... Real Estate Investment Trusts. $4,631,732,295 -- -- $4,631,732,295 Temporary Cash Investments...... 23,600,975 -- -- 23,600,975 Securities Lending Collateral... -- $471,171,199 -- 471,171,199 -------------- ------------ -- -------------- TOTAL........................... $4,655,333,270 $471,171,199 -- $5,126,504,469 ============== ============ == ==============
See accompanying Notes to Financial Statements. 39 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.6%) AUSTRALIA -- (7.3%) Australia & New Zealand Banking Group, Ltd.. 500,458 $ 16,538,746 0.7% BHP Billiton, Ltd........................... 420,944 14,151,700 0.6% Commonwealth Bank of Australia.............. 292,747 22,313,429 0.9% # National Australia Bank, Ltd................ 462,384 16,316,553 0.7% Wesfarmers, Ltd............................. 189,991 8,547,373 0.4% Westpac Banking Corp........................ 504,113 17,684,297 0.7% Woolworths, Ltd............................. 222,524 8,404,562 0.4% Other Securities............................ 99,621,571 3.9% ------------ ----- TOTAL AUSTRALIA................................. 203,578,231 8.3% ------------ ----- AUSTRIA -- (0.2%) Other Securities............................ 6,398,118 0.3% ------------ ----- BELGIUM -- (0.9%) # Anheuser-Busch InBev NV..................... 113,052 10,860,966 0.4% Other Securities............................ 14,141,537 0.6% ------------ ----- TOTAL BELGIUM................................... 25,002,503 1.0% ------------ ----- CANADA -- (8.7%) Bank of Nova Scotia......................... 199,837 11,522,687 0.5% # Royal Bank of Canada........................ 243,989 14,719,987 0.6% Suncor Energy, Inc.......................... 279,079 8,701,049 0.4% Toronto-Dominion Bank (The)................. 160,784 13,180,952 0.6% Other Securities............................ 195,058,674 7.9% ------------ ----- TOTAL CANADA.................................... 243,183,349 10.0% ------------ ----- DENMARK -- (1.0%) Other Securities............................ 28,219,489 1.2% ------------ ----- FINLAND -- (0.6%) Other Securities............................ 17,470,494 0.7% ------------ ----- FRANCE -- (7.3%) BNP Paribas SA.............................. 193,757 10,803,483 0.5% L'Oreal SA.................................. 45,086 8,047,433 0.3% Sanofi...................................... 165,428 17,885,336 0.7% Total SA.................................... 234,515 11,804,793 0.5% Other Securities............................ 154,127,915 6.3% ------------ ----- TOTAL FRANCE.................................... 202,668,960 8.3% ------------ ----- GERMANY -- (6.2%) Allianz SE.................................. 62,963 9,313,520 0.4% # BASF SE..................................... 153,846 14,401,919 0.6% # Bayer AG.................................... 111,074 11,612,392 0.5% Daimler AG.................................. 181,449 10,060,449 0.4% SAP AG...................................... 127,132 10,135,209 0.4% Siemens AG.................................. 79,520 8,308,807 0.3% Other Securities............................ 109,200,924 4.5% ------------ ----- TOTAL GERMANY................................... 173,033,220 7.1% ------------ ----- GREECE -- (0.0%) Other Securities............................ $ 575,927 0.0% ------------ -----
40 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.5%) AIA Group, Ltd........................... 2,032,400 $ 9,041,043 0.4% Other Securities......................... 60,160,172 2.4% ------------ ----- TOTAL HONG KONG.............................. 69,201,215 2.8% ------------ ----- IRELAND -- (0.2%) Other Securities......................... 6,773,985 0.3% ------------ ----- ISRAEL -- (0.4%) Other Securities......................... 10,058,272 0.4% ------------ ----- ITALY -- (1.5%) Other Securities......................... 42,686,772 1.7% ------------ ----- JAPAN -- (17.0%) # Mitsubishi UFJ Financial Group, Inc. ADR. 1,455,897 9,870,982 0.4% Sumitomo Mitsui Financial Group, Inc..... 235,240 11,119,165 0.5% Toyota Motor Corp........................ 305,800 17,747,965 0.7% # Toyota Motor Corp. Sponsored ADR......... 85,613 9,956,792 0.4% Other Securities......................... 426,149,864 17.4% ------------ ----- TOTAL JAPAN.................................. 474,844,768 19.4% ------------ ----- NETHERLANDS -- (1.8%) Unilever NV.............................. 242,733 10,343,179 0.4% Other Securities......................... 40,082,361 1.7% ------------ ----- TOTAL NETHERLANDS............................ 50,425,540 2.1% ------------ ----- NEW ZEALAND -- (0.1%) Other Securities......................... 2,347,543 0.1% ------------ ----- NORWAY -- (0.8%) Other Securities......................... 23,704,773 1.0% ------------ ----- PORTUGAL -- (0.2%) Other Securities......................... 4,299,050 0.2% ------------ ----- SINGAPORE -- (1.4%) Other Securities......................... 38,046,883 1.6% ------------ ----- SPAIN -- (2.3%) Banco Santander SA....................... 1,167,590 8,431,806 0.4% Other Securities......................... 55,428,115 2.2% ------------ ----- TOTAL SPAIN.................................. 63,859,921 2.6% ------------ ----- SWEDEN -- (2.6%) Other Securities......................... 71,261,869 2.9% ------------ ----- SWITZERLAND -- (7.1%) Nestle SA................................ 563,769 40,203,744 1.7% Novartis AG.............................. 260,874 19,311,868 0.8% Novartis AG ADR.......................... 164,130 12,106,229 0.5% Roche Holding AG......................... 125,034 31,301,060 1.3% UBS AG................................... 640,816 11,431,139 0.5% Zurich Insurance Group AG................ 32,332 9,034,906 0.4% Other Securities......................... 76,284,259 3.0% ------------ ----- TOTAL SWITZERLAND............................ 199,673,205 8.2% ------------ ----- UNITED KINGDOM -- (16.5%) BG Group P.L.C........................... 490,585 8,281,730 0.3% BP P.L.C. Sponsored ADR.................. 539,860 23,537,896 1.0% British American Tobacco P.L.C........... 285,586 15,831,522 0.6% Diageo P.L.C. Sponsored ADR.............. 67,354 8,230,659 0.3% GlaxoSmithKline P.L.C.................... 528,451 13,634,813 0.6% # GlaxoSmithKline P.L.C. Sponsored ADR..... 166,094 8,577,094 0.4%
41 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (Continued) HSBC Holdings P.L.C............................................ 1,623,467 $ 17,780,190 0.7% # HSBC Holdings P.L.C. Sponsored ADR............................. 395,734 21,709,966 0.9% Reckitt Benckiser Group P.L.C.................................. 116,476 8,502,852 0.3% Royal Dutch Shell P.L.C. ADR................................... 392,289 27,377,849 1.1% SABMiller P.L.C................................................ 174,605 9,421,205 0.4% Standard Chartered P.L.C....................................... 439,931 11,071,919 0.5% Tesco P.L.C.................................................... 1,490,002 8,475,104 0.3% Vodafone Group P.L.C........................................... 2,847,359 8,688,131 0.4% Vodafone Group P.L.C. Sponsored ADR............................ 614,634 18,801,654 0.8% Other Securities............................................... 251,746,398 10.3% -------------- ------ TOTAL UNITED KINGDOM................................................. 461,668,982 18.9% -------------- ------ UNITED STATES -- (0.0%) Other Securities............................................... 280,498 0.0% -------------- ------ TOTAL COMMON STOCKS.................................................. 2,419,263,567 99.1% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities............................................... 1,512,943 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) NETHERLANDS -- (0.0%) Other Securities............................................... 219,886 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................... 248,332 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................................ 468,218 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (13.3%) (S)@ DFA Short Term Investment Fund................................. 32,152,118 372,000,000 15.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $418,203 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $427,421) to be repurchased at $419,042...................................................... $ 419 419,040 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 372,419,040 15.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,338,521,445)............................................ $2,793,663,768 114.4% ============== ======
42 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................... $ 7,560,611 $ 196,017,620 -- $ 203,578,231 Austria..................... 32,760 6,365,358 -- 6,398,118 Belgium..................... 3,271,730 21,730,773 -- 25,002,503 Canada...................... 243,183,349 -- -- 243,183,349 Denmark..................... 4,509,187 23,710,302 -- 28,219,489 Finland..................... 954,444 16,516,050 -- 17,470,494 France...................... 16,532,946 186,136,014 -- 202,668,960 Germany..................... 26,114,966 146,918,254 -- 173,033,220 Greece...................... -- 575,927 -- 575,927 Hong Kong................... -- 69,201,215 -- 69,201,215 Ireland..................... 1,913,058 4,860,927 -- 6,773,985 Israel...................... 5,036,730 5,021,542 -- 10,058,272 Italy....................... 5,845,964 36,840,808 -- 42,686,772 Japan....................... 40,628,291 434,216,477 -- 474,844,768 Netherlands................. 5,300,665 45,124,875 -- 50,425,540 New Zealand................. -- 2,347,543 -- 2,347,543 Norway...................... 1,566,805 22,137,968 -- 23,704,773 Portugal.................... 106,372 4,192,678 -- 4,299,050 Singapore................... -- 38,046,883 -- 38,046,883 Spain....................... 18,926,633 44,933,288 -- 63,859,921 Sweden...................... 1,079,570 70,182,299 -- 71,261,869 Switzerland................. 23,527,289 176,145,916 -- 199,673,205 United Kingdom.............. 158,479,220 303,189,762 -- 461,668,982 United States............... 280,498 -- -- 280,498 Preferred Stocks Germany..................... -- 1,512,943 -- 1,512,943 Rights/Warrants Netherlands................. -- 219,886 -- 219,886 Spain....................... -- 248,332 -- 248,332 Securities Lending Collateral. -- 372,419,040 -- 372,419,040 ------------ -------------- -- -------------- TOTAL......................... $564,851,088 $2,228,812,680 -- $2,793,663,768 ============ ============== == ==============
See accompanying Notes to Financial Statements. 43 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.1%) AUSTRALIA -- (6.3%) Australia & New Zealand Banking Group, Ltd.. 972,400 $ 32,135,117 0.4% Commonwealth Bank of Australia.............. 291,226 22,197,496 0.3% # National Australia Bank, Ltd................ 1,075,691 37,958,860 0.5% Suncorp Group, Ltd.......................... 1,243,956 16,753,961 0.2% Wesfarmers, Ltd............................. 509,296 22,912,364 0.3% Westpac Banking Corp........................ 832,771 29,213,630 0.4% Other Securities............................ 417,411,564 5.2% ------------ ---- TOTAL AUSTRALIA................................. 578,582,992 7.3% ------------ ---- AUSTRIA -- (0.4%) Other Securities............................ 38,910,198 0.5% ------------ ---- BELGIUM -- (1.0%) Other Securities............................ 90,657,468 1.2% ------------ ---- CANADA -- (7.9%) # Bank of Montreal............................ 273,400 17,148,390 0.2% # Royal Bank of Canada........................ 326,040 19,670,168 0.3% Suncor Energy, Inc.......................... 654,429 20,403,607 0.3% Toronto-Dominion Bank (The)................. 350,772 28,756,027 0.4% Other Securities............................ 631,242,236 7.9% ------------ ---- TOTAL CANADA.................................... 717,220,428 9.1% ------------ ---- CHINA -- (0.0%) Other Securities............................ 682,563 0.0% ------------ ---- COLOMBIA -- (0.0%) Other Securities............................ 13,661 0.0% ------------ ---- DENMARK -- (1.0%) Other Securities............................ 86,541,097 1.1% ------------ ---- FINLAND -- (1.3%)............................... Other Securities............................ 113,988,028 1.4% ------------ ---- FRANCE -- (6.2%) BNP Paribas SA.............................. 500,741 27,920,262 0.4% Sanofi...................................... 147,180 15,912,443 0.2% Sanofi ADR.................................. 562,231 29,995,024 0.4% * Societe Generale SA......................... 601,863 21,863,864 0.3% Total SA Sponsored ADR...................... 595,142 29,899,934 0.4% Other Securities............................ 442,185,190 5.5% ------------ ---- TOTAL FRANCE.................................... 567,776,717 7.2% ------------ ---- GERMANY -- (5.1%) Allianz SE.................................. 137,629 20,358,153 0.3% Daimler AG.................................. 469,210 26,015,371 0.3% # Muenchener Rueckversicherungs AG............ 92,638 18,555,974 0.2% # Siemens AG Sponsored ADR.................... 200,444 20,948,402 0.3% Other Securities............................ 381,750,080 4.8% ------------ ---- TOTAL GERMANY................................... 467,627,980 5.9% ------------ ----
44 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.2%) Other Securities...................... $ 20,568,346 0.3% -------------- ----- HONG KONG -- (2.3%) Other Securities...................... 212,526,628 2.7% -------------- ----- IRELAND -- (0.5%) Other Securities...................... 44,486,764 0.6% -------------- ----- ISRAEL -- (0.5%) Other Securities...................... 45,342,666 0.6% -------------- ----- ITALY -- (1.9%) Other Securities...................... 169,031,134 2.1% -------------- ----- JAPAN -- (18.8%) # Honda Motor Co., Ltd. Sponsored ADR... 417,161 16,678,097 0.2% Mitsubishi UFJ Financial Group, Inc... 4,596,200 31,184,479 0.4% Mizuho Financial Group, Inc........... 10,641,060 23,415,192 0.3% Sumitomo Mitsui Financial Group, Inc.. 664,070 31,388,811 0.4% # Toyota Motor Corp. Sponsored ADR...... 360,892 41,971,740 0.6% Other Securities...................... 1,574,103,449 19.8% -------------- ----- TOTAL JAPAN............................... 1,718,741,768 21.7% -------------- ----- NETHERLANDS -- (2.1%) Koninklijke Philips Electronics NV.... 573,294 15,867,651 0.2% Other Securities...................... 176,107,529 2.2% -------------- ----- TOTAL NETHERLANDS......................... 191,975,180 2.4% -------------- ----- NEW ZEALAND -- (0.2%) Other Securities...................... 21,504,707 0.3% -------------- ----- NORWAY -- (1.0%) Other Securities...................... 88,554,387 1.1% -------------- ----- POLAND -- (0.0%) Other Securities...................... 38,194 0.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities...................... 26,374,756 0.3% -------------- ----- RUSSIA -- (0.0%) Other Securities...................... 388,092 0.0% -------------- ----- SINGAPORE -- (1.4%) Other Securities...................... 127,937,279 1.6% -------------- ----- SPAIN -- (1.9%) Banco Santander SA.................... 2,981,742 21,532,789 0.3% # Banco Santander SA Sponsored ADR...... 2,229,277 16,162,258 0.2% Other Securities...................... 138,497,929 1.7% -------------- ----- TOTAL SPAIN............................... 176,192,976 2.2% -------------- ----- SWEDEN -- (2.8%) Other Securities...................... 253,660,357 3.2% -------------- -----
45 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (6.3%) ABB, Ltd............................ 1,158,384 $ 26,268,562 0.3% Credit Suisse Group AG.............. 733,039 20,357,249 0.3% Holcim, Ltd......................... 208,137 16,235,724 0.2% Nestle SA........................... 587,284 41,880,656 0.5% # Novartis AG ADR..................... 818,651 60,383,698 0.8% Roche Holding AG.................... 81,978 20,522,404 0.3% Swiss Re AG......................... 345,927 27,529,420 0.4% UBS AG.............................. 1,749,489 31,208,104 0.4% Zurich Insurance Group AG........... 145,954 40,785,621 0.5% Other Securities.................... 286,091,352 3.5% -------------- ----- TOTAL SWITZERLAND....................... 571,262,790 7.2% -------------- ----- UNITED KINGDOM -- (16.7%) Anglo American P.L.C................ 763,241 18,661,816 0.2% # AstraZeneca P.L.C. Sponsored ADR.... 424,722 22,051,566 0.3% # Barclays P.L.C. Sponsored ADR....... 1,811,137 32,564,243 0.4% BG Group P.L.C...................... 933,234 15,754,237 0.2% # BHP Billiton P.L.C. ADR............. 286,867 16,216,592 0.2% BP P.L.C. Sponsored ADR............. 1,562,643 68,131,232 0.9% HSBC Holdings P.L.C. Sponsored ADR.. 1,761,750 96,649,601 1.2% * Lloyds Banking Group P.L.C.......... 23,313,762 19,804,874 0.3% # Prudential P.L.C. ADR............... 651,676 22,508,889 0.3% # Rio Tinto P.L.C. Sponsored ADR...... 458,818 21,133,157 0.3% # Royal Dutch Shell P.L.C. ADR........ 1,430,280 99,819,241 1.3% Standard Chartered P.L.C............ 1,125,564 28,327,517 0.4% Tesco P.L.C......................... 3,732,880 21,232,553 0.3% Vodafone Group P.L.C. Sponsored ADR. 2,394,771 73,256,045 0.9% Other Securities.................... 964,017,666 12.0% -------------- ----- TOTAL UNITED KINGDOM.................... 1,520,129,229 19.2% -------------- ----- UNITED STATES -- (0.0%) Other Securities.................... 3,494,631 0.0% -------------- ----- TOTAL COMMON STOCKS..................... 7,854,211,016 99.2% -------------- ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities.................... 4,378,796 0.1% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities.................... 8,616 0.0% -------------- ----- TOTAL PREFERRED STOCKS.................. 4,387,412 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................... 1,483 0.0% -------------- ----- BELGIUM -- (0.0%) Other Securities.................... -- 0.0% -------------- ----- CANADA -- (0.0%) Other Securities.................... 574 0.0% -------------- -----
46 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities............................................ $ -- 0.0% -------------- ------ ISRAEL -- (0.0%) Other Securities............................................ 11,543 0.0% -------------- ------ ITALY -- (0.0%) Other Securities............................................ 825 0.0% -------------- ------ NETHERLANDS -- (0.0%) Other Securities............................................ 242,608 0.0% -------------- ------ NORWAY -- (0.0%) Other Securities............................................ 3,770 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................ 646,821 0.0% -------------- ------ SWITZERLAND -- (0.0%) Other Securities............................................ 53,406 0.0% -------------- ------ UNITED STATES -- (0.0%) Other Securities............................................ -- 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS............................................. 961,030 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (13.8%) (S)@ DFA Short Term Investment Fund.............................. 108,038,029 1,250,000,000 15.8% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $9,993,202 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $10,213,462) to be repurchased at $10,013,243................................................ $ 10,013 10,013,198 0.1% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,260,013,198 15.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,484,144,476)......................................... $9,119,572,656 115.2% ============== ======
47 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Australia................... $ 26,872,133 $ 551,710,859 -- $ 578,582,992 Austria..................... 57,330 38,852,868 -- 38,910,198 Belgium..................... 10,418,860 80,238,608 -- 90,657,468 Canada...................... 717,159,305 61,123 -- 717,220,428 China....................... 110,466 572,097 -- 682,563 Colombia.................... 13,661 -- -- 13,661 Denmark..................... 4,501,062 82,040,035 -- 86,541,097 Finland..................... 2,652,118 111,335,910 -- 113,988,028 France...................... 87,552,301 480,224,416 -- 567,776,717 Germany..................... 68,989,039 398,638,941 -- 467,627,980 Greece...................... 652,609 19,915,737 -- 20,568,346 Hong Kong................... 223,938 212,302,690 -- 212,526,628 Ireland..................... 12,143,696 32,343,068 -- 44,486,764 Israel...................... 8,896,652 36,446,014 -- 45,342,666 Italy....................... 16,578,746 152,452,388 -- 169,031,134 Japan....................... 108,686,969 1,610,054,799 -- 1,718,741,768 Netherlands................. 29,141,065 162,834,115 -- 191,975,180 New Zealand................. 122,698 21,382,009 -- 21,504,707 Norway...................... 10,233,572 78,320,815 -- 88,554,387 Poland...................... 38,194 -- -- 38,194 Portugal.................... 246,957 26,127,799 -- 26,374,756 Russia...................... -- 388,092 -- 388,092 Singapore................... 64,766 127,872,513 -- 127,937,279 Spain....................... 35,643,906 140,549,070 -- 176,192,976 Sweden...................... 9,281,144 244,379,213 -- 253,660,357 Switzerland................. 102,383,494 468,879,296 -- 571,262,790 United Kingdom.............. 551,209,957 968,919,272 -- 1,520,129,229 United States............... 3,494,631 -- -- 3,494,631 Preferred Stocks Germany..................... -- 4,378,796 -- 4,378,796 United Kingdom.............. -- 8,616 -- 8,616 Rights/Warrants Australia................... -- 1,483 -- 1,483 Belgium..................... -- -- -- -- Canada...................... -- 574 -- 574 Hong Kong................... -- -- -- -- Israel...................... -- 11,543 -- 11,543 Italy....................... -- 825 -- 825 Netherlands................. -- 242,608 -- 242,608 Norway...................... -- 3,770 -- 3,770 Spain....................... -- 646,821 -- 646,821 Switzerland................. -- 53,406 -- 53,406 United States............... -- -- -- -- Securities Lending Collateral. -- 1,260,013,198 -- 1,260,013,198 -------------- -------------- -- -------------- TOTAL......................... $1,807,369,269 $7,312,203,387 -- $9,119,572,656 ============== ============== == ==============
See accompanying Notes to Financial Statements. 48 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $2,477,075,831 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 1,742,051,494 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 1,624,187,471 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 871,962,341 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 656,754,574 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,490,277,913)............................... 7,372,031,711 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $6,490,277,913)............................... $7,372,031,711 ==============
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
- Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------- ------- -------------- Affiliated Investment Companies. $7,372,031,711 -- -- $7,372,031,711 -------------- -- -- -------------- TOTAL........................... $7,372,031,711 -- -- $7,372,031,711 ============== == == ==============
See accompanying Notes to Financial Statements. 49 SCHEDULES OF INVESTMENTS April 30, 2013 (Unaudited) JAPANESE SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company.................................. $495,729,468 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $479,448,060).......................................... $495,729,468 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, 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.............................. $270,965,449 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $240,342,368).......................................... $270,965,449 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 50 SCHEDULES OF INVESTMENTS April 30, 2013 (Unaudited) UNITED KINGDOM SMALL COMPANY PORTFOLIO
Value+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... $33,314,018 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $22,855,044)........................................... $33,314,018 ===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, 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.............................. $115,717,432 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $104,610,031).......................................... $115,717,432 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 51 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (84.8%) AUSTRALIA -- (22.4%) # CFS Retail Property Trust Group... 11,940,274 $ 27,208,429 1.4% # Commonwealth Property Office Fund. 14,005,138 16,829,733 0.9% Dexus Property Group.............. 27,648,805 33,074,781 1.7% Federation Centres, Ltd........... 6,849,076 18,462,298 0.9% Goodman Group..................... 10,331,700 55,886,587 2.8% GPT Group......................... 8,533,209 36,304,932 1.9% Investa Office Fund............... 3,511,193 11,941,025 0.6% # Stockland......................... 13,283,337 53,381,870 2.7% # Westfield Group................... 13,180,319 159,431,045 8.1% Westfield Retail Trust............ 17,497,530 59,829,262 3.0% Other Securities.................. 42,539,213 2.1% ------------ ----- TOTAL AUSTRALIA....................... 514,889,175 26.1% ------------ ----- BELGIUM -- (1.2%) # Cofinimmo......................... 93,248 11,223,534 0.6% Other Securities.................. 16,652,407 0.8% ------------ ----- TOTAL BELGIUM......................... 27,875,941 1.4% ------------ ----- CANADA -- (6.0%) # Boardwalk REIT.................... 140,236 9,169,036 0.5% Calloway REIT..................... 341,635 10,244,472 0.5% Canadian REIT..................... 204,194 9,661,946 0.5% Dundee REIT Class A............... 286,663 10,530,942 0.5% # H&R REIT.......................... 679,897 16,703,019 0.9% # RioCan REIT....................... 876,636 25,678,226 1.3% Other Securities.................. 56,265,718 2.8% ------------ ----- TOTAL CANADA.......................... 138,253,359 7.0% ------------ ----- CHINA -- (0.2%) Other Securities.................. 5,557,402 0.3% ------------ ----- FRANCE -- (3.3%) # Fonciere Des Regions.............. 147,675 11,782,646 0.6% # Gecina SA......................... 124,602 15,014,694 0.8% # ICADE............................. 133,009 12,295,517 0.6% Klepierre......................... 548,497 23,275,575 1.2% Other Securities.................. 13,219,919 0.6% ------------ ----- TOTAL FRANCE.......................... 75,588,351 3.8% ------------ ----- GERMANY -- (0.3%) Other Securities.................. 7,291,148 0.4% ------------ ----- GREECE -- (0.0%) Other Securities.................. 482,139 0.0% ------------ ----- HONG KONG -- (4.0%) Link REIT (The)................... 13,650,583 77,030,214 3.9% Other Securities.................. 14,798,825 0.8% ------------ ----- TOTAL HONG KONG....................... 91,829,039 4.7% ------------ ----- ISRAEL -- (0.1%) Other Securities.................. 2,795,940 0.1% ------------ -----
52 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ITALY -- (0.2%) Other Securities...................... $ 4,818,455 0.2% ------------ ----- JAPAN -- (15.9%) # Advance Residence Investment Corp..... 7,394 17,719,070 0.9% # Frontier Real Estate Investment Corp.. 1,371 14,059,135 0.7% # Japan Logistics Fund, Inc............. 887 9,621,993 0.5% # Japan Prime Realty Investment Corp.... 4,740 17,418,265 0.9% # Japan Real Estate Investment Corp..... 3,641 48,910,443 2.5% # Japan Retail Fund Investment Corp..... 12,918 30,621,784 1.6% # Mori Trust Sogo Reit, Inc............. 1,062 10,340,547 0.5% # Nippon Accommodations Fund, Inc....... 1,197 9,304,266 0.5% # Nippon Building Fund, Inc............. 4,228 60,918,439 3.1% # Nomura Real Estate Office Fund, Inc... 1,709 10,919,629 0.5% Orix JREIT, Inc....................... 8,817 11,935,824 0.6% # United Urban Investment Corp.......... 13,933 22,954,668 1.2% Other Securities...................... 102,034,424 5.1% ------------ ----- TOTAL JAPAN............................... 366,758,487 18.6% ------------ ----- MALAYSIA -- (0.4%) Other Securities...................... 8,245,008 0.4% ------------ ----- MEXICO -- (0.8%) Fibra Uno Administracion S.A. de C.V.. 4,502,733 17,302,943 0.9% ------------ ----- NETHERLANDS -- (8.1%) # Corio NV.............................. 398,635 18,462,200 0.9% Unibail-Rodamco SE.................... 550,605 143,936,222 7.3% Other Securities...................... 24,508,999 1.3% ------------ ----- TOTAL NETHERLANDS......................... 186,907,421 9.5% ------------ ----- NEW ZEALAND -- (0.6%) Other Securities...................... 13,570,997 0.7% ------------ ----- SINGAPORE -- (7.9%) Ascendas REIT......................... 11,813,000 26,449,812 1.4% # CapitaCommercial Trust................ 12,234,000 17,034,412 0.9% CapitaMall Trust...................... 15,021,300 28,323,486 1.4% Suntec REIT........................... 12,453,000 19,690,127 1.0% Other Securities...................... 90,032,438 4.5% ------------ ----- TOTAL SINGAPORE........................... 181,530,275 9.2% ------------ ----- SOUTH AFRICA -- (1.2%) Capital Property Fund................. 7,569,484 9,952,737 0.5% Other Securities...................... 16,928,470 0.9% ------------ ----- TOTAL SOUTH AFRICA........................ 26,881,207 1.4% ------------ ----- TAIWAN -- (0.6%) Other Securities...................... 13,017,043 0.7% ------------ ----- TURKEY -- (0.6%) Other Securities...................... 14,773,176 0.8% ------------ ----- UNITED KINGDOM -- (11.0%) British Land Co. P.L.C................ 5,184,620 47,960,332 2.4% Derwent London P.L.C.................. 536,276 19,241,703 1.0% Great Portland Estates P.L.C.......... 2,038,188 16,860,786 0.9% Hammerson P.L.C....................... 4,275,995 34,551,955 1.8%
53 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (Continued) Intu Properties P.L.C.......................................... 3,443,362 $ 18,339,186 0.9% Land Securities Group P.L.C.................................... 4,698,591 63,828,932 3.3% Segro P.L.C.................................................... 4,287,510 17,753,936 0.9% Shaftesbury P.L.C.............................................. 1,431,375 13,517,105 0.7% Other Securities............................................... 21,335,354 1.0% -------------- ------ TOTAL UNITED KINGDOM................................................. 253,389,289 12.9% -------------- ------ TOTAL COMMON STOCKS.................................................. 1,951,756,795 99.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SOUTH AFRICA -- (0.0%) Other Securities............................................... 15,978 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (15.2%) (S)@ DFA Short Term Investment Fund................................. 30,337,079 351,000,000 17.8% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $184,603 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $188,671) to be repurchased at $184,973...................................................... $185 184,972 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 351,184,972 17.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,902,875,464)............................................ $2,302,957,745 116.9% ============== ======
54 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................... -- $ 514,889,175 -- $ 514,889,175 Belgium..................... -- 27,875,941 -- 27,875,941 Canada...................... $138,253,359 -- -- 138,253,359 China....................... -- 5,557,402 -- 5,557,402 France...................... -- 75,588,351 -- 75,588,351 Germany..................... -- 7,291,148 -- 7,291,148 Greece...................... -- 482,139 -- 482,139 Hong Kong................... -- 91,829,039 -- 91,829,039 Israel...................... -- 2,795,940 -- 2,795,940 Italy....................... -- 4,818,455 -- 4,818,455 Japan....................... -- 366,758,487 -- 366,758,487 Malaysia.................... -- 8,245,008 -- 8,245,008 Mexico...................... 17,302,943 -- -- 17,302,943 Netherlands................. 143,936,222 42,971,199 -- 186,907,421 New Zealand................. -- 13,570,997 -- 13,570,997 Singapore................... -- 181,530,275 -- 181,530,275 South Africa................ -- 26,881,207 -- 26,881,207 Taiwan...................... -- 13,017,043 -- 13,017,043 Turkey...................... -- 14,773,176 -- 14,773,176 United Kingdom.............. -- 253,389,289 -- 253,389,289 Rights/Warrants South Africa................ -- 15,978 -- 15,978 Securities Lending Collateral. -- 351,184,972 -- 351,184,972 ------------ -------------- -- -------------- TOTAL......................... $299,492,524 $2,003,465,221 -- $2,302,957,745 ============ ============== == ==============
See accompanying Notes to Financial Statements. 55 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Shares Value+ ----------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc........................... 34,528,858 $1,042,426,231 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc.......... 117,847,453 682,336,755 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,248,552,266)........................ 1,724,762,986 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves (Cost $3,473,170) 3,473,170 3,473,170 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,252,025,436)...... $1,728,236,156 ==============
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------- ------- -------------- Affiliated Investment Companies. $1,724,762,986 -- -- $1,724,762,986 Temporary Cash Investments...... 3,473,170 -- -- 3,473,170 -------------- -- -- -------------- TOTAL........................... $1,728,236,156 -- -- $1,728,236,156 ============== == == ==============
See accompanying Notes to Financial Statements. 56 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.5%) AUSTRALIA -- (5.8%) * BlueScope Steel, Ltd........... 7,748,619 $ 39,899,388 0.4% # Primary Health Care, Ltd....... 10,254,873 56,046,181 0.6% Other Securities............... 560,630,475 5.6% ------------ ---- TOTAL AUSTRALIA.................... 656,576,044 6.6% ------------ ---- AUSTRIA -- (0.7%) Other Securities............... 76,429,535 0.8% ------------ ---- BELGIUM -- (0.7%) Other Securities............... 83,960,254 0.8% ------------ ---- CANADA -- (8.4%) * Canfor Corp.................... 2,457,506 51,323,566 0.5% #* Celestica, Inc................. 4,577,603 39,530,643 0.4% Dorel Industries, Inc. Class B. 842,000 36,356,147 0.4% Sherritt International Corp.... 7,426,939 34,722,202 0.4% West Fraser Timber Co., Ltd.... 655,379 57,220,842 0.6% Other Securities............... 729,406,222 7.2% ------------ ---- TOTAL CANADA....................... 948,559,622 9.5% ------------ ---- CHINA -- (0.0%) Other Securities............... 2,445,750 0.0% ------------ ---- COLOMBIA -- (0.0%) Other Securities............... 98,239 0.0% ------------ ---- DENMARK -- (0.8%) Other Securities............... 93,597,363 0.9% ------------ ---- FINLAND -- (2.1%) # Huhtamaki Oyj.................. 1,888,609 35,402,884 0.4% Pohjola Bank P.L.C. Class A.... 2,606,249 44,366,834 0.5% Other Securities............... 158,711,077 1.5% ------------ ---- TOTAL FINLAND...................... 238,480,795 2.4% ------------ ---- FRANCE -- (3.0%) Other Securities............... 335,331,261 3.3% ------------ ---- GERMANY -- (4.3%) Aurubis AG..................... 1,045,010 65,926,603 0.7% # Bilfinger SE................... 536,449 53,842,934 0.5% #* TUI AG......................... 3,402,355 36,130,570 0.4% Other Securities............... 331,207,607 3.3% ------------ ---- TOTAL GERMANY...................... 487,107,714 4.9% ------------ ---- GREECE -- (0.2%) Other Securities............... 18,712,784 0.2% ------------ ---- HONG KONG -- (2.2%) Other Securities............... 253,295,780 2.5% ------------ ----
57 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.4%) Other Securities............... $ 47,057,838 0.5% -------------- ----- ISRAEL -- (0.7%) Other Securities............... 79,706,401 0.8% -------------- ----- ITALY -- (2.5%) #* Banca Popolare di Milano Scarl. 77,876,899 52,150,846 0.5% * Banco Popolare................. 39,619,058 57,232,381 0.6% Other Securities............... 173,403,418 1.7% -------------- ----- TOTAL ITALY........................ 282,786,645 2.8% -------------- ----- JAPAN -- (21.8%) Aoyama Trading Co., Ltd........ 1,396,199 41,780,501 0.4% Fujikura, Ltd.................. 9,669,000 36,233,328 0.4% # Kawasaki Kisen Kaisha, Ltd..... 17,701,194 38,948,563 0.4% San-In Godo Bank, Ltd. (The)... 4,083,900 34,830,489 0.4% Other Securities............... 2,319,826,614 23.1% -------------- ----- TOTAL JAPAN........................ 2,471,619,495 24.7% -------------- ----- NETHERLANDS -- (1.5%) Delta Lloyd NV................. 2,295,384 44,136,359 0.5% Other Securities............... 121,110,842 1.2% -------------- ----- TOTAL NETHERLANDS.................. 165,247,201 1.7% -------------- ----- NEW ZEALAND -- (0.4%) Other Securities............... 39,810,592 0.4% -------------- ----- NORWAY -- (0.8%) Other Securities............... 94,320,128 0.9% -------------- ----- POLAND -- (0.0%) Other Securities............... 312,174 0.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities............... 37,495,780 0.4% -------------- ----- RUSSIA -- (0.1%) Other Securities............... 9,255,097 0.1% -------------- ----- SINGAPORE -- (1.7%) Other Securities............... 194,099,191 1.9% -------------- ----- SPAIN -- (1.4%) Other Securities............... 159,345,125 1.6% -------------- ----- SWEDEN -- (3.1%) # BillerudKorsnas AB............. 3,506,767 34,807,430 0.4% # Holmen AB Class B.............. 1,385,639 38,839,175 0.4% # Trelleborg AB Class B.......... 6,786,568 101,046,379 1.0% Other Securities............... 176,583,842 1.7% -------------- ----- TOTAL SWEDEN....................... 351,276,826 3.5% -------------- ----- SWITZERLAND -- (4.2%) Clariant AG.................... 3,169,797 46,375,719 0.5% GAM Holding AG................. 1,995,299 35,286,713 0.4%
58 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Helvetia Holding AG.................. 120,995 $ 50,761,635 0.5% Swiss Life Holding AG................ 359,888 57,014,854 0.6% Other Securities..................... 282,429,187 2.7% -------------- ----- TOTAL SWITZERLAND........................ 471,868,108 4.7% -------------- ----- UNITED KINGDOM -- (20.4%) Amlin P.L.C.......................... 11,024,189 72,716,511 0.7% Ashtead Group P.L.C.................. 11,493,515 105,113,361 1.1% * Barratt Developments P.L.C........... 23,445,340 113,494,573 1.1% Beazley P.L.C........................ 12,470,827 43,565,682 0.4% Bellway P.L.C........................ 3,448,205 72,128,835 0.7% Bodycote P.L.C....................... 5,109,442 41,166,775 0.4% Bovis Homes Group P.L.C.............. 3,855,116 46,000,546 0.5% Catlin Group, Ltd.................... 9,072,341 74,162,530 0.8% CSR P.L.C............................ 4,886,688 37,471,349 0.4% #* Dixons Retail P.L.C.................. 78,168,061 42,764,463 0.4% DS Smith P.L.C....................... 15,499,530 56,312,190 0.6% easyJet P.L.C........................ 4,026,670 70,021,729 0.7% Greene King P.L.C.................... 4,908,532 55,476,171 0.6% Hiscox, Ltd.......................... 9,603,622 83,710,188 0.8% # Home Retail Group P.L.C.............. 17,508,245 42,401,436 0.4% Inchcape P.L.C....................... 8,776,728 68,420,864 0.7% Meggitt P.L.C........................ 5,167,155 37,659,094 0.4% Millennium & Copthorne Hotels P.L.C.. 4,813,561 42,354,200 0.4% Mondi P.L.C.......................... 7,456,121 99,087,976 1.0% Persimmon P.L.C...................... 7,739,467 130,012,911 1.3% SIG P.L.C............................ 14,122,480 35,595,134 0.4% Taylor Wimpey P.L.C.................. 76,091,760 110,099,317 1.1% * Thomas Cook Group P.L.C.............. 19,575,023 39,367,820 0.4% Travis Perkins P.L.C................. 5,306,411 118,400,604 1.2% Other Securities..................... 679,630,562 6.7% -------------- ----- TOTAL UNITED KINGDOM..................... 2,317,134,821 23.2% -------------- ----- TOTAL COMMON STOCKS...................... 9,915,930,563 99.1% -------------- ----- PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities..................... 147 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities..................... 297 0.0% -------------- ----- BELGIUM -- (0.0%) Other Securities..................... -- 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities..................... -- 0.0% -------------- ----- ISRAEL -- (0.0%) Other Securities..................... 140,681 0.0% -------------- ----- NORWAY -- (0.0%) Other Securities..................... 914 0.0% -------------- -----
59 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (0.0%) Other Securities............................................ $ 473,326 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS............................................. 615,218 0.0% --------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund.............................. 122,126,188 1,413,000,000 14.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $9,510,021 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $9,719,631) to be repurchased at $9,529,092................................................. $ 9,529 9,529,050 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,422,529,050 14.2% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,604,711,148)........................................ $11,339,074,978 113.3% =============== ======
60 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ --------------- ------- --------------- Common Stocks Australia................... -- $ 656,576,044 -- $ 656,576,044 Austria..................... $ 150,764 76,278,771 -- 76,429,535 Belgium..................... 3,318 83,956,936 -- 83,960,254 Canada...................... 947,681,153 878,469 -- 948,559,622 China....................... 996,892 1,448,858 -- 2,445,750 Colombia.................... 98,239 -- -- 98,239 Denmark..................... -- 93,597,363 -- 93,597,363 Finland..................... 3,986 238,476,809 -- 238,480,795 France...................... 1,018,187 334,313,074 -- 335,331,261 Germany..................... 149,534 486,958,180 -- 487,107,714 Greece...................... 154,310 18,558,474 -- 18,712,784 Hong Kong................... 688,622 252,607,158 -- 253,295,780 Ireland..................... -- 47,057,838 -- 47,057,838 Israel...................... -- 79,706,401 -- 79,706,401 Italy....................... -- 282,786,645 -- 282,786,645 Japan....................... -- 2,471,619,495 -- 2,471,619,495 Netherlands................. -- 165,247,201 -- 165,247,201 New Zealand................. -- 39,810,592 -- 39,810,592 Norway...................... -- 94,320,128 -- 94,320,128 Poland...................... 312,174 -- -- 312,174 Portugal.................... -- 37,495,780 -- 37,495,780 Russia...................... -- 9,255,097 -- 9,255,097 Singapore................... 212,239 193,886,952 -- 194,099,191 Spain....................... 14,443,006 144,902,119 -- 159,345,125 Sweden...................... 1,179,724 350,097,102 -- 351,276,826 Switzerland................. -- 471,868,108 -- 471,868,108 United Kingdom.............. 187,105 2,316,947,716 -- 2,317,134,821 Preferred Stocks.............. United Kingdom.............. -- 147 -- 147 Rights/Warrants............... Australia................... -- 297 -- 297 Belgium..................... -- -- -- -- Hong Kong................... -- -- -- -- Israel...................... -- 140,681 -- 140,681 Norway...................... -- 914 -- 914 Switzerland................. -- 473,326 -- 473,326 Securities Lending Collateral. -- 1,422,529,050 -- 1,422,529,050 ------------ --------------- -- --------------- TOTAL......................... $967,279,253 $10,371,795,725 -- $11,339,074,978 ============ =============== == ===============
See accompanying Notes to Financial Statements. 61 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.7%) AUSTRALIA -- (6.3%) Macquarie Group, Ltd..................... 36,077 $ 1,467,674 0.2% # National Australia Bank, Ltd............. 55,765 1,967,829 0.3% Origin Energy, Ltd....................... 122,076 1,562,863 0.2% Santos, Ltd.............................. 107,485 1,380,652 0.2% Suncorp Group, Ltd....................... 139,503 1,878,867 0.3% Wesfarmers, Ltd.......................... 29,302 1,318,247 0.2% Other Securities......................... 40,812,293 5.7% ----------- ---- TOTAL AUSTRALIA.............................. 50,388,425 7.1% ----------- ---- AUSTRIA -- (0.5%) Other Securities......................... 4,022,844 0.6% ----------- ---- BELGIUM -- (1.1%) # Ageas.................................... 45,850 1,679,168 0.3% Other Securities......................... 7,450,396 1.0% ----------- ---- TOTAL BELGIUM................................ 9,129,564 1.3% ----------- ---- CANADA -- (7.8%) Toronto-Dominion Bank (The).............. 21,129 1,732,140 0.3% Other Securities......................... 60,596,811 8.5% ----------- ---- TOTAL CANADA................................. 62,328,951 8.8% ----------- ---- CHINA -- (0.0%) Other Securities......................... 57,348 0.0% ----------- ---- COLOMBIA -- (0.0%) Other Securities......................... 5,419 0.0% ----------- ---- DENMARK -- (1.0%) Other Securities......................... 8,337,710 1.2% ----------- ---- FINLAND -- (1.5%) # Nokia Oyj................................ 415,522 1,396,023 0.2% Other Securities......................... 10,714,756 1.5% ----------- ---- TOTAL FINLAND................................ 12,110,779 1.7% ----------- ---- FRANCE -- (5.6%) BNP Paribas SA........................... 27,532 1,535,126 0.2% Cie de St-Gobain......................... 43,524 1,743,090 0.3% Cie Generale des Etablissements Michelin. 15,059 1,273,418 0.2% Lafarge SA............................... 20,467 1,324,975 0.2% Renault SA............................... 20,445 1,411,008 0.2% Sanofi................................... 19,474 2,105,442 0.3% * Societe Generale SA...................... 59,410 2,158,186 0.3% Other Securities......................... 33,149,147 4.6% ----------- ---- TOTAL FRANCE................................. 44,700,392 6.3% ----------- ---- GERMANY -- (4.5%) Allianz SE............................... 12,466 1,843,977 0.3% Daimler AG............................... 25,279 1,401,595 0.2%
62 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GERMANY -- (Continued) # Deutsche Bank AG...................... 29,192 $ 1,344,292 0.2% Other Securities...................... 31,292,948 4.4% ------------ ----- TOTAL GERMANY............................. 35,882,812 5.1% ------------ ----- GREECE -- (0.3%) Other Securities...................... 2,691,377 0.4% ------------ ----- HONG KONG -- (2.5%) Other Securities...................... 19,576,074 2.8% ------------ ----- IRELAND -- (0.7%) CRH P.L.C. Sponsored ADR.............. 59,771 1,285,674 0.2% Other Securities...................... 4,487,568 0.6% ------------ ----- TOTAL IRELAND............................. 5,773,242 0.8% ------------ ----- ISRAEL -- (0.6%) Other Securities...................... 4,756,456 0.7% ------------ ----- ITALY -- (2.1%) Other Securities...................... 16,762,093 2.4% ------------ ----- JAPAN -- (20.5%) Daiwa Securities Group, Inc........... 153,447 1,361,482 0.2% Mitsubishi UFJ Financial Group, Inc... 340,700 2,311,595 0.3% Mizuho Financial Group, Inc........... 580,860 1,278,157 0.2% Sumitomo Mitsui Financial Group, Inc.. 35,841 1,694,108 0.3% Toyota Motor Corp. Sponsored ADR...... 11,600 1,349,080 0.2% Other Securities...................... 156,308,404 22.0% ------------ ----- TOTAL JAPAN............................... 164,302,826 23.2% ------------ ----- NETHERLANDS -- (2.1%) # Akzo Nobel NV......................... 23,385 1,410,358 0.2% Other Securities...................... 15,080,893 2.1% ------------ ----- TOTAL NETHERLANDS......................... 16,491,251 2.3% ------------ ----- NEW ZEALAND -- (0.3%) Other Securities...................... 2,588,202 0.3% ------------ ----- NORWAY -- (1.1%) Other Securities...................... 8,657,404 1.2% ------------ ----- POLAND -- (0.0%) Other Securities...................... 1,632 0.0% ------------ ----- PORTUGAL -- (0.4%) Other Securities...................... 2,901,596 0.4% ------------ ----- RUSSIA -- (0.0%) Other Securities...................... 162,824 0.0% ------------ ----- SINGAPORE -- (1.5%) Other Securities...................... 11,888,127 1.7% ------------ -----
63 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SPAIN -- (1.7%) Banco Santander SA....................... 225,183 $ 1,626,170 0.2% Other Securities......................... 12,060,553 1.7% ------------ ----- TOTAL SPAIN.................................. 13,686,723 1.9% ------------ ----- SWEDEN -- (2.8%) Skandinaviska Enskilda Banken AB Class A. 137,821 1,417,813 0.2% Svenska Cellulosa AB Class B............. 56,655 1,475,796 0.2% Other Securities......................... 19,797,640 2.8% ------------ ----- TOTAL SWEDEN................................. 22,691,249 3.2% ------------ ----- SWITZERLAND -- (6.5%) Aryzta AG................................ 20,455 1,270,060 0.2% Credit Suisse Group AG................... 122,750 3,408,894 0.5% Holcim, Ltd.............................. 27,255 2,126,026 0.3% Julius Baer Group, Ltd................... 35,941 1,432,765 0.2% Nestle SA................................ 29,483 2,102,505 0.3% Novartis AG ADR.......................... 28,202 2,080,180 0.3% Swiss Re AG.............................. 36,499 2,904,648 0.4% Zurich Insurance Group AG................ 17,042 4,762,244 0.7% Other Securities......................... 32,036,026 4.5% ------------ ----- TOTAL SWITZERLAND............................ 52,123,348 7.4% ------------ ----- UNITED KINGDOM -- (16.2%) Anglo American P.L.C..................... 74,284 1,816,300 0.3% * Barratt Developments P.L.C............... 279,427 1,352,655 0.2% BP P.L.C. Sponsored ADR.................. 89,366 3,896,357 0.6% # HSBC Holdings P.L.C. Sponsored ADR....... 102,908 5,645,533 0.8% Legal & General Group P.L.C.............. 566,357 1,493,566 0.2% * Lloyds Banking Group P.L.C............... 1,911,509 1,623,813 0.2% Old Mutual P.L.C......................... 465,474 1,484,671 0.2% Persimmon P.L.C.......................... 78,274 1,314,901 0.2% Royal Dutch Shell P.L.C. ADR............. 88,550 6,179,904 0.9% Standard Chartered P.L.C................. 70,024 1,762,322 0.3% Taylor Wimpey P.L.C...................... 883,661 1,278,594 0.2% Travis Perkins P.L.C..................... 58,572 1,306,902 0.2% Vodafone Group P.L.C. Sponsored ADR...... 165,738 5,069,925 0.7% Other Securities......................... 95,181,342 13.3% ------------ ----- TOTAL UNITED KINGDOM......................... 129,406,785 18.3% ------------ ----- UNITED STATES -- (0.1%) Other Securities......................... 686,407 0.1% ------------ ----- TOTAL COMMON STOCKS.......................... 702,111,860 99.2% ------------ ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities......................... 158,699 0.0% ------------ ----- UNITED KINGDOM -- (0.0%) Other Securities......................... 1,265 0.0% ------------ ----- TOTAL PREFERRED STOCKS....................... 159,964 0.0% ------------ ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities......................... -- 0.0% ------------ -----
64 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- BELGIUM -- (0.0%) Other Securities................................................. $ -- 0.0% ------------- ------ CANADA -- (0.0%) Other Securities................................................. 426 0.0% ------------- ------ ISRAEL -- (0.0%) Other Securities................................................. 1,855 0.0% ------------- ------ NETHERLANDS -- (0.0%) Other Securities................................................. 10,502 0.0% ------------- ------ SPAIN -- (0.0%) Other Securities................................................. 51,282 0.0% ------------- ------ SWITZERLAND -- (0.0%) Other Securities................................................. 8,987 0.0% ------------- ------ UNITED STATES -- (0.0%) Other Securities................................................. -- 0.0% ------------- ------ TOTAL RIGHTS/WARRANTS.................................................. 73,052 0.0% ------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (12.3%) (S)@ DFA Short Term Investment Fund................................... 8,470,181 98,000,000 13.9% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $283,668 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $289,921) to be repurchased at $284,237............... $284 284,236 0.0% ------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 98,284,236 13.9% ------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $671,847,101)...................... $800,629,112 113.1% ============= ======
65 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Australia................... $ 1,052,170 $ 49,336,255 -- $ 50,388,425 Austria..................... -- 4,022,844 -- 4,022,844 Belgium..................... 833,392 8,296,172 -- 9,129,564 Canada...................... 62,317,745 11,206 -- 62,328,951 China....................... 16,140 41,208 -- 57,348 Colombia.................... 5,419 -- -- 5,419 Denmark..................... -- 8,337,710 -- 8,337,710 Finland..................... 35,465 12,075,314 -- 12,110,779 France...................... 1,723,499 42,976,893 -- 44,700,392 Germany..................... 2,820,102 33,062,710 -- 35,882,812 Greece...................... 7,743 2,683,634 -- 2,691,377 Hong Kong................... 27,491 19,548,583 -- 19,576,074 Ireland..................... 1,425,883 4,347,359 -- 5,773,242 Israel...................... 640,657 4,115,799 -- 4,756,456 Italy....................... 902,890 15,859,203 -- 16,762,093 Japan....................... 3,512,372 160,790,454 -- 164,302,826 Netherlands................. 2,799,764 13,691,487 -- 16,491,251 New Zealand................. 5,405 2,582,797 -- 2,588,202 Norway...................... 414,304 8,243,100 -- 8,657,404 Poland...................... 1,632 -- -- 1,632 Portugal.................... -- 2,901,596 -- 2,901,596 Russia...................... -- 162,824 -- 162,824 Singapore................... 10,315 11,877,812 -- 11,888,127 Spain....................... 1,180,790 12,505,933 -- 13,686,723 Sweden...................... 52,072 22,639,177 -- 22,691,249 Switzerland................. 4,588,197 47,535,151 -- 52,123,348 United Kingdom.............. 25,618,029 103,788,756 -- 129,406,785 United States............... 686,407 -- -- 686,407 Preferred Stocks Germany..................... -- 158,699 -- 158,699 United Kingdom.............. -- 1,265 -- 1,265 Rights/Warrants Australia................... -- -- -- -- Belgium..................... -- -- -- -- Canada...................... -- 426 -- 426 Israel...................... -- 1,855 -- 1,855 Netherlands................. -- 10,502 -- 10,502 Spain....................... -- 51,282 -- 51,282 Switzerland................. -- 8,987 -- 8,987 United States............... -- -- -- -- Securities Lending Collateral. -- 98,284,236 -- 98,284,236 ------------ ------------ -- ------------ TOTAL......................... $110,677,883 $689,951,229 -- $800,629,112 ============ ============ == ============
See accompanying Notes to Financial Statements. 66 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Shares Value+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company.................................. $63,329,784 Investment in Dimensional Emerging Markets Value Fund....... 21,011,935 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.................... 440,290 7,810,739 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $83,840,660)........................... 92,152,458 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $83,840,660)......... $92,152,458 ===========
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------- ------- ----------- Affiliated Investment Companies.... $92,152,458 -- -- $92,152,458 ----------- -- -- ----------- TOTAL.............................. $92,152,458 -- -- $92,152,458 =========== == == ===========
See accompanying Notes to Financial Statements. 67 WORLD EX U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Shares Value+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 2,103,458 $37,315,347 Investment in Dimensional Emerging Markets Value Fund........ 13,834,597 Investment in International Vector Equity Portfolio of DFA Investment Dimensions Group Inc........................ 506,865 5,423,456 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................... 3,572,458 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $55,344,699)...................................... 60,145,858 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $55,344,699)...................................... $60,145,858 ===========
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------- ------- ----------- Affiliated Investment Companies. $60,145,858 -- -- $60,145,858 ----------- -- -- ----------- TOTAL........................... $60,145,858 -- -- $60,145,858 =========== == == ===========
See accompanying Notes to Financial Statements. 68 WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Shares Value+ ------ ----- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 53,387 $617,150 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 9,039 184,761 -------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $780,709)..................................... 801,911 -------- TOTAL INVESTMENTS -- (100.0%) (Cost $780,709)..................................... $801,911 ========
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------- Level 1 Level 2 Level 3 Total -------- ------- ------- -------- Affiliated Investment Companies. $801,911 -- -- $801,911 -------- -- -- -------- TOTAL........................... $801,911 -- -- $801,911 ======== == == ========
See accompanying Notes to Financial Statements. 69 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Shares Value+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc........................... 2,188,204 $30,044,039 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc........................... 2,453,799 28,365,921 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc........................... 684,196 13,984,960 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $63,954,017)........................... 72,394,920 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $63,954,017)......... $72,394,920 ===========
Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------- ------- ----------- Affiliated Investment Companies............................. $72,394,920 -- -- $72,394,920 Futures Contracts**......................................... 129,155 -- -- 129,155 Forward Currency Contracts**................................ -- $96,531 -- 96,531 ----------- ------- -- ----------- TOTAL....................................................... $72,524,075 $96,531 -- $72,620,606 =========== ======= == ===========
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 70 SCHEDULES OF INVESTMENTS April 30, 2013 (Unaudited) EMERGING MARKETS PORTFOLIO
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company.................................. $3,115,578,831 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,999,353,541)........................................ $3,115,578,831 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, 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.............................. $3,928,904,238 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $3,295,897,681)........................................ $3,928,904,238 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS VALUE PORTFOLIO
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund....... $18,532,637,581 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $17,920,987,814)....................................... $18,532,637,581 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 71 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.7%) BRAZIL -- (10.1%) Banco Bradesco SA................................... 2,007,129 $ 34,359,199 0.3% # Banco Bradesco SA ADR............................... 5,097,969 84,575,300 0.8% Banco do Brasil SA.................................. 2,345,939 29,582,927 0.3% BM&FBovespa SA...................................... 6,332,289 43,897,963 0.4% # BRF SA ADR.......................................... 1,233,685 30,632,398 0.3% # Cia de Bebidas das Americas ADR..................... 698,422 29,347,692 0.3% # Itau Unibanco Holding SA ADR........................ 4,846,872 81,572,855 0.7% # Petroleo Brasileiro SA ADR.......................... 3,104,177 59,444,990 0.5% # Petroleo Brasileiro SA Sponsored ADR................ 4,254,320 84,958,770 0.8% # Vale SA Sponsored ADR (91912E105)................... 3,105,319 53,069,902 0.5% # Vale SA Sponsored ADR (91912E204)................... 3,660,970 59,527,372 0.5% Other Securities.................................... 622,788,372 5.4% -------------- ----- TOTAL BRAZIL............................................ 1,213,757,740 10.8% -------------- ----- CHILE -- (1.6%) Other Securities.................................... 197,585,056 1.8% -------------- ----- CHINA -- (13.8%) Bank of China, Ltd. Class H......................... 140,765,702 65,953,533 0.6% China Construction Bank Corp. Class H............... 132,851,302 111,503,486 1.0% China Mobile, Ltd. Sponsored ADR.................... 1,402,895 77,495,920 0.7% # CNOOC, Ltd. ADR..................................... 160,515 30,070,880 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 121,753,725 85,824,770 0.8% # PetroChina Co., Ltd. ADR............................ 229,733 29,373,661 0.3% Tencent Holdings, Ltd............................... 910,600 31,390,492 0.3% Other Securities.................................... 1,236,369,019 10.9% -------------- ----- TOTAL CHINA............................................. 1,667,981,761 14.9% -------------- ----- COLOMBIA -- (0.4%) Other Securities.................................... 53,612,218 0.5% -------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 29,760,310 0.3% -------------- ----- EGYPT -- (0.0%) Other Securities.................................... 4,833,390 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 221,771 0.0% -------------- ----- HUNGARY -- (0.3%) Other Securities.................................... 33,209,175 0.3% -------------- ----- INDIA -- (6.8%) HDFC Bank, Ltd...................................... 2,322,906 29,485,935 0.3% ICICI Bank, Ltd. Sponsored ADR...................... 621,150 29,082,243 0.3% # Infosys, Ltd. Sponsored ADR......................... 643,017 26,839,530 0.3% Reliance Industries, Ltd............................ 2,801,585 40,932,604 0.4% Other Securities.................................... 693,757,088 6.0% -------------- ----- TOTAL INDIA............................................. 820,097,400 7.3% -------------- ----- INDONESIA -- (3.6%) Other Securities.................................... 432,852,678 3.9% -------------- -----
72 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (0.0%) Other Securities.................................... $ 237,053 0.0% -------------- ----- MALAYSIA -- (3.7%) CIMB Group Holdings Bhd............................. 10,654,914 27,124,760 0.3% Malayan Banking Bhd................................. 10,127,512 32,039,011 0.3% Other Securities.................................... 384,967,404 3.4% -------------- ----- TOTAL MALAYSIA.......................................... 444,131,175 4.0% -------------- ----- MEXICO -- (5.2%) # America Movil S.A.B. de C.V. Series L ADR........... 2,487,518 53,183,134 0.5% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 5,209,612 58,608,140 0.5% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 457,537 51,880,120 0.5% Grupo Financiero Banorte S.A.B. de C.V.............. 7,596,080 57,241,323 0.5% Grupo Mexico S.A.B. de C.V. Series B................ 10,271,951 36,875,579 0.3% Grupo Televisa S.A.B. Sponsored ADR................. 1,658,173 41,984,940 0.4% Other Securities.................................... 330,342,376 2.9% -------------- ----- TOTAL MEXICO............................................ 630,115,612 5.6% -------------- ----- PERU -- (0.2%) Other Securities.................................... 20,327,704 0.2% -------------- ----- PHILIPPINES -- (1.6%) Other Securities.................................... 190,791,744 1.7% -------------- ----- POLAND -- (1.4%) Other Securities.................................... 164,142,881 1.5% -------------- ----- RUSSIA -- (2.7%) Gazprom OAO Sponsored ADR........................... 12,826,037 102,146,071 0.9% Lukoil OAO Sponsored ADR............................ 897,216 57,048,513 0.5% * Sberbank of Russia Sponsored ADR.................... 4,164,441 53,749,274 0.5% Other Securities.................................... 115,537,590 1.0% -------------- ----- TOTAL RUSSIA............................................ 328,481,448 2.9% -------------- ----- SOUTH AFRICA -- (6.6%) FirstRand, Ltd...................................... 7,501,759 26,099,386 0.2% MTN Group, Ltd...................................... 2,946,159 53,166,336 0.5% Naspers, Ltd. Class N............................... 566,281 37,947,970 0.3% Sanlam, Ltd......................................... 5,593,811 28,700,810 0.3% # Sasol, Ltd. Sponsored ADR........................... 796,453 34,581,989 0.3% Standard Bank Group, Ltd............................ 2,847,588 35,607,610 0.3% Other Securities.................................... 574,505,743 5.1% -------------- ----- TOTAL SOUTH AFRICA...................................... 790,609,844 7.0% -------------- ----- SOUTH KOREA -- (13.9%) Hana Financial Group, Inc........................... 1,052,999 33,723,526 0.3% # Hyundai Mobis....................................... 130,766 29,732,132 0.3% Hyundai Motor Co.................................... 343,409 62,357,251 0.6% Kia Motors Corp..................................... 578,175 28,839,997 0.3% LG Electronics, Inc................................. 381,094 30,545,797 0.3% # POSCO ADR........................................... 471,342 33,931,911 0.3% Samsung Electronics Co., Ltd........................ 159,385 220,432,470 2.0% Other Securities.................................... 1,230,500,499 10.8% -------------- ----- TOTAL SOUTH KOREA....................................... 1,670,063,583 14.9% -------------- -----
73 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (12.9%) Hon Hai Precision Industry Co., Ltd.......... 23,259,476 $ 60,120,539 0.6% Taiwan Semiconductor Manufacturing Co., Ltd.. 36,401,652 135,102,224 1.2% Other Securities............................. 1,359,756,001 12.0% --------------- ----- TOTAL TAIWAN..................................... 1,554,978,764 13.8% --------------- ----- THAILAND -- (3.3%) Other Securities............................. 397,586,522 3.5% --------------- ----- TURKEY -- (2.4%) Turkiye Garanti Bankasi A.S.................. 5,342,105 29,557,418 0.3% Other Securities............................. 254,196,106 2.2% --------------- ----- TOTAL TURKEY..................................... 283,753,524 2.5% --------------- ----- TOTAL COMMON STOCKS.............................. 10,929,131,353 97.4% --------------- ----- PREFERRED STOCKS -- (1.5%) BRAZIL -- (1.4%) Banco Bradesco SA............................ 1,539,800 25,312,519 0.2% Other Securities............................. 144,020,540 1.3% --------------- ----- TOTAL BRAZIL..................................... 169,333,059 1.5% --------------- ----- CHILE -- (0.0%) Other Securities............................. 2,750,066 0.0% --------------- ----- COLOMBIA -- (0.1%) Other Securities............................. 3,517,543 0.1% --------------- ----- HONG KONG -- (0.0%) Other Securities............................. 937,059 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities............................. 17,566 0.0% --------------- ----- TOTAL PREFERRED STOCKS........................... 176,555,293 1.6% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................. 29 0.0% --------------- ----- CHINA -- (0.0%) Other Securities............................. 430,643 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities............................. 36,163 0.0% --------------- ----- POLAND -- (0.0%) Other Securities............................. -- 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities............................. 93,261 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities............................. 292,497 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS............................ 852,593 0.0% --------------- -----
74 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (7.8%) (S)@ DFA Short Term Investment Fund............................... 79,256,698 $ 917,000,000 8.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $18,991,636 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $19,410,231) to be repurchased at $19,029,723................................................. $ 19,030 19,029,638 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 936,029,638 8.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,726,156,039)......................................... $12,042,568,877 107.3% =============== ======
75 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ----------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- --------------- Common Stocks Brazil...................... $1,213,757,740 -- -- $ 1,213,757,740 Chile....................... 197,585,056 -- -- 197,585,056 China....................... 207,022,397 $1,460,959,364 -- 1,667,981,761 Colombia.................... 53,612,218 -- -- 53,612,218 Czech Republic.............. -- 29,760,310 -- 29,760,310 Egypt....................... -- 4,833,390 -- 4,833,390 Hong Kong................... -- 221,771 -- 221,771 Hungary..................... 332,733 32,876,442 -- 33,209,175 India....................... 73,576,965 746,520,435 -- 820,097,400 Indonesia................... 14,149,078 418,703,600 -- 432,852,678 Israel...................... -- 237,053 -- 237,053 Malaysia.................... -- 444,131,175 -- 444,131,175 Mexico...................... 630,115,612 -- -- 630,115,612 Peru........................ 20,327,704 -- -- 20,327,704 Philippines................. 2,960,841 187,830,903 -- 190,791,744 Poland...................... 110,118 164,032,763 -- 164,142,881 Russia...................... 13,016,216 315,465,232 -- 328,481,448 South Africa................ 84,699,622 705,910,222 -- 790,609,844 South Korea................. 86,292,900 1,583,770,683 -- 1,670,063,583 Taiwan...................... 26,877,229 1,528,101,535 -- 1,554,978,764 Thailand.................... 397,579,950 6,572 -- 397,586,522 Turkey...................... 4,591,140 279,162,384 -- 283,753,524 Preferred Stocks Brazil...................... 169,333,059 -- -- 169,333,059 Chile....................... 2,750,066 -- -- 2,750,066 Colombia.................... 3,517,543 -- -- 3,517,543 Hong Kong................... 937,059 -- -- 937,059 Malaysia.................... -- 17,566 -- 17,566 Rights/Warrants Brazil...................... -- 29 -- 29 China....................... -- 430,643 -- 430,643 Malaysia.................... -- 36,163 -- 36,163 Poland...................... -- -- -- -- South Korea................. -- 93,261 -- 93,261 Thailand.................... -- 292,497 -- 292,497 Securities Lending Collateral -- 936,029,638 -- 936,029,638 -------------- -------------- -- --------------- TOTAL......................... $3,203,145,246 $8,839,423,631 -- $12,042,568,877 ============== ============== == ===============
See accompanying Notes to Financial Statements. 76 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
Enhanced U.S. Large Company U.S. Large Cap U.S. Targeted Portfolio Value Portfolio Value Portfolio* ------------ --------------- ---------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- $ 10,293,125 -- Investments at Value (including $0, $0, $525,577 and $1,148,887 of securities on loan, respectively).................................. $ 199,059 -- $ 3,554,137 Temporary Cash Investments at Value & Cost.......................... -- -- 15,049 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- -- 523,336 Foreign Currencies at Value......................................... 65 -- -- Cash................................................................ 5,373 -- -- Receivables: Investment Securities/Affiliated Investment Company Sold.......... -- -- 3,000 Dividends and Interest............................................ 2,217 -- 945 Securities Lending Income......................................... -- -- 194 Fund Shares Sold.................................................. 176 7,237 3,375 Futures Margin Variation.......................................... 498 -- -- Unrealized Gain on Forward Currency Contracts....................... 79 -- -- Prepaid Expenses and Other Assets................................... 17 50 81 ------------ -------------- ------------ Total Assets.................................................... 207,484 10,300,412 4,100,117 ------------ -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- -- 523,336 Investment Securities/Affiliated Investment Company Purchased........................................................ -- -- 175 Fund Shares Redeemed.............................................. 191 5,885 2,061 Due to Advisor.................................................... 33 1,243 871 Unrealized Loss on Forward Currency Contracts....................... 591 -- -- Accrued Expenses and Other Liabilities.............................. 13 309 311 ------------ -------------- ------------ Total Liabilities............................................... 828 7,437 526,754 ------------ -------------- ------------ NET ASSETS.......................................................... $ 206,656 $ 10,292,975 $ 3,573,363 ============ ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $62,651 and $0 and shares outstanding of 0; 0; 3,264,312 and 0, respectively...... N/A N/A $ 19.19 ============ ============== ============ NUMBER OF SHARES AUTHORIZED......................................... N/A N/A 100,000,000 ============ ============== ============ Class R2 Shares -- based on net assets of $0; $0; $17,311 and $0 and shares outstanding of 0; 0; 903,340 and 0, respectively........ N/A N/A $ 19.16 ============ ============== ============ NUMBER OF SHARES AUTHORIZED......................................... N/A N/A 100,000,000 ============ ============== ============ Institutional Class Shares -- based on net assets of $206,656; $10,292,975; $3,493,401 and $8,001,377 and shares outstanding of 19,567,123; 393,262,518; 182,001,722 and 271,381,107, respectively....................................................... $ 10.56 $ 26.17 $ 19.19 ============ ============== ============ NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 2,000,000,000 700,000,000 ============ ============== ============ Investments in Affiliated Investment Company at Cost................ $ -- $ 7,006,025 $ -- ------------ -------------- ------------ Investments at Cost................................................. $ 195,388 $ -- $ 2,664,331 ============ ============== ============ Foreign Currencies at Cost.......................................... $ 64 $ -- $ -- ============ ============== ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 225,382 $ 7,950,211 $ 2,603,117 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. 1,557 17,517 2,260 Accumulated Net Realized Gain (Loss)................................ (31,229) (961,853) 78,180 Net Unrealized Foreign Exchange Gain (Loss)......................... (500) -- -- Net Unrealized Appreciation (Depreciation).......................... 11,446 3,287,100 889,806 ------------ -------------- ------------ NET ASSETS.......................................................... $ 206,656 $ 10,292,975 $ 3,573,363 ============ ============== ============
U.S. Small Cap Value Portfolio* ---------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- Investments at Value (including $0, $0, $525,577 and $1,148,887 of securities on loan, respectively).................................. $ 7,960,555 Temporary Cash Investments at Value & Cost.......................... 33,496 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 1,147,518 Foreign Currencies at Value......................................... -- Cash................................................................ -- Receivables: Investment Securities/Affiliated Investment Company Sold.......... 8,850 Dividends and Interest............................................ 2,471 Securities Lending Income......................................... 488 Fund Shares Sold.................................................. 9,749 Futures Margin Variation.......................................... -- Unrealized Gain on Forward Currency Contracts....................... -- Prepaid Expenses and Other Assets................................... 55 -------------- Total Assets.................................................... 9,163,182 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 1,147,518 Investment Securities/Affiliated Investment Company Purchased........................................................ 7,235 Fund Shares Redeemed.............................................. 3,446 Due to Advisor.................................................... 2,767 Unrealized Loss on Forward Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 839 -------------- Total Liabilities............................................... 1,161,805 -------------- NET ASSETS.......................................................... $ 8,001,377 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $62,651 and $0 and shares outstanding of 0; 0; 3,264,312 and 0, respectively...... N/A ============== NUMBER OF SHARES AUTHORIZED......................................... N/A ============== Class R2 Shares -- based on net assets of $0; $0; $17,311 and $0 and shares outstanding of 0; 0; 903,340 and 0, respectively........ N/A ============== NUMBER OF SHARES AUTHORIZED......................................... N/A ============== Institutional Class Shares -- based on net assets of $206,656; $10,292,975; $3,493,401 and $8,001,377 and shares outstanding of 19,567,123; 393,262,518; 182,001,722 and 271,381,107, respectively....................................................... $ 29.48 ============== NUMBER OF SHARES AUTHORIZED......................................... 1,700,000,000 ============== Investments in Affiliated Investment Company at Cost................ $ -- -------------- Investments at Cost................................................. $ 6,196,547 ============== Foreign Currencies at Cost.......................................... $ -- ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 6,030,103 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. 879 Accumulated Net Realized Gain (Loss)................................ 206,387 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... 1,764,008 -------------- NET ASSETS.......................................................... $ 8,001,377 ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 77 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector Equity 1 Equity 2 Equity U.S. Small Cap Portfolio* Portfolio* Portfolio* Portfolio* -------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $854,220, $1,103,210, $332,051 and $1,157,263 of securities on loan, respectively).............................. $ 6,051,230 $ 8,368,421 $ 2,446,738 $ 5,505,288 Temporary Cash Investments at Value & Cost........... 45,236 33,806 7,726 35,635 Collateral from Securities on Loan Invested in Affiliate at Value & Cost........................... 862,089 1,109,766 333,894 1,161,714 Cash................................................. -- -- -- 7 Receivables: Investment Securities Sold......................... 55 99 48 9,853 Dividends, Interest and Tax Reclaims............... 4,543 6,624 1,203 1,612 Securities Lending Income.......................... 426 627 228 1,185 Fund Shares Sold................................... 5,469 17,274 3,376 11,522 Prepaid Expenses and Other Assets.................... 62 60 31 48 -------------- -------------- -------------- -------------- Total Assets.................................... 6,969,110 9,536,677 2,793,244 6,726,864 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 862,089 1,109,766 333,894 1,161,714 Investment Securities Purchased.................... 12,440 12,467 1,640 27,825 Fund Shares Redeemed............................... 2,384 3,327 1,007 2,403 Due to Advisor..................................... 830 1,350 512 1,240 Accrued Expenses and Other Liabilities............... 181 305 181 531 -------------- -------------- -------------- -------------- Total Liabilities............................... 877,924 1,127,215 337,234 1,193,713 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 6,091,186 $ 8,409,462 $ 2,456,010 $ 5,533,151 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $6,091,186; $8,409,462; $2,456,010 and $5,533,151 and shares outstanding of 437,632,343; 612,270,664; 181,890,221 and 218,757,400, respectively........................... $ 13.92 $ 13.73 $ 13.50 $ 25.29 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 4,555,078 $ 6,298,923 $ 1,874,271 $ 4,262,927 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 4,581,704 $ 6,299,473 $ 1,870,377 $ 4,185,361 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 12,031 16,686 3,778 6,122 Accumulated Net Realized Gain (Loss)................. 1,299 23,805 9,388 99,307 Net Unrealized Appreciation (Depreciation)........... 1,496,152 2,069,498 572,467 1,242,361 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 6,091,186 $ 8,409,462 $ 2,456,010 $ 5,533,151 ============== ============== ============== ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 78 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA Real Estate Large Cap International U.S. Micro Cap Securities International Core Equity Portfolio* Portfolio* Portfolio* Portfolio* -------------- ------------ ------------- -------------- ASSETS: Investments at Value (including $640,195, $465,614, $363,261 and $1,226,291 of securities on loan, respectively).............................................. $ 3,933,546 $ 4,631,732 $ 2,421,245 $ 7,859,560 Temporary Cash Investments at Value & Cost.................. 18,814 23,601 -- -- Collateral Received from Securities on Loan at Value & Cost....................................................... -- -- 419 10,013 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 640,181 471,171 372,000 1,250,000 Foreign Currencies at Value................................. -- -- 13,379 12,458 Cash........................................................ 98 -- 1,928 6,069 Receivables: Investment Securities Sold................................ 3,584 -- 380 3,273 Dividends, Interest and Tax Reclaims...................... 1,035 3,459 12,780 38,874 Securities Lending Income................................. 696 34 685 2,379 Fund Shares Sold.......................................... 2,239 3,295 3,748 11,783 Unrealized Gain on Foreign Currency Contracts............... -- -- 18 52 Prepaid Expenses and Other Assets........................... 42 37 30 92 -------------- ------------ ------------ -------------- Total Assets........................................... 4,600,235 5,133,329 2,826,612 9,194,553 -------------- ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 640,181 471,171 372,419 1,260,013 Investment Securities Purchased........................... 6,152 8,403 10,968 10,235 Fund Shares Redeemed...................................... 1,133 2,083 1,147 2,808 Due to Advisor............................................ 1,278 606 486 2,187 Unrealized Loss on Foreign Currency Contracts............... -- -- 13 -- Accrued Expenses and Other Liabilities...................... 518 179 173 447 -------------- ------------ ------------ -------------- Total Liabilities...................................... 649,262 482,442 385,206 1,275,690 -------------- ------------ ------------ -------------- NET ASSETS.................................................. $ 3,950,973 $ 4,650,887 $ 2,441,406 $ 7,918,863 ============== ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,950,973; $4,650,887; $2,441,406 and $7,918,863 and shares outstanding of 243,487,676; 154,037,887; 117,122,110 and 685,251,796, respectively.................. $ 16.23 $ 30.19 $ 20.84 $ 11.56 ============== ============ ============ ============== NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 700,000,000 500,000,000 2,000,000,000 ============== ============ ============ ============== Investments at Cost......................................... $ 3,016,121 $ 2,915,788 $ 1,966,102 $ 7,224,131 ============== ============ ============ ============== Foreign Currencies at Cost.................................. $ -- $ -- $ 13,343 $ 12,387 ============== ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 2,932,169 $ 3,175,737 $ 2,201,422 $ 7,314,502 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... (633) 27,080 19,673 67,823 Accumulated Net Realized Gain (Loss)........................ 102,012 (267,874) (234,786) (98,703) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- (82) (259) Net Unrealized Appreciation (Depreciation).................. 917,425 1,715,944 455,179 635,500 -------------- ------------ ------------ -------------- NET ASSETS.................................................. $ 3,950,973 $ 4,650,887 $ 2,441,406 $ 7,918,863 ============== ============ ============ ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 79 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
International Asia Pacific United Small Japanese Small Small Kingdom Small Company Company Company Company Portfolio Portfolio Portfolio Portfolio -------------- -------------- ------------ ------------- ASSETS: Investments in Affiliated Investment Companies at Value................................................ $ 7,372,032 $ 495,729 $ 270,965 $ 33,314 Cash.................................................. 16,486 -- -- -- Receivables: Fund Shares Sold.................................... 4,184 -- 36 -- Prepaid Expenses and Other Assets..................... 32 7 7 9 -------------- ------------ ------------ ------------ Total Assets..................................... 7,392,734 495,736 271,008 33,323 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Fund Shares Redeemed................................ 2,162 59 1 -- Due to Advisor...................................... 2,348 155 88 10 Accrued Expenses and Other Liabilities................ 227 11 8 4 -------------- ------------ ------------ ------------ Total Liabilities................................ 4,737 225 97 14 -------------- ------------ ------------ ------------ NET ASSETS............................................ $ 7,387,997 $ 495,511 $ 270,911 $ 33,309 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $7,387,997; $495,511; $270,911 and $33,309 and shares outstanding of 425,452,438; 26,497,015; 10,918,035 and 1,055,130, respectively............... $ 17.37 $ 18.70 $ 24.81 $ 31.57 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED........................... 1,500,000,000 100,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost................................................. $ 6,490,278 $ 479,448 $ 240,342 $ 22,855 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital....................................... $ 6,370,450 $ 546,458 $ 267,020 $ 24,189 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... 24,504 3,265 (3,427) 136 Accumulated Net Realized Gain (Loss).................. 111,764 (70,341) (23,302) (1,482) Net Unrealized Foreign Exchange Gain (Loss)........... (475) (152) (3) 7 Net Unrealized Appreciation (Depreciation)............ 881,754 16,281 30,623 10,459 -------------- ------------ ------------ ------------ NET ASSETS............................................ $ 7,387,997 $ 495,511 $ 270,911 $ 33,309 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 80 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA Continental International DFA Global DFA Small Real Estate Real Estate International Company Securities Securities Small Cap Portfolio Portfolio Portfolio Value Portfolio* ------------ ------------- ------------ ---------------- ASSETS: Investments in Affiliated Investment Companies at Value............. $ 115,717 -- $ 1,724,763 -- Investments at Value (including $0, $331,693, $0 and $1,396,070 of securities on loan, respectively).................... -- $ 1,951,773 -- $ 9,916,546 Temporary Cash Investments at Value & Cost.......................... -- -- 3,473 -- Collateral Received from Securities on Loan at Value & Cost......... -- 185 -- 9,529 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- 351,000 -- 1,413,000 Foreign Currencies at Value......................................... -- 4,019 -- 28,750 Cash................................................................ -- 12,204 -- 10,312 Receivables: Investment Securities/Affiliated Investment Company Sold.......... -- -- -- 7,166 Dividends, Interest and Tax Reclaims.............................. -- 9,808 -- 60,793 Securities Lending Income......................................... -- 390 -- 3,567 Fund Shares Sold.................................................. 1 2,765 3,639 7,374 Unrealized Gain on Foreign Currency Contracts....................... -- 15 -- 64 Prepaid Expenses and Other Assets................................... 10 33 9 97 ------------ ------------ ------------ -------------- Total Assets................................................... 115,728 2,332,192 1,731,884 11,457,198 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- 351,185 -- 1,422,529 Investment Securities/Affiliated Investment Company Purchased..... -- 10,220 1,154 17,114 Fund Shares Redeemed.............................................. 33 722 1,112 2,548 Due to Advisor.................................................... 37 542 69 4,421 Unrealized Loss on Foreign Currency Contracts....................... -- -- -- 2 Accrued Expenses and Other Liabilities.............................. 7 126 35 1,625 ------------ ------------ ------------ -------------- Total Liabilities.............................................. 77 362,795 2,370 1,448,239 ------------ ------------ ------------ -------------- NET ASSETS.......................................................... $ 115,651 $ 1,969,397 $ 1,729,514 $ 10,008,959 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $115,651; $1,969,397; $1,729,514 and $10,008,959 and shares outstanding of 6,890,545; 339,913,819; 168,893,615 and 564,173,715, respectively.......................................... $ 16.78 $ 5.79 $ 10.24 $ 17.74 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 700,000,000 500,000,000 2,300,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost.............. $ 104,610 $ -- $ 1,248,552 $ -- ------------ ------------ ------------ -------------- Investments at Cost................................................. $ -- $ 1,551,690 $ -- $ 9,182,182 ============ ============ ============ ============== Foreign Currencies at Cost.......................................... $ -- $ 3,998 $ -- $ 28,500 ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 130,974 $ 1,995,572 $ 1,285,545 $ 9,143,783 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 924 (194,025) 1,216 65,857 Accumulated Net Realized Gain (Loss)................................ (27,480) (232,198) (33,458) 65,063 Net Unrealized Foreign Exchange Gain (Loss)......................... 126 (56) -- (358) Net Unrealized Appreciation (Depreciation).......................... 11,107 400,104 476,211 734,614 ------------ ------------ ------------ -------------- NET ASSETS.......................................................... $ 115,651 $ 1,969,397 $ 1,729,514 $ 10,008,959 ============ ============ ============ ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 81 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
International World ex U.S. World ex U.S. Vector Equity World ex U.S. Targeted Value Core Equity Portfolio* Value Portfolio Portfolio Portfolio ------------- --------------- -------------- ------------- ASSETS: Investments in Affiliated Investment Companies at Value..... -- $ 92,152 $ 60,146 $ 802 Investments at Value (including $97,568, $0, $0 and $0 of securities on loan, respectively).......................... $ 702,345 -- -- -- Temporary Cash Investments at Value & Cost.................. -- 98 -- -- Collateral Received from Securities on Loan at Value & Cost....................................................... 284 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 98,000 -- -- -- Foreign Currencies at Value................................. 1,468 -- -- -- Cash........................................................ 184 -- 123 25 Receivables: Investment Securities Sold................................ 255 -- -- -- Dividends, Interest and Tax Reclaims...................... 3,598 -- -- -- Securities Lending Income................................. 233 -- -- -- Fund Shares Sold.......................................... 2,117 13 21 104 From Advisor.............................................. -- -- -- 2 Unrealized Gain on Foreign Currency Contracts............... 3 -- -- -- Deferred Offering Costs..................................... -- -- 27 -- Prepaid Expenses and Other Assets........................... 13 1 16 2 ------------ ------------ ------------ ------------ Total Assets........................................... 808,500 92,264 60,333 935 ------------ ------------ ------------ ------------ LIABILITIES: Due to Custodian............................................ -- 38 -- -- Payables: Upon Return of Securities Loaned.......................... 98,284 -- -- -- Investment Securities Purchased........................... 1,656 -- -- 26 Fund Shares Redeemed...................................... 138 6 -- -- Due to Advisor............................................ 215 27 5 -- Loan Payable.............................................. 512 -- -- -- Accrued Expenses and Other Liabilities...................... 98 18 7 2 ------------ ------------ ------------ ------------ Total Liabilities...................................... 100,903 89 12 28 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 707,597 $ 92,175 $ 60,321 $ 907 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $707,597; $92,175; $60,321 and $907 and shares outstanding of 66,124,410; 8,299,417; 5,250,381 and 89,249, respectively....................................... $ 10.70 $ 11.11 $ 11.49 $ 10.16 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED................................. 500,000,000 100,000,000 100,000,000 100,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost...... $ -- $ 83,841 $ 55,345 $ 781 ------------ ------------ ------------ ------------ Investments at Cost......................................... $ 573,563 $ -- $ -- $ -- ============ ============ ============ ============ Foreign Currencies at Cost.................................. $ 1,460 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 568,064 $ 88,136 $ 55,028 $ 886 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 5,439 600 60 -- Accumulated Net Realized Gain (Loss)........................ 5,330 (4,836) 432 -- Net Unrealized Foreign Exchange Gain (Loss)................. (26) (36) -- -- Net Unrealized Appreciation (Depreciation).................. 128,790 8,311 4,801 21 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 707,597 $ 92,175 $ 60,321 $ 907 ============ ============ ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 82 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
Selectively Hedged Global Emerging Emerging Emerging Equity Markets Markets Small Markets Value Portfolio Portfolio Cap Portfolio Portfolio ------------- ------------ ------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value............. $ 72,395 $ 3,115,579 $ 3,928,904 $ 18,532,638 Investments at Value (including $0, $0, $0, $0 and $1,111,363 of securities on loan, respectively)............................... -- -- -- -- Temporary Cash Investments at Value & Cost.......................... 2,960 -- -- -- Collateral Received from Securities on Loan at Value & Cost......... -- -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- -- -- -- Segregated Cash for Futures Contracts............................... 125 -- -- -- Foreign Currencies at Value......................................... -- -- -- -- Cash................................................................ -- -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold............................................................. -- -- -- -- Dividends, Interest and Tax Reclaims.............................. -- -- -- -- Securities Lending Income......................................... -- -- -- -- Fund Shares Sold.................................................. 24 6,363 1,818 18,209 From Advisor...................................................... 1 -- -- -- Futures Margin Variation.......................................... 7 -- -- -- Unrealized Gain on Forward Currency Contracts....................... 192 -- -- -- Unrealized Gain on Foreign Currency Contracts....................... -- -- -- -- Prepaid Expenses and Other Assets................................... 4 26 29 75 ------------ ------------ ------------ -------------- Total Assets.................................................... 75,708 3,121,968 3,930,751 18,550,922 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- -- -- -- Investment Securities/Affiliated Investment Companies Purchased........................................................ 200 -- -- -- Fund Shares Redeemed.............................................. -- 833 315 3,763 Due to Advisor.................................................... -- 995 1,128 5,921 Unrealized Loss on Forward Currency Contracts....................... 95 -- -- -- Unrealized Loss on Foreign Currency Contracts....................... -- -- -- -- Accrued Expenses and Other Liabilities.............................. 6 114 365 369 ------------ ------------ ------------ -------------- Total Liabilities............................................... 301 1,942 1,808 10,053 ------------ ------------ ------------ -------------- NET ASSETS.......................................................... $ 75,407 $ 3,120,026 $ 3,928,943 $ 18,540,869 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $109,510 and $0 and shares outstanding of 0; 0; 0; 3,676,337 and 0, respectively...................................... N/A N/A N/A $ 29.79 ============ ============ ============ ============== Institutional Class Shares -- based on net assets of $75,407; $3,120,026; $3,928,943; $18,431,359 and $11,222,418 and shares outstanding of 6,082,727; 114,599,925; 177,799,738; 618,564,039 and 548,998,291, respectively.......................... $ 12.40 $ 27.23 $ 22.10 $ 29.80 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 500,000,000 500,000,000 1,500,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost.............. $ 63,954 $ 1,999,354 $ 3,295,898 $ 17,920,988 ------------ ------------ ------------ -------------- Investments at Cost................................................. $ -- $ -- $ -- $ -- ============ ============ ============ ============== Foreign Currencies at Cost.......................................... $ -- $ -- $ -- $ -- ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 66,058 $ 1,969,315 $ 3,244,432 $ 17,528,855 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... 177 12,930 1,305 37,641 Accumulated Net Realized Gain (Loss)................................ 505 21,591 50,204 362,568 Net Unrealized Foreign Exchange Gain (Loss)......................... 97 (35) (4) 155 Net Unrealized Appreciation (Depreciation).......................... 8,570 1,116,225 633,006 611,650 ------------ ------------ ------------ -------------- NET ASSETS.......................................................... $ 75,407 $ 3,120,026 $ 3,928,943 $ 18,540,869 ============ ============ ============ ==============
Emerging Markets Core Equity Portfolio* -------------- ASSETS: Investments in Affiliated Investment Companies at Value............. -- Investments at Value (including $0, $0, $0, $0 and $1,111,363 of securities on loan, respectively)............................... $ 11,106,539 Temporary Cash Investments at Value & Cost.......................... -- Collateral Received from Securities on Loan at Value & Cost......... 19,030 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 917,000 Segregated Cash for Futures Contracts............................... -- Foreign Currencies at Value......................................... 9,353 Cash................................................................ 97,780 Receivables: Investment Securities/Affiliated Investment Companies Sold............................................................. 8,947 Dividends, Interest and Tax Reclaims.............................. 24,789 Securities Lending Income......................................... 1,744 Fund Shares Sold.................................................. 16,534 From Advisor...................................................... -- Futures Margin Variation.......................................... -- Unrealized Gain on Forward Currency Contracts....................... -- Unrealized Gain on Foreign Currency Contracts....................... 41 Prepaid Expenses and Other Assets................................... 137 -------------- Total Assets.................................................... 12,201,894 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 936,030 Investment Securities/Affiliated Investment Companies Purchased........................................................ 34,257 Fund Shares Redeemed.............................................. 3,022 Due to Advisor.................................................... 4,897 Unrealized Loss on Forward Currency Contracts....................... -- Unrealized Loss on Foreign Currency Contracts....................... 2 Accrued Expenses and Other Liabilities.............................. 1,268 -------------- Total Liabilities............................................... 979,476 -------------- NET ASSETS.......................................................... $ 11,222,418 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $109,510 and $0 and shares outstanding of 0; 0; 0; 3,676,337 and 0, respectively...................................... N/A ============== Institutional Class Shares -- based on net assets of $75,407; $3,120,026; $3,928,943; $18,431,359 and $11,222,418 and shares outstanding of 6,082,727; 114,599,925; 177,799,738; 618,564,039 and 548,998,291, respectively.......................... $ 20.44 ============== NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost.............. $ -- -------------- Investments at Cost................................................. $ 9,790,126 ============== Foreign Currencies at Cost.......................................... $ 9,307 ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 9,919,927 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... 35,484 Accumulated Net Realized Gain (Loss)................................ (49,438) Net Unrealized Foreign Exchange Gain (Loss)......................... (14) Net Unrealized Appreciation (Depreciation).......................... 1,316,459 -------------- NET ASSETS.......................................................... $ 11,222,418 ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 83 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
Enhanced U.S. Large U.S. Large U.S. Targeted U.S. Small Company Cap Value Value Cap Value Portfolio Portfolio* Portfolio Portfolio ---------- ---------- ------------- ---------- Investment Income Net Investment Income Received from Affiliated Investment Company: Dividends.............................................................. -- $ 96,608 -- -- Interest............................................................... -- 19 -- -- Income from Securities Lending......................................... -- 799 -- -- Expenses Allocated from Affiliated Investment Company.................. -- (5,232) -- -- ------- ---------- -------- ---------- Total Net Investment Income Received from Affiliated Investment Company............................................................ -- 92,194 -- -- ------- ---------- -------- ---------- Fund Investment Income Dividends.............................................................. $ 75 -- $ 32,329 $ 91,674 Interest............................................................... 829 -- 9 26 Income from Securities Lending......................................... -- -- 1,245 2,600 ------- ---------- -------- ---------- Total Investment Income............................................. 904 -- 33,583 94,300 ------- ---------- -------- ---------- Fund Expenses Investment Advisory Services Fees...................................... 49 -- 1,660 7,440 Administrative Services Fees........................................... 146 6,867 4,153 11,169 Accounting & Transfer Agent Fees....................................... 18 42 154 334 S&P 500(R) Fees........................................................ 4 -- -- -- Shareholder Servicing Fees -- Class R1 Shares...................................................... -- -- 28 -- Class R2 Shares...................................................... -- -- 18 -- Custodian Fees......................................................... 6 -- 29 57 Filing Fees............................................................ 12 63 34 59 Shareholders' Reports.................................................. 3 111 54 87 Directors'/Trustees' Fees & Expenses................................... 1 36 13 31 Professional Fees...................................................... 2 31 38 92 Other.................................................................. 1 36 24 49 ------- ---------- -------- ---------- Total Expenses...................................................... 242 7,186 6,205 19,318 ------- ---------- -------- ---------- Fees Paid Indirectly................................................... (1) -- -- -- ------- ---------- -------- ---------- Net Expenses........................................................... 241 7,186 6,205 19,318 ------- ---------- -------- ---------- Net Investment Income (Loss)........................................... 663 85,008 27,378 74,982 ------- ---------- -------- ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold........................................... (491) 370,791 79,065 213,073 Futures.............................................................. 19,942 -- (402) 1,840 Foreign Currency Transactions........................................ (913) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 1,534 1,091,167 459,962 978,070 Futures.............................................................. 4,948 -- -- -- Translation of Foreign Currency Denominated Amounts.................. 663 -- -- -- ------- ---------- -------- ---------- Net Realized and Unrealized Gain (Loss)................................ 25,683 1,461,958 538,625 1,192,983 ------- ---------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... $26,346 $1,546,966 $566,003 $1,267,965 ======= ========== ======== ==========
---------- * 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. 84 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
U.S. Core U.S. Core U.S. Vector Equity 1 Equity 2 Equity U.S. Small Portfolio Portfolio Portfolio Cap Portfolio --------- ---------- ----------- ------------- Investment Income Dividends............................................. $ 57,725 $ 80,206 $ 22,542 $ 48,381 Interest.............................................. 24 26 11 21 Income from Securities Lending........................ 1,744 2,782 1,196 6,051 -------- ---------- -------- -------- Total Investment Income............................ 59,493 83,014 23,749 54,453 -------- ---------- -------- -------- Expenses Investment Advisory Services Fees..................... 4,635 7,620 3,356 748 Administrative Services Fees.......................... -- -- -- 7,980 Accounting & Transfer Agent Fees...................... 246 340 104 224 Custodian Fees........................................ 45 50 20 44 Filing Fees........................................... 65 79 32 30 Shareholders' Reports................................. 36 65 30 57 Directors'/Trustees' Fees & Expenses.................. 21 30 9 19 Professional Fees..................................... 60 87 27 61 Other................................................. 32 46 17 33 -------- ---------- -------- -------- Total Expenses..................................... 5,140 8,317 3,595 9,196 -------- ---------- -------- -------- Net Investment Income (Loss).......................... 54,353 74,697 20,154 45,257 -------- ---------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.......................... 15,630 26,016 10,012 119,956 Futures............................................. -- -- -- (494) Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................... 746,259 1,076,031 329,248 591,079 -------- ---------- -------- -------- Net Realized and Unrealized Gain (Loss)............... 761,889 1,102,047 339,260 710,541 -------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. $816,242 $1,176,744 $359,414 $755,798 ======== ========== ======== ========
See accompanying Notes to Financial Statements. 85 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
DFA Real Estate Large Cap International U.S. Micro Securities International Core Equity Cap Portfolio Portfolio Portfolio Portfolio ------------- ---------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $16, $0, $2,907 and $8,292, respectively)........................................... $ 35,555 $ 62,716 $ 35,977 $ 110,386 Interest......................................................... 11 17 3 2 Income from Securities Lending................................... 4,324 249 1,704 7,091 -------- -------- -------- ---------- Total Investment Income....................................... 39,890 62,982 37,684 117,479 -------- -------- -------- ---------- Expenses Investment Advisory Services Fees................................ 1,839 3,437 2,787 12,470 Administrative Services Fees..................................... 7,359 -- -- -- Accounting & Transfer Agent Fees................................. 169 186 110 324 Custodian Fees................................................... 36 21 189 725 Filing Fees...................................................... 38 45 27 84 Shareholders' Reports............................................ 47 68 45 75 Directors'/Trustees' Fees & Expenses............................. 15 16 9 27 Professional Fees................................................ 45 50 27 86 Other............................................................ 27 23 28 61 -------- -------- -------- ---------- Total Expenses................................................ 9,575 3,846 3,222 13,852 -------- -------- -------- ---------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).............................. -- (235) -- -- Fees Paid Indirectly............................................. -- -- (6) (14) -------- -------- -------- ---------- Net Expenses..................................................... 9,575 3,611 3,216 13,838 -------- -------- -------- ---------- Net Investment Income (Loss)..................................... 30,315 59,371 34,468 103,641 -------- -------- -------- ---------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities... -- 8,460 -- -- Net Realized Gain (Loss) on: Investment Securities Sold..................................... 111,879 6,230 (15,247) 6,684 Futures........................................................ (423) -- -- -- Foreign Currency Transactions.................................. -- -- (187) (1,185) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 414,243 637,870 293,305 916,985 Translation of Foreign Currency Denominated Amounts............ -- -- 30 (38) -------- -------- -------- ---------- Net Realized and Unrealized Gain (Loss).......................... 525,699 652,560 277,901 922,446 -------- -------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $556,014 $711,931 $312,369 $1,026,087 ======== ======== ======== ==========
See accompanying Notes to Financial Statements. 86 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
United International Japanese Asia Pacific Kingdom Small Small Small Small Company Company Company Company Portfolio* Portfolio* Portfolio* Portfolio* ------------- ---------- ------------ ---------- Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $7,370, $455, $109 and $2, respectively)..................................................... $ 89,043 $ 5,140 $ 3,671 $ 471 Interest............................................................... 44 -- -- -- Income from Securities Lending......................................... 9,399 349 461 4 Expenses Allocated from Affiliated Investment Companies................ (4,949) (302) (204) (20) -------- ------- ------- ------ Total Net Investment Income Received from Affiliated Investment Companies.......................................................... 93,537 5,187 3,928 455 -------- ------- ------- ------ Fund Investment Income Interest............................................................... 10 -- -- -- -------- ------- ------- ------ Total Investment Income............................................. 10 -- -- -- -------- ------- ------- ------ Fund Expenses Administrative Services Fees........................................... 13,736 785 503 65 Accounting & Transfer Agent Fees....................................... 37 9 8 7 Filing Fees............................................................ 68 15 13 9 Shareholders' Reports.................................................. 95 2 2 1 Directors'/Trustees' Fees & Expenses................................... 28 1 1 -- Professional Fees...................................................... 21 2 2 1 Other.................................................................. 28 -- 2 -- -------- ------- ------- ------ Total Expenses...................................................... 14,013 814 531 83 -------- ------- ------- ------ Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- -- -- (7) -------- ------- ------- ------ Net Expenses........................................................... 14,013 814 531 76 -------- ------- ------- ------ Net Investment Income (Loss)............................................. 79,534 4,373 3,397 379 -------- ------- ------- ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold........................................... 121,843 6,271 1,740 835 Futures.............................................................. (29) -- -- -- Foreign Currency Transactions**...................................... (1,145) (268) 40 (1) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 783,843 85,864 18,125 3,283 Futures.............................................................. 30 -- -- -- Translation of Foreign Currency Denominated Amounts.................. (54) (115) (7) 3 -------- ------- ------- ------ Net Realized and Unrealized Gain (Loss)................................ 904,488 91,752 19,898 4,120 -------- ------- ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations.......... $984,022 $96,125 $23,295 $4,499 ======== ======= ======= ======
---------- * 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 $9, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 87 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
DFA DFA Continental International DFA Global International Small Real Estate Real Estate Small Cap Company Securities Securities Value Portfolio* Portfolio Portfolio Portfolio ----------- ------------- ----------- ------------- Investment Income Net Investment Income Received from Affiliated Investment Company: Dividends.............................................................. $ 1,261 -- -- -- Income Distributions Received from Affiliated Investment Companies..... -- -- $ 74,325 -- Interest............................................................... 2 -- -- -- Income from Securities Lending......................................... 225 -- -- -- Expenses Allocated from Affiliated Investment Company.................. (81) -- -- -- ------- -------- -------- ---------- Total Net Investment Income Received from Affiliated Investment Company............................................................ 1,407 -- 74,325 -- ------- -------- -------- ---------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $4,294, $0 and $9,356, respectively)................................................. -- $ 36,460 -- $ 139,615 Interest............................................................... -- -- 2 -- Income from Securities Lending......................................... -- 933 -- 12,865 ------- -------- -------- ---------- Total Fund Investment Income........................................ -- 37,393 2 152,480 ------- -------- -------- ---------- Fund Expenses Investment Advisory Services Fees...................................... -- 2,916 1,962 29,673 Administrative Services Fees........................................... 221 -- -- -- Accounting & Transfer Agent Fees....................................... 8 84 14 412 Custodian Fees......................................................... -- 205 -- 1,207 Filing Fees............................................................ 10 31 52 77 Shareholders' Reports.................................................. 2 32 20 114 Directors'/Trustees' Fees & Expenses................................... -- 6 5 36 Professional Fees...................................................... 1 21 7 126 Other.................................................................. 1 13 5 78 ------- -------- -------- ---------- Total Expenses...................................................... 243 3,308 2,065 31,723 ------- -------- -------- ---------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- -- (1,672) -- Fees Paid Indirectly................................................... -- (12) -- (16) ------- -------- -------- ---------- Net Expenses........................................................... 243 3,296 393 31,707 ------- -------- -------- ---------- Net Investment Income (Loss)........................................... 1,164 34,097 73,934 120,773 ------- -------- -------- ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................. 1,466 (18,160) (2,565) 71,173 Futures.............................................................. 29 888 -- -- Foreign Currency Transactions........................................ (6) (633) -- (1,756) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 13,754 238,017 170,366 1,439,113 Futures.............................................................. (29) -- -- -- Translation of Foreign Currency Denominated Amounts.................. 4 (24) -- 182 ------- -------- -------- ---------- Net Realized and Unrealized Gain (Loss)................................ 15,218 220,088 167,801 1,508,712 ------- -------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... $16,382 $254,185 $241,735 $1,629,485 ======= ======== ======== ==========
---------- * 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. 88 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
World ex U.S. International World ex U.S. Targeted World ex U.S. Vector Equity Value Value Core Equity Portfolio Portfolio* Portfolio*(a) Portfolio(b) ------------- ------------- ------------- ------------- Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends.............................................................. -- $ 982 $ 104 -- Income Distributions Received from Affiliated Investment Companies..... -- 40 132 -- Income from Securities Lending......................................... -- 59 12 -- Expenses Allocated from Affiliated Investment Companies................ -- (70) (12) -- ------- ------ ------ --- Total Net Investment Income Received from Affiliated Investment Companies.......................................................... -- 1,011 236 -- ------- ------ ------ --- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $686, $0, $0 and $0, respectively)......................................................... $ 9,518 -- -- -- Interest............................................................... 1 -- -- -- Income from Securities Lending......................................... 702 -- -- -- ------- ------ ------ --- Total Investment Income............................................. 10,221 -- -- -- ------- ------ ------ --- Fund Expenses Investment Advisory Services Fees...................................... 1,430 166 113 -- Accounting & Transfer Agent Fees....................................... 38 8 8 $ 1 Custodian Fees......................................................... 134 -- -- -- Filing Fees............................................................ 12 18 2 -- Shareholders' Reports.................................................. 7 1 -- -- Directors'/Trustees' Fees & Expenses................................... 2 -- -- -- Professional Fees...................................................... 7 3 3 1 Organizational & Offering Costs........................................ -- -- 27 -- Other.................................................................. 8 -- -- -- ------- ------ ------ --- Total Expenses...................................................... 1,638 196 153 2 ------- ------ ------ --- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- (75) (101) (2) Fees Paid Indirectly................................................... (2) -- -- -- ------- ------ ------ --- Net Expenses........................................................... 1,636 121 52 -- ------- ------ ------ --- Net Investment Income (Loss)........................................... 8,585 890 184 -- ------- ------ ------ --- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities......... -- 64 191 -- Net Realized Gain (Loss) on: Investment Securities Sold........................................... 6,299 1,086 242 -- Foreign Currency Transactions........................................ (100) (8) (1) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 79,234 6,399 4,801 21 Translation of Foreign Currency Denominated Amounts.................. -- (19) -- -- ------- ------ ------ --- Net Realized and Unrealized Gain (Loss)................................ 85,433 7,522 5,233 21 ------- ------ ------ --- Net Increase (Decrease) in Net Assets Resulting from Operations.............................................................. $94,018 $8,412 $5,417 $21 ======= ====== ====== ===
---------- * 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 1, 2012. (b)The Portfolio commenced operations on April 9, 2013. See accompanying Notes to Financial Statements. 89 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
Emerging Selectively Markets Emerging Emerging Hedged Emerging Small Markets Markets Core Global Equity Markets Cap Value Equity Portfolio Portfolio* Portfolio* Portfolio* Portfolio ------------- ---------- ---------- ---------- ------------ Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends....................................................... -- $ 25,461 $ 25,818 $ 140,564 -- Income Distributions Received from Affiliated Investment Companies...................................................... $ 352 -- -- -- -- Interest........................................................ -- -- -- 10 -- Income from Securities Lending.................................. -- 1,874 8,436 14,918 -- Expenses Allocated from Affiliated Investment Company........... -- (2,610) (5,825) (15,695) -- ------ -------- -------- ---------- -------- Total Net Investment Income Received from Affiliated Investment Companies........................................ 352 24,725 28,429 139,797 -- ------ -------- -------- ---------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $8,938, respectively).......................................... -- -- -- -- $ 80,387 Interest........................................................ 2 -- -- -- -- Income from Securities Lending.................................. -- -- -- -- 11,926 ------ -------- -------- ---------- -------- Total Fund Investment Income................................. 2 -- -- -- 92,313 ------ -------- -------- ---------- -------- Fund Expenses Investment Advisory Services Fees............................... 83 -- -- -- 27,420 Administrative Services Fees.................................... -- 5,965 7,955 35,566 -- Accounting & Transfer Agent Fees................................ 8 20 20 56 447 Shareholder Servicing Fees -- Class R2 Shares............................................... -- -- -- 134 -- Custodian Fees.................................................. -- -- -- -- 3,647 Filing Fees..................................................... 18 47 65 97 118 Shareholders' Reports........................................... -- 55 29 135 104 Directors'/Trustees' Fees & Expenses............................ -- 12 12 72 36 Professional Fees............................................... 3 11 10 60 135 Organizational & Offering Costs................................. 2 -- -- -- -- Other........................................................... 1 13 12 70 70 ------ -------- -------- ---------- -------- Total Expenses............................................... 115 6,123 8,103 36,190 31,977 ------ -------- -------- ---------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)...................... (102) -- -- -- -- Fees Paid Indirectly............................................ -- -- -- -- (90) ------ -------- -------- ---------- -------- Net Expenses.................................................... 13 6,123 8,103 36,190 31,887 ------ -------- -------- ---------- -------- Net Investment Income (Loss).................................... 341 18,602 20,326 103,607 60,426 ------ -------- -------- ---------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies...................................................... 115 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.................................... 1 23,130 63,561 377,401 (5,116) Futures....................................................... 262 -- 457 -- -- Foreign Currency Transactions**............................... 390 34 (790) (927) (1,834) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................... 5,884 127,879 324,520 913,032 674,241 Futures....................................................... 146 -- -- -- -- Translation of Foreign Currency Denominated Amounts........... 190 (2) 45 74 (45) ------ -------- -------- ---------- -------- Net Realized and Unrealized Gain (Loss)......................... 6,988 151,041 387,793 1,289,580 667,246 ------ -------- -------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations....................................................... $7,329 $169,643 $408,119 $1,393,187 $727,672 ====== ======== ======== ========== ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $1, $0 and $0, respectively. See accompanying Notes to Financial Statements. 90 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap Value U.S. Targeted Value Company Portfolio Portfolio Portfolio -------------------- ------------------------ ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- -------- ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 663 $ 1,469 $ 85,008 $ 154,843 $ 27,378 $ 29,117 Net Realized Gain (Loss) on: Investment Securities Sold............ (491) 245 370,791 318,427 79,065 181,414 Futures............................... 19,942 30,568 -- -- (402) 3,336 Foreign Currency Transactions......... (913) 1,331 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 1,534 594 1,091,167 824,744 459,962 176,832 Futures............................... 4,948 (6,586) -- -- -- -- Translation of Foreign Currency Denominated Amounts.................. 663 (857) -- -- -- -- -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 26,346 26,764 1,546,966 1,298,014 566,003 390,699 -------- -------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R1 Shares....................... -- -- -- -- (459) (374) Class R2 Shares....................... -- -- -- -- (117) (76) Institutional Class Shares............ (1,111) (2,785) (92,857) (150,153) (28,487) (24,124) Net Short-Term Gains: Class R1 Shares....................... -- -- -- -- (162) -- Class R2 Shares....................... -- -- -- -- (43) -- Institutional Class Shares............ -- -- -- -- (9,669) -- Net Long-Term Gains: Class R1 Shares....................... -- -- -- -- (2,657) (356) Class R2 Shares....................... -- -- -- -- (709) (86) Institutional Class Shares............ -- -- -- -- (158,843) (19,426) -------- -------- ----------- ----------- ---------- ---------- Total Distributions.................. (1,111) (2,785) (92,857) (150,153) (201,146) (44,442) -------- -------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued........................... 25,745 26,869 1,359,469 1,501,347 425,555 782,957 Shares Issued in Lieu of Cash Distributions.......................... 962 2,573 85,555 139,904 179,146 40,767 Shares Redeemed......................... (35,297) (34,538) (940,743) (1,794,871) (448,004) (662,151) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......... (8,590) (5,096) 504,281 (153,620) 156,697 161,573 -------- -------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 16,645 18,883 1,958,390 994,241 521,554 507,830 Net Assets Beginning of Period..................... 190,011 171,128 8,334,585 7,340,344 3,051,809 2,543,979 -------- -------- ----------- ----------- ---------- ---------- End of Period........................... $206,656 $190,011 $10,292,975 $ 8,334,585 $3,573,363 $3,051,809 ======== ======== =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................... 2,615 3,051 55,665 72,600 23,623 48,542 Shares Issued in Lieu of Cash Distributions.......................... 103 314 3,643 6,979 10,844 2,677 Shares Redeemed......................... (3,611) (3,906) (39,107) (86,993) (24,942) (40,606) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......... (893) (541) 20,201 (7,414) 9,525 10,613 ======== ======== =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................... $ 1,557 $ 2,005 $ 17,517 $ 25,366 $ 2,260 $ 3,945
See accompanying Notes to Financial Statements. 91 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Small Cap Value Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio ------------------------ --------------------------- --------------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ---------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 74,982 $ 53,970 $ 54,353 $ 78,378 $ 74,697 $ 111,804 Capital Gain Distributions Received from Investment Securities............. -- -- -- 36 -- 105 Net Realized Gain (Loss) on: Investment Securities Sold............ 213,073 430,201 15,630 35,359 26,016 73,466 Futures............................... 1,840 954 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities................. 978,070 522,870 746,259 455,880 1,076,031 694,545 Futures............................... -- (536) -- -- -- -- ----------- ----------- ---------- ---------- ---------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 1,267,965 1,007,459 816,242 569,653 1,176,744 879,920 ----------- ----------- ---------- ---------- ---------- ----------- Distributions From: Net Investment Income: Institutional Class Shares............ (74,197) (50,536) (52,783) (73,066) (73,910) (99,623) Net Short-Term Gains: Institutional Class Shares............ (15,668) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares............ (380,218) (89,379) -- -- (55,772) -- ----------- ----------- ---------- ---------- ---------- ----------- Total Distributions.................. (470,083) (139,915) (52,783) (73,066) (129,682) (99,623) ----------- ----------- ---------- ---------- ---------- ----------- Capital Share Transactions (1): Shares Issued........................... 766,673 1,130,039 864,936 1,316,460 908,382 1,284,909 Shares Issued in Lieu of Cash Distributions.......................... 427,716 131,338 47,496 66,157 125,823 96,744 Shares Redeemed......................... (1,079,364) (1,581,314) (461,678) (733,642) (595,789) (1,057,872) ----------- ----------- ---------- ---------- ---------- ----------- Net Increase (Decrease) from Capital Share Transactions.......... 115,025 (319,937) 450,754 648,975 438,416 323,781 ----------- ----------- ---------- ---------- ---------- ----------- Total Increase (Decrease) in Net Assets.............................. 912,907 547,607 1,214,213 1,145,562 1,485,478 1,104,078 Net Assets Beginning of Period..................... 7,088,470 6,540,863 4,876,973 3,731,411 6,923,984 5,819,906 ----------- ----------- ---------- ---------- ---------- ----------- End of Period........................... $ 8,001,377 $ 7,088,470 $6,091,186 $4,876,973 $8,409,462 $ 6,923,984 =========== =========== ========== ========== ========== =========== (1) Shares Issued and Redeemed: Shares Issued........................... 27,720 45,152 67,105 114,530 71,104 113,356 Shares Issued in Lieu of Cash Distributions.......................... 16,874 5,754 3,767 5,842 10,274 8,679 Shares Redeemed......................... (39,979) (62,499) (35,797) (63,857) (46,717) (93,203) ----------- ----------- ---------- ---------- ---------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................ 4,615 (11,593) 35,075 56,515 34,661 28,832 =========== =========== ========== ========== ========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................... $ 879 $ 94 $ 12,031 $ 10,461 $ 16,686 $ 15,899
See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Vector Equity Portfolio U.S. Small Cap Portfolio U.S. Micro Cap Portfolio --------------------------- ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............. $ 20,154 $ 28,165 $ 45,257 $ 47,882 $ 30,315 $ 33,720 Capital Gain Distributions Received from Investment Securities.................... -- 18 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.............. 10,012 41,027 119,956 254,365 111,879 220,675 Futures................................. -- (850) (494) -- (423) 385 Change in Unrealized Appreciation (Depreciation) of: Investment Securities................... 329,248 196,524 591,079 230,453 414,243 166,031 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................ 359,414 264,884 755,798 532,700 556,014 420,811 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.............. (18,866) (26,665) (44,437) (41,256) (34,858) (30,423) Net Short-Term Gains: Institutional Class Shares.............. -- -- (8,279) -- -- -- Net Long-Term Gains: Institutional Class Shares.............. (3,507) -- (228,672) -- (176,365) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................... (22,373) (26,665) (281,388) (41,256) (211,223) (30,423) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................. 299,986 363,121 698,941 1,000,664 319,716 389,014 Shares Issued in Lieu of Cash Distributions............................ 21,964 26,213 259,714 38,143 196,436 28,484 Shares Redeemed........................... (212,158) (470,271) (463,259) (737,229) (347,928) (627,647) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions............ 109,792 (80,937) 495,396 301,578 168,224 (210,149) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................ 446,833 157,282 969,806 793,022 513,015 180,239 Net Assets Beginning of Period....................... 2,009,177 1,851,895 4,563,345 3,770,323 3,437,958 3,257,719 ---------- ---------- ---------- ---------- ---------- ---------- End of Period............................. $2,456,010 $2,009,177 $5,533,151 $4,563,345 $3,950,973 $3,437,958 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................. 24,011 33,038 29,136 45,541 21,062 27,509 Shares Issued in Lieu of Cash Distributions............................ 1,838 2,473 11,794 1,786 13,951 2,109 Shares Redeemed........................... (16,994) (42,602) (19,674) (33,325) (23,160) (44,113) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............ 8,855 (7,091) 21,256 14,002 11,853 (14,495) ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................... $ 3,778 $ 2,490 $ 6,122 $ 5,302 $ (633) $ 3,910
See accompanying Notes to Financial Statements. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Securities Large Cap International International Core Equity Portfolio Portfolio Portfolio ------------------------- ---------------------- ----------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ---------- ----------- ---------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............. $ 59,371 $ 78,788 $ 34,468 $ 63,623 $ 103,641 $ 181,573 Capital Gain Distributions Received from Investment Securities.................... 8,460 16,390 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.............. 6,230 (1,763) (15,247) (18,104) 6,684 (40,937) Futures................................. -- (46) -- -- -- -- Foreign Currency Transactions*.......... -- -- (187) (353) (1,185) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................... 637,870 355,961 293,305 69,627 916,985 185,568 Translation of Foreign Currency Denominated Amounts.................... -- -- 30 (82) (38) (120) ---------- ---------- ---------- ---------- ---------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations............................ 711,931 449,330 312,369 114,711 1,026,087 326,198 ---------- ---------- ---------- ---------- ---------- ----------- Distributions From: Net Investment Income: Institutional Class Shares.............. (55,890) (99,783) (23,503) (60,808) (61,073) (176,198) ---------- ---------- ---------- ---------- ---------- ----------- Total Distributions.................... (55,890) (99,783) (23,503) (60,808) (61,073) (176,198) ---------- ---------- ---------- ---------- ---------- ----------- Capital Share Transactions (1): Shares Issued............................. 544,922 826,214 345,982 634,549 1,024,387 1,839,473 Shares Issued in Lieu of Cash Distributions............................ 54,239 96,714 22,132 57,573 58,778 169,856 Shares Redeemed........................... (320,704) (654,733) (271,333) (394,415) (612,054) (1,072,475) ---------- ---------- ---------- ---------- ---------- ----------- Net Increase (Decrease) from Capital Share Transactions............ 278,457 268,195 96,781 297,707 471,111 936,854 ---------- ---------- ---------- ---------- ---------- ----------- Total Increase (Decrease) in Net Assets................................ 934,498 617,742 385,647 351,610 1,436,125 1,086,854 Net Assets Beginning of Period....................... 3,716,389 3,098,647 2,055,759 1,704,149 6,482,738 5,395,884 ---------- ---------- ---------- ---------- ---------- ----------- End of Period............................. $4,650,887 $3,716,389 $2,441,406 $2,055,759 $7,918,863 $ 6,482,738 ========== ========== ========== ========== ========== =========== (1) Shares Issued and Redeemed: Shares Issued............................. 19,983 32,929 17,693 36,185 94,741 190,598 Shares Issued in Lieu of Cash Distributions............................ 2,082 3,972 1,159 3,432 5,598 18,393 Shares Redeemed........................... (11,880) (26,322) (13,899) (22,604) (57,155) (112,419) ---------- ---------- ---------- ---------- ---------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............ 10,185 10,579 4,953 17,013 43,184 96,572 ========== ========== ========== ========== ========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................... $ 27,080 $ 23,599 $ 19,673 $ 8,708 $ 67,823 $ 25,255
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $1, $1 and $0, respectively. See accompanying Notes to Financial Statements. 94 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Small Japanese Small Asia Pacific Small Company Portfolio Company Portfolio Company Portfolio ----------------------- -------------------- -------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 79,534 $ 152,324 $ 4,373 $ 5,072 $ 3,397 $ 7,452 Net Realized Gain (Loss) on: Investment Securities Sold................. 121,843 53,955 6,271 (5,341) 1,740 4,091 Futures.................................... (29) 9 -- (75) -- (33) Foreign Currency Transactions*............. (1,145) 401 (268) 120 40 (56) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 783,843 133,610 85,864 (6,790) 18,125 6,664 Futures.................................... 30 (1) -- 1 -- 1 Translation of Foreign Currency Denominated Amounts....................... (54) (530) (115) (23) (7) (12) ---------- ----------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 984,022 339,768 96,125 (7,036) 23,295 18,107 ---------- ----------- -------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares................. (58,320) (163,885) (2,836) (4,541) (7,603) (9,333) Net Long-Term Gains: Institutional Class Shares................. (39,012) (108,621) -- -- -- -- ---------- ----------- -------- -------- -------- -------- Total Distributions....................... (97,332) (272,506) (2,836) (4,541) (7,603) (9,333) ---------- ----------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued................................ 587,418 1,391,405 127,552 198,642 29,434 110,755 Shares Issued in Lieu of Cash Distributions............................... 92,887 262,078 2,638 4,202 7,183 8,531 Shares Redeemed.............................. (602,158) (1,131,600) (21,936) (60,419) (19,589) (29,131) ---------- ----------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions....................... 78,147 521,883 108,254 142,425 17,028 90,155 ---------- ----------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets................................... 964,837 589,145 201,543 130,848 32,720 98,929 Net Assets Beginning of Period.......................... 6,423,160 5,834,015 293,968 163,120 238,191 139,262 ---------- ----------- -------- -------- -------- -------- End of Period................................ $7,387,997 $ 6,423,160 $495,511 $293,968 $270,911 $238,191 ========== =========== ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued................................ 36,124 95,525 8,019 12,557 1,183 5,147 Shares Issued in Lieu of Cash Distributions............................... 6,000 19,065 173 282 309 410 Shares Redeemed.............................. (37,137) (77,790) (1,309) (3,928) (834) (1,342) ---------- ----------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 4,987 36,800 6,883 8,911 658 4,215 ========== =========== ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 24,504 $ 3,290 $ 3,265 $ 1,728 $ (3,427) $ 779
---------- * Net of foreign capital gain taxes withheld of $9, $4, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
United Kingdom Small Continental Small DFA International Real Company Portfolio Company Portfolio Estate Securities Portfolio -------------------- -------------------- -------------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- -------- ----------- -------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 379 $ 856 $ 1,164 $ 3,068 $ 34,097 $ 66,041 Net Realized Gain (Loss) on: Investment Securities Sold................ 835 (281) 1,466 (2,677) (18,160) (33,417) Futures................................... -- 6 29 (25) 888 -- Foreign Currency Transactions............. (1) 6 (6) (25) (633) 34 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 3,283 5,744 13,754 585 238,017 228,123 Futures................................... -- -- (29) -- -- -- Translation of Foreign Currency Denominated Amounts...................... 3 (2) 4 72 (24) (24) ------- -------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.............................. 4,499 6,329 16,382 998 254,185 260,757 ------- -------- -------- -------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................ (392) (992) (520) (2,958) (181,848) (54,030) ------- -------- -------- -------- ---------- ---------- Total Distributions...................... (392) (992) (520) (2,958) (181,848) (54,030) ------- -------- -------- -------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................... 1,093 1,858 2,664 11,823 355,649 416,378 Shares Issued in Lieu of Cash Distributions.............................. 297 752 388 2,148 180,122 53,300 Shares Redeemed............................. (3,504) (10,500) (9,579) (23,147) (170,419) (204,853) ------- -------- -------- -------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions...................... (2,114) (7,890) (6,527) (9,176) 365,352 264,825 ------- -------- -------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets.................................. 1,993 (2,553) 9,335 (11,136) 437,689 471,552 Net Assets Beginning of Period......................... 31,316 33,869 106,316 117,452 1,531,708 1,060,156 ------- -------- -------- -------- ---------- ---------- End of Period............................... $33,309 $ 31,316 $115,651 $106,316 $1,969,397 $1,531,708 ======= ======== ======== ======== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................... 37 76 166 842 66,520 84,674 Shares Issued in Lieu of Cash Distributions.............................. 10 34 26 166 35,388 12,309 Shares Redeemed............................. (118) (429) (630) (1,693) (32,320) (42,864) ------- -------- -------- -------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................... (71) (319) (438) (685) 69,588 54,119 ======= ======== ======== ======== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 136 $ 149 $ 924 $ 280 $ (194,025) $ (46,274)
See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Global Real Estate DFA International Small International Vector Securities Portfolio Cap Value Portfolio Equity Portfolio ---------------------- ------------------------ --------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ---------- ----------- ----------- ----------- --------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 73,934 $ 36,495 $ 120,773 $ 176,655 $ 8,585 $ 14,617 Net Realized Gain (Loss) on: Investment Securities Sold............ (2,565) (2,760) 71,173 130,909 6,299 2,944 Foreign Currency Transactions*........ -- 138,125 (1,756) 1,183 (100) (98) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 170,366 -- 1,439,113 203,828 79,234 13,867 Translation of Foreign Currency Denominated Amounts.................. -- -- 182 (393) -- (30) ---------- ---------- ----------- ----------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 241,735 171,860 1,629,485 512,182 94,018 31,300 ---------- ---------- ----------- ----------- -------- --------- Distributions From: Net Investment Income: Institutional Class Shares............ (84,341) (25,716) (69,563) (187,200) (4,602) (14,204) Net Short-Term Gains: Institutional Class Shares............ -- -- -- (11,429) -- -- Net Long-Term Gains: Institutional Class Shares............ -- -- (117,102) (126,221) (2,044) (6,473) ---------- ---------- ----------- ----------- -------- --------- Total Distributions.................. (84,341) (25,716) (186,665) (324,850) (6,646) (20,677) ---------- ---------- ----------- ----------- -------- --------- Capital Share Transactions (1): Shares Issued........................... 334,926 445,794 889,448 1,698,080 99,249 241,502 Shares Issued in Lieu of Cash Distributions.......................... 82,056 25,115 173,258 304,574 6,418 19,813 Shares Redeemed......................... (160,409) (170,854) (763,177) (1,382,520) (46,841) (121,119) ---------- ---------- ----------- ----------- -------- --------- Net Increase (Decrease) from Capital Share Transactions.......... 256,573 300,055 299,529 620,134 58,826 140,196 ---------- ---------- ----------- ----------- -------- --------- Total Increase (Decrease) in Net Assets.............................. 413,967 446,199 1,742,349 807,466 146,198 150,819 Net Assets Beginning of Period..................... 1,315,547 869,348 8,266,610 7,459,144 561,399 410,580 ---------- ---------- ----------- ----------- -------- --------- End of Period........................... $1,729,514 $1,315,547 $10,008,959 $ 8,266,610 $707,597 $ 561,399 ========== ========== =========== =========== ======== ========= (1) Shares Issued and Redeemed: Shares Issued........................... 35,892 51,866 54,651 117,598 10,032 27,490 Shares Issued in Lieu of Cash Distributions.......................... 9,335 3,385 11,209 22,510 666 2,341 Shares Redeemed......................... (17,407) (20,069) (46,870) (97,364) (4,738) (13,627) ---------- ---------- ----------- ----------- -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed............................ 27,820 35,182 18,990 42,744 5,960 16,204 ========== ========== =========== =========== ======== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................... $ 1,216 $ 11,623 $ 65,857 $ 14,647 $ 5,439 $ 1,456
---------- * Net of foreign capital gain taxes withheld of $0, $0, $6, $13, $0 and $1, respectively. See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
World ex World ex U.S. Core World ex U.S. Value U.S. Targeted Equity Portfolio Value Portfolio Portfolio ------------------- --------------- ----------- Period Period Six Months Year Nov. 1, April 9, Ended Ended 2012(a) to 2013(a) to April 30, Oct. 31, April 30, April 30, 2013 2012 2013 2013 ----------- -------- --------------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................... $ 890 $ 1,596 $ 184 $ Capital Gain Distributions Received from Affiliated Investment Companies...................................................... 64 79 191 -- Net Realized Gain (Loss) on: Investment Securities Sold.................................... 1,086 61 242 -- Futures....................................................... -- (1) -- -- Foreign Currency Transactions................................. (8) (10) (1) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................... 6,399 430 4,801 21 Translation of Foreign Currency Denominated Amounts........... (19) (1) -- -- ------- ------- ------- ---- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................. 8,412 2,154 5,417 21 ------- ------- ------- ---- Distributions From: Net Investment Income: Institutional Class Shares.................................... (620) (1,432) (124) -- Net Short-Term Gains: Institutional Class Shares.................................... -- (6) -- -- ------- ------- ------- ---- Total Distributions.......................................... (620) (1,438) (124) -- ------- ------- ------- ---- Capital Share Transactions (1): Shares Issued................................................... 29,247 15,365 55,765 949 Shares Issued in Lieu of Cash Distributions..................... 585 1,370 124 -- Shares Redeemed................................................. (2,646) (7,419) (861) (63) ------- ------- ------- ---- Net Increase (Decrease) from Capital Share Transactions...... 27,186 9,316 55,028 886 ------- ------- ------- ---- Total Increase (Decrease) in Net Assets...................... 34,978 10,032 60,321 907 Net Assets Beginning of Period............................................. 57,197 47,165 -- -- ------- ------- ------- ---- End of Period................................................... $92,175 $57,197 $60,321 $907 ======= ======= ======= ==== (1) Shares Issued and Redeemed: Shares Issued................................................... 2,736 1,625 5,318 95 Shares Issued in Lieu of Cash Distributions..................... 57 152 12 -- Shares Redeemed................................................. (251) (756) (80) (6) ------- ------- ------- ---- Net Increase (Decrease) from Shares Issued and Redeemed...... 2,542 1,021 5,250 89 ======= ======= ======= ==== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................... $ 600 $ 330 $ 60 $ --
---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Selectively Hedged Emerging Markets Emerging Markets Small Global Equity Portfolio Portfolio Cap Portfolio ---------------------- ---------------------- ---------------------- Period Six Months Nov. 14, Six Months Year Six Months Year Ended 2011(a) Ended Ended Ended Ended April 30, to Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 341 $ 536 $ 18,602 $ 54,306 $ 20,326 $ 46,726 Capital Gain Distributions Received from Affiliated Investment Companies.............................. 115 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold............ 1 (275) 23,130 31,303 63,561 101,576 Futures............................... 262 110 -- -- 457 (812) Foreign Currency Transactions*........ 390 163 34 (543) (790) (1,523) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 5,884 2,557 127,879 25,377 324,520 9,556 Futures............................... 146 (17) -- -- -- -- Translation of Foreign Currency Denominated Amounts.................. 190 (93) (2) 18 45 (21) ------- ------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 7,329 2,981 169,643 110,461 408,119 155,502 ------- ------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares............ (330) (534) (13,978) (49,445) (25,472) (40,500) Net Short-Term Gains: Institutional Class Shares............ (43) -- -- -- (3,428) -- Net Long-Term Gains: Institutional Class Shares............ (56) -- (30,527) (90,351) (92,100) (37,112) ------- ------- ---------- ---------- ---------- ---------- Total Distributions.................. (429) (534) (44,505) (139,796) (121,000) (77,612) ------- ------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued........................... 34,227 32,522 503,001 860,651 820,191 1,164,899 Shares Issued in Lieu of Cash Distributions.......................... 429 533 41,834 130,084 104,827 68,580 Shares Redeemed......................... (1,099) (552) (347,124) (477,258) (190,867) (236,441) ------- ------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......... 33,557 32,503 197,711 513,477 734,151 997,038 ------- ------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 40,457 34,950 322,849 484,142 1,021,270 1,074,928 Net Assets Beginning of Period..................... 34,950 -- 2,797,177 2,313,035 2,907,673 1,832,745 ------- ------- ---------- ---------- ---------- ---------- End of Period........................... $75,407 $34,950 $3,120,026 $2,797,177 $3,928,943 $2,907,673 ======= ======= ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................... 2,921 3,216 18,597 34,114 38,724 59,256 Shares Issued in Lieu of Cash Distributions.......................... 39 53 1,554 5,452 5,106 3,782 Shares Redeemed......................... (93) (53) (12,873) (18,952) (9,052) (12,340) ------- ------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............................ 2,867 3,216 7,278 20,614 34,778 50,698 ======= ======= ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................... $ 177 $ 166 $ 12,930 $ 8,306 $ 1,305 $ 6,451
---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $13, $1 and $86, respectively. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Value Emerging Markets Core Portfolio Equity Portfolio ------------------------ ------------------------ Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................ $ 103,607 $ 308,227 $ 60,426 $ 155,928 Net Realized Gain (Loss) on: Investment Securities Sold................................ 377,401 362,676 (5,116) (8,860) Futures................................................... -- (1,255) -- 1,190 Foreign Currency Transactions*............................ (927) (4,701) (1,834) (1,300) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 913,032 (535,878) 674,241 122,105 Translation of Foreign Currency Denominated Amounts....... 74 (113) (45) (51) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.............................................. 1,393,187 128,956 727,672 269,012 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares........................................... (519) (1,576) -- -- Institutional Class Shares................................ (105,739) (285,978) (51,518) (139,837) Net Long-Term Gains: Class R2 Shares........................................... (2,090) (1,207) -- -- Institutional Class Shares................................ (342,441) (187,999) -- -- ----------- ----------- ----------- ----------- Total Distributions...................................... (450,789) (476,760) (51,518) (139,837) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued............................................... 1,958,779 5,108,640 2,598,499 4,068,293 Shares Issued in Lieu of Cash Distributions................. 422,106 439,131 46,677 126,291 Shares Redeemed............................................. (1,471,144) (2,319,607) (693,619) (1,096,525) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions............................................ 909,741 3,228,164 1,951,557 3,098,059 ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets.................. 1,852,139 2,880,360 2,627,711 3,227,234 Net Assets Beginning of Period......................................... 16,688,730 13,808,370 8,594,707 5,367,473 ----------- ----------- ----------- ----------- End of Period............................................... $18,540,869 $16,688,730 $11,222,418 $ 8,594,707 =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued............................................... 66,301 181,833 129,044 218,730 Shares Issued in Lieu of Cash Distributions................. 14,606 16,750 2,337 7,108 Shares Redeemed............................................. (50,080) (82,979) (34,705) (60,020) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed................................................ 30,827 115,604 96,676 165,818 =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................. $ 37,641 $ 40,292 $ 35,484 $ 26,576
---------- * Net of foreign capital gain taxes withheld of $0, $310, $0 and $541, respectively. See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio -------------------------------------------------------------------------------- ------------------ Period Six Months Year Year Year Year Dec. 1, Year Six Months Ended Ended Ended Ended Ended 2007 to Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30, 2013 2012 2011 2010 2009 2008 2007 2013 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period.... $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 $ 22.34 -------- -------- -------- -------- -------- -------- -------- ----------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............ 0.03 0.07 0.07 0.07 0.05 0.39 0.30 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)....... 1.30 1.20 0.56 1.05 0.61 (3.74) 0.45 3.86 -------- -------- -------- -------- -------- -------- -------- ----------- Total from Investment Operations........... 1.33 1.27 0.63 1.12 0.66 (3.35) 0.75 4.08 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................ (0.06) (0.13) (0.01) (0.07) (0.59) (0.36) (0.36) (0.25) Net Realized Gains..... -- -- -- -- (0.06) (0.73) (0.43) -- -------- -------- -------- -------- -------- -------- -------- ----------- Total Distributions... (0.06) (0.13) (0.01) (0.07) (0.65) (1.09) (0.79) (0.25) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................. $ 10.56 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 26.17 ======================== =========== ======== ======== ======== ======== ======== ======== =========== Total Return............ 14.35%(C) 15.84% 8.41% 17.40% 12.23% (33.89)%(C) 7.13% 18.38%(C) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $206,656 $190,011 $171,128 $157,730 $165,231 $200,331 $337,050 $10,292,975 Ratio of Expenses to Average Net Assets................. 0.25%(B) 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) 0.27%(B)(D) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.25%(B) 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) 0.27%(B)(D) Ratio of Net Investment Income to Average Net Assets............. 0.68%(B) 0.80% 0.86% 0.98% 0.86% 4.74%(B) 2.67% 1.87%(B) Portfolio Turnover Rate................... 35%(C) 76% 140% 78% 46%* N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------------------
U.S. Large 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.... $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............ 0.41 0.33 0.33 0.31 0.36 0.33 Net Gains (Losses) on Securities (Realized and Unrealized)....... 3.04 0.70 2.76 1.28 (8.83) (0.43) ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 3.45 1.03 3.09 1.59 (8.47) (0.10) --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................ (0.40) (0.32) (0.32) (0.34) (0.35) (0.32) Net Realized Gains..... -- -- -- (0.02) (1.04) (0.54) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions... (0.40) (0.32) (0.32) (0.36) (1.39) (0.86) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................. $ 22.34 $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 ======================== ========== ========== ========== ========== ========== ========== Total Return............ 18.14% 5.53% 19.72% 11.76% (36.63)%(C) (0.49)% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $8,334,585 $7,340,344 $6,921,036 $5,863,652 $5,330,448 $7,535,552 Ratio of Expenses to Average Net Assets................. 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D) Ratio of Net Investment Income to Average Net Assets............. 1.99% 1.63% 1.86% 2.26% 1.86%(B) 1.28% Portfolio Turnover Rate................... N/A N/A N/A N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+ ---------------------------------------------------------- Period Six Months Year Year Year Year Jan. 31, Ended Ended Ended Ended Ended 2008(a) to April 30, Oct. 31, Oct. 31, Oct.31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 2008 --------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 $ 14.69 ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.14 0.15 0.10 0.07 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 2.91 2.06 0.60 3.07 0.87 (3.76) ------- ------- ------- ------- ------- ------- Total from Investment Operations............... 3.05 2.21 0.70 3.14 0.99 (3.63) --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.16) (0.13) (0.10) (0.12) (0.18) (0.14) Net Realized Gains.............................. (0.98) (0.12) (0.03) -- -- -- ------- ------- ------- ------- ------- ------- Total Distributions............................ (1.14) (0.25) (0.13) (0.12) (0.18) (0.14) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 19.19 $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 ================================================= =========== ======== ======== ======= ======== ========== Total Return...................................... 18.68%(C) 14.67% 4.69% 26.93% 9.36% (24.96)%(C) --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $62,651 $49,423 $45,132 $41,316 $31,393 $25,599 Ratio of Expenses to Average Net Assets........... 0.48%(B) 0.48% 0.48% 0.49% 0.52% 0.50%(B)(E) Ratio of Net Investment Income to Average Net Assets........................................... 1.53%(B) 0.93% 0.61% 0.59% 1.12% 1.24%(B)(E) Portfolio Turnover Rate........................... 7%(C) 20% 23% 20% 17% 20%(C) ---------------------------------------------------------------------------------------------------------------------
U.S. Targeted Value Portfolio-Class R2 Shares+ ---------------------------------------------------------- Period Six Months Year Year Year Year June 30, Ended Ended Ended Ended Ended 2008(a) to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 2008 -------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91 $ 13.94 ------- ------- ------- ------ ------ ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.12 0.13 0.07 0.05 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 2.91 2.05 0.60 3.07 0.88 (3.02) ------- ------- ------- ------ ------ ------- Total from Investment Operations............... 3.03 2.18 0.67 3.12 0.98 (2.97) -------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.15) (0.11) (0.09) (0.10) (0.15) (0.06) Net Realized Gains.............................. (0.98) (0.12) (0.03) -- -- -- ------- ------- ------- ------ ------ ------- Total Distributions............................ (1.13) (0.23) (0.12) (0.10) (0.15) (0.06) -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 19.16 $ 17.26 $ 15.31 $14.76 $11.74 $ 10.91 ================================================= =========== ======== ======== ======== ======== ========== Total Return...................................... 18.59%(C) 14.46% 4.50% 26.66% 9.23% (21.40)%(C) -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $17,311 $12,754 $10,918 $5,967 $2,930 $ 1,715 Ratio of Expenses to Average Net Assets........... 0.63%(B) 0.63% 0.63% 0.64% 0.67% 0.66%(B)(E) Ratio of Net Investment Income to Average Net Assets........................................... 1.37%(B) 0.78% 0.42% 0.44% 0.91% 1.35%(B)(E) Portfolio Turnover Rate........................... 7%(C) 20% 23% 20% 17% 20%(C) --------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. + All per share amounts and net assets values prior to November 19, 2010 have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares ------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period....................... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 ---------- ---------- ---------- ---------- ---------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.15 0.17 0.12 0.09 0.12 0.18 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)................. 2.91 2.06 0.59 3.06 0.88 (4.68) (1.32) ---------- ---------- ---------- ---------- ---------- -------- -------- Total from Investment Operations................. 3.06 2.23 0.71 3.15 1.00 (4.50) (1.12) --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........ (0.17) (0.15) (0.12) (0.09) (0.14) (0.15) (0.20) Net Realized Gains........... (0.98) (0.12) (0.03) -- -- (0.40) (1.48) ---------- ---------- ---------- ---------- ---------- -------- -------- Total Distributions......... (1.15) (0.27) (0.15) (0.09) (0.14) (0.55) (1.68) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 19.19 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 ============================== =========== ========== ========== ========== ========== ======== ======== Total Return.................. 18.72%(C) 14.78% 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $3,493,401 $2,989,632 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 Ratio of Expenses to Average Net Assets................... 0.37%(B) 0.38% 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** Ratio of Net Investment Income to Average Net Assets....................... 1.66%(B) 1.03% 0.71% 0.69% 1.19% 1.39%(B) 1.12% Portfolio Turnover Rate....... 7%(C) 20% 23% 20% 17% 20%(C) 9%(C)* ---------------------------------------------------------------------------------------------------------------------------
U.S. Small Cap Value Portfolio --------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period....................... $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.28 0.20 0.16 0.09 0.04 0.18 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)................. 4.43 3.38 1.00 4.79 1.54 (7.86) (2.72) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 4.71 3.58 1.16 4.88 1.58 (7.68) (2.42) -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........ (0.28) (0.18) (0.15) (0.08) (0.21) (0.22) (0.28) Net Realized Gains........... (1.52) (0.33) -- -- -- (2.27) (2.40) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (1.80) (0.51) (0.15) (0.08) (0.21) (2.49) (2.68) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 29.48 $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 ============================== =========== ========== ========== ========== ========== ========== ========== Total Return.................. 18.83%(C) 15.60% 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $8,001,377 $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%(B) 0.52% 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) Ratio of Net Investment Income to Average Net Assets....................... 2.03%(B) 0.78% 0.62% 0.43% 0.27% 0.86%(B) 0.98% Portfolio Turnover Rate....... 6%(C) 15% 14% 19% 21%+ N/A N/A --------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 103 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio ----------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............... 0.13 0.21 0.17 0.15 0.15 0.17 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).............. 1.81 1.32 0.59 1.61 0.73 (4.03) 0.35 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............. 1.94 1.53 0.76 1.76 0.88 (3.86) 0.54 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income..... (0.13) (0.20) (0.16) (0.12) (0.15) (0.16) (0.18) Net Realized Gains........ -- -- -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions..... (0.13) (0.20) (0.16) (0.12) (0.15) (0.16) (0.21) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 13.92 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 =========================== =========== ========== ========== ========== ========== ========== ========== Total Return............... 16.11%(C) 14.29% 7.47% 20.80% 11.64% (32.85)%(C) 4.68% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............... $6,091,186 $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%(B) 0.19% 0.20% 0.20% 0.22% 0.20%(B) 0.20% Ratio of Net Investment Income to Average Net Assets.................... 2.01%(B) 1.79% 1.49% 1.53% 2.02% 1.78%(B) 1.53% Portfolio Turnover Rate.... 1%(C) 3% 5% 4% 7% 5%(C) 10% -----------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio ----------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ---------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............... 0.13 0.20 0.16 0.14 0.14 0.17 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).............. 1.84 1.36 0.54 1.64 0.66 (4.04) 0.13 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............. 1.97 1.56 0.70 1.78 0.80 (3.87) 0.32 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income..... (0.13) (0.18) (0.15) (0.11) (0.14) (0.17) (0.17) Net Realized Gains........ (0.10) -- -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions..... (0.23) (0.18) (0.15) (0.11) (0.14) (0.17) (0.20) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 13.73 $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 =========================== =========== ========== ========== ========== ========== ========== ========== Total Return............... 16.59%(C) 14.81% 6.98% 21.41% 10.66% (33.16)%(C) 2.78% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............... $8,409,462 $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%(B) 0.22% 0.22% 0.23% 0.24% 0.23%(B) 0.23% Ratio of Net Investment Income to Average Net Assets.................... 1.98%(B) 1.74% 1.42% 1.47% 1.89% 1.77%(B) 1.55% Portfolio Turnover Rate.... 1%(C) 5% 9% 7% 4% 8%(C) 7% ----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Vector Equity Portfolio ------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 ---------- ---------- ---------- ---------- ---------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.11 0.16 0.12 0.10 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.91 1.32 0.46 1.79 0.57 (3.89) (0.25) ---------- ---------- ---------- ---------- ---------- -------- -------- Total from Investment Operations................. 2.02 1.48 0.58 1.89 0.68 (3.74) (0.09) ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.11) (0.15) (0.12) (0.10) (0.13) (0.16) (0.14) Net Realized Gains............ (0.02) -- -- -- -- -- (0.18) ---------- ---------- ---------- ---------- ---------- -------- -------- Total Distributions......... (0.13) (0.15) (0.12) (0.10) (0.13) (0.16) (0.32) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 13.50 $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 ============================== =========== ========== ========== ========== ========== ======== ======== Total Return................... 17.52%(C) 14.55% 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $2,456,010 $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%(B) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.34% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)....... 0.32%(B) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.33% Ratio of Net Investment Income to Average Net Assets.. 1.81%(B) 1.45% 1.11% 1.13% 1.60% 1.66%(B) 1.29% Portfolio Turnover Rate........ 2%(C) 9% 10% 11% 11% 11%(C) 14% -----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Portfolio --------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ---------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.22 0.25 0.18 0.13 0.06 0.14 0.21 Net Gains (Losses) on Securities (Realized and Unrealized).................. 3.39 2.53 1.49 4.17 1.65 (6.08) (0.66) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 3.61 2.78 1.67 4.30 1.71 (5.94) (0.45) ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.23) (0.22) (0.18) (0.13) (0.17) (0.17) (0.21) Net Realized Gains............ (1.20) -- -- -- -- (1.18) (1.16) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (1.43) (0.22) (0.18) (0.13) (0.17) (1.35) (1.37) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................ $ 25.29 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 =============================== =========== ========== ========== ========== ========== ========== ========== Total Return................... 16.53%(C) 13.61% 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $5,533,151 $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%(B) 0.37% 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) Ratio of Net Investment Income to Average Net Assets......... 1.83%(B) 1.14% 0.84% 0.76% 0.50% 0.86%(B) 0.95% Portfolio Turnover Rate........ 7%(C) 16% 23% 19% 17%* N/A N/A ----------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio --------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.13 0.14 0.09 0.06 0.03 0.10 0.14 Net Gains (Losses) on Securities (Realized and Unrealized).................. 2.17 1.59 0.99 2.68 0.54 (4.32) (0.69) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 2.30 1.73 1.08 2.74 0.57 (4.22) (0.55) --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.15) (0.13) (0.09) (0.06) (0.19) (0.13) (0.13) Net Realized Gains............ (0.76) -- -- -- -- (1.26) (1.35) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.91) (0.13) (0.09) (0.06) (0.19) (1.39) (1.48) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................ $ 16.23 $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 =============================== =========== ========== ========== ========== ========== ========== ========== Total Return................... 16.47%(C) 13.13% 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $3,950,973 $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%(B) 0.52% 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) Ratio of Net Investment Income to Average Net Assets......... 1.66%(B) 0.99% 0.69% 0.58% 0.38% 0.91%(B) 0.89% Portfolio Turnover Rate........ 7%(C) 15% 14% 9% 12%* N/A N/A ---------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio ----------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................... $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)...................... 0.40 0.57 0.40 0.58 0.58 0.64 0.62 Net Gains (Losses) on Securities (Realized and Unrealized)..................... 4.35 2.74 1.93 5.92 (0.62) (9.28) (5.64) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................... 4.75 3.31 2.33 6.50 (0.04) (8.64) (5.02) ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............ (0.39) (0.73) (0.32) (0.55) (0.83) (0.30) (0.70) Net Realized Gains............... -- -- -- -- -- (2.10) (0.88) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.39) (0.73) (0.32) (0.55) (0.83) (2.40) (1.58) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.... $ 30.19 $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 ================================== =========== ========== ========== ========== ========== ========== ========== Total Return...................... 18.61%(C) 14.45% 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $4,650,887 $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........................... 0.18%(B) 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)...................... 0.19%(B) 0.23% 0.32% 0.33% 0.36% 0.33%(B) 0.33% Ratio of Net Investment Income to Average Net Assets............... 2.96%(B) 2.29% 1.76% 3.13% 4.54% 3.01%(B) 1.99% Portfolio Turnover Rate........... 0%(C) 0% 3% 2% 2% 13%(C) 17% -------------------------------------------------------------------------------------------------------------------------------
Large Cap International Portfolio ------------------------------------------------------------------------------------------ Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period........................... $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)...................... 0.30 0.60 0.63 0.48 0.48 0.68 0.68 Net Gains (Losses) on Securities (Realized and Unrealized)..................... 2.42 0.40 (1.53) 1.43 3.16 (12.06) 3.57 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................... 2.72 1.00 (0.90) 1.91 3.64 (11.38) 4.25 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............ (0.21) (0.58) (0.61) (0.51) (0.43) (0.64) (0.67) Net Realized Gains............... -- -- -- -- -- (0.35) -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.21) (0.58) (0.61) (0.51) (0.43) (0.99) (0.67) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.... $ 20.84 $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 ================================== =========== ========== ========== ========== ========== ========== ========== Total Return...................... 14.94%(C) 5.89% (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)...................... $2,441,406 $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........................... 0.29%(B) 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)...................... 0.29%(B) 0.30% 0.30% 0.30% 0.32% 0.29%(B) 0.29% Ratio of Net Investment Income to Average Net Assets............... 3.11%(B) 3.38% 3.19% 2.65% 3.14% 3.18%(B) 2.62% Portfolio Turnover Rate........... 5%(C) 4% 3% 7% 12% 12%(C) 5% ------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Core Equity Portfolio ------------------------------------------------------------------------------------------ Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.16 0.31 0.33 0.23 0.23 0.37 0.35 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.39 0.20 (0.89) 0.96 2.32 (6.76) 1.54 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 1.55 0.51 (0.56) 1.19 2.55 (6.39) 1.89 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.09) (0.30) (0.33) (0.20) (0.22) (0.35) (0.32) Net Realized Gains............ -- -- -- -- -- (0.15) (0.04) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.09) (0.30) (0.33) (0.20) (0.22) (0.50) (0.36) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 11.56 $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 ============================== =========== ========== ========== ========== ========== ========== ========== Total Return................... 15.48%(C) 5.49% (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $7,918,863 $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.................... 0.39%(B) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......... 0.39%(B) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41% Ratio of Net Investment Income to Average Net Assets.. 2.93%(B) 3.18% 2.96% 2.31% 2.84% 3.39%(B) 2.49% Portfolio Turnover Rate........ 2%(C) 5% 3% 2% 5% 4%(C) 4% ---------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period
International Small Company Portfolio ------------------------------------------------------------------------------------------ Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.19 0.38 0.40 0.28 0.28 0.44 0.43 Net Gains (Losses) on Securities (Realized and Unrealized).................. 2.13 0.39 (0.83) 2.13 3.91 (9.55) 2.07 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 2.32 0.77 (0.43) 2.41 4.19 (9.11) 2.50 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.14) (0.42) (0.50) (0.26) (0.27) (0.45) (0.46) Net Realized Gains............ (0.09) (0.28) -- -- -- (1.17) (0.67) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.23) (0.70) (0.50) (0.26) (0.27) (1.62) (1.13) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................ $ 17.37 $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 =============================== =========== ========== ========== ========== ========== ========== ========== Total Return................... 15.38%(C) 5.63% (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $7,387,997 $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%(B) 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (D)..................... 0.56%(B) 0.56% 0.55% 0.56% 0.57% 0.55% 0.55% Ratio of Net Investment Income to Average Net Assets......... 2.33%(B) 2.58% 2.37% 1.94% 2.48% 2.90%(B) 2.03% ----------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio ---------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 -------- -------- -------- -------- -------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.18 0.29 0.27 0.22 0.22 0.29 0.27 Net Gains (Losses) on Securities (Realized and Unrealized).................. 3.66 (0.26) 1.08 (0.18) 2.39 (4.78) (0.52) -------- -------- -------- -------- -------- -------- -------- Total from Investment Operations................. 3.84 0.03 1.35 0.04 2.61 (4.49) (0.25) -------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.13) (0.28) (0.24) (0.23) (0.26) (0.29) (0.23) Net Realized Gains............ -- -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Total Distributions......... (0.13) (0.28) (0.24) (0.23) (0.26) (0.29) (0.23) -------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................ $ 18.70 $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 =============================== =========== ======== ======== ======== ======== ======== ======== Total Return................... 25.82%(C) 0.20% 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% -------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $495,511 $293,968 $163,120 $114,933 $114,058 $133,373 $199,080 Ratio of Expenses to Average Net Assets (D)................ 0.57%(B) 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (D)..................... 0.57%(B) 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56% Ratio of Net Investment Income to Average Net Assets......... 2.24%(B) 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. 109 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio ---------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 -------- -------- -------- -------- -------- ------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)......... 0.33 0.87 0.85 0.69 0.50 0.83 0.79 Net Gains (Losses) on Securities (Realized and Unrealized)............... 2.04 0.58 (2.16) 4.99 8.95 (17.04) 8.43 -------- -------- -------- -------- -------- ------- -------- Total from Investment Operations....... 2.37 1.45 (1.31) 5.68 9.45 (16.21) 9.22 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................... (0.78) (1.27) (1.29) (0.63) (0.53) (0.85) (0.75) Net Realized Gains....................... -- -- -- -- -- -- -- Return of Capital........................ -- -- -- -- -- -- -- -------- -------- -------- -------- -------- ------- -------- Total Distributions.................... (0.78) (1.27) (1.29) (0.63) (0.53) (0.85) (0.75) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 24.81 $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 ========================================== =========== ======== ======== ======== ======== ======== ======== Total Return.............................. 10.47%(C) 7.09% (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $270,911 $238,191 $139,262 $131,511 $101,853 $64,044 $146,307 Ratio of Expenses to Average Net Assets (D)............................... 0.59%(B) 0.59% 0.60% 0.63% 0.65% 0.62%(B) 0.62% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (D)......................... 0.59%(B) 0.59% 0.60% 0.61% 0.65% 0.61%(B) 0.59% Ratio of Net Investment Income to Average Net Assets............................... 2.72%(B) 3.91% 3.34% 3.14% 3.53% 3.85%(B) 3.13% -------------------------------------------------------------------------------------------------------------------------
United Kingdom Small Company Portfolio ----------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 ------- ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)......... 0.34 0.69 0.82 0.50 0.55 0.77 0.78 Net Gains (Losses) on Securities (Realized and Unrealized)............... 3.77 4.47 (0.85) 4.41 5.44 (15.84) (0.08) ------- ------- ------- ------- ------- ------- ------- Total from Investment Operations....... 4.11 5.16 (0.03) 4.91 5.99 (15.07) 0.70 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................... (0.35) (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.................... (0.35) (0.79) (0.77) (0.50) (0.43) (1.95) (2.38) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 31.57 $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 ========================================== =========== ======== ======== ======== ======== ======== ======== Total Return.............................. 14.93%(C) 22.82% (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $33,309 $31,316 $33,869 $33,751 $27,863 $25,883 $37,139 Ratio of Expenses to Average Net Assets (D)............................... 0.59%(B) 0.60% 0.60% 0.60% 0.61% 0.59%(B) 0.59% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (D)......................... 0.64%(B) 0.63% 0.62% 0.64% 0.70% 0.65%(B) 0.62% Ratio of Net Investment Income to Average Net Assets............................... 2.36%(B) 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. 110 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Continental Small Company Portfolio ----------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Ended Ended Ended Ended Ended 2007 to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 2008 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................... $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 -------- -------- -------- -------- -------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)...................... 0.17 0.39 0.39 0.27 0.28 0.52 Net Gains (Losses) on Securities (Realized and Unrealized)..................... 2.17 (0.17) (2.20) 1.89 4.29 (11.32) -------- -------- -------- -------- -------- ------- Total from Investment Operations.................... 2.34 0.22 (1.81) 2.16 4.57 (10.80) ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............ (0.07) (0.37) (0.46) (0.25) (0.28) (0.45) Net Realized Gains............... -- -- -- -- -- (0.96) Return of Capital................ -- -- -- -- -- (0.01) -------- -------- -------- -------- -------- ------- Total Distributions............ (0.07) (0.37) (0.46) (0.25) (0.28) (1.42) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.... $ 16.78 $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 ================================== =========== ======== ======== ======== ======== ======== Total Return...................... 16.22%(C) 1.85% (11.09)% 14.85% 43.12% (49.89)%(C) ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $115,651 $106,316 $117,452 $128,106 $110,926 $93,988 Ratio of Expenses to Average Net Assets........................... 0.59%(B)(D) 0.59%(D) 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(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%(B)(D) 0.59%(D) 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) Ratio of Net Investment Income to Average Net Assets............... 2.12%(B) 2.78% 2.25% 1.78% 2.39% 3.04%(B) Portfolio Turnover Rate........... N/A N/A N/A N/A N/A N/A -----------------------------------------------------------------------------------------------------------------------
--------- Year Ended Nov. 30, 2007 ------------------------------------------------ Net Asset Value, Beginning of Period........................... $ 20.47 -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)...................... 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)..................... 3.00 -------- Total from Investment Operations.................... 3.40 ------------------------------------------------ Less Distributions ------------------ Net Investment Income............ (0.38) Net Realized Gains............... (0.54) Return of Capital................ -- -------- Total Distributions............ (0.92) ------------------------------------------------ Net Asset Value, End of Period.... $ 22.95 ================================== ======== Total Return...................... 16.99% ------------------------------------------------ Net Assets, End of Period (thousands)...................... $170,909 Ratio of Expenses to Average Net Assets........................... 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)...................... 0.57%(D) Ratio of Net Investment Income to Average Net Assets............... 1.70% Portfolio Turnover Rate........... N/A ------------------------------------------------
DFA International Real Estate Securities Portfolio ----------------------------------------------------------------------------------- Period Period Six Months Year Year Year Year Dec. 1, March 1, Ended Ended Ended Ended Ended 2007 to 2007(a) to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................... $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00 ---------- ---------- ---------- -------- -------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)...................... 0.11 0.27 0.30 0.31 0.26 0.34 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)..................... 0.67 0.75 (0.33) 0.58 0.91 (5.08) (0.76) ---------- ---------- ---------- -------- -------- -------- -------- Total from Investment Operations.................... 0.78 1.02 (0.03) 0.89 1.17 (4.74) (0.53) ----------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............ (0.66) (0.25) (0.65) (0.55) (0.11) (0.43) (0.12) Net Realized Gains............... -- -- -- -- -- -- -- Return of Capital................ -- -- -- -- -- -- -- ---------- ---------- ---------- -------- -------- -------- -------- Total Distributions............ (0.66) (0.25) (0.65) (0.55) (0.11) (0.43) (0.12) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.... $ 5.79 $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 ================================== =========== ========== ========== ======== ======== ======== ========== Total Return...................... 15.42%(C) 22.34% (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C) ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $1,969,397 $1,531,708 $1,060,156 $958,554 $742,329 $394,480 $336,840 Ratio of Expenses to Average Net Assets........................... 0.40%(B) 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)...................... 0.40%(B) 0.41% 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Net Investment Income to Average Net Assets............... 4.12%(B) 5.45% 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E) Portfolio Turnover Rate........... 5%(C) 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. 111 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio -------------------------------------------------------------------------------- Period Six Months Year Year Year Year June 4, Ended Ended Ended Ended Ended 2008(a) to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 2008 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period........................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 $ 10.00 ---------- ---------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.48 0.29 0.41 0.40 0.19 -- Net Gains (Losses) on Securities (Realized and Unrealized)....... 1.03 1.07 0.06 1.60 0.62 (3.96) ---------- ---------- -------- -------- -------- ------- Total from Investment Operations.................... 1.51 1.36 0.47 2.00 0.81 (3.96) ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............ (0.60) (0.24) (0.54) (0.47) (0.10) -- Net Realized Gains............... -- -- -- -- -- -- ---------- ---------- -------- -------- -------- ------- Total Distributions............ (0.60) (0.24) (0.54) (0.47) (0.10) -- ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.... $ 10.24 $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 ================================== =========== ========== ======== ======== ======== ========== Total Return...................... 17.18%(C) 17.33% 6.17% 31.38% 13.81% (39.60)%(C) ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)...................... $1,729,514 $1,315,547 $869,348 $695,461 $432,502 $90,672 Ratio of Expenses to Average Net Assets........................... 0.32%(B)(D) 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)... 0.55%(B)(D) 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............... 10.24%(B) 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 N/A ------------------------------------------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio ------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.22 0.34 0.34 0.24 0.26 0.52 0.46 Net Gains (Losses) on Securities (Realized and Unrealized)....... 2.70 0.61 (0.98) 1.22 4.14 (9.60) 1.66 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................... 2.92 0.95 (0.64) 1.46 4.40 (9.08) 2.12 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............ (0.13) (0.36) (0.38) (0.22) (0.24) (0.58) (0.53) Net Realized Gains............... (0.21) (0.28) (0.29) -- (0.06) (1.57) (1.25) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.34) (0.64) (0.67) (0.22) (0.30) (2.15) (1.78) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.... $ 17.74 $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 ================================== =========== ========== ========== ========== ========== ========== ========== Total Return...................... 19.60%(C) 6.92% (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $10,008,959 $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........................... 0.70%(B) 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)... 0.70%(B) 0.71% 0.70% 0.70% 0.71% 0.69%(B) 0.69% Ratio of Net Investment Income to Average Net Assets............... 2.66%(B) 2.30% 2.05% 1.57% 2.19% 3.22%(B) 2.03% Portfolio Turnover Rate........... 4%(C) 18% 16% 18% 22% 16%(C) 18% -------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Vector Equity Portfolio ------------------------------------------------------ Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period....................... $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)......................... 0.13 0.27 0.29 0.18 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)............................................. 1.34 0.14 (0.87) 1.05 2.46 -------- -------- -------- -------- -------- Total from Investment Operations........................ 1.47 0.41 (0.58) 1.23 2.63 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................................... (0.07) (0.27) (0.29) (0.17) (0.15) Net Realized Gains....................................... (0.03) (0.15) (0.07) -- -- -------- -------- -------- -------- -------- Total Distributions..................................... (0.10) (0.42) (0.36) (0.17) (0.15) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................. $ 10.70 $ 9.33 $ 9.34 $ 10.28 $ 9.22 =========================================================== =========== ======== ======== ======== ======== Total Return............................................... 15.96%(C) 4.90% (5.99)% 13.62% 39.52% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $707,597 $561,399 $410,580 $363,123 $262,544 Ratio of Expenses to Average Net Assets.................... 0.52%(B) 0.54% 0.54% 0.54% 0.60% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)..................... 0.52%(B) 0.54% 0.54% 0.53% 0.59% Ratio of Net Investment Income to Average Net Assets....... 2.72%(B) 2.94% 2.73% 1.91% 2.31% Portfolio Turnover Rate.................................... 3%(C) 5% 10% 5% 8% -------------------------------------------------------------------------------------------------------------------
--------- Period Aug. 14, 2008(a) to Oct. 31, 2008 ---------------------------------------------------------------------------- Net Asset Value, Beginning of Period....................... $ 10.00 ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)......................... 0.06 Net Gains (Losses) on Securities (Realized and Unrealized)............................................. (3.32) ------- Total from Investment Operations........................ (3.26) ---------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................................... -- Net Realized Gains....................................... -- ------- Total Distributions..................................... -- ---------------------------------------------------------------------------- Net Asset Value, End of Period............................. $ 6.74 =========================================================== ========== Total Return............................................... (32.60)%(C) ---------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $66,774 Ratio of Expenses to Average Net Assets.................... 0.60%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)..................... 1.15%(B)(E) Ratio of Net Investment Income to Average Net Assets....... 3.01%(B)(E) Portfolio Turnover Rate.................................... 0%(C) ----------------------------------------------------------------------------
World ex U.S. Value Portfolio ------------------------------------------------- Period Six Months Year Year Aug. 23, Ended Ended Ended 2010(a) to April 30, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period....................... $ 9.94 $ 9.96 $ 11.35 $ 10.00 ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)......................... 0.13 0.29 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)............................................. 1.15 (0.05) (1.35) 1.33 ------- ------- ------- ------- Total from Investment Operations........................ 1.28 0.24 (1.05) 1.35 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................................... (0.11) (0.26) (0.26) -- Net Realized Gains....................................... -- -- (0.08) -- ------- ------- ------- ------- Total Distributions..................................... (0.11) (0.26) (0.34) -- ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................. $ 11.11 $ 9.94 $ 9.96 $ 11.35 =========================================================== =========== ======== ======== ========== Total Return............................................... 12.92%(C) 2.70% (9.59)% 13.50%(C) ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $92,175 $57,197 $47,165 $29,616 Ratio of Expenses to Average Net Assets.................... 0.60%(B)(D) 0.60%(D) 0.60%(D) 0.90%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)..................... 0.81%(B)(D) 0.84%(D) 0.91%(D) 1.37%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets....... 2.53%(B) 2.97% 2.64% 0.76%(B)(E) Portfolio Turnover Rate.................................... N/A N/A N/A N/A -----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
World ex U.S. World ex U.S. Selectively Hedged Targeted Value Portfolio Core Equity Portfolio Global Equity Portfolio ------------------------ --------------------- ---------------------- Period Period Period Nov. 1, April 9, Six Months Nov. 14, 2012(a) to 2013(a) to Ended 2011(a) to April 30, April 30, April 30, Oct. 31, 2013 2013 2013 2012 ------------------------------------------------------------------------------------------------------------ (Unaudited) (Unaudited) (Unaudited) Net Asset Value, Beginning of Period........................ $ 10.00 $10.00 $ 10.87 $ 10.00 ------- ------ ------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.05 -- 0.07 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.49 0.16 1.59 0.87 ------- ------ ------- ------- Total from Investment Operations................. 1.54 0.16 1.66 1.09 ------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income......... (0.05) -- (0.10) (0.22) Net Realized Gains............ -- -- (0.03) -- ------- ------ ------- ------- Total Distributions......... (0.05) -- (0.13) (0.22) ------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period. $ 11.49 $10.16 $ 12.40 $ 10.87 ============================== ======================== ===================== =========== ========== Total Return................... 15.49%(C) 1.60%(C) 15.42%(C) 11.11%(C) ------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................... $60,321 $ 907 $75,407 $34,950 Ratio of Expenses to Average Net Assets (D)................ 0.80%(B)(E) 0.47%(B)(E) 0.40%(B) 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)... 1.32%(B)(E) 7.66%(B)(E) 0.77%(B) 1.00%(B)(E) Ratio of Net Investment Income to Average Net Assets.. 0.95%(B)(E) (0.07)%(B)(E) 1.25%(B) 2.13%(B)(E) Portfolio Turnover Rate........ N/A N/A ------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Portfolio ------------------------------------------------------------------------------------------ Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............. 0.17 0.55 0.61 0.48 0.42 0.70 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.41 0.37 (2.53) 6.07 8.42 (16.85) 9.88 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............ 1.58 0.92 (1.92) 6.55 8.84 (16.15) 10.52 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................. (0.13) (0.50) (0.53) (0.46) (0.41) (0.69) (0.53) Net Realized Gains...... (0.28) (1.04) (1.77) (0.42) (0.25) (1.34) (0.16) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.41) (1.54) (2.30) (0.88) (0.66) (2.03) (0.69) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 27.23 $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 ========================== =========== ========== ========== ========== ========== ========== ========== Total Return.............. 6.08%(C) 4.08% (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $3,120,026 $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)............... 0.59%(B) 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60% Ratio of Net Investment Income to Average Net Assets................... 1.25%(B) 2.14% 2.07% 1.76% 2.15% 2.59%(B) 2.12% -----------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio ---------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 ---------- ---------- ---------- ---------- ---------- -------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............. 0.12 0.40 0.42 0.34 0.26 0.44 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)........ 2.42 0.83 (3.67) 6.79 8.14 (12.95) 6.86 ---------- ---------- ---------- ---------- ---------- -------- ---------- Total from Investment Operations............ 2.54 1.23 (3.25) 7.13 8.40 (12.51) 7.17 -------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................. (0.16) (0.35) (0.40) (0.32) (0.28) (0.41) (0.26) Net Realized Gains...... (0.61) (0.40) (0.76) -- -- (1.49) (1.13) ---------- ---------- ---------- ---------- ---------- -------- ---------- Total Distributions......... (0.77) (0.75) (1.16) (0.32) (0.28) (1.90) (1.39) -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 22.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 ========================== =========== ========== ========== ========== ========== ======== ========== Total Return.............. 12.81%(C) 6.71% (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $3,928,943 $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)............... 0.79%(B) 0.82% 0.79% 0.78% 0.80% 0.77%(B) 0.78% Ratio of Net Investment Income to Average Net Assets................... 1.16%(B) 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. 115 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares+ ----------------------------------------------------------- --------------- Period Six Months Year Year Year Year Jan. 29, Six Months Ended Ended Ended Ended Ended 2008(a) to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2013 2012 2011 2010 2009 2008 2013 ------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period..... $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43 $187.35 $ 28.22 -------- ------- ------- ------- ------- ------- ----------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............ 0.13 0.50 0.20 0.56 0.56 3.93 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)....... 2.19 (0.45) (5.45) 9.18 21.36 (92.36) 2.18 -------- ------- ------- ------- ------- ------- ----------- Total from Investment Operations.............. 2.32 0.05 (5.25) 9.74 21.92 (88.43) 2.35 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................ (0.15) (0.47) (0.45) (7.12) (6.00) (13.49) (0.18) Net Realized Gains..... (0.59) (0.39) (1.63) (13.11) (54.52) -- (0.59) -------- ------- ------- ------- ------- ------- ----------- Total Distributions...... (0.74) (0.86) (2.08) (20.23) (60.52) (13.49) (0.77) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................. $ 29.79 $ 28.21 $ 29.02 $ 36.35 $ 46.83 $ 85.43 $ 29.80 ======================== =========== ======== ======== ======== ======== ========== =========== Total Return............. 8.27%(C) 0.43% (15.24)% 29.71% 78.29% (50.51)%(C) 8.40%(C) ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...... $109,510 $99,111 $78,157 $39,668 $ 5,082 $ 1,799 $18,431,359 Ratio of Expenses to Average Net Assets (D).............. 0.84%(B) 0.86% 0.86% 0.86% 0.90% 0.92%(B)(E) 0.59%(B) Ratio of Net Investment Income to Average Net Assets.................. 0.91%(B) 1.78% 1.56% 1.39% 1.39% 3.35%(B)(E) 1.17%(B) -------------------------------------------------------------------------------------------------------------
Emerging Markets 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..... $ 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 (Realized and 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% ---------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. + At the close of business on December 3, 2010, Class R2 Shares were converted to Class R2A Shares. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. All per share amounts and net assets values have been adjusted as a result of the conversion. (Note G) See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio ------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.12 0.41 0.43 0.30 0.25 0.43 0.35 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.43 0.23 (2.65) 4.81 6.56 (11.27) 6.10 ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 1.55 0.64 (2.22) 5.11 6.81 (10.84) 6.45 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.11) (0.37) (0.36) (0.29) (0.20) (0.40) (0.32) Net Realized Gains............ -- -- -- -- -- (0.08) (0.06) ----------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.11) (0.37) (0.36) (0.29) (0.20) (0.48) (0.38) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 20.44 $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 ============================== =========== ========== ========== ========== ========== ========== ========== Total Return................... 8.17%(C) 3.55% (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $11,222,418 $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.................... 0.64%(B) 0.68% 0.67% 0.65% 0.67% 0.65%(B) 0.65% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......... 0.65%(B) 0.68% 0.68% 0.65% 0.67% 0.65%(B) 0.65% Ratio of Net Investment Income to Average Net Assets.. 1.22%(B) 2.18% 2.04% 1.63% 2.03% 2.62%(B) 1.87% Portfolio Turnover Rate........ 1%(C) 1% 1% 4% 6% 3%(C) 2% ----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-five operational portfolios, of which twenty-nine (the "Portfolios") are included in this section of the report. The remaining operational portfolios are presented in separate reports. Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company ("DFAITC") and one invests in the Dimensional Emerging Markets Value Fund. International Small Company Portfolio invests in five portfolios within DFAITC. DFA Global Real Estate Securities Portfolio invests in two portfolios within the Fund and World ex U.S. Value Portfolio invests in four portfolios within the Fund, DFAITC, and Dimensional Emerging Markets Value Fund ("DEM"). World ex U.S. Targeted Value Portfolio invests in four portfolios within the Fund. World ex U.S. Core Equity Portfolio invests in two portfolios within the Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund.
Percentage Ownership Feeder Funds Master Funds at 4/30/13 ------------ ------------ ---------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 80% Japanese Small Company Portfolio The Japanese Small Company Series 22% 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 4% Emerging Markets Portfolio The Emerging Markets Series 97% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99% Fund of Funds ------------- - International Small Company Portfolio The Continental Small Company Series 96% The Japanese Small Company Series 79% The United Kingdom Small Company Series 98% The Asia Pacific Small Company Series 77% The Canadian Small Company Series 99% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 22% DFA International Real Estate Securities 35% Portfolio World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series 1% World ex U.S. Targeted Value Portfolio DFA International Small Cap Value Portfolio -- Dimensional Emerging Markets Value Fund -- International Vector Equity Portfolio 1% The Emerging Markets Small Cap Series -- World ex U.S. Core Equity Portfolio International Core Equity Portfolio -- Emerging Markets Core Equity Portfolio -- 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%. 118 Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, and Selectively Hedged Global Equity Portfolio also invest in short-term temporary cash investments. In addition, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, and 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 and Fund of 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 Series is a result of the treatment of a partnership for book purposes. The Series 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 the 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 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 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.) 119 . Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments) Securities held by Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio (the "Domestic Equity Portfolios") and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio and Emerging Markets Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the International Equity Portfolios value the securities at the mean of the most recent quoted bid and 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 the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 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"), and International Equity Portfolios, are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over the counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, 120 this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are generally classified as Level 2 in the hierarchy. Listed Derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. Most Master Fund shares held by DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio are valued at their respective daily net asset values, as these Master Funds are treated as regulated investment companies. The Feeder Funds, International Small Company Portfolio, World ex U.S. Value Portfolio and World ex U.S. Targeted Value Portfolio's investments in Series of DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. For the six months ended April 30, 2013, there were no significant transfers between Level 1 and Level 2, and no Level 3 investments held by the Portfolio. 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 recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. 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 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. 121 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 April 30, 2013, 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 gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, generally based on average net assets. Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of a Portfolio. Income, gains and losses, and common expenses of a Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. U.S. Large Cap Value Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, World ex U.S. Value Portfolio and World ex U.S. Targeted Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master Fund within DFAITC or DEM, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio and Emerging Markets Core Equity Portfolio are subject to a 15% 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. 122 For the six months ended April 30, 2013, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio*............. 0.05% U.S. Targeted Value Portfolio*..................... 0.10% U.S. Small Cap Value Portfolio*.................... 0.20% U.S. Core Equity 1 Portfolio....................... 0.17% U.S. Core Equity 2 Portfolio....................... 0.20% U.S. Vector Equity Portfolio....................... 0.30% U.S. Small Cap Portfolio*.......................... 0.03% U.S. Micro Cap Portfolio*.......................... 0.10% DFA Real Estate Securities Portfolio............... 0.17% 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........ 0.27% DFA International Small Cap Value Portfolio........ 0.65% International Vector Equity Portfolio.............. 0.45% World ex U.S. Value Portfolio...................... 0.47% World ex U.S. Targeted Value Portfolio............. 0.58% World ex U.S. Core Equity Portfolio................ 0.40% Selectively Hedged Global Equity Portfolio......... 0.30% Emerging Markets Core Equity Portfolio............. 0.55%
For the six months ended April 30, 2013, 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. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, 123 and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2014, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the six months ended April 30, 2013, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ Expense of Previously Expenses Assumed Limitation Waived Fees/ Subject to Future Institutional Class Shares Amount Expenses Assumed Recovery -------------------------- ---------- ---------------- ----------------- U.S. Targeted Value Portfolio (1)...................... 0.50% -- -- U.S. Core Equity 1 Portfolio (2)....................... 0.23% -- -- U.S. Core Equity 2 Portfolio (2)....................... 0.26% -- -- U.S. Vector Equity Portfolio (2)....................... 0.36% -- -- DFA Real Estate Securities Portfolio (2)............... 0.18% -- $ 555 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% -- 31 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% -- 7,833 International Vector Equity Portfolio (2).............. 0.60% -- -- World ex U.S. Value Portfolio (6)...................... 0.60% -- 364 World ex U.S. Targeted Value Portfolio (7)............. 0.80% -- 101 World ex U.S. Core Equity Portfolio (8)................ 0.47% -- 2 Selectively Hedged Global Equity Portfolio (9)......... 0.40% $ 1 252 Emerging Markets Core Equity Portfolio (2)............. 0.85% -- -- Class R1 Shares --------------- U.S. Targeted Value Portfolio (1)...................... 0.62% -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (1)...................... 0.77% -- -- Emerging Markets Value Portfolio (10).................. 0.96% -- --
(1) The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio's expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized 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 124 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 listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. (4) The Advisor has contractually agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund(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 funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of 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 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 is the amount of the Remaining Management Fee. Further, at any time that the Portfolio 125 Expenses of the Portfolio are less than the Portfolio's Expense Limitation Amount listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above. (7) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.58% to the extent necessary to offset the proportionate share of the advisory fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the advisory fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (8) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master Funds but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (9) 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 such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (10) 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. 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 126 the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Enhanced U.S. Large Company Portfolio.............. $ 1 Large Cap International Portfolio.................. 6 International Core Equity Portfolio................ 14 DFA International Real Estate Securities Portfolio. 12 DFA International Small Cap Value Portfolio........ 16 International Vector Equity Portfolio.............. 2 Emerging Markets Core Equity Portfolio............. 90
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2013, the total related amounts paid by the Fund to the CCO were $123 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2013, 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..................... 217 U.S. Targeted Value Portfolio...................... 57 U.S. Small Cap Value Portfolio..................... 211 U.S. Core Equity 1 Portfolio....................... 80 U.S. Core Equity 2 Portfolio....................... 140 U.S. Vector Equity Portfolio....................... 44 U.S. Small Cap Portfolio........................... 97 U.S. Micro Cap Portfolio........................... 107 DFA Real Estate Securities Portfolio............... 74 Large Cap International Portfolio.................. 50 International Core Equity Portfolio................ 129 International Small Company Portfolio.............. 151 Japanese Small Company Portfolio................... 5 Asia Pacific Small Company Portfolio............... 4 United Kingdom Small Company Portfolio............. 1 Continental Small Company Portfolio................ 4 DFA International Real Estate Securities Portfolio. 25 DFA Global Real Estate Securities Portfolio........ 15 DFA International Small Cap Value Portfolio........ 232 International Vector Equity Portfolio.............. 9 World ex U.S. Value Portfolio...................... -- World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Equity Portfolio......... -- Selectively Hedged Global Equity Portfolio......... -- Emerging Markets Portfolio......................... 69 Emerging Markets Small Cap Portfolio............... 41 Emerging Markets Value Portfolio................... 270 Emerging Markets Core Equity Portfolio............. 103
127 E. Purchases and Sales of Securities: For the six months ended April 30, 2013, 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.............. -- $4,727 $ 72,399 $ 57,671 U.S. Targeted Value Portfolio...................... -- -- 231,122 230,526 U.S. Small Cap Value Portfolio..................... -- -- 419,118 694,051 U.S. Core Equity 1 Portfolio....................... -- -- 483,649 53,467 U.S. Core Equity 2 Portfolio....................... -- -- 454,351 97,287 U.S. Vector Equity Portfolio....................... -- -- 141,977 36,255 U.S. Small Cap Portfolio........................... -- -- 582,419 324,982 U.S. Micro Cap Portfolio........................... -- -- 264,143 253,101 DFA Real Estate Securities Portfolio............... -- -- 298,470 5,087 Large Cap International Portfolio.................. -- -- 210,651 110,782 International Core Equity Portfolio................ -- -- 630,813 149,191 DFA International Real Estate Securities Portfolio. -- -- 294,990 81,895 DFA International Small Cap Value Portfolio........ -- -- 603,395 396,154 International Vector Equity Portfolio.............. -- -- 77,841 18,608 Emerging Markets Core Equity Portfolio............. -- -- 1,976,588 59,266
For the six months ended April 30, 2013, 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 10/31/2012 04/30/2013 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio........................... $777,963 $1,042,426 $142,921 $21,153 $11,849 -- DFA International Real Estate Securities Portfolio................ 531,474 682,337 151,315 24,485 62,476 -- World ex U.S. Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of 10/31/2012 04/30/2013 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio........................... $ 4,703 $ 7,811 $ 2,397 $ 204 $ 40 $ 64 World ex U.S. Targeted Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of 11/01/2012 04/30/2013 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- International Vector Equity Portfolio. -- $ 5,423 $ 4,934 -- $ 18 $ 7 DFA International Small Cap Value Portfolio........................... -- 37,315 33,318 -- 114 184 World ex U.S. Core Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of 04/10/2013 04/30/2013 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- International Core Equity Portfolio... -- $ 617 $ 645 $ 46 -- -- Emerging Markets Core Equity Portfolio........................... -- 185 194 13 -- --
128
Selectively Hedged Global Equity Portfolio --------------------------------------------------------------- Balance at Balance at Dividend Distributions of 10/31/2012 04/30/2013 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ----- -------- ---------------- U.S. Core Equity 2 Portfolio........ $14,297 $30,044 $13,469 $623 $173 $115 International Core Equity Portfolio. 12,942 28,366 13,262 385 137 -- Emerging Markets Core Equity Portfolio......................... 6,554 13,985 7,163 171 42 --
F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Sub-chapter 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)
129
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- 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
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 -------------- ------------- -------- 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
130
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 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. 131 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 Earnings Short-Term Long-Term Capital Loss (Accumulated Capital Gains Capital Gains Carryforwards 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 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
132
Undistributed Total Net Net Investment Distributable Income and Undistributed Earnings Short-Term Long-Term Capital Loss (Accumulated Capital Gains Capital Gains Carryforwards Losses) -------------- ------------- ------------- ------------- 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
133 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 April 30, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Enhanced U.S. Large Company Portfolio.............. $ 195,388 $ 3,914 $ (243) $ 3,671 U.S. Large Cap Value Portfolio..................... 7,006,180 3,287,100 (155) 3,286,945 U.S. Targeted Value Portfolio...................... 3,204,459 1,055,883 (167,820) 888,063 U.S. Small Cap Value Portfolio..................... 7,389,901 2,552,324 (800,656) 1,751,668 U.S. Core Equity 1 Portfolio....................... 5,463,130 1,704,514 (209,089) 1,495,425 U.S. Core Equity 2 Portfolio....................... 7,445,194 2,522,953 (456,154) 2,066,799 U.S. Vector Equity Portfolio....................... 2,216,591 746,729 (174,962) 571,767 U.S. Small Cap Portfolio........................... 5,481,185 1,635,731 (414,279) 1,221,452 U.S. Micro Cap Portfolio........................... 3,685,415 1,390,702 (483,576) 907,126 DFA Real Estate Securities Portfolio............... 3,486,844 1,758,890 (119,230) 1,639,660 Large Cap International Portfolio.................. 2,360,090 671,029 (237,455) 433,574 International Core Equity Portfolio................ 8,489,086 1,612,704 (982,217) 630,487 International Small Company Portfolio.............. 6,537,054 955,473 (120,495) 834,978 Japanese Small Company Portfolio................... 483,009 15,363 (2,643) 12,720 Asia Pacific Small Company Portfolio............... 246,479 24,989 (503) 24,486 United Kingdom Small Company Portfolio............. 23,165 10,324 (175) 10,149 Continental Small Company Portfolio................ 104,846 10,995 (124) 10,871 DFA International Real Estate Securities Portfolio. 2,151,899 242,274 (91,215) 151,059 DFA Global Real Estate Securities Portfolio........ 1,281,802 476,211 (29,777) 446,434 DFA International Small Cap Value Portfolio........ 10,643,022 2,570,259 (1,874,206) 696,053 International Vector Equity Portfolio.............. 673,900 179,533 (52,804) 126,729 World ex U.S. Value Portfolio...................... 84,024 8,264 (136) 8,128 World ex U.S. Targeted Value Portfolio............. 55,345 4,801 -- 4,801 World ex U.S. Core Equity Portfolio................ 781 21 -- 21 Selectively Hedged Global Equity Portfolio......... 64,232 8,441 (278) 8,163 Emerging Markets Portfolio......................... 2,000,880 1,116,225 (1,526) 1,114,699 Emerging Markets Small Cap Portfolio............... 3,319,158 622,746 (13,000) 609,746 Emerging Markets Value Portfolio................... 17,974,364 572,159 (13,885) 558,274 Emerging Markets Core Equity Portfolio............. 10,734,116 2,293,442 (984,989) 1,308,453
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. 134 Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Portfolio's tax positions and has concluded that no additional provision for income tax is required in any Portfolios' financial statements. No Portfolio is aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Portfolio's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Six Months Ended Year Ended April 30, 2013 Oct. 31, 2012 -------------------- -------------------- Amount Shares Amount Shares ----------- ------- ----------- ------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued........................................ $ 6,434 352 $ 5,787 353 Shares Issued in Lieu of Cash Distributions.......... 3,278 198 730 48 Shares Redeemed...................................... (2,582) (147) (7,953) (486) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ 7,130 403 $ (1,436) (85) =========== ======= =========== ======= Class R2 Shares Shares Issued........................................ $ 3,714 203 $ 4,727 288 Shares Issued in Lieu of Cash Distributions.......... 869 53 162 11 Shares Redeemed...................................... (1,627) (92) (4,413) (273) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 2,956 164 $ 476 26 =========== ======= =========== ======= Institutional Class Shares Shares Issued........................................ $ 415,407 23,068 $ 772,443 47,901 Shares Issued in Lieu of Cash Distributions.......... 174,999 10,593 39,875 2,618 Shares Redeemed...................................... (443,795) (24,703) (649,785) (39,847) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 146,611 8,958 $ 162,533 10,672 =========== ======= =========== ======= Emerging Markets Value Portfolio Class R2 Shares Shares Issued........................................ $ 16,973 573 $ 61,477 2,199 Shares Issued in Lieu of Cash Distributions.......... 2,609 90 2,784 106 Shares Redeemed...................................... (14,794) (500) (40,795) (1,486) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 4,788 163 $ 23,466 819 =========== ======= =========== ======= Institutional Class Shares Shares Issued........................................ $ 1,941,806 65,728 $ 5,047,163 179,634 Shares Issued in Lieu of Cash Distributions.......... 419,497 14,516 436,347 16,644 Shares Redeemed...................................... (1,456,350) (49,580) (2,278,812) (81,493) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 904,953 30,664 $ 3,204,698 114,785 =========== ======= =========== =======
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 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 135 asset value as of October 31, 2010 in the statement of assets and liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R1 and Class R2 Shares. The Board of Directors of the Fund authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, shareholders and investors purchased and redeemed Class R2A Shares of the Portfolio. The value of a 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 April 30, 2013, 136 Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio had entered into the following contracts and the net unrealized foreign exchange gain (loss) is reflected in the accompanying financial statements (amounts in thousands): Enhanced U.S. Large Company Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2013 Gain (Loss) ---------- -------- ------------------ -------- -------------- ----------- 05/22/13 (649) Australian Dollar $ (667) $ (672) $ (5) 05/16/13 4,220 Canadian Dollar 4,108 4,187 79 05/16/13 (3,161) Canadian Dollar (3,081) (3,136) (55) 05/16/13 (6,355) Canadian Dollar (6,218) (6,306) (88) 06/17/13 31,336 Denmark Krone 5,547 5,539 (8) 06/17/13 (31,336) Denmark Krone (5,524) (5,538) (14) 06/17/13 (34,763) Euro (45,679) (45,795) (116) 06/14/13 (4,031) New Zealand Dollar (3,414) (3,445) (31) 05/23/13 (22,745) Norwegian Krone (3,843) (3,941) (98) 07/23/13 (35,300) Swedish Krona (5,328) (5,437) (109) 05/16/13 (3,089) UK Pound Sterling (4,731) (4,798) (67) -------- -------- ----- $(68,830) $(69,342) $(512) ======== ======== =====
Selectively Hedged Global Equity Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2013 Gain (Loss) ---------- -------- ---------------- -------- -------------- ----------- 05/24/13 (1,577) Denmark Krone $ (271) $ (279) $ (8) 05/14/13 (4,455) Euro (5,795) (5,867) (72) 05/22/13 (17,386) Hong Kong Dollar (2,240) (2,241) (1) 05/13/13 (52,794) Japanese Yen (550) (542) 8 05/13/13 (58,495) Japanese Yen (586) (600) (14) 05/13/13 (399,802) Japanese Yen (4,285) (4,101) 184 06/14/13 (1,662) Swiss Franc (1,788) (1,788) -- -------- -------- ---- $(15,515) $(15,418) $ 97 ======== ======== ====
* During the six months ended April 30, 2013, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average contract amount of forward currency contracts was $81,513 and $12,065 (in thousands), respectively. **Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 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 use 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 137 gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2013, the following Portfolios had outstanding futures contracts (dollar amounts in thousands):
Approximate Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ----------- Enhanced U.S. Large Company Portfolio. S&P 500 Index(R) 06/21/13 498 $198,229 $7,774 -- Selectively Hedged Global Equity Portfolio......... S&P 500 Index(R) Emini 06/21/13 36 2,866 129 $125
Securities have been segregated as collateral for open futures contracts. * During the six months ended April 30, 2013, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount basis contract amount of outstanding futures contracts were $181,605 and $2,167 (in thousands), respectively. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2013: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Foreign exchange Unrealized Gain on Unrealized Loss on contracts Forward Currency Forward Currency Contracts Contracts Equity contracts Payables: Futures Margin Variation The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2013 (amounts in thousands):
Asset Derivatives Value --------------------------------- Total Value Foreign at Exchange Equity April 30, 2013 Contracts Contracts -------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $7,853 $ 79 $7,774* Selectively Hedged Global Equity Portfolio. 321 192 129* Liability Derivatives Value --------------------------------- Total Value Foreign at Exchange Equity April 30, 2013 Contracts Contracts -------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ (591) $(591) -- Selectively Hedged Global Equity Portfolio. (95) (95) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. 138 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 six months ended April 30, 2013 (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 six months ended April 30, 2013 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio................ $19,275 $(667) $19,942 U.S. Targeted Value Portfolio*....................... (402) -- (402) U.S. Small Cap Value Portfolio*...................... 1,840 -- 1,840 U.S. Small Cap Portfolio*............................ (494) -- (494) U.S. Micro Cap Portfolio*............................ (423) -- (423) International Small Company Portfolio*............... (29) -- (29) Continental Small Company Portfolio*................. 29 -- 29 DFA International Real Estate Securitites Portfolio*. 888 -- 888 Selectively Hedged Global Equity Portfolio........... 652 390 262 Emerging Markets Small Cap Portfolio*................ 457 -- 457 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio................ $ 5,617 $ 669 $ 4,948 International Small Company Portfolio*............... 30 -- 30 Continental Small Company Portfolio*................. (29) -- (29) Selectively Hedged Global Equity Portfolio........... 337 191 146
* As of April 30, 2013, there were no futures contracts outstanding. During the six months ended April 30, 2013, the Portfolios had limited activity in futures contracts. I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. There were no borrowings by the Portfolios under this line of credit during the six months ended April 30, 2013. 139 The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on March 3, 2014. There were no borrowings by the Portfolios under this line of credit during the period ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the six months ended April 30, 2013, 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......... 0.91% $ 4,884 14 $ 2 $10,912 U.S. Small Cap Value Portfolio........ 0.92% 3,619 4 -- 4,137 U.S. Small Cap Portfolio.............. 0.91% 4,540 1 -- 4,540 DFA Real Estate Securities Portfolio.. 0.91% 4,838 6 1 7,104 Large Cap International Portfolio..... 0.89% 28,175 13 9 37,795 International Core Equity Portfolio... 0.91% 11,573 10 3 21,383 DFA Global Real Estate Securities Portfolio........................... 0.84% 1,573 1 -- 1,573 DFA International Small Cap Value Portfolio........................... 0.90% 12,305 9 3 18,353 International Vector Equity Portfolio. 0.90% 286 2 -- 512 World ex U.S. Value Portfolio......... 0.90% 101 9 -- 307
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2013 that each Portfolio's available line of credit was utilized. At April 30, 2013, International Vector Equity Portfolio had loans outstanding of $512 (amount in thousands). 140 J. Securities Lending: As of April 30, 2013, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolios received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value -------- U.S. Targeted Value Portfolio............... $ 12,282 U.S. Small Cap Value Portfolio.............. 28,653 U.S. Core Equity 1 Portfolio................ 8,479 U.S. Core Equity 2 Portfolio................ 14,175 U.S. Vector Equity Portfolio................ 4,989 U.S. Small Cap Portfolio.................... 20,253 U.S. Micro Cap Portfolio.................... 16,554 DFA Real Estate Securities Portfolio........ 599 Large Cap International Portfolio........... 9,499 International Core Equity Portfolio......... 57,871 DFA International Small Cap Value Portfolio. 64,753 International Vector Equity Portfolio....... 4,738 Emerging Markets Core Equity Portfolio...... 249,581
Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. K. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10% and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. 141 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. For the six months ended April 30, 2013, the Portfolios had no in-kind redemptions. 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. O. Other: At April 30, 2013, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares.. 4 83% U.S. Large Cap Value Portfolio -- Institutional Class Shares......... 3 74% U.S. Targeted Value Portfolio -- Class R1 Shares..................... 2 98% U.S. Targeted Value Portfolio -- Class R2 Shares..................... 7 89% U.S. Targeted Value Portfolio -- Institutional Class Shares.......... 3 61% U.S. Small Cap Value Portfolio -- Institutional Class Shares......... 3 61% U.S. Core Equity 1 Portfolio -- Institutional Class Shares........... 4 73% U.S. Core Equity 2 Portfolio -- Institutional Class Shares........... 6 83% U.S. Vector Equity Portfolio -- Institutional Class Shares........... 4 90% U.S. Small Cap Portfolio -- Institutional Class Shares............... 4 57% U.S. Micro Cap Portfolio -- Institutional Class Shares............... 4 71% DFA Real Estate Securities Portfolio -- Institutional Class Shares... 4 84% Large Cap International Portfolio -- Institutional Class Shares...... 3 73% International Core Equity Portfolio -- Institutional Class Shares.... 4 77% International Small Company Portfolio -- Institutional Class Shares.. 4 57% Japanese Small Company Portfolio -- Institutional Class Shares....... 4 84% Asia Pacific Small Company Portfolio -- Institutional Class Shares... 3 86% United Kingdom Small Company Portfolio -- Institutional Class Shares. 3 91%
142
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Continental Small Company Portfolio -- Institutional Class Shares................ 4 91% DFA International Real Estate Securities Portfolio -- Institutional Class Shares. 4 92% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares........ 3 88% DFA International Small Cap Value Portfolio -- Institutional Class Shares........ 3 58% International Vector Equity Portfolio -- Institutional Class Shares.............. 3 87% World ex U.S. Value Portfolio -- Institutional Class Shares...................... 5 81% World ex U.S. Targeted Value Portfolio--Institutional Class Shares............... 3 100% World ex U.S. Core Equity Portfolio--Institutional Class Shares.................. 2 100% Selectively Hedged Global Equity Portfolio....................................... 2 93% Emerging Markets Portfolio -- Institutional Class Shares......................... 3 67% Emerging Markets Small Cap Portfolio -- Institutional Class Shares............... 4 49% Emerging Markets Value Portfolio -- Class R2 Shares.............................. 4 82% Emerging Markets Value Portfolio -- Institutional Class Shares................... 2 28% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............. 3 63%
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 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 Portfolio and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 143 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the period indicated. Six Months Ended April 30, 2013 EXPENSE TABLE Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- - Actual Fund Return............ $1,000.00 $ 946.30 0.34% $1.64 Hypothetical 5% Annual Return. $1,000.00 $1,023.11 0.34% $1.71
---------- * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. 144 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on March 27, 2013. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DFA Commodity Strategy Portfolio Corporate.................................... 43.5% Foreign Corporate............................ 24.1% Foreign Government........................... 6.2% Government................................... 17.7% Supranational................................ 8.5% ----- 100.0%
145 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (82.4%) AUSTRALIA -- (4.3%) BHP Billiton Finance USA, Ltd. 5.500%, 04/01/14............................. $ 960 $ 1,004,832 Commonwealth Bank of Australia 1.250%, 09/18/15............................. 4,780 4,837,599 National Australia Bank, Ltd. 5.500%, 05/20/15............................. EUR 6,500 9,435,559 Westpac Banking Corp. 4.200%, 02/27/15............................. 9,500 10,125,698 ----------- TOTAL AUSTRALIA.................................. 25,403,688 ----------- AUSTRIA -- (0.5%) KA Finanz AG 2.250%, 03/24/14............................. EUR 700 938,787 Oesterreichische Kontrollbank AG 4.500%, 03/09/15............................. 2,000 2,150,420 ----------- TOTAL AUSTRIA.................................... 3,089,207 ----------- CANADA -- (5.8%) Bank of Nova Scotia 1.850%, 01/12/15............................. 6,400 6,537,594 3.400%, 01/22/15............................. 1,800 1,886,994 Barrick Gold Finance Co. 4.875%, 11/15/14............................. 2,200 2,334,917 Enbridge, Inc. 5.800%, 06/15/14............................. 1,900 2,007,557 Encana Corp. 4.750%, 10/15/13............................. 1,415 1,441,037 Husky Energy, Inc. 5.900%, 06/15/14............................. 2,500 2,639,670 Ontario, Province of Canada 0.950%, 05/26/15............................. 2,000 2,020,908 Petro-Canada 4.000%, 07/15/13............................. 200 201,418 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 855 914,169 Royal Bank of Canada 0.800%, 10/30/15............................. 2,500 2,510,250 Thomson Reuters Corp. 5.700%, 10/01/14............................. 800 856,051 Toronto-Dominion Bank (The) 5.375%, 05/14/15............................. EUR 4,000 5,789,146 TransAlta Corp. 4.750%, 01/15/15............................. 2,508 2,646,793 TransCanada PipeLines, Ltd. 4.000%, 06/15/13............................. 1,525 1,530,890 3.400%, 06/01/15............................. 1,000 1,056,852 ----------- TOTAL CANADA..................................... 34,374,246 -----------
Face Amount^ Value+ ------- ------ (000) FRANCE -- (4.4%) Agence Francaise de Developpement 1.250%, 06/09/14............................. $ 5,500 $ 5,550,474 2.500%, 07/15/15............................. 3,000 3,127,449 BNP Paribas SA 3.250%, 03/11/15............................. 4,035 4,198,349 Caisse d'Amortissement de la Dette Sociale 3.625%, 04/25/15............................. EUR 5,000 7,019,346 France Telecom SA 4.375%, 07/08/14............................. 3,231 3,363,258 Societe Financement de l'Economie Francaise 3.125%, 06/30/14............................. EUR 2,000 2,724,238 Veolia Environnement SA 5.250%, 06/03/13............................. 425 426,347 ----------- TOTAL FRANCE..................................... 26,409,461 ----------- GERMANY -- (2.5%) Deutsche Bank AG 4.875%, 05/20/13............................. 1,475 1,478,217 3.875%, 08/18/14............................. 1,750 1,820,590 Landwirtschaftliche Rentenbank 3.750%, 02/11/16............................. EUR 8,000 11,558,052 ----------- TOTAL GERMANY.................................... 14,856,859 ----------- JAPAN -- (0.6%) Nomura Holdings, Inc. 5.000%, 03/04/15............................. 3,500 3,734,742 ----------- NETHERLANDS -- (5.2%) Bank Nederlandse Gemeenten 2.750%, 07/01/15............................. 9,500 9,956,855 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 3.125%, 02/05/15............................. CAD 7,000 7,112,839 2.125%, 10/13/15............................. 2,000 2,065,940 Deutsche Telekom International Finance BV 5.250%, 07/22/13............................. 525 530,365 4.875%, 07/08/14............................. 1,900 1,992,826 Nederlandse Waterschapsbank NV 2.000%, 09/09/15............................. 9,000 9,312,300 ----------- TOTAL NETHERLANDS................................ 30,971,125 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.6%) Council Of Europe Development Bank 4.000%, 04/15/15............................. 8,000 8,558,960
146 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued) EUROFIMA 4.500%, 03/06/15............................. $ 9,000 $ 9,675,000 European Financial Stability Facility 1.625%, 02/04/15............................. EUR 5,000 6,755,890 1.125%, 06/01/15............................. EUR 3,000 4,028,288 European Investment Bank 6.500%, 09/10/14............................. NZD 2,531 2,268,823 2.500%, 07/15/15............................. EUR 6,000 8,316,953 Inter-American Development Bank 1.000%, 01/07/15............................. 1,000 1,006,920 Nordic Investment Bank 7.500%, 04/15/15............................. NZD 11,000 10,220,326 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 50,831,160 ----------- SWEDEN -- (3.0%) Nordea Bank AB 2.750%, 08/11/15............................. EUR 5,000 6,908,419 Svensk Exportkredit AB 3.625%, 05/27/14............................. EUR 1,212 1,653,924 Svenska Handelsbanken AB 1.500%, 07/06/15............................. EUR 7,000 9,394,186 ----------- TOTAL SWEDEN..................................... 17,956,529 ----------- SWITZERLAND -- (0.6%) Credit Suisse New York 5.000%, 05/15/13............................. 1,275 1,276,992 5.500%, 05/01/14............................. 250 262,330 3.500%, 03/23/15............................. 1,000 1,053,200 UBS AG 2.250%, 08/12/13............................. 905 909,848 ----------- TOTAL SWITZERLAND................................ 3,502,370 ----------- UNITED KINGDOM -- (3.4%) Barclays Bank P.L.C. 5.200%, 07/10/14............................. 1,500 1,578,823 BP Capital Markets P.L.C. 5.250%, 11/07/13............................. 3,500 3,588,011 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 3,100 3,184,816 Rio Tinto Finance USA P.L.C. 1.125%, 03/20/15............................. 3,850 3,880,438 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 3,800 3,914,224 Vodafone Group P.L.C. 4.150%, 06/10/14............................. 1,825 1,896,075 3.375%, 11/24/15............................. 2,000 2,129,572 ----------- TOTAL UNITED KINGDOM............................. 20,171,959 -----------
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (43.5%) ACE INA Holdings, Inc. 5.875%, 06/15/14............................. $ 1,250 $1,322,381 2.600%, 11/23/15............................. 3,295 3,448,916 Aflac, Inc. 3.450%, 08/15/15............................. 3,800 4,035,292 Agilent Technologies, Inc. 2.500%, 07/15/13............................. 1,000 1,004,128 Allstate Corp. (The) 6.200%, 05/16/14............................. 2,000 2,116,346 5.000%, 08/15/14............................. 2,130 2,250,434 Altria Group, Inc. 4.125%, 09/11/15............................. 2,170 2,335,847 American Express Credit Corp. 5.875%, 05/02/13............................. 650 650,000 5.125%, 08/25/14............................. 1,700 1,802,122 1.750%, 06/12/15............................. 1,200 1,226,550 American International Group, Inc. 3.000%, 03/20/15............................. 4,000 4,147,808 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 1,625 1,823,957 Amgen, Inc. 4.850%, 11/18/14............................. 1,000 1,064,623 Anheuser-Busch InBev Worldwide, Inc. 0.800%, 07/15/15............................. 2,000 2,007,370 Assurant, Inc. 5.625%, 02/15/14............................. 2,000 2,073,392 AT&T, Inc. 2.500%, 08/15/15............................. 4,000 4,155,288 AutoZone, Inc. 4.375%, 06/01/13............................. 100 100,292 Baltimore Gas & Electric Co. 6.125%, 07/01/13............................. 500 504,505 Bank of America Corp. 1.500%, 10/09/15............................. 5,000 5,029,735 BB&T Corp. 3.375%, 09/25/13............................. 550 556,716 5.700%, 04/30/14............................. 3,087 3,248,728 Berkshire Hathaway Finance Corp. 4.850%, 01/15/15............................. 5,000 5,372,920 BlackRock, Inc. 3.500%, 12/10/14............................. 2,000 2,098,258 Boston Scientific Corp. 4.500%, 01/15/15............................. 3,005 3,179,657 Bristol-Myers Squibb Co. 5.250%, 08/15/13............................. 1,175 1,189,326 Burlington Northern Santa Fe LLC 4.300%, 07/01/13............................. 1,200 1,207,530 4.875%, 01/15/15............................. 200 214,399 Capital One Financial Corp. 6.250%, 11/15/13............................. 150 154,519 7.375%, 05/23/14............................. 1,189 1,272,300 2.150%, 03/23/15............................. 700 714,876 Cardinal Health, Inc. 4.000%, 06/15/15............................. 3,000 3,190,548
147 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Caterpillar Financial Services Corp. 6.200%, 09/30/13............................. $ 1,000 $1,024,103 Cisco Systems, Inc. 1.625%, 03/14/14............................. 1,550 1,568,230 Citigroup, Inc. 6.500%, 08/19/13............................. 625 636,184 6.375%, 08/12/14............................. 1,250 1,336,526 CNA Financial Corp. 5.850%, 12/15/14............................. 277 297,646 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13............................. 1,607 1,613,433 Comerica, Inc. 3.000%, 09/16/15............................. 2,277 2,396,479 Computer Sciences Corp. 2.500%, 09/15/15............................. 3,558 3,653,717 Consolidated Edison Co. of New York, Inc. 4.700%, 02/01/14............................. 400 411,594 CSX Corp. 5.500%, 08/01/13............................. 425 430,169 Daimler Finance North America LLC 6.500%, 11/15/13............................. 2,100 2,167,471 Dell, Inc. 2.100%, 04/01/14............................. 1,500 1,512,312 2.300%, 09/10/15............................. 2,800 2,805,645 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 4.750%, 10/01/14............................. 1,500 1,581,633 Dominion Resources, Inc. 5.150%, 07/15/15............................. 1,400 1,531,205 eBay, Inc. 0.875%, 10/15/13............................. 1,435 1,438,941 Ecolab, Inc. 1.000%, 08/09/15............................. 2,000 2,006,670 Emerson Electric Co. 5.625%, 11/15/13............................. 1,200 1,233,625 Enbridge Energy Partners L.P. 5.350%, 12/15/14............................. 1,475 1,577,352 Energy Transfer Partners L.P. 6.000%, 07/01/13............................. 425 428,252 5.950%, 02/01/15............................. 1,200 1,297,625 Enterprise Products Operating LLC 5.600%, 10/15/14............................. 2,666 2,852,473 EOG Resources, Inc. 2.950%, 06/01/15............................. 2,440 2,556,610 Exelon Generation Co. LLC 5.350%, 01/15/14............................. 1,100 1,136,520 Fifth Third Bancorp 6.250%, 05/01/13............................. 875 875,000 Fifth Third Bank 0.900%, 02/26/16............................. 2,000 2,000,968 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15............................. 3,996 4,032,487
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) General Electric Capital Corp. 2.100%, 01/07/14............................. $ 600 $ 607,404 2.150%, 01/09/15............................. 6,000 6,154,386 1.625%, 07/02/15............................. 2,000 2,037,442 Gilead Sciences, Inc. 2.400%, 12/01/14............................. 3,000 3,081,744 Goldman Sachs Group, Inc. (The) 5.250%, 10/15/13............................. 250 255,295 3.300%, 05/03/15............................. 3,500 3,651,375 Hartford Financial Services Group, Inc. 4.000%, 03/30/15............................. 1,400 1,481,621 Hess Corp. 7.000%, 02/15/14............................. 175 183,277 Hewlett-Packard Co. 1.250%, 09/13/13............................. 1,500 1,502,580 2.625%, 12/09/14............................. 1,300 1,329,033 HSBC Finance Corp. 4.750%, 07/15/13............................. 1,575 1,588,523 HSBC USA, Inc. 2.375%, 02/13/15............................. 1,500 1,545,357 John Deere Capital Corp. 1.875%, 06/17/13............................. 1,250 1,252,396 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 2,800 2,937,869 3.400%, 06/24/15............................. 1,000 1,052,007 KeyCorp 6.500%, 05/14/13............................. 1,000 1,001,936 3.750%, 08/13/15............................. 3,000 3,195,045 Kimberly-Clark Corp. 5.000%, 08/15/13............................. 1,000 1,013,090 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 1,050 1,161,893 Marathon Oil Corp. 0.900%, 11/01/15............................. 1,140 1,142,500 Marsh & McLennan Cos., Inc. 5.750%, 09/15/15............................. 4,000 4,438,156 Medtronic, Inc. 4.750%, 09/15/15............................. 1,087 1,189,847 MetLife, Inc. 2.375%, 02/06/14............................. 420 426,224 5.500%, 06/15/14............................. 1,250 1,318,041 5.000%, 06/15/15............................. 500 544,084 Morgan Stanley 4.100%, 01/26/15............................. 2,500 2,619,758 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15............................. 2,800 2,923,200 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13............................. 750 757,755 Northrop Grumman Corp. 3.700%, 08/01/14............................. 800 830,075 Occidental Petroleum Corp. 1.450%, 12/13/13............................. 1,000 1,007,255
148 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) PACCAR Financial Corp. 2.050%, 06/17/13............................. $ 100 $ 100,227 0.750%, 08/14/15............................. 2,000 2,008,098 Pacific Gas & Electric Co. 4.800%, 03/01/14............................. 3,000 3,104,217 Philip Morris International, Inc. 4.875%, 05/16/13............................. 1,265 1,267,105 Plains All American Pipeline L.P. / PAA Finance Corp. 3.950%, 09/15/15............................. 1,330 1,429,283 PNC Funding Corp. 5.400%, 06/10/14............................. 2,075 2,185,695 PPG Industries, Inc. 1.900%, 01/15/16............................. 2,050 2,104,108 Praxair, Inc. 2.125%, 06/14/13............................. 1,000 1,002,120 Procter & Gamble Co. (The) 4.500%, 05/12/14............................. EUR 4,000 5,495,950 Prudential Financial, Inc. 6.200%, 01/15/15............................. 2,448 2,661,519 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 4,000 4,399,804 Qwest Corp. 7.500%, 10/01/14............................. 2,300 2,484,800 Reynolds American, Inc. 1.050%, 10/30/15............................. 4,000 4,004,812 Safeway, Inc. 5.625%, 08/15/14............................. 4,500 4,755,060 Sempra Energy 2.000%, 03/15/14............................. 416 420,823 Sherwin-Williams Co. (The) 3.125%, 12/15/14............................. 1,048 1,089,452 Southern Power Co. 4.875%, 07/15/15............................. 3,660 3,984,477 Spectra Energy Capital LLC 5.500%, 03/01/14............................. 1,500 1,558,284 5.668%, 08/15/14............................. 955 1,013,831 St Jude Medical, Inc. 2.200%, 09/15/13............................. 3,325 3,346,762 3.750%, 07/15/14............................. 100 103,992 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 4,000 4,288,500 Target Corp. 4.000%, 06/15/13............................. 1,000 1,004,237 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 2,350 2,478,470 Texas Instruments, Inc. 0.875%, 05/15/13............................. 500 500,102 Textron, Inc. 6.200%, 03/15/15............................. 1,500 1,629,525 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 2,250 2,342,457
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Time Warner Cable, Inc. 3.500%, 02/01/15............................. $ 4,000 $ 4,180,420 Toyota Motor Credit Corp. 1.000%, 02/17/15............................. 3,000 3,031,458 0.875%, 07/17/15............................. 2,000 2,013,304 Union Bank NA 2.125%, 12/16/13............................. 1,400 1,413,829 UnitedHealth Group, Inc. 5.000%, 08/15/14............................. 1,170 1,237,555 Valero Energy Corp. 4.750%, 04/01/14............................. 1,125 1,167,237 4.500%, 02/01/15............................. 900 956,574 Verizon Communications, Inc. 0.700%, 11/02/15............................. 3,000 2,991,045 Viacom, Inc. 4.375%, 09/15/14............................. 1,229 1,289,263 Walt Disney Co. (The) 0.875%, 12/01/14............................. 1,500 1,512,593 WellPoint, Inc. 5.000%, 12/15/14............................. 2,500 2,671,612 5.250%, 01/15/16............................. 1,500 1,666,914 Wells Fargo & Co. 3.750%, 10/01/14............................. 2,300 2,403,939 1.250%, 02/13/15............................. 1,000 1,011,991 Western Union Co. (The) 6.500%, 02/26/14............................. 3,500 3,664,090 Williams Partners L.P. 3.800%, 02/15/15............................. 2,300 2,418,089 Xerox Corp. 4.250%, 02/15/15............................. 3,500 3,691,499 Zimmer Holdings, Inc. 1.400%, 11/30/14............................. 1,000 1,010,298 TOTAL UNITED STATES................................ 259,226,221 ------------ TOTAL BONDS........................................ 490,527,567 ------------ AGENCY OBLIGATIONS -- (11.3%) Federal Home Loan Mortgage Corporation 5.250%, 04/18/16............................. 15,000 17,142,300 Federal National Mortgage Association 0.500%, 03/30/16............................. 50,000 50,125,450 ------------ TOTAL AGENCY OBLIGATIONS........................... 67,267,750 ------------ U.S. TREASURY OBLIGATIONS -- (6.3%) U.S. Treasury Notes @@^^ 0.375%, 07/31/13............................. 37,800 37,829,522 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $591,568,241).............................. $595,624,839 ============
149 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------- Level 1 Level 2 Level 3 Total -------- ------------ ------- ------------ Bonds Australia.............................. -- $ 25,403,688 -- $ 25,403,688 Austria................................ -- 3,089,207 -- 3,089,207 Canada................................. -- 34,374,246 -- 34,374,246 France................................. -- 26,409,461 -- 26,409,461 Germany................................ -- 14,856,859 -- 14,856,859 Japan.................................. -- 3,734,742 -- 3,734,742 Netherlands............................ -- 30,971,125 -- 30,971,125 Supranational Organization Obligations. -- 50,831,160 -- 50,831,160 Sweden................................. -- 17,956,529 -- 17,956,529 Switzerland............................ -- 3,502,370 -- 3,502,370 United Kingdom......................... -- 20,171,959 -- 20,171,959 United States.......................... -- 259,226,221 -- 259,226,221 Agency Obligations....................... -- 67,267,750 -- 67,267,750 U.S. Treasury Obligations................ -- 37,829,522 -- 37,829,522 Forward Currency Contracts**............. -- (1,373,105) -- (1,373,105) Futures Contracts**...................... $297,996 -- -- 297,996 Swap Agreements**........................ -- 7,155,258 -- 7,155,258 -------- ------------ -- ------------ TOTAL.................................... $297,996 $601,406,992 -- $601,704,988 ======== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 150 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value................................................................... $ 595,625 Temporary Cash Investments at Value & Cost............................................. 21,870 Foreign Currencies at Value............................................................ 931 Receivables: Investment Securities Sold........................................................... 3,029 Interest............................................................................. 5,579 Fund Shares Sold..................................................................... 1,053 Unrealized Gain on Swap Contracts...................................................... 12,642 Prepaid Expenses and Other Assets...................................................... 11 ------------ Total Assets...................................................................... 640,740 ------------ LIABILITIES: Due to Custodian....................................................................... 86 Payables: Investment Securities Purchased...................................................... 9,322 Fund Shares Redeemed................................................................. 176 Due to Advisor....................................................................... 148 Futures Margin Variation............................................................. 346 Unrealized Loss on Swap Contracts...................................................... 5,487 Unrealized Loss on Forward Currency Contracts.......................................... 1,373 Accrued Expenses and Other Liabilities................................................. 13 ------------ Total Liabilities................................................................. 16,951 ------------ NET ASSETS............................................................................. $ 623,789 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 70,364,966 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.87 ============ Investments at Cost.................................................................... $ 591,568 ============ Foreign Currencies at Cost............................................................. $ 918 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 650,376 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 2,845 Accumulated Net Realized Gain (Loss)................................................... (39,607) Net Unrealized Foreign Exchange Gain (Loss)............................................ (1,348) Net Unrealized Appreciation (Depreciation)............................................. 11,523 ------------ NET ASSETS............................................................................. $ 623,789 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000 ============
See accompanying Notes to Financial Statements. 151 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands) Investment Income Interest...................................................................................... $ 2,894 -------- Total Investment Income.................................................................... 2,894 -------- Expenses Investment Advisory Services Fees............................................................. 965 Accounting & Transfer Agent Fees.............................................................. 37 Custodian Fees................................................................................ 11 Filing Fees................................................................................... 32 Shareholders' Reports......................................................................... 7 Directors'/Trustees' Fees & Expenses.......................................................... 2 Professional Fees............................................................................. 15 Other......................................................................................... 4 -------- Total Expenses............................................................................. 1,073 -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (144) Fees Paid Indirectly.......................................................................... (7) -------- Net Expenses.................................................................................. 922 -------- Net Investment Income (Loss).................................................................. 1,972 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................................................. 95 Futures..................................................................................... (1,738) Swap Contracts.............................................................................. (37,340) Foreign Currency Transactions............................................................... (528) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................................. 1,363 Futures..................................................................................... 151 Swap Contracts.............................................................................. 5,880 Translation of Foreign Currency Denominated Amounts......................................... 139 -------- Net Realized and Unrealized Gain (Loss)....................................................... (31,978) -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................. $(30,006) ========
See accompanying Notes to Financial Statements. 152 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2013 2012 ----------- --------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................................................... $ 1,972 $ 2,616 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 95 1,207 Futures............................................................................ (1,738) (2,170) Swap Contracts..................................................................... (37,340) (17,151) Foreign Currency Transactions...................................................... (528) 1,374 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... 1,363 1,848 Futures............................................................................ 151 112 Swap Contracts..................................................................... 5,880 3,344 Translation of Foreign Currency Denominated Amounts................................ 139 (1,489) -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (30,006) (10,309) -------- --------- Distributions From: Net Investment Income................................................................ (943) (2,038) Net Short-Term Gains................................................................. (472) (151) Net Long-Term Gains.................................................................. (472) -- -------- --------- Total Distributions............................................................... (1,887) (2,189) -------- --------- Capital Share Transactions (1): Shares Issued........................................................................ 246,453 371,713 Shares Issued in Lieu of Cash Distributions.......................................... 1,797 2,084 Shares Redeemed...................................................................... (50,647) (134,001) -------- --------- Net Increase (Decrease) from Capital Share Transactions........................... 197,603 239,796 -------- --------- Total Increase (Decrease) in Net Assets........................................... 165,710 227,298 Net Assets Beginning of Period.................................................................. 458,079 230,781 -------- --------- End of Period........................................................................ $623,789 $ 458,079 ======== ========= (1) Shares Issued and Redeemed: Shares Issued........................................................................ 26,966 39,879 Shares Issued in Lieu of Cash Distributions.......................................... 195 232 Shares Redeemed...................................................................... (5,525) (14,994) -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 21,636 25,117 ======== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 2,845 $ 1,816
See accompanying Notes to Financial Statements. 153 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Six Months Year Ended Ended April 30, Oct. 31, 2013 2012 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.................................................................. $ 9.40 $ 9.77 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................................................................... 0.03 0.07 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... (0.52) (0.37) -------- -------- Total from Investment Operations................................................................... (0.49) (0.30) --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................................................... (0.02) (0.06) Net Realized Gains.................................................................................. (0.02) (0.01) -------- -------- Total Distributions................................................................................ (0.04) (0.07) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................................ $ 8.87 $ 9.40 ====================================================================================================== =========== ======== Total Return.......................................................................................... (5.37)%(C) (3.08)% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................................................................. $623,789 $458,079 Ratio of Expenses to Average Net Assets............................................................... 0.34%(B) 0.35% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).................................................. 0.39%(B) 0.41% Ratio of Net Investment Income to Average Net Assets.................................................. 0.73%(B) 0.79% Portfolio Turnover Rate............................................................................... 27%(C) 69% ---------------------------------------------------------------------------------------------------------------------------------
Period Nov. 9, 2010(a) to Oct. 31, 2011 ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.................................................................. $ 10.00 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................................................................... 0.07 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... (0.27) -------- Total from Investment Operations................................................................... (0.20) ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................................................... (0.03) Net Realized Gains.................................................................................. -- -------- Total Distributions................................................................................ (0.03) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................................ $ 9.77 ====================================================================================================== ========== Total Return.......................................................................................... (2.02)%(C) ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................................................................. $230,781 Ratio of Expenses to Average Net Assets............................................................... 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).................................................. 0.53%(B)(E) Ratio of Net Investment Income to Average Net Assets.................................................. 0.64%(B)(E) Portfolio Turnover Rate............................................................................... 50%(C) -----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 154 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"), whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-five operational portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the "Subsidiary"), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the 1940 Act. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolio utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments) Debt Securities held by the Portfolio are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are 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. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. 155 A summary of the inputs used to value the Portfolio's investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2013, there were no significant transfers between Level 1 and Level 2, and no Level 3 investments held by the Portfolio. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2013, 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 the Portfolio are directly charged. Common expenses of the Fund or its Portfolios are allocated using methods approved by the Board, generally based on average net assets. C. Basis for Consolidation: The Subsidiary commenced operations on November 9, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting principles relating to reporting of a wholly-owned subsidiary. All intercompany accounts and transactions have been eliminated. 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. 156 To the extent of the Portfolio's investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. The Subsidiary is classified as a controlled foreign corporation under Subchapter M of the Internal Revenue Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods. As of April 30, 2013, the Portfolio held $116,576,214 in the Subsidiary, representing 18.19% 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 six months ended April 30, 2013, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Portfolio's average daily net assets. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement, the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to no more than 0.55% of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2014, and may not be terminated by the Advisor prior to that date. At April 30, 2013, there were no previously waived fees subjected to future recovery by the Advisor. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. For the six months ended April 30, 2013, approximately $144 (in thousands) of the Subsidiary's management fees were waived pursuant to the Subsidiary fee waiver agreement. Earned Income Credit: In addition, the Portfolio has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- DFA Commodity Strategy Portfolio. $7
157 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2013, the total related amounts paid by the Fund to the CCO were $123 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. E. Deferred Compensation: At April 30, 2013, 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. $2
F. Purchases and Sales of Securities: For the six months ended April 30, 2013, the Portfolio made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Other Investment Securities Securities ----------------- ----------------- Purchases Sales Purchases Sales --------- ------- --------- ------- DFA Commodity Strategy Portfolio. $114,384 $46,886 $183,315 $95,291
G. Federal Income Taxes: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, 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 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 Commodity Strategy Portfolio 2011............................. $ 636 -- $ 636 2012............................. 2,410 $37 2,447
158 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 Earnings Short-Term Long-Term Capital Loss (Accumulated Capital Gains Capital Gains Carryforwards 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 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 Portfolio did not have any capital loss carryforwards. At April 30, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) -------- ------------ ------------ -------------- DFA Commodity Strategy Portfolio. $591,568 $4,462 $(405) $4,057
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolio's tax positions and has concluded that no additional provision for income tax is required in the Portfolio's financial statements. The Portfolio is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. H. Financial Instruments: In accordance with the Portfolio's investment objective and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in 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. 159 Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolio. The Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio's total assets in the Subsidiary. The Subsidiary may invest without limitation in commodity-linked notes, swap agreements and other commodity-linked derivative instruments, including futures contracts on individual commodities or a subset of commodities and options on commodities. The accompanying consolidated schedule of investments includes investments of the Portfolio and its wholly-owned Subsidiary. 2. Forward Currency Contracts: The Portfolio may enter into forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge the Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the 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 April 30, 2013, the Portfolio had entered into the following contracts and the net unrealized foreign exchange gain (loss) is reflected in the accompanying financial statements (amounts in thousands): DFA Commodity Strategy Portfolio*
Unrealized Value at Foreign Settlement Currency Contract April 30, Exchange Date Amount** Currency Amount 2013 Gain (Loss) ---------- -------- ------------------ -------- --------- ----------- 07/23/13 (7,266) Canadian Dollar $ (7,066) $ (7,199) $ (133) 05/23/13 (61,537) Euro (79,975) (81,051) (1,076) 05/22/13 (14,776) New Zealand Dollar (12,484) (12,648) (164) -------- --------- ------- $(99,525) $(100,898) $(1,373) ======== ========= =======
* During the six months ended April 30, 2013, the Portfolio's average contract amount of forward currency contracts was $149,407 (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 Portfolio and the Subsidiary invest in commodity-linked derivative instruments, such as swap agreements, commodity options, futures, options on futures, and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. 4. Swap Agreements: The Portfolio may enter into swap agreements with respect to commodities, interest rates and indexes of commodities or securities, specific securities and commodities, and mortgage, credit and event-linked swaps, and to the extent the Portfolio may invest in foreign currency-denominated securities, may enter into swap agreements with respect to foreign currencies. The Portfolio may enter into swap transactions for any legal purpose consistent with its investment objective and policies, such as for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining a return or spread through purchases and/or sales of instruments in other markets, to seek to increase total return (speculation), to protect against currency fluctuations, as a duration management technique, to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible. 160 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 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. 161 At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio's existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price and subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio's performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio's investments in the contracts to greater volatility than investments in traditional securities. 6. Options on Futures Contracts: The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer's futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change would be reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. At April 30, 2013, the Subsidiary had the following outstanding commodity-linked futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Description Date Contracts* Amount Gain (Loss) ----------- ---------- ---------- -------- ----------- Brent Crude Oil Futures... 06/13/13 3 $ 306 $ 3 CBT Corn Futures.......... 09/13/13 131 3,800 173 CBT Red Wheat Futures..... 07/12/13 6 237 14 CBT Soybean Futures....... 09/13/13 50 3,162 4 CBT Soybean Meal Futures.. 07/12/13 4 166 7 CBT Soybean Oil Futures... 07/12/13 6 177 2 CBT Wheat Futures......... 07/12/13 6 219 11 Coffee 'C' Futures........ 07/19/13 3 152 (4) Copper High Grade Futures. 07/29/13 5 398 3 Cotton No. 2 Futures...... 07/09/13 3 131 5 Gasoline RBOB Futures..... 06/28/13 2 234 4
162
Expiration Number of Contract Unrealized Description Date Contracts* Amount Gain (Loss) ----------- ---------- ---------- -------- ----------- Gold 100oz Futures............ 06/26/13 4 589 14 Heating Oil Futures........... 06/28/13 2 239 4 LME Nickel Futures............ 07/17/13 1 92 1 LME Prime Aluminum Futures.... 07/17/13 6 280 (7) LME Zinc Futures.............. 07/17/13 3 140 (2) Lean Hogs Futures............. 06/14/13 4 148 4 Light Sweet Crude Oil Futures. 12/19/13 13 1,191 37 Live Cattle Futures........... 06/28/13 4 195 1 Natural Gas Futures........... 08/28/13 18 795 17 Silver Futures................ 07/29/13 2 242 7 Sugar #11 Futures............. 06/28/13 12 237 -- ------- ---- $13,130 $298 ======= ====
The Subsidiary's securities have been segregated as collateral for open futures contracts. * During the six months ended April 30, 2013 the Subsidiary's average notional contract amount of outstanding futures contracts was $13,723 (in thousands). At April 30, 2013, the Subsidiary had the following outstanding commodity index total return swaps (dollar amounts in thousands):
Unrealized Expiration Notional Appreciation Counterparty Date Amount* (Depreciation) ------------ ---------- -------- -------------- Citibank, N.A................... 06/28/13 USD $ 2,886 $ 3,265 Deutsche Bank AG, London Branch. 05/22/13 USD 4,250 1,137 Deutsche Bank AG, London Branch. 05/22/13 USD 1,600 (96) Deutsche Bank AG, London Branch. 05/22/13 USD (1,600) (800) Deutsche Bank AG, London Branch. 05/22/13 USD (4,250) (1,020) Deutsche Bank AG, London Branch. 05/29/13 USD 1,601 1,925 Deutsche Bank AG, London Branch. 05/29/13 USD 218 261 Deutsche Bank AG, London Branch. 06/19/13 USD (400) 868 Deutsche Bank AG, London Branch. 07/31/13 USD (13,000) (2,587) Deutsche Bank AG, London Branch. 09/30/13 USD 12,999 2,834 Deutsche Bank AG, London Branch. 11/19/13 USD 400 (984) UBS AG.......................... 07/29/13 USD 1,956 2,352 -------- ------- $ 6,660 $ 7,155 ======== =======
* During the six months ended April 30, 2013 the Subsidiary's average notional value of outstanding swap contracts was $358,702 (in thousands). The following is a summary of the location of derivatives on the Portfolio's Statements of Assets and Liabilities as of April 30, 2013: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Commodity Contracts Payables: Futures Margin Variation Foreign Exchange Unrealized Gain on Unrealized Loss on Contracts Forward Currency Forward Currency Contracts Contracts Other Contracts Unrealized Gain on Swap Unrealized Loss on Swap Contracts Contracts 163 The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of April 30, 2013 (amounts in thousands):
Asset Derivatives Value ----------------------------------- Foreign Total Value at Commodity Exchange Other April 30, 2013 Contracts Contracts Contracts -------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $12,940 $298* -- $12,642 LiabilityDerivatives Value ------------------------- Foreign Total Value at Exchange Other April 30, 2013 Contracts Contracts -------------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(6,860) $(1,373) $(5,487)
* 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 Statements of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the six months ended April 30, 2013 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Commodity Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Foreign Exchange Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Contracts 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
The following is a summary of the realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2013 (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. $(40,575) $(1,738) $(1,497) $(37,340) Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------------- Foreign Commodity Exchange Other Total Contracts Contracts Contracts -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $ 6,156 $ 151 $ 125 $ 5,880
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line 164 of credit. There were no borrowings by the Portfolio under this line of credit during the six months ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed 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 March 3, 2014. There were no borrowings by the Portfolio under this line of credit during the period ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. There were no borrowings by the Portfolio under this line of credit during the six months ended April 30, 2013. 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. In-Kind Redemptions: In accordance with guidelines described in the Portfolio's prospectus, the Portfolio may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, the 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. For the six months ended April 30, 2013, the Portfolio had no in-kind redemptions. L. 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. 165 M. Other: At April 30, 2013, three shareholders held 87% of outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. N. 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. 166 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2013 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- DFA International Value Portfolio** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $1,137.00 0.71% $3.76 Institutional Class Shares......... $1,000.00 $1,137.80 0.44% $2.33 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.27 0.71% $3.56 Institutional Class Shares......... $1,000.00 $1,022.61 0.44% $2.21
167 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- U.S. Large Company Portfolio ---------------------------- Actual Fund Return............ $1,000.00 $1,144.20 0.10% $0.53 Hypothetical 5% Annual Return. $1,000.00 $1,024.30 0.10% $0.50
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. **The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 168 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on March 27, 2013. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Master Fund's holdings which reflect the investments by category. FEEDER FUND
Affiliated Investment Company ----------------------------- DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO U.S. Large Company Portfolio Consumer Discretionary....................... 11.8% Consumer Staples............................. 11.1% Energy....................................... 10.6% Financials................................... 16.1% Health Care.................................. 12.7% Industrials.................................. 9.8% Information Technology....................... 17.8% Materials.................................... 3.4% Telecommunication Services................... 3.1% Utilities.................................... 3.6% ----- 100.0%
169 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2013 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company..................... $6,161,223,267 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,329,211,106)............................. $6,161,223,267 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 170 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.8%) Consumer Discretionary -- (10.7%) * Amazon.com, Inc................... 113,984 $ 28,930,279 0.6% Comcast Corp. Class A............. 827,357 34,169,844 0.8% Home Depot, Inc. (The)............ 468,669 34,376,871 0.8% McDonald's Corp................... 314,328 32,105,462 0.7% News Corp. Class A................ 626,819 19,412,584 0.4% Walt Disney Co. (The)............. 565,920 35,562,413 0.8% Other Securities.................. 340,269,297 7.6% ------------ ----- Total Consumer Discretionary.......... 524,826,750 11.7% ------------ ----- Consumer Staples -- (10.1%) Altria Group, Inc................. 629,995 23,001,117 0.5% Coca-Cola Co. (The)............... 1,201,396 50,855,093 1.1% CVS Caremark Corp................. 385,922 22,452,942 0.5% PepsiCo, Inc...................... 483,590 39,881,667 0.9% Philip Morris International, Inc.. 516,504 49,372,617 1.1% Procter & Gamble Co. (The)........ 856,245 65,733,929 1.4% Wal-Mart Stores, Inc.............. 524,287 40,747,586 0.9% Other Securities.................. 202,265,326 4.6% ------------ ----- Total Consumer Staples................ 494,310,277 11.0% ------------ ----- Energy -- (9.6%) Chevron Corp...................... 608,945 74,297,379 1.6% ConocoPhillips.................... 382,724 23,135,666 0.5% # Exxon Mobil Corp.................. 1,404,412 124,978,624 2.8% Occidental Petroleum Corp......... 252,490 22,537,257 0.5% Schlumberger, Ltd................. 416,345 30,988,558 0.7% Other Securities.................. 198,320,588 4.4% ------------ ----- Total Energy.......................... 474,258,072 10.5% ------------ ----- Financials -- (14.6%) American Express Co............... 301,242 20,607,965 0.5% Bank of America Corp.............. 3,391,650 41,751,211 0.9% * Berkshire Hathaway, Inc. Class B.. 571,719 60,785,164 1.3% Citigroup, Inc.................... 952,508 44,444,023 1.0% Goldman Sachs Group, Inc. (The)... 137,158 20,034,669 0.4% JPMorgan Chase & Co............... 1,199,732 58,798,865 1.3% U.S. Bancorp...................... 584,084 19,438,315 0.4% Wells Fargo & Co.................. 1,536,523 58,357,144 1.3% Other Securities.................. 392,772,355 8.8% ------------ ----- Total Financials...................... 716,989,711 15.9% ------------ ----- Health Care -- (11.5%) AbbVie, Inc....................... 495,465 22,816,163 0.5% Amgen, Inc........................ 234,598 24,447,458 0.5% Bristol-Myers Squibb Co........... 513,234 20,385,654 0.4% #* Gilead Sciences, Inc.............. 477,199 24,165,357 0.5% Johnson & Johnson................. 876,201 74,678,611 1.7% Merck & Co., Inc.................. 947,371 44,526,437 1.0% Pfizer, Inc....................... 2,253,435 65,507,355 1.5% UnitedHealth Group, Inc........... 321,266 19,253,471 0.4% Other Securities.................. 268,679,378 6.0% ------------ ----- Total Health Care..................... 564,459,884 12.5% ------------ -----
171 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (8.9%) 3M Co...................................... 198,976 $ 20,834,777 0.5% Boeing Co. (The)........................... 213,320 19,499,581 0.4% General Electric Co........................ 3,259,372 72,651,402 1.6% Union Pacific Corp......................... 147,103 21,765,360 0.5% # United Technologies Corp................... 264,337 24,131,325 0.5% Other Securities........................... 280,194,339 6.2% -------------- ------ Total Industrials................................ 439,076,784 9.7% -------------- ------ Information Technology -- (16.2%) ^^ Apple, Inc................................. 294,350 130,323,462 2.9% Cisco Systems, Inc......................... 1,671,325 34,964,119 0.8% * Google, Inc. Class A....................... 83,700 69,016,509 1.5% # Intel Corp................................. 1,550,340 37,130,643 0.8% # International Business Machines Corp....... 328,386 66,511,300 1.5% Microsoft Corp............................. 2,363,005 78,215,465 1.7% Oracle Corp................................ 1,157,504 37,942,981 0.8% QUALCOMM, Inc.............................. 538,553 33,185,636 0.7% Visa, Inc. Class A......................... 161,649 27,231,391 0.6% Other Securities........................... 281,572,689 6.4% -------------- ------ Total Information Technology..................... 796,094,195 17.7% -------------- ------ Materials -- (3.1%) Other Securities........................... 151,117,051 3.4% -------------- ------ Telecommunication Services -- (2.8%) AT&T, Inc.................................. 1,721,362 64,482,220 1.4% Verizon Communications, Inc................ 895,935 48,299,856 1.1% Other Securities........................... 23,977,722 0.5% -------------- ------ Total Telecommunication Services................. 136,759,798 3.0% -------------- ------ Utilities -- (3.3%) Other Securities........................... 162,966,629 3.6% -------------- ------ TOTAL COMMON STOCKS.............................. 4,460,859,151 99.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.9%) ^^ State Street Institutional Liquid Reserves. 42,543,274 42,543,274 0.9% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (8.3%) (S)@ DFA Short Term Investment Fund............. 35,470,037 410,388,323 9.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,949,024,491)........................ $4,913,790,748 109.0% ============== ======
172 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks................. Consumer Discretionary...... $ 524,826,750 -- -- $ 524,826,750 Consumer Staples............ 494,310,277 -- -- 494,310,277 Energy...................... 474,258,072 -- -- 474,258,072 Financials.................. 716,989,711 -- -- 716,989,711 Health Care................. 564,459,884 -- -- 564,459,884 Industrials................. 439,076,784 -- -- 439,076,784 Information Technology...... 796,094,195 -- -- 796,094,195 Materials................... 151,117,051 -- -- 151,117,051 Telecommunication Services.. 136,759,798 -- -- 136,759,798 Utilities................... 162,966,629 -- -- 162,966,629 Temporary Cash Investments.... 42,543,274 -- -- 42,543,274 Securities Lending Collateral. -- $410,388,323 -- 410,388,323 Futures Contracts**........... 924,481 -- -- 924,481 -------------- ------------ -- -------------- TOTAL......................... $4,504,326,906 $410,388,323 -- $4,914,715,229 ============== ============ == ==============
**Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 173 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA U.S. Large International Company Value Portfolio Portfolio* --------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value..................................... $ 6,161,223 -- Investments at Value (including $0 and $404,497 of securities on loan, respectively)...... -- $ 4,460,859 Temporary Cash Investments at Value & Cost................................................ -- 42,543 Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................. -- 410,388 Segregated Cash for Futures Contracts..................................................... -- 1,764 Receivables: Investment Securities Sold.............................................................. -- 1,448 Dividends, Interest and Tax Reclaims.................................................... -- 4,093 Securities Lending Income............................................................... -- 25 Fund Shares Sold........................................................................ 7,223 2,334 Futures Margin Variation................................................................ -- 111 Prepaid Expenses and Other Assets......................................................... 46 34 -------------- ------------ Total Assets......................................................................... 6,168,492 4,923,599 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned........................................................ -- 410,388 Investment Securities Purchased......................................................... -- 1,303 Fund Shares Redeemed.................................................................... 5,310 3,622 Due to Advisor.......................................................................... 968 296 Accrued Expenses and Other Liabilities.................................................... 273 475 -------------- ------------ Total Liabilities.................................................................... 6,551 416,084 -------------- ------------ NET ASSETS................................................................................ $ 6,161,941 $ 4,507,515 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $7,640 and $0 and shares outstanding of 431,505 and 0, respectively.............................................................. $ 17.71 $ N/A ============== ============ NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $6,154,301 and $4,507,515 and shares outstanding of 347,617,717 and 357,489,731, respectively................................. $ 17.70 $ 12.61 ============== ============ NUMBER OF SHARES AUTHORIZED............................................................... 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost.................................... $ 5,329,211 $ -- ============== ============ Investments at Cost....................................................................... $ -- $ 2,496,093 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................... $ 6,092,346 $ 3,012,131 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 52,681 10,934 Accumulated Net Realized Gain (Loss)...................................................... (815,112) (481,240) Net Unrealized Foreign Exchange Gain (Loss)............................................... 14 -- Net Unrealized Appreciation (Depreciation)................................................ 832,012 1,965,690 -------------- ------------ NET ASSETS................................................................................ $ 6,161,941 $ 4,507,515 ============== ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 174 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
DFA U.S. International Large Value Company Portfolio* Portfolio ------------- --------- Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $6,791 and $0, respectively).............. $ 92,101 -- Interest.............................................................................. 4 -- Income from Securities Lending........................................................ 4,862 -- Expenses Allocated from Affiliated Investment Company................................. (6,598) -- -------- -------- Total Net Investment Income Received from Affiliated Investment Companies.......... 90,369 -- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0 and $50, respectively)................. -- $ 49,029 Interest.............................................................................. -- 34 Income from Securities Lending........................................................ -- 194 -------- -------- Total Investment Income............................................................ -- 49,257 -------- -------- Expenses Investment Advisory Services Fees..................................................... -- 530 Administrative Services Fees.......................................................... 5,751 1,066 Accounting & Transfer Agent Fees...................................................... 31 195 S&P 500(R) Fees....................................................................... -- 45 Shareholder Servicing Fees -- Class R2 Shares..................................................................... 9 -- Custodian Fees........................................................................ -- 27 Filing Fees........................................................................... 63 58 Shareholders' Reports................................................................. 84 52 Directors'/Trustees' Fees & Expenses.................................................. 24 18 Professional Fees..................................................................... 56 90 Other................................................................................. 26 30 -------- -------- Total Expenses..................................................................... 6,044 2,111 -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................................................................. -- (4) -------- -------- Net Expenses.......................................................................... 6,044 2,107 -------- -------- Net Investment Income (Loss).......................................................... 84,325 47,150 -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities........................ -- 409 Net Realized Gain (Loss) on: Investment Securities Sold.......................................................... 93,812 101,692 Futures............................................................................. -- 4,832 Foreign Currency Transactions**..................................................... (1,145) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................................... 569,073 420,900 Futures............................................................................. -- 979 Translation of Foreign Currency Denominated Amounts................................. 62 -- -------- -------- Net Realized and Unrealized Gain (Loss)............................................... 661,802 528,812 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... $746,127 $575,962 ======== ========
---------- * 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 $2 and $0, respectively. See accompanying Notes to Financial Statements. 175 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International Value U.S. Large Company Portfolio Portfolio ----------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................... $ 84,325 $ 186,021 $ 47,150 $ 83,523 Capital Gain Distributions Received from Investment Securities. -- -- 409 543 Net Realized Gain (Loss) on: Investment Securities Sold................................... 93,812 74,190 101,692 68,937 Futures...................................................... -- -- 4,832 12,993 Foreign Currency Transactions................................ (1,145) (951) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... 569,073 (96,127) 420,900 393,550 Futures...................................................... -- -- 979 (3,799) Translation of Foreign Currency Denominated Amounts.......... 62 (209) -- -- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. 746,127 162,924 575,962 555,747 ---------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares.............................................. (62) (205) -- -- Institutional Class Shares................................... (58,806) (180,761) (48,465) (81,785) ---------- ----------- ---------- ---------- Total Distributions......................................... (58,868) (180,966) (48,465) (81,785) ---------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued.................................................. 603,009 1,339,320 371,505 610,737 Shares Issued in Lieu of Cash Distributions.................... 55,228 168,269 41,917 70,255 Shares Redeemed................................................ (670,850) (1,295,677) (470,740) (879,631) ---------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..... (12,613) 211,912 (57,318) (198,639) ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets..................... 674,646 193,870 470,179 275,323 Net Assets Beginning of Period............................................ 5,487,295 5,293,425 4,037,336 3,762,013 ---------- ----------- ---------- ---------- End of Period.................................................. $6,161,941 $ 5,487,295 $4,507,515 $4,037,336 ========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued.................................................. 35,976 89,258 31,720 57,663 Shares Issued in Lieu of Cash Distributions.................... 3,393 11,721 3,644 6,768 Shares Redeemed................................................ (40,456) (86,334) (39,888) (82,571) ---------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed................................................... (1,087) 14,645 (4,524) (18,140) ========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 52,681 $ 27,224 $ 10,934 $ 12,249
See accompanying Notes to Financial Statements. 176 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares+ ----------------------------------------------------------- -------------- Period Six Months Year Year Year Year April 30, Six Months Ended Ended Ended Ended Ended 2008 (a) to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2013 2012 2011 2010 2009 2008 2013 -------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period................. $15.72 $15.83 $17.82 $17.13 $13.58 $ 26.31 $ 15.72 ------ ------ ------ ------ ------ ------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).............. 0.22 0.51 0.53 0.37 0.42 0.66 0.24 Net Gains (Losses) on Securities (Realized and Unrealized)......... 1.92 (0.13) (2.00) 1.29 4.10 (11.73) 1.91 ------ ------ ------ ------ ------ ------- ---------- Total from Investment Operations............. 2.14 0.38 (1.47) 1.66 4.52 (11.07) 2.15 -------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................. (0.15) (0.49) (0.52) (0.97) (0.97) (1.66) (0.17) Net Realized Gains....... -- -- -- -- -- -- -- ------ ------ ------ ------ ------ ------- ---------- Total Distributions..... (0.15) (0.49) (0.52) (0.97) (0.97) (1.66) (0.17) -------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $17.71 $15.72 $15.83 $17.82 $17.13 $ 13.58 $ 17.70 =========================== =========== ======== ======== ======== ======== =========== =========== Total Return............... 13.70%(C) 2.70% (8.53)% 10.60% 34.86% (44.63)%(C) 13.78%(C) -------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............... $7,640 $6,407 $6,102 $4,952 $3,443 $ 3,372 $6,154,301 Ratio of Expenses to Average Net Assets (D)................ 0.71%(B) 0.71% 0.71% 0.72% 0.74% 0.73%(B)(E) 0.44%(B) Ratio of Net Investment Income to Average Net Assets.................... 2.72%(B) 3.33% 2.97% 2.11% 2.96% 7.47%(B)(E) 2.95%(B) --------------------------------------------------------------------------------------------------------------
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 (Realized and 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% --------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. + All per share amounts and net assets values prior to November 19, 2010 have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See accompanying Notes to Financial Statements. 177 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ----------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62 ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................ 0.13 0.22 0.19 0.18 0.18 Net Gains (Losses) on Securities (Realized and Unrealized).. 1.46 1.25 0.56 1.15 0.55 ---------- ---------- ---------- ---------- -------- Total from Investment Operations.......................... 1.59 1.47 0.75 1.33 0.73 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................................... (0.13) (0.22) (0.19) (0.15) (0.19) ---------- ---------- ---------- ---------- -------- Total Distributions....................................... (0.13) (0.22) (0.19) (0.15) (0.19) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 12.61 $ 11.15 $ 9.90 $ 9.34 $ 8.16 ============================================================ =========== ========== ========== ========== ======== Total Return................................................. 14.42%(C) 15.02% 8.09% 16.47% 10.07% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $4,507,515 $4,037,336 $3,762,013 $3,712,973 $785,689 Ratio of Expenses to Average Net Assets...................... 0.10%(B) 0.10% 0.10% 0.10%** 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)..................................... 0.10%(B) 0.10% 0.10% 0.11%** 0.13%(D) Ratio of Net Investment Income to Average Net Assets......... 2.24%(B) 2.10% 1.95% 1.99% 2.53% Portfolio Turnover Rate...................................... 1%(C) 4% 4% 1%* N/A --------------------------------------------------------------------------------------------------------------------------------
--------------------------- Period Dec. 1, Year 2007 to Ended Oct. 31, Nov. 30, 2008 2007 -------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period......................... $ 11.63 $ 11.00 -------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................ 0.20 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).. (3.99) 0.62 -------- ---------- Total from Investment Operations.......................... (3.79) 0.84 -------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................................... (0.22) (0.21) -------- ---------- Total Distributions....................................... (0.22) (0.21) -------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 7.62 $ 11.63 ============================================================ ======== ========== Total Return................................................. (33.10)%(C) 7.71% -------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $729,218 $1,002,142 Ratio of Expenses to Average Net Assets...................... 0.10%(B)(D) 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)..................................... 0.11%(B)(D) 0.11%(D) Ratio of Net Investment Income to Average Net Assets......... 2.10%(B) 1.90% Portfolio Turnover Rate...................................... N/A N/A --------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. **Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See accompanying Notes to Financial Statements. 178 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: Dimensional Investment Group, Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, 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 April 30, 2013, the Feeder Fund 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 the Feeder Fund commenced operations on April 30, 2008. On November 1, 2008, the 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 Series is a result of the treatment of a partnership for book purposes. The Series 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 the Fund approved an Agreement and Plan of Reorganization (the "Plan") which provided that (i) U.S. Large Company Institutional Index Portfolio (the "Acquiring Fund"), a portfolio of the Fund would acquire substantially all of the assets of U.S. Large Company Portfolio (the "Target Fund"), a portfolio of DFA Investment Dimensions Group Inc. in exchange solely for shares of capital stock of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be distributed to the shareholders of the Target Fund according to their respective interests in the Target Fund; and (iii) the Target Fund would be liquidated and dissolved (the "Reorganization"). In conjunction with completing the Reorganization, the Acquiring Fund would change its name to "U.S. Large Company Portfolio." The Reorganization took place on May 7, 2010 and the Acquiring Fund changed its name to U.S. Large Company Portfolio effective May 8, 2010. The purpose of the transaction was to lower fees for the shareholders of the Target Fund and create operating efficiencies from economies of scale. The Reorganization was accomplished by a tax-free exchange of the following shares on May 7, 2010:
Value Target Fund Shares Acquiring Fund Shares (in thousands) ----------- ---------- ------------------------------ ----------- -------------- U.S. Large Company U.S. Large Company Portfolio. 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
Unrealized Appreciation Target Fund Net Assets (Depreciation) Acquiring Fund Net Assets ----------- ---------- ----------------------- ------------------------------ ---------- U.S. Large Company U.S. Large Company Portfolio. $2,731,987 $315,984 Institutional Index Portfolio $870,696
179 Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investment Income.................................. $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b) -------- Net Increase in Net Assets Resulting from Operations... $572,754 ========
(a) $43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b) $596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments) The Feeder Fund's investment reflects its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy. Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). Securities held by the Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Portfolio values the securities at the mean of the most recent quoted bid and 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, 180 for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by U.S. Large Company Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2013, there were no significant transfers between Level 1 and Level 2, and no Level 3 investments held by the Portfolios. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. 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 April 30, 2013, 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 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 or Portfolios are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. 181 Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides administrative services to the Portfolios, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the U.S. Large Company Portfolio and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the six months ended April 30, 2013, the Portfolios' administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA International Value Portfolio. 0.20% U.S. Large Company Portfolio...... 0.05%
For the six months ended April 30, 2013, the U.S. Large Company Portfolio's investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: U.S. Large Company Portfolio. 0.025%
Pursuant to an Amended and Restated Fee Waiver and/or 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 Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2014, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the six months ended April 30, 2013, 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% $37 $393
(1) The Advisor has contractually agreed to assume the direct expenses of the Class R2 shares of the Portfolio (excluding management fees and custodian fees and excluding any applicable 12b-1 fees) to the extent necessary to limit the annualized expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) of the Class R2 shares of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the annualized expenses of the Class R2 shares of the Portfolio are less than the Expense Limitation Amount listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's Class R2 shares' annualized expenses to exceed the Expense Limitation Amount, as listed above. (2) The Advisor has contractually agreed to waive all or a portion of its administration fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses"), so that such Portfolio Expenses do not exceed the rate listed above as a percentage of average net assets on an annualized basis (the 182 "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 six months ended April 30, 2013, the total related amounts paid by the Fund to the CCO were $15 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2013, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): DFA International Value Portfolio. $153 U.S. Large Company Portfolio...... 220
E. Purchases and Sales of Securities: For the six months ended April 30, 2013, U.S. Large Company Portfolio made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales --------- -------- U.S. Large Company Portfolio. $50,259 $156,870
There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income, accumulated net realized gains, or 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...... -- -- --
183 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 Carryforwards 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 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 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 April 30, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA International Value Portfolio. $5,332,884 $ 829,215 $ (876) $ 828,339 U.S. Large Company Portfolio...... 3,190,237 2,091,600 (368,047) 1,723,553
184 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Portfolios' tax positions and has concluded that no additional provision for income tax is required in the Portfolios' financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Six Months Ended Year Ended April 30, 2013 Oct. 31, 2012 ------------------ -------------------- Amount Shares Amount Shares --------- ------- ----------- ------- DFA International Value Portfolio Class R2 Shares Shares Issued........................................ $ 898 53 $ 2,362 154 Shares Issued in Lieu of Cash Distributions.......... 62 4 204 14 Shares Redeemed...................................... (562) (33) (2,235) (146) --------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 398 24 $ 331 22 ========= ======= =========== ======= Institutional Class Shares Shares Issued........................................ $ 602,111 35,923 $ 1,336,958 89,104 Shares Issued in Lieu of Cash Distributions.......... 55,166 3,389 168,065 11,707 Shares Redeemed...................................... (670,288) (40,423) (1,293,442) (86,188) --------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ (13,011) (1,111) $ 211,581 14,623 ========= ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of the Feeder Fund's Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R2 Shares received one share for every 2.631 shares held. The purpose of the reverse split was to reduce the number of Class R2 Shares, thereby increasing the net asset value of each Class R2 Share outstanding in order to more closely align the net asset value with the net asset value of the Feeder Fund's Institutional Class Shares. The per share data in the financial highlights, 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 R2 Shares. H. Financial Instruments: In accordance with U.S. Large Company Portfolio's investment objective and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 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. 185 Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Futures Contracts: The Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Portfolios deposit 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 Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. Entering into stock index futures subjects the Portfolios to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2013, the U.S. Large Company Portfolio had outstanding futures contracts (dollar amounts in thousands):
Approximate Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ----------- U.S. Large Company Portfolio........ S&P 500(R) Emini Index 06/21/13 583 $46,413 $924 --
* During the six months ended April 30, 2013, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $48,808 (in thousands). The following is a summary of U.S. Large Company Portfolio's location and value of derivative instrument holdings on the Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure for the six months ended April 30, 2013 (amounts in thousands): Asset Derivatives Value ------------------------ Location on the Statements of Assets and Liabilities Equity Contracts ------------------------ ------------------------ U.S. Large Company Payables: Futures Margin $924* Portfolio Variation * Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on U.S. Large Company Portfolio's Statement of Operations for the Portfolio's derivative instrument holdings through the six months ended April 30, 2013:
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
186 The following is a summary of the realized and change in unrealized gains and losses from U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure for the six months ended April 30, 2013 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio. $4,832 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio. $ 979
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. There were no borrowings by the Portfolios under this line of credit during the six months ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on March 3, 2014. There were no borrowings by the Portfolios under this line of credit during the period ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the six months ended April 30, 2013, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Large Company Portfolio. 0.92% $10,747 7 $2 $20,815
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2013, that the Portfolio's available line of credit was utilized. 187 There were no outstanding borrowings by the Portfolios under this line of credit as of April 30, 2013. J. Securities Lending: As of April 30, 2013, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. In addition, U.S. Large Company Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $1,297 (in thousands). The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. Subject to its stated investment policies, the Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. K. Shareholder Servicing Fees: The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in the DFA International Value Portfolio's Class R2 Shares. L. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. 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. 188 For the six months ended April 30, 2013, the Portfolios had no in-kind redemptions. 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. O. Other: At April 30, 2013, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- DFA International Value Portfolio -- Class R2 Shares............ 6 96% DFA International Value Portfolio -- Institutional Class Shares. 4 66% U.S. Large Company Portfolio.................................... 3 76%
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. 189 DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2013 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- The U.S. Large Cap Value Series ------------------------------- Actual Fund Return................. $1,000.00 $1,184.80 0.11% $0.60 Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55 The DFA International Value Series ---------------------------------- Actual Fund Return................. $1,000.00 $1,140.00 0.23% $1.22 Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
190 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $1,261.20 0.15% $0.84 Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75 The Asia Pacific Small Company Series ------------------------------------- Actual Fund Return...................... $1,000.00 $1,106.80 0.16% $0.84 Hypothetical 5% Annual Return........... $1,000.00 $1,024.00 0.16% $0.80 The United Kingdom Small Company Series --------------------------------------- Actual Fund Return...................... $1,000.00 $1,151.90 0.12% $0.64 Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60 The Continental Small Company Series ------------------------------------ Actual Fund Return...................... $1,000.00 $1,165.30 0.15% $0.81 Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75 The Canadian Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $ 980.70 0.15% $0.74 Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75 The Emerging Markets Series --------------------------- Actual Fund Return...................... $1,000.00 $1,062.60 0.18% $0.92 Hypothetical 5% Annual Return........... $1,000.00 $1,023.90 0.18% $0.90 The Emerging Markets Small Cap Series ------------------------------------- Actual Fund Return...................... $1,000.00 $1,130.50 0.33% $1.74 Hypothetical 5% Annual Return........... $1,000.00 $1,023.16 0.33% $1.66
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. 191 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on March 27, 2013. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS The U.S. Large Cap Value Series Consumer Discretionary....................... 13.4% Consumer Staples............................. 7.7% Energy....................................... 20.3% Financials................................... 24.0% Health Care.................................. 7.8% Industrials.................................. 12.5% Information Technology....................... 4.9% Materials.................................... 3.4% Telecommunication Services................... 5.6% Utilities.................................... 0.4% ----- 100.0%
The DFA International Value Series Consumer Discretionary....................... 9.8% Consumer Staples............................. 5.6% Energy....................................... 12.0% Financials................................... 36.3% Health Care.................................. 1.2% Industrials.................................. 9.9% Information Technology....................... 3.5% Materials.................................... 11.3% Other........................................ -- Telecommunication Services................... 7.6% Utilities.................................... 2.8% ----- 100.0%
The Japanese Small Company Series Consumer Discretionary....................... 22.8% Consumer Staples............................. 8.7% Energy....................................... 0.6% Financials................................... 12.7% Health Care.................................. 4.8% Industrials.................................. 28.3% Information Technology....................... 10.5% Materials.................................... 11.2% Telecommunication Services................... -- Utilities.................................... 0.4% ----- 100.0%
192 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED The Asia Pacific Small Company Series Consumer Discretionary....................... 28.7% Consumer Staples............................. 4.7% Energy....................................... 6.0% Financials................................... 12.9% Health Care.................................. 5.1% Industrials.................................. 21.0% Information Technology....................... 5.1% Materials.................................... 10.6% Other........................................ -- Telecommunication Services................... 3.3% Utilities.................................... 2.6% ----- 100.0%
The United Kingdom Small Company Series Consumer Discretionary....................... 26.8% Consumer Staples............................. 3.6% Energy....................................... 4.9% Financials................................... 15.0% Health Care.................................. 2.4% Industrials.................................. 26.9% Information Technology....................... 8.3% Materials.................................... 7.4% Telecommunication Services................... 2.3% Utilities.................................... 2.4% ----- 100.0%
The Continental Small Company Series Consumer Discretionary....................... 13.5% Consumer Staples............................. 6.8% Energy....................................... 4.4% Financials................................... 19.3% Health Care.................................. 9.1% Industrials.................................. 24.2% Information Technology....................... 9.7% Materials.................................... 8.9% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.9% Utilities.................................... 2.2% ----- 100.0%
The Canadian Small Company Series Consumer Discretionary....................... 10.2% Consumer Staples............................. 4.3% Energy....................................... 24.6% Financials................................... 8.3% Health Care.................................. 2.5% Industrials.................................. 12.4% Information Technology....................... 5.3% Materials.................................... 25.9% Other........................................ -- Real Estate Investment Trusts................ 0.6% Telecommunication Services................... 0.3% Utilities.................................... 5.6% ----- 100.0%
The Emerging Markets Series Consumer Discretionary....................... 8.2% Consumer Staples............................. 9.7% Energy....................................... 11.3% Financials................................... 26.5% Health Care.................................. 1.4% Industrials.................................. 7.3% Information Technology....................... 14.0% Materials.................................... 11.2% Other........................................ -- Telecommunication Services................... 7.0% Utilities.................................... 3.4% ----- 100.0%
The Emerging Markets Small Cap Series Consumer Discretionary....................... 18.1% Consumer Staples............................. 9.3% Energy....................................... 2.2% Financials................................... 17.7% Health Care.................................. 6.2% Industrials.................................. 17.1% Information Technology....................... 12.4% Materials.................................... 12.9% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 0.7% Utilities.................................... 3.4% ----- 100.0%
193 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (96.2%) Consumer Discretionary -- (12.9%) Carnival Corp........................ 2,385,423 $ 82,320,948 0.6% Comcast Corp. Class A................ 10,008,890 413,367,157 3.2% Comcast Corp. Special Class A........ 3,843,964 151,029,346 1.2% #* General Motors Co.................... 2,302,737 71,016,409 0.6% # News Corp. Class A................... 2,241,856 69,430,280 0.5% Time Warner Cable, Inc............... 1,921,256 180,386,726 1.4% Time Warner, Inc..................... 4,853,977 290,170,745 2.3% Other Securities..................... 465,752,512 3.6% -------------- ----- Total Consumer Discretionary............. 1,723,474,123 13.4% -------------- ----- Consumer Staples -- (7.4%) Archer-Daniels-Midland Co............ 3,155,848 107,109,481 0.8% CVS Caremark Corp.................... 6,004,478 349,340,530 2.7% Mondelez International, Inc. Class A. 7,330,703 230,550,609 1.8% Other Securities..................... 305,954,763 2.4% -------------- ----- Total Consumer Staples................... 992,955,383 7.7% -------------- ----- Energy -- (19.5%) Anadarko Petroleum Corp.............. 2,478,744 210,098,341 1.6% Apache Corp.......................... 1,208,836 89,308,804 0.7% Chevron Corp......................... 3,863,466 471,381,487 3.7% ConocoPhillips....................... 5,899,107 356,601,018 2.8% # Hess Corp............................ 1,567,373 113,132,983 0.9% Marathon Oil Corp.................... 3,447,108 112,617,018 0.9% Marathon Petroleum Corp.............. 1,791,952 140,417,359 1.1% National Oilwell Varco, Inc.......... 1,661,481 108,361,791 0.8% Occidental Petroleum Corp............ 1,349,242 120,433,341 0.9% Phillips 66.......................... 2,926,797 178,388,277 1.4% * Transocean, Ltd...................... 1,261,179 64,912,883 0.5% Valero Energy Corp................... 2,806,975 113,177,232 0.9% Other Securities..................... 525,193,006 4.1% -------------- ----- Total Energy............................. 2,604,023,540 20.3% -------------- ----- Financials -- (23.1%) * American International Group, Inc.... 6,622,622 274,309,003 2.1% # Bank of America Corp................. 38,925,898 479,177,804 3.7% # Bank of New York Mellon Corp. (The).. 3,040,229 85,795,262 0.7% Citigroup, Inc....................... 10,372,454 483,978,704 3.8% # CME Group, Inc....................... 1,599,345 97,336,137 0.8% Goldman Sachs Group, Inc. (The)...... 786,395 114,868,718 0.9% # JPMorgan Chase & Co.................. 3,775,507 185,037,598 1.4% Loews Corp........................... 2,050,343 91,588,822 0.7% MetLife, Inc......................... 4,759,859 185,586,902 1.4% Morgan Stanley....................... 6,429,315 142,409,327 1.1% Prudential Financial, Inc............ 2,287,609 138,217,336 1.1% # SunTrust Banks, Inc.................. 2,564,707 75,017,680 0.6% Other Securities..................... 721,595,925 5.6% -------------- ----- Total Financials......................... 3,074,919,218 23.9% -------------- -----
194 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (7.5%) # Aetna, Inc................................. 1,693,713 $ 97,286,875 0.8% Pfizer, Inc................................ 9,837,358 285,971,997 2.2% Thermo Fisher Scientific, Inc.............. 1,932,026 155,875,858 1.2% # WellPoint, Inc............................. 1,824,634 133,052,311 1.0% Other Securities........................... 326,119,456 2.6% --------------- ------ Total Health Care................................ 998,306,497 7.8% --------------- ------ Industrials -- (12.0%) CSX Corp................................... 5,517,066 135,664,653 1.1% # General Electric Co........................ 19,480,526 434,220,925 3.4% Norfolk Southern Corp...................... 1,681,939 130,215,717 1.0% # Northrop Grumman Corp...................... 1,364,645 103,358,212 0.8% Union Pacific Corp......................... 2,173,679 321,617,545 2.5% Other Securities........................... 478,671,027 3.7% --------------- ------ Total Industrials................................ 1,603,748,079 12.5% --------------- ------ Information Technology -- (4.7%) # Hewlett-Packard Co......................... 5,006,539 103,134,703 0.8% * Yahoo!, Inc................................ 4,116,468 101,800,254 0.8% Other Securities........................... 425,616,152 3.3% --------------- ------ Total Information Technology..................... 630,551,109 4.9% --------------- ------ Materials -- (3.3%) # Freeport-McMoRan Copper & Gold, Inc........ 2,348,639 71,469,085 0.6% International Paper Co..................... 2,224,458 104,505,037 0.8% Other Securities........................... 267,195,954 2.0% --------------- ------ Total Materials.................................. 443,170,076 3.4% --------------- ------ Telecommunication Services -- (5.4%) AT&T, Inc.................................. 13,051,893 488,923,912 3.8% # CenturyLink, Inc........................... 2,353,137 88,407,357 0.7% * Sprint Nextel Corp......................... 13,961,200 98,426,460 0.7% Other Securities........................... 44,313,466 0.4% --------------- ------ Total Telecommunication Services................. 720,071,195 5.6% --------------- ------ Utilities -- (0.4%) Other Securities........................... 46,400,297 0.4% --------------- ------ TOTAL COMMON STOCKS.............................. 12,837,619,517 99.9% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves. 37,139,776 37,139,776 0.3% --------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (3.5%) (S)@ DFA Short Term Investment Fund............. 40,224,004 465,391,729 3.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $9,150,048,349)........................ $13,340,151,022 103.8% =============== ======
195 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- ------------ ------- --------------- Common Stocks Consumer Discretionary...... $ 1,723,474,123 -- -- $ 1,723,474,123 Consumer Staples............ 992,955,383 -- -- 992,955,383 Energy...................... 2,604,023,540 -- -- 2,604,023,540 Financials.................. 3,074,919,218 -- -- 3,074,919,218 Health Care................. 998,306,497 -- -- 998,306,497 Industrials................. 1,603,748,079 -- -- 1,603,748,079 Information Technology...... 630,551,109 -- -- 630,551,109 Materials................... 443,170,076 -- -- 443,170,076 Telecommunication Services.. 720,071,195 -- -- 720,071,195 Utilities................... 46,400,297 -- -- 46,400,297 Temporary Cash Investments.... 37,139,776 -- -- 37,139,776 Securities Lending Collateral. -- $465,391,729 -- 465,391,729 --------------- ------------ -- --------------- TOTAL......................... $12,874,759,293 $465,391,729 -- $13,340,151,022 =============== ============ == ===============
See accompanying Notes to Financial Statements. 196 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (88.0%) AUSTRALIA -- (5.0%) Suncorp Group, Ltd............... 3,736,013 $ 50,317,710 0.6% Wesfarmers, Ltd.................. 2,584,670 116,279,925 1.4% Other Securities................. 291,706,689 3.6% -------------- ------ TOTAL AUSTRALIA...................... 458,304,324 5.6% -------------- ------ AUSTRIA -- (0.2%) Other Securities................. 22,620,434 0.3% -------------- ------ BELGIUM -- (1.1%) Other Securities................. 97,018,246 1.2% -------------- ------ CANADA -- (8.7%) Canadian Natural Resources, Ltd.. 1,849,320 54,243,293 0.7% Goldcorp, Inc.................... 1,686,234 49,911,656 0.6% # Manulife Financial Corp.......... 4,587,163 67,797,764 0.8% # Sun Life Financial, Inc.......... 1,565,269 44,155,983 0.6% Suncor Energy, Inc............... 3,750,370 116,928,008 1.4% # Thomson Reuters Corp............. 1,832,184 61,378,937 0.8% Other Securities................. 404,553,580 4.9% -------------- ------ TOTAL CANADA......................... 798,969,221 9.8% -------------- ------ DENMARK -- (1.2%) Other Securities................. 108,958,158 1.3% -------------- ------ FINLAND -- (0.5%) Other Securities................. 48,558,445 0.6% -------------- ------ FRANCE -- (8.2%) # AXA SA........................... 4,004,754 74,995,536 0.9% BNP Paribas SA................... 1,973,903 110,060,678 1.4% Cie de St-Gobain................. 1,039,077 41,613,919 0.5% France Telecom SA................ 3,875,091 41,383,566 0.5% # GDF Suez......................... 3,247,971 69,637,459 0.9% * Societe Generale SA.............. 1,823,515 66,242,789 0.8% Vivendi SA....................... 3,686,124 83,497,667 1.0% Other Securities................. 259,788,588 3.2% -------------- ------ TOTAL FRANCE......................... 747,220,202 9.2% -------------- ------ GERMANY -- (7.4%) # Allianz SE....................... 517,629 76,567,951 0.9% # Allianz SE ADR................... 2,811,910 41,475,672 0.5% Bayerische Motoren Werke AG...... 663,299 61,335,322 0.8% Daimler AG....................... 2,088,586 115,801,750 1.4% Deutsche Bank AG................. 1,538,807 70,835,958 0.9% # E.ON SE.......................... 3,592,972 65,250,322 0.8% # Muenchener Rueckversicherungs AG. 395,244 79,169,861 1.0% Other Securities................. 164,745,466 2.0% -------------- ------ TOTAL GERMANY........................ 675,182,302 8.3% -------------- ------ GREECE -- (0.0%) Other Securities................. 3,881,280 0.0% -------------- ------
197 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.1%) Hutchison Whampoa, Ltd.................. 5,818,000 $ 63,182,649 0.8% Other Securities........................ 129,361,801 1.6% -------------- ------ TOTAL HONG KONG............................. 192,544,450 2.4% -------------- ------ IRELAND -- (0.1%) Other Securities........................ 13,278,889 0.2% -------------- ------ ISRAEL -- (0.3%) Other Securities........................ 31,737,065 0.4% -------------- ------ ITALY -- (1.1%) * UniCredit SpA........................... 8,189,815 42,805,198 0.5% Other Securities........................ 55,555,418 0.7% -------------- ------ TOTAL ITALY................................. 98,360,616 1.2% -------------- ------ JAPAN -- (17.8%) Mitsubishi Corp......................... 3,047,600 54,863,679 0.7% Mitsubishi Heavy Industries, Ltd........ 7,405,000 51,065,254 0.6% Mitsubishi UFJ Financial Group, Inc..... 22,830,706 154,902,674 1.9% Mitsui & Co., Ltd....................... 3,522,000 48,521,389 0.6% Nomura Holdings, Inc.................... 7,769,100 63,494,551 0.8% Other Securities........................ 1,260,958,457 15.4% -------------- ------ TOTAL JAPAN................................. 1,633,806,004 20.0% -------------- ------ NETHERLANDS -- (2.5%) * ING Groep NV............................ 5,697,333 46,933,717 0.6% Koninklijke Philips Electronics NV...... 1,957,968 54,192,709 0.7% Other Securities........................ 125,436,586 1.5% -------------- ------ TOTAL NETHERLANDS........................... 226,563,012 2.8% -------------- ------ NEW ZEALAND -- (0.1%) Other Securities........................ 6,442,372 0.1% -------------- ------ NORWAY -- (1.0%) Other Securities........................ 89,934,209 1.1% -------------- ------ PORTUGAL -- (0.1%) Other Securities........................ 6,134,640 0.1% -------------- ------ SINGAPORE -- (1.2%) Other Securities........................ 109,000,646 1.3% -------------- ------ SPAIN -- (1.8%) Banco Santander SA...................... 8,322,004 60,097,740 0.8% Other Securities........................ 107,810,382 1.3% -------------- ------ TOTAL SPAIN................................. 167,908,122 2.1% -------------- ------ SWEDEN -- (3.1%) Nordea Bank AB.......................... 5,366,449 64,574,595 0.8% # Telefonaktiebolaget LM Ericsson Class B. 4,713,081 58,613,629 0.7% Other Securities........................ 156,800,588 1.9% -------------- ------ TOTAL SWEDEN................................ 279,988,812 3.4% -------------- ------
198 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (6.4%) Credit Suisse Group AG........................................ 1,685,212 $ 46,800,075 0.6% Holcim, Ltd................................................... 887,877 69,258,838 0.8% Swiss Re AG................................................... 1,108,107 88,184,915 1.1% UBS AG........................................................ 5,895,747 105,170,761 1.3% Zurich Insurance Group AG..................................... 236,698 66,143,271 0.8% Other Securities.............................................. 212,188,323 2.6% -------------- ------ TOTAL SWITZERLAND................................................... 587,746,183 7.2% -------------- ------ UNITED KINGDOM -- (18.1%) Barclays P.L.C................................................ 11,591,752 51,727,912 0.6% # Barclays P.L.C. Sponsored ADR................................. 4,591,659 82,558,029 1.0% # BP P.L.C. Sponsored ADR....................................... 5,486,298 239,202,592 2.9% # HSBC Holdings P.L.C. Sponsored ADR............................ 1,661,423 91,145,665 1.1% Kingfisher P.L.C.............................................. 10,285,817 50,118,996 0.6% * Lloyds Banking Group P.L.C.................................... 82,680,839 70,236,780 0.9% Old Mutual P.L.C.............................................. 13,164,620 41,989,733 0.5% # Royal Dutch Shell P.L.C. ADR.................................. 3,323,210 231,926,826 2.8% Vodafone Group P.L.C.......................................... 34,976,333 106,723,100 1.3% Vodafone Group P.L.C. Sponsored ADR........................... 8,116,661 248,288,660 3.1% Xstrata P.L.C................................................. 5,211,952 78,431,883 1.0% Other Securities.............................................. 366,277,452 4.5% -------------- ------ TOTAL UNITED KINGDOM................................................ 1,658,627,628 20.3% -------------- ------ TOTAL COMMON STOCKS................................................. 8,062,785,260 98.9% -------------- ------ PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities.............................................. 26,234,060 0.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities.............................................. 1,722,022 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund................................ 92,826,275 1,074,000,000 13.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $29,728 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $30,383) to be repurchased at $29,787.... $ 30 29,787 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................. 1,074,029,787 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,013,442,781)........................................... $9,164,771,129 112.4% ============== ======
199 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks................. Australia................... $ 3,531,691 $ 454,772,633 -- $ 458,304,324 Austria..................... -- 22,620,434 -- 22,620,434 Belgium..................... 3,306,779 93,711,467 -- 97,018,246 Canada...................... 798,969,221 -- -- 798,969,221 Denmark..................... -- 108,958,158 -- 108,958,158 Finland..................... 1,353,012 47,205,433 -- 48,558,445 France...................... 5,640,035 741,580,167 -- 747,220,202 Germany..................... 101,938,532 573,243,770 -- 675,182,302 Greece...................... -- 3,881,280 -- 3,881,280 Hong Kong................... -- 192,544,450 -- 192,544,450 Ireland..................... 5,183,802 8,095,087 -- 13,278,889 Israel...................... 2,263,802 29,473,263 -- 31,737,065 Italy....................... 15,633,330 82,727,286 -- 98,360,616 Japan....................... 107,502,998 1,526,303,006 -- 1,633,806,004 Netherlands................. 12,761,638 213,801,374 -- 226,563,012 New Zealand................. -- 6,442,372 -- 6,442,372 Norway...................... 277,936 89,656,273 -- 89,934,209 Portugal.................... -- 6,134,640 -- 6,134,640 Singapore................... -- 109,000,646 -- 109,000,646 Spain....................... 10,049,849 157,858,273 -- 167,908,122 Sweden...................... 11,721,114 268,267,698 -- 279,988,812 Switzerland................. 82,499,635 505,246,548 -- 587,746,183 United Kingdom.............. 944,918,493 713,709,135 -- 1,658,627,628 Preferred Stocks.............. Germany..................... -- 26,234,060 -- 26,234,060 Rights/Warrants............... Spain....................... -- 1,722,022 -- 1,722,022 Securities Lending Collateral. -- 1,074,029,787 -- 1,074,029,787 -------------- -------------- -- -------------- TOTAL......................... $2,107,551,867 $7,057,219,262 -- $9,164,771,129 ============== ============== == ==============
See accompanying Notes to Financial Statements. 200 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.9%) Consumer Discretionary -- (19.8%) # Accordia Golf Co., Ltd............... 5,759 $ 6,542,864 0.3% Aoyama Trading Co., Ltd.............. 315,900 9,453,137 0.4% Autobacs Seven Co., Ltd.............. 378,000 6,369,867 0.3% * Haseko Corp.......................... 7,564,500 11,050,940 0.5% Onward Holdings Co., Ltd............. 750,000 7,008,553 0.3% Resorttrust, Inc..................... 190,308 6,484,754 0.3% Shimachu Co., Ltd.................... 269,200 7,112,765 0.3% # Tokyo Dome Corp...................... 984,200 7,604,167 0.3% TS Tech Co., Ltd..................... 237,100 7,200,077 0.3% Other Securities..................... 434,210,042 19.5% ------------ ----- Total Consumer Discretionary............. 503,037,166 22.5% ------------ ----- Consumer Staples -- (7.6%) Nichirei Corp........................ 1,248,000 7,341,778 0.3% Pigeon Corp.......................... 95,800 8,241,597 0.4% Sapporo Holdings, Ltd................ 1,751,000 7,971,794 0.4% # Takara Holdings, Inc................. 834,500 7,160,239 0.3% Other Securities..................... 162,030,880 7.2% ------------ ----- Total Consumer Staples................... 192,746,288 8.6% ------------ ----- Energy -- (0.5%) Other Securities..................... 13,433,176 0.6% ------------ ----- Financials -- (11.0%) Daikyo, Inc.......................... 1,923,000 7,436,992 0.3% Daishi Bank, Ltd. (The).............. 1,819,000 7,195,403 0.3% Heiwa Real Estate Co., Ltd........... 252,000 6,420,815 0.3% Higo Bank, Ltd. (The)................ 961,000 6,516,746 0.3% Hokkoku Bank, Ltd. (The)............. 1,524,000 6,465,966 0.3% Hyakugo Bank, Ltd. (The)............. 1,343,609 6,726,384 0.3% Juroku Bank, Ltd. (The).............. 1,697,000 7,214,824 0.3% Kiyo Holdings, Inc................... 3,822,900 6,672,335 0.3% Musashino Bank, Ltd. (The)........... 179,600 7,635,869 0.3% Ogaki Kyoritsu Bank, Ltd. (The)...... 1,749,000 6,504,081 0.3% San-In Godo Bank, Ltd. (The)......... 902,000 7,692,916 0.3% Tokai Tokyo Financial Holdings, Inc.. 974,500 8,862,135 0.4% Other Securities..................... 194,388,451 8.8% ------------ ----- Total Financials......................... 279,732,917 12.5% ------------ ----- Health Care -- (4.2%) Kaken Pharmaceutical Co., Ltd........ 364,000 6,454,551 0.3% Nihon Kohden Corp.................... 180,400 6,927,511 0.3% # Nipro Corp........................... 728,700 7,274,059 0.3% Ship Healthcare Holdings, Inc........ 184,300 7,093,962 0.3% Other Securities..................... 78,315,659 3.5% ------------ ----- Total Health Care........................ 106,065,742 4.7% ------------ ----- Industrials -- (24.6%) Fujikura, Ltd........................ 2,032,000 7,614,657 0.3% # Furukawa Electric Co., Ltd........... 2,638,000 6,675,660 0.3% Glory, Ltd........................... 246,600 6,776,425 0.3% Hitachi Zosen Corp................... 4,351,500 7,235,520 0.3% Kawasaki Kisen Kaisha, Ltd........... 3,720,000 8,185,247 0.4%
201 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) # Minebea Co., Ltd................................................. 1,975,000 $ 6,312,098 0.3% # Mitsui Engineering & Shipbuilding Co., Ltd....................... 4,072,000 7,534,417 0.3% # Mori Seiki Co., Ltd.............................................. 541,700 6,807,497 0.3% # NTN Corp......................................................... 2,638,000 6,727,343 0.3% Sankyu, Inc...................................................... 1,490,000 6,659,659 0.3% Sanwa Holdings Corp.............................................. 1,215,000 7,373,305 0.3% Seino Holdings Co., Ltd.......................................... 763,000 6,674,879 0.3% Tadano, Ltd...................................................... 578,579 7,242,471 0.3% Other Securities................................................. 534,306,169 24.0% -------------- ------ Total Industrials...................................................... 626,125,347 28.0% -------------- ------ Information Technology -- (9.1%) Alps Electric Co., Ltd........................................... 1,084,100 8,264,325 0.4% Horiba, Ltd...................................................... 218,850 7,912,424 0.4% IT Holdings Corp................................................. 445,001 6,680,243 0.3% Taiyo Yuden Co., Ltd............................................. 619,100 8,967,824 0.4% Other Securities................................................. 199,744,457 8.9% -------------- ------ Total Information Technology........................................... 231,569,273 10.4% -------------- ------ Materials -- (9.7%) Mitsui Mining & Smelting Co., Ltd................................ 3,218,000 7,252,983 0.3% Sumitomo Osaka Cement Co., Ltd................................... 2,274,000 6,816,692 0.3% # Tosoh Corp....................................................... 2,648,000 8,733,620 0.4% # Toyobo Co., Ltd.................................................. 4,659,000 8,131,029 0.4% Other Securities................................................. 215,713,604 9.6% -------------- ------ Total Materials........................................................ 246,647,928 11.0% -------------- ------ Telecommunication Services -- (0.0%) Other Securities................................................. 778,587 0.0% -------------- ------ Utilities -- (0.4%) Other Securities................................................. 9,930,498 0.5% -------------- ------ TOTAL COMMON STOCKS.................................................... 2,210,066,922 98.8% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (13.1%) (S)@ DFA Short Term Investment Fund................................... 28,694,901 332,000,000 14.8% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $156,035 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $159,474) to be repurchased at $156,348............... $ 156 156,347 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 332,156,347 14.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,346,323,895).............................................. $2,542,223,269 113.6% ============== ======
202 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ---------- -------------- ------- -------------- Common Stocks................. Consumer Discretionary...... $2,291,045 $ 500,746,121 -- $ 503,037,166 Consumer Staples............ -- 192,746,288 -- 192,746,288 Energy...................... -- 13,433,176 -- 13,433,176 Financials.................. -- 279,732,917 -- 279,732,917 Health Care................. -- 106,065,742 -- 106,065,742 Industrials................. -- 626,125,347 -- 626,125,347 Information Technology...... -- 231,569,273 -- 231,569,273 Materials................... -- 246,647,928 -- 246,647,928 Telecommunication Services.. -- 778,587 -- 778,587 Utilities................... -- 9,930,498 -- 9,930,498 Securities Lending Collateral. -- 332,156,347 -- 332,156,347 ---------- -------------- -- -------------- TOTAL......................... $2,291,045 $2,539,932,224 -- $2,542,223,269 ========== ============== == ==============
See accompanying Notes to Financial Statements. 203 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (80.0%) AUSTRALIA -- (41.8%) Adelaide Brighton, Ltd................ 1,442,564 $ 5,090,254 0.5% Ansell, Ltd........................... 414,608 6,798,095 0.6% Aristocrat Leisure, Ltd............... 2,580,305 10,545,875 0.9% Arrium, Ltd........................... 6,037,433 5,338,333 0.5% Australian Infrastructure Fund........ 3,606,473 11,777,824 1.0% Beach Energy, Ltd..................... 5,953,760 8,410,117 0.7% * BlueScope Steel, Ltd.................. 2,479,552 12,767,776 1.1% # Bradken, Ltd.......................... 1,022,589 5,457,992 0.5% # carsales.com, Ltd..................... 1,220,399 12,244,595 1.1% # CSR, Ltd.............................. 2,700,745 5,687,955 0.5% # David Jones, Ltd...................... 3,152,271 9,743,769 0.9% # Downer EDI, Ltd....................... 2,033,977 10,369,340 0.9% # DuluxGroup, Ltd....................... 2,216,962 10,791,603 1.0% Envestra, Ltd......................... 6,189,006 6,730,567 0.6% # Fairfax Media, Ltd.................... 7,895,659 5,326,072 0.5% #* Goodman Fielder, Ltd.................. 9,040,600 7,269,865 0.6% # GrainCorp, Ltd. Class A............... 828,668 11,009,709 1.0% Invocare, Ltd......................... 633,106 7,663,599 0.7% IOOF Holdings, Ltd.................... 1,074,600 9,828,713 0.9% # Iress, Ltd............................ 603,773 5,235,671 0.5% # JB Hi-Fi, Ltd......................... 582,072 9,663,897 0.9% # Mineral Resources, Ltd................ 535,822 5,425,566 0.5% # Monadelphous Group, Ltd............... 232,938 5,061,629 0.5% # Myer Holdings, Ltd.................... 3,564,925 11,873,253 1.0% # Navitas, Ltd.......................... 1,189,617 6,676,214 0.6% # Perpetual, Ltd........................ 226,579 9,682,608 0.9% # Primary Health Care, Ltd.............. 1,709,571 9,343,356 0.8% REA Group, Ltd........................ 162,151 5,232,021 0.5% Reece Australia, Ltd.................. 238,257 5,746,614 0.5% Spark Infrastructure Group............ 3,454,752 6,412,146 0.6% # Super Retail Group, Ltd............... 1,291,875 17,641,955 1.6% TPG Telecom, Ltd...................... 1,569,063 5,895,973 0.5% # UGL, Ltd.............................. 614,661 6,415,406 0.6% Other Securities...................... 319,052,173 27.3% ------------ ----- TOTAL AUSTRALIA........................... 592,210,535 51.8% ------------ ----- CANADA -- (0.0%) Other Securities...................... 122,963 0.0% ------------ ----- CHINA -- (0.1%) Other Securities...................... 1,998,166 0.2% ------------ ----- HONG KONG -- (19.6%) # Esprit Holdings, Ltd.................. 10,193,650 14,335,770 1.3% # Giordano International, Ltd........... 7,892,000 7,931,135 0.7% # Luk Fook Holdings International, Ltd.. 2,042,000 5,821,518 0.5% Melco International Development, Ltd.. 6,017,000 11,742,966 1.0% Pacific Basin Shipping, Ltd........... 9,981,000 5,709,571 0.5% # SA SA International Holdings, Ltd..... 6,588,000 6,902,960 0.6% Vitasoy International Holdings, Ltd... 4,061,000 4,948,221 0.4%
204 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (Continued) Xinyi Glass Holdings, Ltd...................................... 11,762,000 $ 8,066,281 0.7% Other Securities............................................... 211,784,246 18.6% -------------- ------ TOTAL HONG KONG...................................................... 277,242,668 24.3% -------------- ------ NEW ZEALAND -- (6.1%) # Fisher & Paykel Healthcare Corp., Ltd.......................... 3,204,679 7,286,306 0.6% Infratil, Ltd.................................................. 2,502,956 4,946,282 0.4% Port of Tauranga, Ltd.......................................... 528,322 7,021,580 0.6% # Ryman Healthcare, Ltd.......................................... 1,710,210 8,947,573 0.8% Sky Network Television, Ltd.................................... 1,006,593 4,938,815 0.4% SKYCITY Entertainment Group, Ltd............................... 3,254,988 12,450,784 1.1% Other Securities............................................... 41,274,728 3.7% -------------- ------ TOTAL NEW ZEALAND.................................................... 86,866,068 7.6% -------------- ------ SINGAPORE -- (12.4%) * Biosensors International Group, Ltd............................ 5,439,237 5,313,428 0.5% Singapore Post, Ltd............................................ 8,035,120 8,420,456 0.7% Venture Corp., Ltd............................................. 1,221,000 8,247,318 0.7% Other Securities............................................... 154,187,196 13.5% -------------- ------ TOTAL SINGAPORE...................................................... 176,168,398 15.4% -------------- ------ UNITED STATES -- (0.0%) Other Securities............................................... 316,866 0.0% -------------- ------ TOTAL COMMON STOCKS.................................................. 1,134,925,664 99.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities............................................... 54,322 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities............................................... -- 0.0% -------------- ------ SINGAPORE -- (0.0%) Other Securities............................................... 4,384 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................................ 58,706 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (20.0%) (S)@ DFA Short Term Investment Fund................................. 24,459,810 283,000,000 24.8% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $226,399 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $231,389) to be repurchased at $226,853...................................................... $ 227 226,852 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 283,226,852 24.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,293,282,212)............................................ $1,418,211,222 124.1% ============== ======
205 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ---------- -------------- ------- -------------- Common Stocks Australia................... $ 18,786 $ 592,191,749 -- $ 592,210,535 Canada...................... 2 122,961 -- 122,963 China....................... 239,332 1,758,834 -- 1,998,166 Hong Kong................... 162,511 277,080,157 -- 277,242,668 New Zealand................. -- 86,866,068 -- 86,866,068 Singapore................... 425,416 175,742,982 -- 176,168,398 United States............... 316,866 -- -- 316,866 Rights/Warrants Australia................... -- 54,322 -- 54,322 Hong Kong................... -- -- -- -- Singapore................... -- 4,384 -- 4,384 Securities Lending Collateral. -- 283,226,852 -- 283,226,852 ---------- -------------- -- -------------- TOTAL......................... $1,162,913 $1,417,048,309 -- $1,418,211,222 ========== ============== == ==============
See accompanying Notes to Financial Statements. 206 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (97.1%) Consumer Discretionary -- (26.0%) * Barratt Developments P.L.C......... 4,717,626 $ 22,837,159 1.4% Bellway P.L.C...................... 511,971 10,709,303 0.6% Berkeley Group Holdings P.L.C...... 597,347 19,368,537 1.2% Bovis Homes Group P.L.C............ 875,787 10,450,186 0.6% Daily Mail & General Trust P.L.C... 1,312,593 14,027,068 0.8% Greene King P.L.C.................. 1,421,372 16,064,330 1.0% Inchcape P.L.C..................... 2,090,755 16,298,929 1.0% Informa P.L.C...................... 2,624,520 19,528,851 1.2% ITV P.L.C.......................... 7,691,118 15,039,393 0.9% Ladbrokes P.L.C.................... 3,967,821 11,683,417 0.7% Persimmon P.L.C.................... 1,455,388 24,448,613 1.5% Taylor Wimpey P.L.C................ 15,614,170 22,592,584 1.4% UBM P.L.C.......................... 964,330 10,967,554 0.7% William Hill P.L.C................. 4,017,244 26,619,844 1.6% Other Securities................... 201,412,340 11.9% ------------ ----- Total Consumer Discretionary........... 442,048,108 26.5% ------------ ----- Consumer Staples -- (3.5%) Booker Group P.L.C................. 6,674,336 12,345,287 0.7% Other Securities................... 47,225,018 2.9% ------------ ----- Total Consumer Staples................. 59,570,305 3.6% ------------ ----- Energy -- (4.7%) * Afren P.L.C........................ 5,276,338 11,012,086 0.7% * Cairn Energy P.L.C................. 2,238,951 10,053,925 0.6% John Wood Group P.L.C.............. 1,017,921 12,286,025 0.7% * Premier Oil P.L.C.................. 2,273,981 13,197,663 0.8% Other Securities................... 34,092,491 2.1% ------------ ----- Total Energy........................... 80,642,190 4.9% ------------ ----- Financials -- (14.6%) Aberdeen Asset Management P.L.C.... 1,807,795 12,618,963 0.8% Amlin P.L.C........................ 2,325,250 15,337,552 0.9% Catlin Group, Ltd.................. 1,706,158 13,947,116 0.8% Close Brothers Group P.L.C......... 681,659 11,005,044 0.7% # Henderson Group P.L.C.............. 4,716,689 12,121,738 0.7% Hiscox, Ltd........................ 1,607,805 14,014,465 0.8% IG Group Holdings P.L.C............ 1,481,677 12,410,176 0.8% London Stock Exchange Group P.L.C.. 556,831 11,619,148 0.7% Man Group P.L.C.................... 7,738,625 12,305,131 0.7% Other Securities................... 133,154,080 8.0% ------------ ----- Total Financials....................... 248,533,413 14.9% ------------ ----- Health Care -- (2.3%) Other Securities................... 38,931,141 2.3% ------------ ----- Industrials -- (26.1%) Ashtead Group P.L.C................ 2,503,056 22,891,572 1.4% Babcock International Group P.L.C.. 941,424 15,665,348 0.9% Balfour Beatty P.L.C............... 3,201,702 10,751,168 0.6% BBA Aviation P.L.C................. 2,792,163 10,901,701 0.7% Bodycote P.L.C..................... 1,253,236 10,097,323 0.6% Cobham P.L.C....................... 4,859,398 18,931,800 1.1%
207 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) easyJet P.L.C.................................................. 692,439 $ 12,041,163 0.7% IMI P.L.C...................................................... 576,558 11,113,814 0.7% Invensys P.L.C................................................. 3,349,956 20,056,348 1.2% Meggitt P.L.C.................................................. 2,213,833 16,134,787 1.0% Melrose Industries P.L.C....................................... 4,640,545 17,590,114 1.1% Rotork P.L.C................................................... 332,184 15,028,423 0.9% Spirax-Sarco Engineering P.L.C................................. 320,648 13,098,841 0.8% Travis Perkins P.L.C........................................... 944,677 21,078,338 1.3% Other Securities............................................... 229,461,959 13.7% -------------- ------ Total Industrials.................................................... 444,842,699 26.7% -------------- ------ Information Technology -- (8.1%) Halma P.L.C.................................................... 1,567,406 12,201,858 0.7% Spectris P.L.C................................................. 521,339 17,113,401 1.0% Other Securities............................................... 108,637,221 6.6% -------------- ------ Total Information Technology......................................... 137,952,480 8.3% -------------- ------ Materials -- (7.2%) Croda International P.L.C...................................... 442,133 17,044,012 1.0% DS Smith P.L.C................................................. 4,492,720 16,322,747 1.0% Mondi P.L.C.................................................... 1,136,556 15,104,239 0.9% Other Securities............................................... 73,639,619 4.4% -------------- ------ Total Materials...................................................... 122,110,617 7.3% -------------- ------ Telecommunication Services -- (2.3%) Inmarsat P.L.C................................................. 1,776,643 19,970,025 1.2% Other Securities............................................... 18,716,340 1.1% -------------- ------ Total Telecommunication Services..................................... 38,686,365 2.3% -------------- ------ Utilities -- (2.3%) Drax Group P.L.C............................................... 1,866,554 17,814,212 1.1% Pennon Group P.L.C............................................. 1,587,350 16,907,357 1.0% Other Securities............................................... 4,174,174 0.2% -------------- ------ Total Utilities...................................................... 38,895,743 2.3% -------------- ------ TOTAL COMMON STOCKS.................................................. 1,652,213,061 99.1% -------------- ------ PREFERRED STOCKS -- (0.0%) Other Securities............................................... 22,592 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (2.9%) (S)@ DFA Short Term Investment Fund................................. 4,235,091 49,000,000 3.0% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $330,564 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $337,850) to be repurchased at $331,226...................................................... $ 331 331,225 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 49,331,225 3.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,263,123,007)............................................ $1,701,566,878 102.1% ============== ======
208 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ---------- -------------- ------- -------------- Common Stocks Consumer Discretionary...... -- $ 442,048,108 -- $ 442,048,108 Consumer Staples............ -- 59,570,305 -- 59,570,305 Energy...................... -- 80,642,190 -- 80,642,190 Financials.................. -- 248,533,413 -- 248,533,413 Health Care................. -- 38,931,141 -- 38,931,141 Industrials................. $ 759,910 444,082,789 -- 444,842,699 Information Technology...... -- 137,952,480 -- 137,952,480 Materials................... 556,968 121,553,649 -- 122,110,617 Telecommunication Services.. -- 38,686,365 -- 38,686,365 Utilities................... -- 38,895,743 -- 38,895,743 Preferred Stocks.............. -- 22,592 -- 22,592 Securities Lending Collateral. -- 49,331,225 -- 49,331,225 ---------- -------------- -- -------------- TOTAL......................... $1,316,878 $1,700,250,000 -- $1,701,566,878 ========== ============== == ==============
See accompanying Notes to Financial Statements. 209 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (81.8%) AUSTRIA -- (2.1%) Other Securities.......... $ 64,941,838 2.5% ------------ ----- BELGIUM -- (2.8%) Ackermans & van Haaren NV. 118,073 10,045,836 0.4% Other Securities.......... 78,230,973 3.0% ------------ ----- TOTAL BELGIUM................. 88,276,809 3.4% ------------ ----- DENMARK -- (3.7%) GN Store Nord A.S......... 812,990 14,869,013 0.6% * Jyske Bank A.S............ 252,239 9,827,073 0.4% * Topdanmark A.S............ 533,860 13,704,522 0.5% Other Securities.......... 79,982,686 3.1% ------------ ----- TOTAL DENMARK................. 118,383,294 4.6% ------------ ----- FINLAND -- (5.5%) Amer Sports Oyj........... 509,189 8,675,633 0.3% # Elisa Oyj................. 517,952 9,824,490 0.4% # Konecranes Oyj............ 245,559 8,930,350 0.4% # Orion Oyj Class B......... 384,369 11,045,908 0.4% # Outotec Oyj............... 697,608 10,205,942 0.4% YIT Oyj................... 483,134 9,146,360 0.4% Other Securities.......... 116,544,243 4.4% ------------ ----- TOTAL FINLAND................. 174,372,926 6.7% ------------ ----- FRANCE -- (8.9%) #* Alcatel-Lucent............ 11,358,071 15,642,960 0.6% # Neopost SA................ 156,473 10,314,370 0.4% Rubis SCA................. 135,632 8,722,338 0.3% Teleperformance........... 256,661 11,287,556 0.4% Other Securities.......... 233,117,327 9.0% ------------ ----- TOTAL FRANCE.................. 279,084,551 10.7% ------------ ----- GERMANY -- (12.0%) * Aareal Bank AG............ 423,110 10,197,280 0.4% Aurubis AG................ 153,470 9,681,970 0.4% Deutsche Wohnen AG........ 700,454 12,352,943 0.5% # Freenet AG................ 416,629 10,387,704 0.4% Rhoen Klinikum AG......... 449,257 9,591,339 0.4% # Software AG............... 286,671 10,046,537 0.4% Stada Arzneimittel AG..... 256,735 10,411,937 0.4% Symrise AG................ 217,690 9,304,894 0.4% Other Securities.......... 294,886,731 11.2% ------------ ----- TOTAL GERMANY................. 376,861,335 14.5% ------------ ----- GREECE -- (1.8%) Other Securities.......... 57,606,670 2.2% ------------ ----- IRELAND -- (2.6%) DCC P.L.C................. 308,989 11,304,049 0.4% Dragon Oil P.L.C.......... 967,071 9,394,702 0.4% Glanbia P.L.C............. 700,613 9,380,303 0.4%
210 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (Continued) Paddy Power P.L.C........................... 180,573 $ 15,178,816 0.6% Other Securities............................ 35,461,509 1.3% --------------- ----- TOTAL IRELAND................................... 80,719,379 3.1% --------------- ----- ISRAEL -- (2.5%) Other Securities............................ 80,180,475 3.1% --------------- ----- ITALY -- (7.1%) Banca Popolare dell'Emilia Romagna S.c.r.l.. 1,388,798 11,778,122 0.5% #* Banca Popolare di Milano Scarl.............. 13,261,458 8,880,634 0.3% * Banco Popolare.............................. 6,663,294 9,625,574 0.4% #* Finmeccanica SpA............................ 1,768,900 9,214,349 0.4% Other Securities............................ 182,935,403 7.0% --------------- ----- TOTAL ITALY..................................... 222,434,082 8.6% --------------- ----- NETHERLANDS -- (4.6%) Aalberts Industries NV...................... 471,042 10,571,607 0.4% Delta Lloyd NV.............................. 761,184 14,636,283 0.6% Nutreco NV.................................. 179,628 17,080,181 0.6% #* SBM Offshore NV............................. 932,130 14,957,435 0.6% Other Securities............................ 89,225,162 3.4% --------------- ----- TOTAL NETHERLANDS............................... 146,470,668 5.6% --------------- ----- NORWAY -- (3.0%) Other Securities............................ 95,158,720 3.7% --------------- ----- POLAND -- (0.0%) Other Securities............................ 68,329 0.0% --------------- ----- PORTUGAL -- (1.1%) Other Securities............................ 34,486,746 1.3% --------------- ----- RUSSIA -- (0.1%) Other Securities............................ 1,724,655 0.1% --------------- ----- SPAIN -- (4.3%) # Bolsas y Mercados Espanoles SA.............. 322,643 8,757,294 0.3% Viscofan SA................................. 213,526 11,095,865 0.4% Other Securities............................ 114,297,497 4.5% --------------- ----- TOTAL SPAIN..................................... 134,150,656 5.2% --------------- ----- SWEDEN -- (8.8%) Castellum AB................................ 739,664 11,075,385 0.4% # Husqvarna AB Class B........................ 1,691,304 9,786,174 0.4% Meda AB Class A............................. 857,997 10,270,604 0.4% NCC AB Class B.............................. 364,909 8,682,687 0.3% Securitas AB Class B........................ 1,155,760 11,373,136 0.4% # Trelleborg AB Class B....................... 999,202 14,877,291 0.6% Other Securities............................ 211,846,031 8.2% --------------- ----- TOTAL SWEDEN.................................... 277,911,308 10.7% --------------- ----- SWITZERLAND -- (10.9%) Clariant AG................................. 1,135,163 16,608,004 0.6% * Dufry AG.................................... 77,241 10,290,310 0.4% # Galenica AG................................. 18,828 12,362,581 0.5% GAM Holding AG.............................. 786,581 13,910,626 0.5% Helvetia Holding AG......................... 25,236 10,587,385 0.4% Lonza Group AG.............................. 239,181 16,666,614 0.6%
211 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) PSP Swiss Property AG.......................................... 148,327 $ 13,924,435 0.5% Swiss Life Holding AG.......................................... 83,792 13,274,654 0.5% Other Securities............................................... 236,903,412 9.3% -------------- ------ TOTAL SWITZERLAND.................................................... 344,528,021 13.3% -------------- ------ TOTAL COMMON STOCKS.................................................. 2,577,360,462 99.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities............................................... -- 0.0% -------------- ------ ISRAEL -- (0.0%) Other Securities............................................... 33,329 0.0% -------------- ------ ITALY -- (0.0%) Other Securities............................................... 2,055 0.0% -------------- ------ NORWAY -- (0.0%) Other Securities............................................... 12,944 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................... 118,075 0.0% -------------- ------ SWITZERLAND -- (0.0%) Other Securities............................................... 186,637 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................................ 353,040 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (18.2%) (S)@ DFA Short Term Investment Fund................................. 49,351,772 571,000,000 22.0% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $461,503 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $471,675) to be repurchased at $462,428...................................................... $462 462,426 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 571,462,426 22.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,903,078,568)............................................... $3,149,175,928 121.3% ============== ======
212 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ---------- -------------- ------- -------------- Common Stocks Austria..................... $ 125,690 $ 64,816,148 -- $ 64,941,838 Belgium..................... -- 88,276,809 -- 88,276,809 Denmark..................... 65,207 118,318,087 -- 118,383,294 Finland..................... -- 174,372,926 -- 174,372,926 France...................... 214,884 278,869,667 -- 279,084,551 Germany..................... 290,049 376,571,286 -- 376,861,335 Greece...................... 245,504 57,361,166 -- 57,606,670 Ireland..................... 33,319 80,686,060 -- 80,719,379 Israel...................... 904,556 79,275,919 -- 80,180,475 Italy....................... -- 222,434,082 -- 222,434,082 Netherlands................. -- 146,470,668 -- 146,470,668 Norway...................... 49,225 95,109,495 -- 95,158,720 Poland...................... 68,329 -- -- 68,329 Portugal.................... 26,748 34,459,998 -- 34,486,746 Russia...................... -- 1,724,655 -- 1,724,655 Spain....................... 2,584,189 131,566,467 -- 134,150,656 Sweden...................... 1,224,773 276,686,535 -- 277,911,308 Switzerland................. 1,425,528 343,102,493 -- 344,528,021 Rights/Warrants Belgium..................... -- -- -- -- Israel...................... -- 33,329 -- 33,329 Italy....................... -- 2,055 -- 2,055 Norway...................... -- 12,944 -- 12,944 Spain....................... -- 118,075 -- 118,075 Switzerland................. -- 186,637 -- 186,637 Securities Lending Collateral. -- 571,462,426 -- 571,462,426 ---------- -------------- -- -------------- TOTAL......................... $7,258,001 $3,141,917,927 -- $3,149,175,928 ========== ============== == ==============
See accompanying Notes to Financial Statements. 213 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (75.9%) Consumer Discretionary -- (7.7%) # Cineplex, Inc........................ 266,359 $ 9,052,690 1.4% # Corus Entertainment, Inc. Class B.... 348,300 8,553,221 1.3% Dorel Industries, Inc. Class B....... 116,400 5,025,957 0.8% #* Imax Corp............................ 260,537 6,659,217 1.0% Linamar Corp......................... 217,980 5,160,378 0.8% # RONA, Inc............................ 677,175 7,057,757 1.1% Other Securities..................... 26,299,100 3.8% ------------ ----- Total Consumer Discretionary............. 67,808,320 10.2% ------------ ----- Consumer Staples -- (3.3%) Cott Corp............................ 473,596 5,203,938 0.8% Maple Leaf Foods, Inc................ 433,719 5,734,416 0.9% North West Co., Inc. (The)........... 203,911 5,145,087 0.8% Other Securities..................... 12,550,956 1.8% ------------ ----- Total Consumer Staples................... 28,634,397 4.3% ------------ ----- Energy -- (18.7%) * Advantage Oil & Gas, Ltd............. 1,098,231 4,349,538 0.7% # Enbridge Income Fund Holdings, Inc... 203,490 5,009,233 0.8% * Gran Tierra Energy, Inc.............. 1,176,900 6,541,903 1.0% # Mullen Group, Ltd.................... 393,639 8,541,316 1.3% # Parkland Fuel Corp................... 302,007 4,991,232 0.7% # Pason Systems, Inc................... 285,137 4,882,241 0.7% # PetroBakken Energy, Ltd.............. 705,505 6,022,478 0.9% Secure Energy Services, Inc.......... 437,854 5,645,663 0.8% # Trican Well Service, Ltd............. 643,185 8,401,722 1.3% # Whitecap Resources, Inc.............. 553,803 5,683,977 0.9% Other Securities..................... 103,790,743 15.4% ------------ ----- Total Energy............................. 163,860,046 24.5% ------------ ----- Financials -- (6.3%) # Canadian Western Bank................ 271,572 7,671,784 1.2% # Davis + Henderson Corp............... 263,098 6,147,528 0.9% #* FirstService Corp.................... 135,548 4,484,406 0.7% Home Capital Group, Inc.............. 120,600 6,919,132 1.0% Laurentian Bank of Canada............ 127,182 5,581,137 0.8% Other Securities..................... 24,297,778 3.6% ------------ ----- Total Financials......................... 55,101,765 8.2% ------------ ----- Health Care -- (1.9%) Other Securities..................... 16,661,058 2.5% ------------ ----- Industrials -- (9.4%) * ATS Automation Tooling Systems, Inc.. 423,220 4,272,319 0.6% Genivar, Inc......................... 166,032 4,120,105 0.6% # Ritchie Bros Auctioneers, Inc........ 244,637 4,953,690 0.7% # Russel Metals, Inc................... 277,136 7,496,110 1.1% Stantec, Inc......................... 200,461 8,571,998 1.3% # Transcontinental, Inc. Class A....... 305,702 3,935,634 0.6% TransForce, Inc...................... 337,726 6,664,343 1.0% Other Securities..................... 42,575,993 6.5% ------------ ----- Total Industrials........................ 82,590,192 12.4% ------------ -----
214 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Information Technology -- (4.1%) * Celestica, Inc................................................... 874,907 $ 7,555,403 1.1% MacDonald Dettwiler & Associates, Ltd............................ 85,470 6,173,658 0.9% Other Securities................................................. 21,901,527 3.3% ------------ ------ Total Information Technology........................................... 35,630,588 5.3% ------------ ------ Materials -- (19.7%) # Alamos Gold, Inc................................................. 470,720 6,574,054 1.0% # AuRico Gold, Inc................................................. 1,179,127 6,062,711 0.9% * B2Gold Corp...................................................... 1,670,450 4,194,986 0.6% # Canexus Corp..................................................... 434,301 4,065,173 0.6% * Canfor Corp...................................................... 411,155 8,586,730 1.3% CCL Industries, Inc. Class B..................................... 111,467 6,966,065 1.0% * Dominion Diamond Corp............................................ 350,441 5,555,157 0.8% #* First Majestic Silver Corp....................................... 431,070 5,314,301 0.8% HudBay Minerals, Inc............................................. 804,774 6,390,582 1.0% * Norbord, Inc..................................................... 117,968 3,934,413 0.6% Sherritt International Corp...................................... 1,571,926 7,349,021 1.1% West Fraser Timber Co., Ltd...................................... 126,174 11,016,194 1.7% Other Securities................................................. 96,483,924 14.4% ------------ ------ Total Materials........................................................ 172,493,311 25.8% ------------ ------ Real Estate Investment Trusts -- (0.4%) # Granite REIT..................................................... 99,246 3,935,554 0.6% ------------ ------ Telecommunication Services -- (0.2%) Other Securities................................................. 1,943,926 0.3% ------------ ------ Utilities -- (4.2%) # Algonquin Power & Utilities Corp................................. 747,582 5,906,747 0.9% Capital Power Corp............................................... 320,785 7,008,266 1.1% # Northland Power, Inc............................................. 250,207 4,855,374 0.7% # Superior Plus Corp............................................... 565,997 7,303,550 1.1% Other Securities................................................. 12,144,136 1.8% ------------ ------ Total Utilities........................................................ 37,218,073 5.6% ------------ ------ TOTAL COMMON STOCKS.................................................... 665,877,230 99.7% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................................. 12,594 0.0% ------------ ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (24.1%) (S)@ DFA Short Term Investment Fund................................... 18,236,819 211,000,000 31.6% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $20,857 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $21,317) to be repurchased at $20,899................. $ 21 20,899 0.0% ------------ ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 211,020,899 31.6% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $996,687,411)................................................ $876,910,723 131.3% ============ ======
215 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Consumer Discretionary........ $ 67,808,320 -- -- $ 67,808,320 Consumer Staples.............. 28,634,397 -- -- 28,634,397 Energy........................ 163,815,564 $ 44,482 -- 163,860,046 Financials.................... 55,101,765 -- -- 55,101,765 Health Care................... 16,661,058 -- -- 16,661,058 Industrials................... 82,590,192 -- -- 82,590,192 Information Technology........ 35,630,588 -- -- 35,630,588 Materials..................... 172,493,283 28 -- 172,493,311 Real Estate Investment Trusts. 3,935,554 -- -- 3,935,554 Telecommunication Services.... 1,943,926 -- -- 1,943,926 Utilities..................... 37,218,073 -- -- 37,218,073 Rights/Warrants................. -- 12,594 -- 12,594 Securities Lending Collateral... -- 211,020,899 -- 211,020,899 ------------ ------------ -- ------------ TOTAL........................... $665,832,720 $211,078,003 -- $876,910,723 ============ ============ == ============
See accompanying Notes to Financial Statements. 216 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.1%) ARGENTINA -- (0.0%) Other Securities.................................... $ -- 0.0% ------------ ----- BRAZIL -- (8.3%) BM&FBovespa SA...................................... 1,706,408 11,829,503 0.4% # BRF SA ADR.......................................... 564,360 14,013,059 0.4% # Cia de Bebidas das Americas ADR..................... 622,039 26,138,079 0.8% # Petroleo Brasileiro SA ADR.......................... 1,246,739 23,875,052 0.7% Petroleo Brasileiro SA Sponsored ADR................ 1,722,575 34,399,823 1.1% # Vale SA Sponsored ADR............................... 1,249,020 21,345,752 0.7% Other Securities.................................... 156,228,087 4.8% ------------ ----- TOTAL BRAZIL............................................ 287,829,355 8.9% ------------ ----- CHILE -- (1.9%) Other Securities.................................... 66,458,093 2.0% ------------ ----- CHINA -- (13.8%) Bank of China, Ltd. Class H......................... 56,613,100 26,525,169 0.8% China Construction Bank Corp. Class H............... 54,255,590 45,537,284 1.4% # China Life Insurance Co., Ltd. ADR.................. 329,354 13,727,475 0.4% # China Mobile, Ltd. Sponsored ADR.................... 797,691 44,064,451 1.4% # China Petroleum & Chemical Corp. ADR................ 106,449 11,769,001 0.4% CNOOC, Ltd. ADR..................................... 107,285 20,098,772 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 48,967,185 34,517,198 1.1% PetroChina Co., Ltd. ADR............................ 145,110 18,553,765 0.6% Tencent Holdings, Ltd............................... 689,200 23,758,321 0.7% Other Securities.................................... 241,004,490 7.4% ------------ ----- TOTAL CHINA............................................. 479,555,926 14.8% ------------ ----- COLOMBIA -- (0.6%) Other Securities.................................... 22,560,723 0.7% ------------ ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 10,817,588 0.3% ------------ ----- EGYPT -- (0.1%) Other Securities.................................... 2,439,947 0.1% ------------ ----- HUNGARY -- (0.3%) Other Securities.................................... 11,031,169 0.3% ------------ ----- INDIA -- (7.3%) HDFC Bank, Ltd...................................... 1,348,212 17,113,603 0.5% ITC, Ltd............................................ 1,926,179 11,723,330 0.4% Reliance Industries, Ltd............................ 1,432,266 20,926,146 0.7% Other Securities.................................... 202,366,499 6.2% ------------ ----- TOTAL INDIA............................................. 252,129,578 7.8% ------------ ----- INDONESIA -- (3.4%) Astra International Tbk PT.......................... 17,653,110 13,357,167 0.4% Bank Central Asia Tbk PT............................ 10,755,500 11,904,930 0.4% Other Securities.................................... 91,935,453 2.8% ------------ ----- TOTAL INDONESIA......................................... 117,197,550 3.6% ------------ -----
217 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (3.8%) CIMB Group Holdings Bhd.................... 4,317,654 $ 10,991,673 0.3% Malayan Banking Bhd........................ 3,948,467 12,491,220 0.4% Other Securities........................... 106,879,878 3.3% ------------ ----- TOTAL MALAYSIA................................. 130,362,771 4.0% ------------ ----- MEXICO -- (5.8%) # America Movil S.A.B. de C.V. Series L...... 30,952,095 33,163,960 1.0% #* Cemex S.A.B. de C.V. Sponsored ADR......... 1,189,806 13,385,315 0.4% Fomento Economico Mexicano S.A.B. de C.V... 1,793,669 20,341,140 0.6% Grupo Financiero Banorte S.A.B. de C.V..... 1,899,876 14,316,781 0.5% Grupo Mexico S.A.B. de C.V. Series B....... 3,579,616 12,850,569 0.4% Wal-Mart de Mexico S.A.B. de C.V. Series V. 4,498,650 14,271,431 0.4% Other Securities........................... 91,726,621 2.9% ------------ ----- TOTAL MEXICO................................... 200,055,817 6.2% ------------ ----- PERU -- (0.3%) Other Securities........................... 11,564,386 0.4% ------------ ----- PHILIPPINES -- (1.4%) Other Securities........................... 48,983,992 1.5% ------------ ----- POLAND -- (1.4%) Other Securities........................... 48,752,482 1.5% ------------ ----- RUSSIA -- (4.0%) Gazprom OAO Sponsored ADR.................. 4,589,920 36,553,949 1.1% Lukoil OAO Sponsored ADR................... 376,321 23,927,966 0.8% * Sberbank of Russia Sponsored ADR........... 2,075,152 26,783,406 0.8% Other Securities........................... 53,051,008 1.6% ------------ ----- TOTAL RUSSIA................................... 140,316,329 4.3% ------------ ----- SOUTH AFRICA -- (6.6%) MTN Group, Ltd............................. 1,575,988 28,440,253 0.9% Naspers, Ltd. Class N...................... 326,129 21,854,757 0.7% # Sasol, Ltd. Sponsored ADR.................. 536,546 23,296,827 0.7% Standard Bank Group, Ltd................... 1,027,873 12,853,018 0.4% Other Securities........................... 142,945,694 4.4% ------------ ----- TOTAL SOUTH AFRICA............................. 229,390,549 7.1% ------------ ----- SOUTH KOREA -- (13.4%) Hyundai Mobis.............................. 59,213 13,463,202 0.4% Hyundai Motor Co........................... 138,348 25,121,651 0.8% Kia Motors Corp............................ 243,530 12,147,541 0.4% POSCO...................................... 50,240 14,440,334 0.4% Samsung Electronics Co., Ltd............... 67,106 92,808,886 2.9% Samsung Electronics Co., Ltd. GDR.......... 49,372 34,194,144 1.1% Shinhan Financial Group Co., Ltd........... 311,456 10,787,931 0.3% * SK Hynix, Inc.............................. 449,290 12,237,015 0.4% Other Securities........................... 250,005,137 7.7% ------------ ----- TOTAL SOUTH KOREA.............................. 465,205,841 14.4% ------------ ----- TAIWAN -- (11.3%) Hon Hai Precision Industry Co., Ltd........ 9,204,506 23,791,587 0.7% # MediaTek, Inc.............................. 990,995 12,093,658 0.4%
218 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Taiwan Semiconductor Manufacturing Co., Ltd.................... 21,315,808 $ 79,112,153 2.5% Other Securities............................................... 276,933,114 8.5% -------------- ------ TOTAL TAIWAN......................................................... 391,930,512 12.1% -------------- ------ THAILAND -- (3.0%) Other Securities............................................... 102,810,136 3.2% -------------- ------ TURKEY -- (2.1%) Turkiye Garanti Bankasi A.S.................................... 2,049,990 11,342,423 0.4% Other Securities............................................... 62,125,687 1.9% -------------- ------ TOTAL TURKEY......................................................... 73,468,110 2.3% -------------- ------ TOTAL COMMON STOCKS.................................................. 3,092,860,854 95.5% -------------- ------ PREFERRED STOCKS -- (3.6%) BRAZIL -- (3.5%) Banco Bradesco SA.............................................. 1,859,495 30,567,932 1.0% Itau Unibanco Holding SA....................................... 1,841,700 30,882,936 1.0% Vale SA........................................................ 1,412,691 22,940,562 0.7% Other Securities............................................... 37,412,800 1.0% -------------- ------ TOTAL BRAZIL......................................................... 121,804,230 3.7% -------------- ------ CHILE -- (0.0%) Other Securities............................................... 62,886 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities............................................... 1,939,621 0.1% -------------- ------ TOTAL PREFERRED STOCKS............................................... 123,806,737 3.8% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (7.3%) (S)@ DFA Short Term Investment Fund................................. 21,953,328 254,000,000 7.9% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $672,232 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $687,049) to be repurchased at $673,580...................................................... $ 674 673,577 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 254,673,577 7.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,273,277,183)............................................ $3,471,341,168 107.2% ============== ======
219 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Argentina................... -- -- -- -- Brazil...................... $ 287,829,355 -- -- $ 287,829,355 Chile....................... 66,458,093 -- -- 66,458,093 China....................... 122,663,557 $ 356,892,369 -- 479,555,926 Colombia.................... 22,560,723 -- -- 22,560,723 Czech Republic.............. -- 10,817,588 -- 10,817,588 Egypt....................... -- 2,439,947 -- 2,439,947 Hungary..................... -- 11,031,169 -- 11,031,169 India....................... 21,058,300 231,071,278 -- 252,129,578 Indonesia................... 54,580 117,142,970 -- 117,197,550 Malaysia.................... -- 130,362,771 -- 130,362,771 Mexico...................... 200,055,817 -- -- 200,055,817 Peru........................ 11,564,386 -- -- 11,564,386 Philippines................. 131,952 48,852,040 -- 48,983,992 Poland...................... -- 48,752,482 -- 48,752,482 Russia...................... 5,504,158 134,812,171 -- 140,316,329 South Africa................ 37,454,179 191,936,370 -- 229,390,549 South Korea................. 14,988,974 450,216,867 -- 465,205,841 Taiwan...................... 9,963,049 381,967,463 -- 391,930,512 Thailand.................... 102,810,136 -- -- 102,810,136 Turkey...................... 1,153,350 72,314,760 -- 73,468,110 Preferred Stocks Brazil...................... 121,804,230 -- -- 121,804,230 Chile....................... 62,886 -- -- 62,886 Colombia.................... 1,939,621 -- -- 1,939,621 Securities Lending Collateral. -- 254,673,577 -- 254,673,577 -------------- -------------- -- -------------- TOTAL......................... $1,028,057,346 $2,443,283,822 -- $3,471,341,168 ============== ============== == ==============
See accompanying Notes to Financial Statements. 220 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.0%) ARGENTINA -- (0.0%) Other Securities.............................. $ 1 0.0% ------------ ----- BRAZIL -- (8.4%) All America Latina Logistica SA............... 1,682,200 8,508,741 0.2% Anhanguera Educacional Participacoes SA....... 793,245 14,277,022 0.4% Cia de Saneamento de Minas Gerais-COPASA...... 400,821 9,235,461 0.2% Diagnosticos da America SA.................... 1,452,841 8,002,153 0.2% EDP--Energias do Brasil SA.................... 1,513,306 9,235,270 0.2% Equatorial Energia SA......................... 979,284 10,371,625 0.3% Estacio Participacoes SA...................... 524,568 12,443,332 0.3% Kroton Educacional SA......................... 703,372 9,818,908 0.3% Mills Estruturas e Servicos de Engenharia SA.. 472,126 7,758,842 0.2% MRV Engenharia e Participacoes SA............. 1,988,433 8,556,995 0.2% Odontoprev SA................................. 1,987,465 9,913,733 0.3% PDG Realty SA Empreendimentos e Participacoes. 7,343,053 8,294,539 0.2% Sul America SA................................ 1,297,120 9,692,334 0.2% Totvs SA...................................... 463,900 8,729,644 0.2% Other Securities.............................. 227,488,321 5.7% ------------ ----- TOTAL BRAZIL...................................... 362,326,920 9.1% ------------ ----- CHILE -- (1.3%) Parque Arauco SA.............................. 3,043,041 7,869,455 0.2% Other Securities.............................. 46,969,823 1.2% ------------ ----- TOTAL CHILE....................................... 54,839,278 1.4% ------------ ----- CHINA -- (13.6%) China Gas Holdings, Ltd....................... 9,067,500 8,924,482 0.2% # Geely Automobile Holdings, Ltd................ 17,610,000 8,899,704 0.2% # Shougang Fushan Resources Group, Ltd.......... 20,786,000 8,133,750 0.2% Sino Biopharmaceutical........................ 13,536,000 9,340,178 0.2% # Sino-Ocean Land Holdings, Ltd................. 12,290,091 8,113,188 0.2% Other Securities.............................. 547,117,762 13.8% ------------ ----- TOTAL CHINA....................................... 590,529,064 14.8% ------------ ----- COLOMBIA -- (0.0%) Other Securities.............................. 685,689 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities.............................. 119,010 0.0% ------------ ----- HUNGARY -- (0.1%) Other Securities.............................. 2,041,100 0.1% ------------ ----- INDIA -- (7.7%) Other Securities.............................. 333,723,996 8.4% ------------ ----- INDONESIA -- (4.7%) Alam Sutera Realty Tbk PT..................... 78,688,000 8,513,247 0.2% Ciputra Development Tbk PT.................... 58,522,080 8,298,065 0.2% Mayora Indah Tbk PT........................... 3,432,500 10,620,437 0.3%
221 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDONESIA -- (Continued) Summarecon Agung Tbk PT................................. 33,746,532 $ 9,036,342 0.2% Other Securities........................................ 168,486,582 4.2% ------------ ---- TOTAL INDONESIA............................................. 204,954,673 5.1% ------------ ---- ISRAEL -- (0.0%) Other Securities........................................ 339,568 0.0% ------------ ---- MACEDONIA -- (0.0%) Other Securities........................................ -- 0.0% ------------ ---- MALAYSIA -- (4.5%) Bursa Malaysia Bhd...................................... 3,459,000 8,133,872 0.2% Other Securities........................................ 185,261,929 4.7% ------------ ---- TOTAL MALAYSIA.............................................. 193,395,801 4.9% ------------ ---- MEXICO -- (3.3%) * Alsea S.A.B. de C.V..................................... 2,790,399 8,479,919 0.2% Arca Continental S.A.B. de C.V.......................... 1,167,783 9,556,888 0.2% #* Genomma Lab Internacional S.A.B. de C.V. Class B........ 5,094,797 11,001,670 0.3% * Gruma S.A.B. de C.V. Class B............................ 1,548,765 7,690,062 0.2% #* Industrias CH S.A.B. de C.V. Series B................... 1,217,718 9,810,100 0.3% #* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,385,468 12,360,735 0.3% Other Securities........................................ 84,403,826 2.1% ------------ ---- TOTAL MEXICO................................................ 143,303,200 3.6% ------------ ---- PHILIPPINES -- (1.7%) Other Securities........................................ 75,301,883 1.9% ------------ ---- POLAND -- (1.5%) Lubelski Wegiel Bogdanka SA............................. 223,114 8,292,032 0.2% Other Securities........................................ 58,487,991 1.5% ------------ ---- TOTAL POLAND................................................ 66,780,023 1.7% ------------ ---- SOUTH AFRICA -- (7.0%) Aveng, Ltd.............................................. 2,442,089 8,029,548 0.2% AVI, Ltd................................................ 1,906,582 11,470,062 0.3% Barloworld, Ltd......................................... 944,679 9,902,712 0.3% Clicks Group, Ltd....................................... 1,911,109 12,190,178 0.3% Coronation Fund Managers, Ltd........................... 1,600,756 9,584,326 0.2% * Murray & Roberts Holdings, Ltd.......................... 3,176,473 7,784,333 0.2% Nampak, Ltd............................................. 3,859,288 14,189,995 0.4% PPC, Ltd................................................ 3,063,900 11,213,817 0.3% Resilient Property Income Fund, Ltd..................... 1,225,038 8,098,156 0.2% Reunert, Ltd............................................ 1,055,952 9,191,126 0.2% * Sappi, Ltd.............................................. 3,763,365 11,311,683 0.3% Spar Group, Ltd. (The).................................. 780,271 10,303,650 0.3% Tongaat Hulett, Ltd..................................... 732,582 10,645,232 0.3% Other Securities........................................ 169,112,785 4.1% ------------ ---- TOTAL SOUTH AFRICA.......................................... 303,027,603 7.6% ------------ ---- SOUTH KOREA -- (14.1%) DGB Financial Group, Inc................................ 669,413 9,371,728 0.3% # Hotel Shilla Co., Ltd................................... 161,958 8,571,748 0.2% Macquarie Korea Infrastructure Fund..................... 1,468,851 9,310,581 0.3%
222 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) Yuhan Corp.......... 41,755 $ 7,957,729 0.2% Other Securities.... 573,533,640 14.3% -------------- ----- TOTAL SOUTH KOREA........... 608,745,426 15.3% -------------- ----- TAIWAN -- (13.8%) Other Securities.... 596,134,287 15.0% -------------- ----- THAILAND -- (5.0%) Other Securities.... 216,234,036 5.4% -------------- ----- TURKEY -- (3.3%) Other Securities.... 140,872,227 3.5% -------------- ----- TOTAL COMMON STOCKS......... 3,893,353,785 97.8% -------------- ----- PREFERRED STOCKS -- (1.6%) BRAZIL -- (1.6%) Marcopolo SA........ 1,319,600 8,778,646 0.2% Other Securities.... 58,327,463 1.5% -------------- ----- TOTAL BRAZIL................ 67,106,109 1.7% -------------- ----- CHILE -- (0.0%) Other Securities.... 25,564 0.0% -------------- ----- COLOMBIA -- (0.0%) Other Securities.... 80,301 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities.... 949,193 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities.... 18,806 0.0% -------------- ----- TOTAL PREFERRED STOCKS...... 68,179,973 1.7% -------------- ----- RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) Other Securities.... 444,778 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities.... 63,284 0.0% -------------- ----- POLAND -- (0.0%) Other Securities.... -- 0.0% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities.... 106,626 0.0% -------------- ----- THAILAND -- (0.0%) Other Securities.... 784,764 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS....... 1,399,452 0.0% -------------- -----
223 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares/ Face Amount Value+ Percentage ------- ------ of Net Assets** (000) SECURITIES LENDING COLLATERAL -- (8.4%) (S)@ DFA Short Term Investment Fund................................. 31,460,674 $ 364,000,000 9.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $743,925 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $760,322) to be repurchased at $745,417...................................................... $ 745 745,414 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 364,745,414 9.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,681,070,667)............................................ $4,327,678,624 108.7% ============== ======
Summary of the Series' investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Argentina................... $ 1 -- -- $ 1 Brazil...................... 362,326,920 -- -- 362,326,920 Chile....................... 54,839,278 -- -- 54,839,278 China....................... 498,628 $ 590,030,436 -- 590,529,064 Colombia.................... 685,689 -- -- 685,689 Hong Kong................... -- 119,010 -- 119,010 Hungary..................... -- 2,041,100 -- 2,041,100 India....................... 924,778 332,799,218 -- 333,723,996 Indonesia................... 1,923,912 203,030,761 -- 204,954,673 Israel...................... -- 339,568 -- 339,568 Macedonia................... -- -- -- -- Malaysia.................... -- 193,395,801 -- 193,395,801 Mexico...................... 143,303,200 -- -- 143,303,200 Philippines................. 25,044 75,276,839 -- 75,301,883 Poland...................... 163,265 66,616,758 -- 66,780,023 South Africa................ 14,344 303,013,259 -- 303,027,603 South Korea................. 2,789,210 605,956,216 -- 608,745,426 Taiwan...................... -- 596,134,287 -- 596,134,287 Thailand.................... 216,134,381 99,655 -- 216,234,036 Turkey...................... -- 140,872,227 -- 140,872,227 Preferred Stocks Brazil...................... 67,106,109 -- -- 67,106,109 Chile....................... 25,564 -- -- 25,564 Colombia.................... 80,301 -- -- 80,301 Hong Kong................... 949,193 -- -- 949,193 Malaysia.................... -- 18,806 -- 18,806 Rights/Warrants China....................... -- 444,778 -- 444,778 Malaysia.................... -- 63,284 -- 63,284 Poland...................... -- -- -- -- South Korea................. -- 106,626 -- 106,626 Thailand.................... -- 784,764 -- 784,764 Securities Lending Collateral. -- 364,745,414 -- 364,745,414 ------------ -------------- -- -------------- TOTAL......................... $851,789,817 $3,475,888,807 -- $4,327,678,624 ============ ============== == ==============
See accompanying Notes to Financial Statements. 224 THE DFA INVESTMENT TRUST COMPANY STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands)
The Japanese The Asia The U.S. Large The DFA Small Pacific Small Cap Value International Company Company Series Value Series* Series Series -------------- ------------- ------------ ------------- ASSETS: Investments at Value (including $460,504, $1,079,372, $314,372 and $261,924 of securities on loan, respectively).............................................. $12,837,620 $8,090,741 $2,210,067 $1,134,984 Temporary Cash Investments at Value & Cost.................. 37,140 -- -- -- Collateral Received from Securities on Loan at Value & Cost. -- 30 156 227 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 465,392 1,074,000 332,000 283,000 Foreign Currencies at Value................................. -- 17,594 2,254 2,983 Cash........................................................ -- 5,476 338 7,537 Receivables: Investment Securities Sold................................ 39,390 7,780 6,037 520 Dividends, Interest and Tax Reclaims...................... 10,844 34,835 20,683 1,763 Securities Lending Income................................. 170 3,404 237 321 Unrealized Gain on Foreign Currency Contracts............... -- 3 -- 1 Prepaid Expenses and Other Assets........................... 20 11 2 2 ----------- ---------- ---------- ---------- Total Assets........................................... 13,390,576 9,233,874 2,571,774 1,431,338 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 465,392 1,074,030 332,156 283,227 Investment Securities Purchased........................... 65,772 2,569 1,514 4,976 Due to Advisor............................................ 1,036 1,281 174 92 Accrued Expenses and Other Liabilities...................... 511 508 148 119 ----------- ---------- ---------- ---------- Total Liabilities...................................... 532,711 1,078,388 333,992 288,414 ----------- ---------- ---------- ---------- NET ASSETS.................................................. $12,857,865 $8,155,486 $2,237,782 $1,142,924 =========== ========== ========== ========== Investments at Cost......................................... $ 8,647,517 $6,939,413 $2,014,168 $1,010,055 =========== ========== ========== ========== Foreign Currencies at Cost.................................. $ -- $ 17,474 $ 2,260 $ 2,963 =========== ========== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 225 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands)
The The United Continental The Canadian Kingdom Small Small Small The Emerging Company Company Company The Emerging Markets Small Series Series Series* Markets Series* Cap Series* ------------- ----------- ------------ --------------- ------------- ASSETS: Investments at Value (including $46,589, $542,176, $227,225, $291,960 and $417,976 of securities on loan, respectively).............................. $1,652,236 $2,577,714 $665,890 $3,216,667 $3,962,933 Collateral Received from Securities on Loan at Value & Cost............................ 331 462 21 674 745 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 49,000 571,000 211,000 254,000 364,000 Foreign Currencies at Value................. 4,171 10,659 698 5,209 10,485 Cash........................................ 128 1,208 479 10,713 10,908 Receivables: Investment Securities Sold................ 3,437 3,596 258 423 3,292 Dividends, Interest and Tax Reclaims...... 9,564 8,890 560 7,169 7,434 Securities Lending Income................. 29 1,314 269 250 1,436 Unrealized Gain on Foreign Currency Contracts.................................. -- 5 -- 2 -- Prepaid Expenses and Other Assets........... 2 2 1 6 7 ---------- ---------- -------- ---------- ---------- Total Assets........................... 1,718,898 3,174,850 879,176 3,495,113 4,361,240 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 49,331 571,462 211,021 254,674 364,745 Investment Securities Purchased........... 3,009 7,094 130 3,026 12,421 Due to Advisor............................ 133 206 54 259 530 Unrealized Loss on Foreign Currency Contracts.................................. -- -- -- -- 2 Accrued Expenses and Other Liabilities...... 60 183 76 472 829 ---------- ---------- -------- ---------- ---------- Total Liabilities...................... 52,533 578,945 211,281 258,431 378,527 ---------- ---------- -------- ---------- ---------- NET ASSETS.................................. $1,666,365 $2,595,905 $667,895 $3,236,682 $3,982,713 ========== ========== ======== ========== ========== Investments at Cost......................... $1,213,792 $2,331,617 $785,666 $2,018,603 $3,316,325 ========== ========== ======== ========== ========== Foreign Currencies at Cost.................. $ 4,144 $ 10,604 $ 696 $ 5,195 $ 10,401 ========== ========== ======== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 226 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
The Japanese The Asia The U.S. The DFA Small Pacific Small Large Cap International Company Company Value Series Value Series Series Series ------------ ------------- ------------ ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $8,987, $2,064 and $468, respectively)........................................ $ 122,006 $121,813 $ 23,598 $ 15,820 Interest........................................................ 27 4 -- 1 Income from Securities Lending.................................. 1,009 6,433 1,687 1,992 ---------- -------- -------- -------- Total Investment Income...................................... 123,042 128,250 25,285 17,813 ---------- -------- -------- -------- Expenses Investment Advisory Services Fees............................... 5,788 7,612 947 546 Accounting & Transfer Agent Fees................................ 464 316 85 55 Custodian Fees.................................................. 56 596 372 258 Shareholders' Reports........................................... 22 15 4 2 Directors'/Trustees' Fees & Expenses............................ 46 32 7 4 Professional Fees............................................... 181 108 23 13 Other........................................................... 41 51 12 7 ---------- -------- -------- -------- Total Expenses............................................... 6,598 8,730 1,450 885 ---------- -------- -------- -------- Fees Paid Indirectly............................................ -- (10) (5) (2) ---------- -------- -------- -------- Net Expenses.................................................... 6,598 8,720 1,445 883 ---------- -------- -------- -------- Net Investment Income (Loss).................................... 116,444 119,530 23,840 16,930 ---------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................... 469,207 125,856 42,871 7,336 Foreign Currency Transactions*................................ -- (1,511) (1,367) 167 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................... 1,375,405 751,722 392,404 82,603 Translation of Foreign Currency Denominated Amounts........... -- 80 (399) (31) ---------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)......................... 1,844,612 876,147 433,509 90,075 ---------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations....................................................... $1,961,056 $995,677 $457,349 $107,005 ========== ======== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $3, $0 and $0, respectively. See accompanying Notes to Financial Statements. 227 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands)
The United The Kingdom Continental The Canadian The Emerging Small Small Small The Emerging Markets Company Company Company Markets Small Cap Series Series Series Series Series ---------- ----------- ------------ ------------ ------------ Investment Income Dividends (Net of Foreign Taxes Withheld of $109, $3,973, $1,529, $3,717 and $3,007, respectively)................................... $ 23,053 $ 28,183 $ 9,200 $ 26,463 $ 26,180 Interest......................................... -- 48 -- -- -- Income from Securities Lending................... 190 4,986 1,609 1,948 8,556 -------- -------- -------- -------- -------- Total Investment Income....................... 23,243 33,217 10,809 28,411 34,736 -------- -------- -------- -------- -------- Expenses Investment Advisory Services Fees................ 780 1,225 342 1,555 3,591 Accounting & Transfer Agent Fees................. 73 109 38 136 152 Custodian Fees................................... 66 385 110 938 2,059 Shareholders' Reports............................ 3 5 1 6 6 Directors'/Trustees' Fees & Expenses............. 6 10 3 13 12 Professional Fees................................ 18 31 10 57 89 Other............................................ 10 14 4 24 21 -------- -------- -------- -------- -------- Total Expenses................................ 956 1,779 508 2,729 5,930 -------- -------- -------- -------- -------- Fees Paid Indirectly............................. (1) (1) (2) (15) (23) -------- -------- -------- -------- -------- Net Expenses..................................... 955 1,778 506 2,714 5,907 -------- -------- -------- -------- -------- Net Investment Income (Loss)..................... 22,288 31,439 10,303 25,697 28,829 -------- -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold..................... 36,199 39,886 6,848 24,873 64,640 Futures........................................ -- -- -- -- 463 Foreign Currency Transactions*................. (19) (114) (47) 35 (797) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................................... 162,873 298,093 (30,719) 132,313 329,068 Translation of Foreign Currency Denominated Amounts....................................... 169 87 8 (2) 46 -------- -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).......... 199,222 337,952 (23,910) 157,219 393,420 -------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................... $221,510 $369,391 $(13,607) $182,916 $422,249 ======== ======== ======== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $9, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 228 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The U.S. Large Cap Value The DFA International The Japanese Small Series Value Series Company Series ------------------------ ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 116,444 $ 212,847 $ 119,530 $ 260,321 $ 23,840 $ 35,567 Net Realized Gain (Loss) on: Investment Securities Sold............ 469,207 408,690 125,856 133,256 42,871 15,297 Futures............................... -- -- -- -- -- (283) Foreign Currency Transactions*........ -- -- (1,511) (1,249) (1,367) 593 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 1,375,405 1,049,282 751,722 (157,327) 392,404 (47,991) Translation of Foreign Currency Denominated Amounts.................. -- -- 80 (266) (399) (76) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 1,961,056 1,670,819 995,677 234,735 457,349 3,107 ----------- ----------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 577,674 505,769 277,763 699,069 180,383 385,924 Withdrawals............................. (270,017) (922,543) (356,203) (651,462) (86,681) (205,115) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 307,657 (416,774) (78,440) 47,607 93,702 180,809 ----------- ----------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 2,268,713 1,254,045 917,237 282,342 551,051 183,916 Net Assets Beginning of Period..................... 10,589,152 9,335,107 7,238,249 6,955,907 1,686,731 1,502,815 ----------- ----------- ---------- ---------- ---------- ---------- End of Period........................... $12,857,865 $10,589,152 $8,155,486 $7,238,249 $2,237,782 $1,686,731 =========== =========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $3, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 229 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small Company Series Company Series Company Series ---------------------- ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 16,930 $ 39,082 $ 22,288 $ 41,958 $ 31,439 $ 62,863 Net Realized Gain (Loss) on: Investment Securities Sold............ 7,336 27,956 36,199 (16,423) 39,886 (4,064) Futures............................... -- (140) -- 236 -- 69 Foreign Currency Transactions*........ 167 (236) (19) 339 (114) (359) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 82,603 3,183 162,873 247,250 298,093 694 Translation of Foreign Currency Denominated Amounts.................. (31) (94) 169 (35) 87 (285) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 107,005 69,751 221,510 273,325 369,391 58,918 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 91,761 161,440 13,691 92,609 42,912 260,944 Withdrawals............................. (59,702) (134,065) (33,674) (34,941) (61,577) (76,446) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 32,059 27,375 (19,983) 57,668 (18,665) 184,498 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 139,064 97,126 201,527 330,993 350,726 243,416 Net Assets Beginning of Period..................... 1,003,860 906,734 1,464,838 1,133,845 2,245,179 2,001,763 ---------- ---------- ---------- ---------- ---------- ---------- End of Period........................... $1,142,924 $1,003,860 $1,666,365 $1,464,838 $2,595,905 $2,245,179 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $9 and $0, respectively. See accompanying Notes to Financial Statements. 230 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Canadian Small The Emerging The Emerging Markets Company Series Markets Series Small Cap Series -------------------- ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2013 2012 2013 2012 2013 2012 ----------- -------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 10,303 $ 16,111 $ 25,697 $ 67,879 $ 28,829 $ 58,512 Net Realized Gain (Loss) on: Investment Securities Sold............ 6,848 26,982 24,873 34,169 64,640 106,663 Futures............................... -- -- -- -- 463 (389) Foreign Currency Transactions*........ (47) 111 35 (571) (797) (1,553) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. (30,719) (63,323) 132,313 24,259 329,068 6,038 Translation of Foreign Currency Denominated Amounts.................. 8 (7) (2) 20 46 (15) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... (13,607) (20,126) 182,916 125,756 422,249 169,256 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 22,416 11,500 300,335 523,537 707,773 1,002,685 Withdrawals............................. (30,000) (38,550) (159,876) (175,967) (100,659) (93,517) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ (7,584) (27,050) 140,459 347,570 607,114 909,168 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. (21,191) (47,176) 323,375 473,326 1,029,363 1,078,424 Net Assets Beginning of Period..................... 689,086 736,262 2,913,307 2,439,981 2,953,350 1,874,926 -------- -------- ---------- ---------- ---------- ---------- End of Period........................... $667,895 $689,086 $3,236,682 $2,913,307 $3,982,713 $2,953,350 ======== ======== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $13, $1 and $87, respectively. See accompanying Notes to Financial Statements. 231 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series@ ---------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ---------------------------------------------------------------------------------------------- (Unaudited) ----------------------------------------------------------------------------------------------------------------------------- Total Return.................. 18.48%(C) 18.31% 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $12,857,865 $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................... 0.11%(B) 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11% Ratio of Net Investment Income to Average Net Assets. 2.03%(B) 2.15% 1.79% 2.02% 2.42% 1.97%(B) 1.44% Portfolio Turnover Rate....... 9%(C) 10% 14% 28% 29% 19%(C) 9% -----------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series@ ------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................. 14.00%(C) 3.17% (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $8,155,486 $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................... 0.23%(B) 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.23%(B) 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23% Ratio of Net Investment Income to Average Net Assets. 3.16%(B) 3.75% 3.47% 2.55% 3.22% 4.15%(B) 3.04% Portfolio Turnover Rate....... 7%(C) 14% 9% 20% 18% 16%(C) 16% --------------------------------------------------------------------------------------------------------------------------
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. 232 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Japanese Small Company Series ------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................. 26.12%(C) 0.54% 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $2,237,782 $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%(B) 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%(B) 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13% Ratio of Net Investment Income to Average Net Assets. 2.54%(B) 2.17% 2.07% 1.95% 2.15% 2.64%(B) 1.94% Portfolio Turnover Rate....... 10%(C) 7% 5% 10% 7% 10%(C) 9% --------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series ----------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ----------------------------------------------------------------------------------- (Unaudited) ------------------------------------------------------------------------------------------------------------------ Total Return.................. 10.68%(C) 7.48% (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands).................. $1,142,924 $1,003,860 $906,734 $935,138 $680,997 $441,237 $1,205,154 Ratio of Expenses to Average Net Assets................... 0.16%(B) 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%(B) 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15% Ratio of Net Investment Income to Average Net Assets. 3.13%(B) 4.26% 3.78% 3.64% 4.00% 4.33%(B) 3.58% Portfolio Turnover Rate....... 7%(C) 18% 17% 18% 23% 20%(C) 25% ------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 233 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series -------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------- (Unaudited) --------------------------------------------------------------------------------------------------------------------- Total Return.................. 15.19%(C) 23.41% 0.20% 25.94% 43.51% (50.77)%(C) 2.42% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $1,666,365 $1,464,838 $1,133,845 $1,036,694 $770,472 $555,390 $1,158,580 Ratio of Expenses to Average Net Assets................... 0.12%(B) 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.12%(B) 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12% Ratio of Net Investment Income to Average Net Assets. 2.88%(B) 3.37% 3.76% 2.86% 4.02% 3.79%(B) 2.72% Portfolio Turnover Rate....... 7%(C) 6% 7% 15% 10% 25%(C) 12% ---------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series ------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................. 16.53%(C) 2.29% (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $2,595,905 $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................... 0.15%(B) 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.15%(B) 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14% Ratio of Net Investment Income to Average Net Assets. 2.59%(B) 3.15% 2.72% 2.24% 2.93% 3.49%(B) 2.16% Portfolio Turnover Rate....... 7%(C) 9% 10% 12% 7% 18%(C) 12% --------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 234 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Canadian Small Company Series -------------------------------------------------------------------------------------- Period Period Six Months Year Year Year Year Dec. 1, April 2, Ended Ended Ended Ended Ended 2007 to 2007(a) to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 -------------------------------------------------------------------------------------- (Unaudited) --------------------------------------------------------------------------------------------------------------------- Total Return.................. (1.93)%(C) (2.51)% 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C) --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $667,895 $689,086 $736,262 $663,722 $365,181 $232,873 $213,529 Ratio of Expenses to Average Net Assets................... 0.15%(B) 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%(B) 0.15% 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Net Investment Income to Average Net Assets. 3.04%(B) 2.29% 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E) Portfolio Turnover Rate....... 11%(C) 22% 24% 10% 23% 21%(C) 6%(C) ---------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series ------------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ------------------------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................. 6.26%(C) 4.55% (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................. $3,236,682 $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................... 0.18%(B) 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.18%(B) 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19% Ratio of Net Investment Income to Average Net Assets. 1.67%(B) 2.55% 2.48% 2.18% 2.57% 3.00%(B) 2.52% Portfolio Turnover Rate....... 2%(C) 5% 16% 12% 14% 19%(C) 7% --------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 235 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series ----------------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Year Ended Ended Ended Ended Ended 2007 to Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2013 2012 2011 2010 2009 2008 2007 ----------------------------------------------------------------------------------------- (Unaudited) ------------------------------------------------------------------------------------------------------------------------ Total Return.................. 13.05%(C) 7.19% (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands).................. $3,982,713 $2,953,350 $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571 Ratio of Expenses to Average Net Assets................... 0.33%(B) 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.33%(B) 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31% Ratio of Net Investment Income to Average Net Assets. 1.62%(B) 2.48% 2.32% 2.16% 2.52% 3.07%(B) 1.94% Portfolio Turnover Rate....... 4%(C) 13% 18% 15% 13% 19%(C) 16% ------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 236 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940, The Trust consists of eleven 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 Series is a result of the treatment of a partnership for book purposes. Each Series 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 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 utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Series' own assumptions in determining the fair value of investments) 237 Securities held by the Domestic Equity Portfolio and the International Equity Portfolios, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and the International Equity Portfolios value the securities at the mean of the most recent quoted bid and 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 the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 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 International Equity Portfolios have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedules of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2013, there were no significant transfers between Level 1 and Level 2, and no Level 3 investments held by the Series. 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recent quoted bid and asked prices for the U.S. dollar as quoted by generally recognized 238 reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and 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; 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 April 30, 2013, 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 gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. The International Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. 239 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 six months ended April 30, 2013, the Series' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The U.S. Large Cap Value Series......... 0.10% The DFA International Value Series...... 0.20% The Japanese Small Company Series....... 0.10% The Asia Pacific Small Company Series... 0.10% The United Kingdom Small Company Series. 0.10% The Continental Small Company Series.... 0.10% The Canadian Small Company Series....... 0.10% The Emerging Markets Series............. 0.10% The Emerging Markets Small Cap Series... 0.20%
Earned Income Credit: In addition, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Series' custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- The DFA International Value Series...... $10 The Japanese Small Company Series....... 5 The Asia Pacific Small Company Series... 2 The United Kingdom Small Company Series. 1 The Continental Small Company Series.... 1 The Canadian Small Company Series....... 2 The Emerging Markets Series............. 15 The Emerging Markets Small Cap Series... 23
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the six months ended April 30, 2013, the total related amounts paid by the Trust to the CCO were $28 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. 240 D. Deferred Compensation: At April 30, 2013, 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......... $278 The DFA International Value Series...... 213 The Japanese Small Company Series....... 46 The Asia Pacific Small Company Series... 23 The United Kingdom Small Company Series. 27 The Continental Small Company Series.... 55 The Canadian Small Company Series....... 13 The Emerging Markets Series............. 74 The Emerging Markets Small Cap Series... 42
E. Purchases and Sales of Securities: For the six months ended April 30, 2013, 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......... $1,428,361 $1,029,781 The DFA International Value Series...... 581,405 544,320 The Japanese Small Company Series....... 285,795 182,218 The Asia Pacific Small Company Series... 123,409 78,570 The United Kingdom Small Company Series. 110,235 112,119 The Continental Small Company Series.... 183,602 179,145 The Canadian Small Company Series....... 73,665 71,826 The Emerging Markets Series............. 227,043 64,839 The Emerging Markets Small Cap Series... 778,617 154,697
There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: No provision for federal income taxes is required since the Series are treated as partnerships for Federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At April 30, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- The U.S. Large Cap Value Series......... $9,150,245 $4,325,142 $(135,235) $4,189,907 The DFA International Value Series...... 8,018,298 1,779,021 (632,548) 1,146,473 The Japanese Small Company Series....... 2,353,150 426,844 (237,771) 189,073 The Asia Pacific Small Company Series... 1,320,354 328,760 (230,904) 97,856 The United Kingdom Small Company Series. 1,273,661 564,018 (136,112) 427,906 The Continental Small Company Series.... 2,907,663 700,769 (459,256) 241,513 The Canadian Small Company Series....... 1,004,011 101,503 (228,603) (127,100) The Emerging Markets Series............. 2,275,995 1,326,980 (131,634) 1,195,346 The Emerging Markets Small Cap Series... 3,704,792 1,014,557 (391,671) 622,886
241 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each 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. 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 Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Series may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Series. 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 deposit 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. 242 The following is a summary of the Series' location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2013 (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 Emerging Markets Small Cap Series*. $463
* As of April 30, 2013, there were no futures contracts outstanding. During the six months ended April 30, 2013, the Series had limited activity in futures contracts. H. Line of Credit: The Trust, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. There were no borrowings by the Series under this line of credit during the six months ended April 30, 2013. The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on March 3, 2014. There were no borrowings by the Series under this line of credit during the period ended April 30, 2013. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. 243 For the six months ended April 30, 2013, 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....... 0.92% $7,286 12 $ 2 $19,170 The DFA International Value Series.... 0.94% 6,138 27 4 20,182 The Japanese Small Company Series..... 0.91% 1,336 10 -- 3,693 The Asia Pacific Small Company Series. 0.91% 614 5 -- 2,155 The United Kingdom Small Company Series.............................. 0.92% 326 2 -- 503 The Continental Small Company Series.. 0.92% 59 4 -- 208 The Emerging Markets Series........... 0.91% 5,831 26 4 31,246 The Emerging Markets Small Cap Series. 0.90% 8,707 2 -- 12,916
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2013, that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of April 30, 2013. I. Securities Lending: As of April 30, 2013, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. In addition, the following Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------------ The U.S. Large Cap Value Series....... $ 4,855 The DFA International Value Series.... 58,525 The Canadian Small Company Series..... 28,586 The Emerging Markets Series........... 56,655 The Emerging Markets Small Cap Series. 98,136
Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. 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 244 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. In-Kind Redemptions: In accordance with guidelines described in the Series' registration statement, the Series may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, a Series 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. For the six months ended April 30, 2013, the Series had no in-kind redemptions. L. 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. M. 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. 245 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. N. 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. 246 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2013 EXPENSE TABLE Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/12 04/30/13 Ratio* Period* --------- --------- ---------- -------- - Actual Fund Return............ $1,000.00 $1,086.10 0.18% $0.93 Hypothetical 5% Annual Return. $1,000.00 $1,023.90 0.18% $0.90
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. 247 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For the Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on March 27, 2013. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Dimensional Emerging Markets Value Fund Consumer Discretionary....................... 6.3% Consumer Staples............................. 5.7% Energy....................................... 16.2% Financials................................... 34.5% Health Care.................................. 0.6% Industrials.................................. 11.6% Information Technology....................... 7.1% Materials.................................... 14.7% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.4% Utilities.................................... 1.9% ----- 100.0%
248 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2013 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (91.3%) BRAZIL -- (8.7%) Banco Santander Brasil SA ADR.............. 18,012,780 $ 133,654,828 0.7% BM&FBovespa SA............................. 26,824,074 185,955,220 1.0% # Gerdau SA Sponsored ADR.................... 12,145,574 95,342,756 0.5% # Petroleo Brasileiro SA ADR................. 18,401,141 352,381,850 1.9% # Petroleo Brasileiro SA Sponsored ADR....... 20,796,933 415,314,752 2.2% Other Securities........................... 538,973,068 2.9% ---------------- ------ TOTAL BRAZIL................................... 1,721,622,474 9.2% ---------------- ------ CHILE -- (1.6%) Enersis SA Sponsored ADR................... 5,249,009 99,101,290 0.5% Other Securities........................... 219,401,520 1.2% ---------------- ------ TOTAL CHILE.................................... 318,502,810 1.7% ---------------- ------ CHINA -- (14.1%) Agricultural Bank of China, Ltd. Class H... 255,464,000 122,746,565 0.7% Bank of China, Ltd. Class H................ 989,630,331 463,675,570 2.5% Bank of Communications Co., Ltd. Class H... 110,893,574 88,310,920 0.5% China Construction Bank Corp. Class H...... 214,422,940 179,967,415 1.0% # China Minsheng Banking Corp., Ltd. Class H. 57,085,500 73,292,194 0.4% # China Petroleum & Chemical Corp. ADR....... 993,796 109,874,086 0.6% China Petroleum & Chemical Corp. Class H... 163,824,289 180,790,542 1.0% # China Unicom Hong Kong, Ltd. ADR........... 7,316,862 105,582,319 0.6% Other Securities........................... 1,486,194,031 7.7% ---------------- ------ TOTAL CHINA.................................... 2,810,433,642 15.0% ---------------- ------ COLOMBIA -- (0.1%) Other Securities........................... 13,678,500 0.1% ---------------- ------ CZECH REPUBLIC -- (0.2%) Other Securities........................... 31,695,790 0.2% ---------------- ------ HUNGARY -- (0.5%) # OTP Bank P.L.C............................. 3,828,061 79,923,314 0.4% Other Securities........................... 15,773,985 0.1% ---------------- ------ TOTAL HUNGARY.................................. 95,697,299 0.5% ---------------- ------ INDIA -- (6.8%) # ICICI Bank, Ltd. Sponsored ADR............. 3,394,535 158,932,128 0.9% Reliance Industries, Ltd................... 20,144,977 294,328,521 1.6% State Bank of India........................ 2,228,831 94,279,659 0.5% Other Securities........................... 807,802,476 4.2% ---------------- ------ TOTAL INDIA.................................... 1,355,342,784 7.2% ---------------- ------ INDONESIA -- (3.2%) Other Securities........................... 641,870,329 3.4% ---------------- ------ ISRAEL -- (0.0%) Other Securities........................... 932,046 0.0% ---------------- ------ MALAYSIA -- (3.2%) Other Securities........................... 642,198,061 3.4% ---------------- ------ MEXICO -- (7.1%) Alfa S.A.B. de C.V. Class A................ 51,397,020 119,325,169 0.6% #* Cemex S.A.B. de C.V. Sponsored ADR......... 16,663,541 187,464,831 1.0%
249 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MEXICO -- (Continued) # Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,494,369 $ 282,836,501 1.5% Grupo Financiero Banorte S.A.B. de C.V.............. 23,160,991 174,532,887 0.9% Other Securities.................................... 637,729,822 3.5% ---------------- ------ TOTAL MEXICO............................................ 1,401,889,210 7.5% ---------------- ------ PHILIPPINES -- (1.3%) Other Securities.................................... 256,419,611 1.4% ---------------- ------ POLAND -- (1.4%) * Polski Koncern Naftowy Orlen S.A.................... 5,924,385 91,988,888 0.5% Other Securities.................................... 179,643,567 1.0% ---------------- ------ TOTAL POLAND 271,632,455 1.5% ---------------- ------ RUSSIA -- (3.8%) Gazprom OAO Sponsored ADR........................... 92,768,535 738,805,087 3.9% Other Securities.................................... 18,308,553 0.1% ---------------- ------ TOTAL RUSSIA............................................ 757,113,640 4.0% ---------------- ------ SOUTH AFRICA -- (6.4%) ABSA Group, Ltd..................................... 5,161,520 85,037,070 0.5% # Gold Fields, Ltd. Sponsored ADR..................... 13,638,573 101,743,755 0.6% Sanlam, Ltd......................................... 26,831,075 137,665,287 0.7% Standard Bank Group, Ltd............................ 15,879,866 198,569,484 1.1% Other Securities.................................... 758,607,003 4.0% ---------------- ------ TOTAL SOUTH AFRICA...................................... 1,281,622,599 6.9% ---------------- ------ SOUTH KOREA -- (13.7%) Hana Financial Group, Inc........................... 4,078,729 130,626,112 0.7% # Hyundai Steel Co.................................... 1,197,245 83,179,821 0.5% KB Financial Group, Inc............................. 2,902,753 94,926,902 0.5% # KB Financial Group, Inc. ADR........................ 3,182,416 104,383,245 0.6% # LG Electronics, Inc................................. 1,776,548 142,395,511 0.8% # POSCO............................................... 681,110 195,769,432 1.1% # POSCO ADR........................................... 1,626,923 117,122,187 0.6% Shinhan Financial Group Co., Ltd.................... 5,415,719 187,584,781 1.0% SK Holdings Co., Ltd................................ 530,249 76,530,829 0.4% SK Innovation Co., Ltd.............................. 763,318 104,371,936 0.6% Other Securities.................................... 1,488,107,381 7.8% ---------------- ------ TOTAL SOUTH KOREA....................................... 2,724,998,137 14.6% ---------------- ------ TAIWAN -- (13.0%) First Financial Holding Co., Ltd.................... 114,221,437 70,358,478 0.4% # Fubon Financial Holding Co., Ltd.................... 83,424,471 119,358,177 0.7% #* Innolux Corp........................................ 113,184,745 70,870,943 0.4% Mega Financial Holding Co., Ltd..................... 124,743,381 96,296,586 0.5% # United Microelectronics Corp........................ 218,090,681 83,574,149 0.5% Yuanta Financial Holding Co., Ltd................... 143,984,654 73,306,738 0.4% Other Securities.................................... 2,070,352,183 10.9% ---------------- ------ TOTAL TAIWAN............................................ 2,584,117,254 13.8% ---------------- ------ THAILAND -- (3.4%) Bangkok Bank PCL.................................... 9,300,200 71,613,124 0.4% PTT Global Chemical PCL............................. 31,932,741 79,423,853 0.4%
250 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- THAILAND -- (Continued) PTT PCL..................................................... 8,157,700 $ 90,610,228 0.5% Other Securities............................................ 426,380,643 2.3% ---------------- ------ TOTAL THAILAND.................................................... 668,027,848 3.6% ---------------- ------ TURKEY -- (2.8%) KOC Holding A.S............................................. 12,307,828 74,630,627 0.4% Turkiye Is Bankasi.......................................... 27,763,003 107,387,000 0.6% Other Securities............................................ 372,002,517 2.0% ---------------- ------ TOTAL TURKEY...................................................... 554,020,144 3.0% ---------------- ------ TOTAL COMMON STOCKS............................................... 18,131,814,633 97.0% ---------------- ------ PREFERRED STOCKS -- (2.0%) BRAZIL -- (1.9%) Petroleo Brasileiro SA...................................... 18,204,529 181,795,072 1.0% Other Securities............................................ 210,809,044 1.1% ---------------- ------ TOTAL BRAZIL...................................................... 392,604,116 2.1% ---------------- ------ COLOMBIA -- (0.1%) Other Securities............................................ 10,866,863 0.1% ---------------- ------ HONG KONG -- (0.0%) Other Securities............................................ 317,409 0.0% ---------------- ------ MALAYSIA -- (0.0%) Other Securities............................................ 8,781 0.0% ---------------- ------ TOTAL PREFERRED STOCKS............................................ 403,797,169 2.2% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) Other Securities............................................ 1,513,523 0.0% ---------------- ------ MALAYSIA -- (0.0%) Other Securities............................................ 76,397 0.0% ---------------- ------ POLAND -- (0.0%) Other Securities............................................ -- 0.0% ---------------- ------ THAILAND -- (0.0%) Other Securities............................................ 685,167 0.0% ---------------- ------ TOTAL RIGHTS/WARRANTS............................................. 2,275,087 0.0% ---------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (6.7%) (S)@ DFA Short Term Investment Fund.............................. 115,211,755 1,333,000,000 7.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $169,927 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $173,672) to be repurchased at $170,268................................................... $ 170 170,267 0.0% ---------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,333,170,267 7.1% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $19,190,568,956)........................................ $ 19,871,057,156 106.3% ================ ======
251 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of the Fund's investments as of April 30, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------ Level 1 Level 2 Level 3 Total -------------- --------------- ------- --------------- Common Stocks Brazil...................... $1,721,622,474 -- -- $ 1,721,622,474 Chile....................... 318,502,810 -- -- 318,502,810 China....................... 234,132,597 $ 2,576,301,045 -- 2,810,433,642 Colombia.................... 13,678,500 -- -- 13,678,500 Czech Republic.............. -- 31,695,790 -- 31,695,790 Hungary..................... -- 95,697,299 -- 95,697,299 India....................... 177,946,057 1,177,396,727 -- 1,355,342,784 Indonesia................... 7,281,902 634,588,427 -- 641,870,329 Israel...................... 20,321 911,725 -- 932,046 Malaysia.................... -- 642,198,061 -- 642,198,061 Mexico...................... 1,401,889,210 -- -- 1,401,889,210 Philippines................. -- 256,419,611 -- 256,419,611 Poland...................... 544,429 271,088,026 -- 271,632,455 Russia...................... 875,172 756,238,468 -- 757,113,640 South Africa................ 174,746,377 1,106,876,222 -- 1,281,622,599 South Korea................. 332,607,899 2,392,390,238 -- 2,724,998,137 Taiwan...................... 45,216,170 2,538,901,084 -- 2,584,117,254 Thailand.................... 668,027,848 -- -- 668,027,848 Turkey...................... -- 554,020,144 -- 554,020,144 Preferred Stocks Brazil...................... 392,604,116 -- -- 392,604,116 Colombia.................... 10,866,863 -- -- 10,866,863 Hong Kong................... 317,409 -- -- 317,409 Malaysia.................... -- 8,781 -- 8,781 Rights/Warrants China....................... -- 1,513,523 -- 1,513,523 Malaysia.................... -- 76,397 -- 76,397 Poland...................... -- -- -- -- Thailand.................... -- 685,167 -- 685,167 Securities Lending Collateral. -- 1,333,170,267 -- 1,333,170,267 -------------- --------------- -- --------------- TOTAL......................... $5,500,880,154 $14,370,177,002 -- $19,871,057,156 ============== =============== == ===============
See accompanying Notes to Financial Statements. 252 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2013 (Unaudited) (Amounts in thousands) ASSETS: Investments at Value (including $1,555,098 of securities on loan)*....... $18,537,887 Collateral Received from Securities on Loan at Value & Cost.............. 170 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,333,000 Foreign Currencies at Value.............................................. 19,113 Cash..................................................................... 129,043 Receivables: Investment Securities Sold............................................. 233 Dividends, Interest and Tax Reclaims................................... 46,296 Securities Lending Income.............................................. 1,942 Unrealized Gain on Foreign Currency Contracts............................ 18 Prepaid Expenses and Other Assets........................................ 28 ----------- Total Assets........................................................ 20,067,730 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 1,333,170 Investment Securities Purchased........................................ 38,774 Due to Advisor......................................................... 1,493 Unrealized Loss on Foreign Currency Contracts............................ 1 Accrued Expenses and Other Liabilities................................... 2,526 ----------- Total Liabilities................................................... 1,375,964 ----------- NET ASSETS............................................................... $18,691,766 =========== Investments at Cost...................................................... $17,857,399 =========== Foreign Currencies at Cost............................................... $ 19,052 ===========
---------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 253 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2013 (Unaudited) (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $11,812).......... $ 141,854 Interest...................................................... 10 Income from Securities Lending................................ 15,074 ---------- Total Investment Income.................................... 156,938 ---------- Expenses Investment Advisory Services Fees............................. 9,007 Accounting & Transfer Agent Fees.............................. 752 Custodian Fees................................................ 5,609 Shareholders' Reports......................................... 34 Directors'/Trustees' Fees & Expenses.......................... 73 Professional Fees............................................. 265 Other......................................................... 155 ---------- Total Expenses............................................. 15,895 ---------- Fees Paid Indirectly.......................................... (41) ---------- Net Expenses.................................................. 15,854 ---------- Net Investment Income (Loss).................................. 141,084 ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:.................................. Investment Securities Sold.................................. 381,846 Foreign Currency Transactions............................... (938) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 925,302 Translation of Foreign Currency Denominated Amounts......... 75 ---------- Net Realized and Unrealized Gain (Loss)....................... 1,306,285 ---------- Net Increase (Decrease) in Net Assets Resulting from Operations. $1,447,369 ==========
See accompanying Notes to Financial Statements. 254 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2013 2012 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................................. $ 141,084 $ 375,228 Net Realized Gain (Loss) on: Investment Securities Sold.............................................. 381,846 398,744 Futures................................................................. -- (1,269) Foreign Currency Transactions*.......................................... (938) (4,761) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 925,302 (574,018) Translation of Foreign Currency Denominated Amounts..................... 75 (185) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...... 1,447,369 193,739 ----------- ----------- Transactions in Interest: Contributions............................................................. 1,168,731 3,560,477 Withdrawals............................................................... (808,656) (873,473) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 360,075 2,687,004 ----------- ----------- Total Increase (Decrease) in Net Assets................................ 1,807,444 2,880,743 Net Assets Beginning of Period....................................................... 16,884,322 14,003,579 ----------- ----------- End of Period............................................................. $18,691,766 $16,884,322 =========== ===========
---------- * Net of foreign capital gain taxes withheld of $0 and $314, respectively. See accompanying Notes to Financial Statements. 255 DIMENSIONAL EMERGING MARKETS VALUE FUND@ FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund ----------------------------------------------------------------------------------- Period Six Months Year Year Year Year Dec. 1, Ended Ended Ended Ended Ended 2007 to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 2008 ----------------------------------------------------------------------------------- (Unaudited) ------------------------------------------------------------------------------------------------------------------------------- Total Return.............................. 8.61%(C) 1.10% (14.47)% 30.55% 79.39% (55.47)%(C) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $18,691,766 $16,884,322 $14,003,579 $11,917,955 $7,965,125 $4,048,404 Ratio of Expenses to Average Net Assets... 0.18%(B) 0.20% 0.20% 0.19% 0.21% 0.19%(B) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)......... 0.18%(B) 0.20% 0.20% 0.19% 0.21% 0.19%(B) Ratio of Net Investment Income to Average Net Assets............................... 1.58%(B) 2.43% 2.29% 1.81% 2.17% 3.19%(B) Portfolio Turnover Rate................... 5%(C) 8% 5% 15% 20% 14%(C) -------------------------------------------------------------------------------------------------------------------------------
------------ Year Ended Nov. 30, 2007 ------------ ------------------------------------------------------ Total Return.............................. 51.59% ------------------------------------------------------ Net Assets, End of Period (thousands)..... $8,188,710 Ratio of Expenses to Average Net Assets... 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)......... 0.19% Ratio of Net Investment Income to Average Net Assets............................... 2.50% Portfolio Turnover Rate................... 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. 256 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F). Effective November 1, 2009, the Fund, a master fund in a master-feeder structure, elected with the consent of its holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The 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 Fund 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 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 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. 257 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 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 value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Fund's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Fund's investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2013, there were no significant transfers between Level 1 and Level 2, and no Level 3 investments held by the Fund. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and 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, 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 258 Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At April 30, 2013, 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 $285 (in thousands). Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2013, 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 an accrual basis. Expenses directly attributable to the Fund are directly charged. The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Fund's investments in Chile are subject to governmental taxes on investment income. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as the income is earned. The Fund is subject to a 15% 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 six months ended April 30, 2013, the Fund's investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets. Earned Income Credit: In addition, the Fund has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund's custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2013, expenses reduced were $41 (amount in thousands). 259 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2013, the total related amounts paid by the Fund to the CCO were $14 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. D. Purchases and Sales of Securities: For the six months ended April 30, 2013, the Fund made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales ---------- -------- Dimensional Emerging Markets Value Fund. $1,355,988 $938,224
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 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 April 30, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Dimensional Emerging Markets Value Fund. $19,244,327 $3,584,802 $(2,958,072) $626,730
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Fund's tax positions and has concluded that no additional provision for income tax is required in the Fund's financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. F. Financial Instruments: In accordance with the Fund's investment objective and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. 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. 260 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. G. Line of Credit: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. There were no borrowings by the Fund under this line of credit during the six months ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on March 3, 2014. There were no borrowings by the Fund under this line of credit during the period ended April 30, 2013. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the six months ended April 30, 2013, borrowings by the Fund 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 ------------- ------------ ------------ -------- --------------- Dimensional Emerging Markets Value Fund............................. 0.86% $36,348 19 $17 $86,942
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2013, 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 April 30, 2013. H. Securities Lending: As of April 30, 2013, 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 $336,338 (in thousands). The Fund invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral equal to at least (i) 100% of the current market value 261 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. In-Kind Redemptions: In accordance with guidelines described in the Fund's registration statement, the Fund may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, the Fund recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. For the six months ended April 30, 2013, the Fund had no in-kind redemptions. 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. 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. 262 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (512) 306-7400. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 263 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. and the Boards of Trustees of The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia Limited serves as a sub-advisor. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.") Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreements. The Independent Board Members met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to the continuation of the Advisory Agreements. Also in advance of the Meeting, management provided additional materials to address and respond to questions that the Independent Board Members posed after their review and analysis of materials provided by the Advisor and the Morningstar Reports. At the Meeting, the Board considered a number of factors when considering the continuation of each Advisory Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; and (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged. When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process and discussed the unique features of the Advisor's investment approach. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of each Fund, the Board analyzed the Morningstar Reports, which compared the performance of each Fund with other funds in its respective peer group and investment category. The Board also reviewed the performance analysis prepared by the Advisor, which presented the performance of each Fund and its benchmark index, over multiple performance periods, along with the Advisor's explanation of the performance. The Board concluded that the Advisor's explanations provided a sound basis for understanding the comparative performance of the Funds. The Board determined, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards and appropriate market indexes. When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Morningstar Reports. The Board concluded that the advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund, including 264 administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Funds and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 265 [LOGO] DFA043013-001S ITEM 2. CODE OF ETHICS. Not applicable when filing a semi-annual report to shareholders. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable when filing a semi-annual report to shareholders. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable when filing a semi-annual report to shareholders. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant because it is not a listed issuer. ITEM 6. INVESTMENTS. (a)The Registrant's schedule of investments is provided below. DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULE OF INVESTMENTS ----------------------- Investment Abbreviations ADR American Depository Receipt 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 APRIL 30, 2013 (UNAUDITED)
SHARES VALUE++ ---------- ------------ COMMON STOCKS -- (91.3%) BRAZIL -- (8.7%) Banco Alfa de Investimento SA..................................... 86,000 $ 272,948 Banco do Brasil SA................................................ 4,227,864 53,314,511 Banco Santander Brasil SA......................................... 1,701,517 12,501,462 Banco Santander Brasil SA ADR..................................... 18,012,780 133,654,828 Bematech SA....................................................... 655,700 2,638,203 *BHG SA--Brazil Hospitality Group.................................. 258,114 2,234,429 BM&FBovespa SA.................................................... 26,824,074 185,955,220 BR Malls Participacoes SA......................................... 779,797 9,202,053 *BrasilAgro--Co. Brasileira de Propriedades Agricolas.............. 31,800 159,099 #Braskem SA Sponsored ADR.......................................... 625,703 11,043,658 Brookfield Incorporacoes SA....................................... 8,970,058 9,863,365 *CCX Carvao da Colombia SA......................................... 198,100 387,140 Cia Providencia Industria e Comercio SA........................... 359,200 1,587,069 CR2 Empreendimentos Imobiliarios SA............................... 99,200 200,309 Cremer SA......................................................... 244,070 1,559,023 Eternit SA........................................................ 294,701 1,406,670 Even Construtora e Incorporadora SA............................... 4,862,748 22,773,434 *Fertilizantes Heringer SA......................................... 260,400 1,504,548 *Fibria Celulose SA................................................ 1,881,464 20,011,273 #*Fibria Celulose SA Sponsored ADR.................................. 4,089,820 43,720,176 Forjas Taurus SA.................................................. 224,056 313,561 *Gafisa SA......................................................... 5,930,378 11,826,669 #*Gafisa SA ADR..................................................... 3,374,767 13,397,825 *General Shopping Brasil SA........................................ 203,430 1,250,625 Gerdau SA......................................................... 1,928,388 13,194,868 #Gerdau SA Sponsored ADR........................................... 12,145,574 95,342,756 Grendene SA....................................................... 630,304 7,182,772 *Hypermarcas SA.................................................... 3,903,346 31,176,043 *IdeiasNet SA...................................................... 445,049 413,740 *Industrias Romi SA................................................ 630,800 1,702,521 *Inepar SA Industria e Construcoes................................. 26,528 22,143 JBS SA............................................................ 17,008,240 53,640,882 JHSF Participacoes SA............................................. 875,027 3,188,278 Kepler Weber SA................................................... 102,569 735,657 *Log-in Logistica Intermodal SA.................................... 803,100 3,692,875 Magnesita Refratarios SA.......................................... 3,143,166 11,295,446 *Marfrig Alimentos SA.............................................. 5,057,848 17,215,517 *Metalfrio Solutions SA............................................ 78,100 142,089 *MMX Mineracao e Metalicos SA...................................... 1,718,796 2,018,828 MRV Engenharia e Participacoes SA................................. 1,137,428 4,894,792 *OSX Brasil SA..................................................... 340,712 522,797 *Paranapanema SA................................................... 4,323,343 12,511,386 PDG Realty SA Empreendimentos e Participacoes..................... 27,534,219 31,102,004 Petroleo Brasileiro SA............................................ 5,276,835 50,506,755 #Petroleo Brasileiro SA ADR........................................ 18,401,141 352,381,850 #Petroleo Brasileiro SA Sponsored ADR.............................. 20,796,933 415,314,752 Plascar Participacoes Industriais SA.............................. 637,955 137,109 *Positivo Informatica SA........................................... 666,226 1,531,745 Profarma Distribuidora de Produtos Farmaceuticos SA............... 234,925 2,576,161 Rodobens Negocios Imobiliarios SA................................. 339,816 2,488,219 Rossi Residencial SA.............................................. 10,841,395 18,260,903
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- -------------- BRAZIL -- (Continued) Sao Carlos Empreendimentos e Participacoes SA..................... 68,000 $ 1,577,348 Sao Martinho SA................................................... 565,163 7,948,863 SLC Agricola SA................................................... 899,691 7,932,300 *Springs Global Participacoes SA................................... 1,522,699 2,762,663 Sul America SA.................................................... 556,590 4,158,951 Tecnisa SA........................................................ 861,104 3,864,908 Tereos Internacional SA........................................... 509,672 822,812 TPI--Triunfo Participacoes e Investimentos SA..................... 228,700 1,301,958 Trisul SA......................................................... 95,461 205,164 *Usinas Siderurgicas de Minas Gerais SA............................ 2,197,000 11,046,767 *Vanguarda Agro SA................................................. 23,334,836 4,431,957 Via Varejo SA..................................................... 42,731 533,937 *Viver Incorporadora e Construtora SA.............................. 3,433,092 1,063,860 -------------- TOTAL BRAZIL......................................................... 1,721,622,474 -------------- CHILE -- (1.6%)...................................................... Banco de Credito e Inversiones.................................... 911 65,378 *Cementos BIO BIO SA............................................... 665,307 897,059 Cencosud SA....................................................... 805,770 4,550,432 Cia General de Electricidad SA.................................... 1,184,945 7,170,811 *Cia Pesquera Camanchaca SA........................................ 10,000 626 *Cia Sud Americana de Vapores SA................................... 50,773,323 4,528,038 Cintac SA......................................................... 155,202 69,206 Corpbanca SA...................................................... 1,141,490,366 15,633,534 Cristalerias de Chile SA.......................................... 264,624 2,719,567 Cruz Blanca Salud SA.............................................. 26,676 30,587 CTI Cia Tecno Industrial SA....................................... 488,163 32,848 #Embotelladora Andina SA Class A ADR............................... 19,478 615,310 Empresas CMPC SA.................................................. 18,480,393 68,278,763 Empresas COPEC SA................................................. 2,349,354 33,672,660 Empresas Hites SA................................................. 1,167,266 1,065,770 Empresas Iansa SA................................................. 49,008,058 3,226,966 Enersis SA........................................................ 65,132,527 24,548,303 Enersis SA Sponsored ADR.......................................... 5,249,009 99,101,290 Gasco SA.......................................................... 159,015 1,603,825 Grupo Security SA................................................. 983,876 394,846 Inversiones Aguas Metropolitanas SA............................... 5,988,339 12,714,174 Latam Airlines Group SA........................................... 35,986 743,476 #Latam Airlines Group SA Sponsored ADR............................. 36,293 751,265 Madeco SA......................................................... 64,223,012 2,498,281 Masisa SA......................................................... 37,152,936 3,392,242 Minera Valparaiso SA.............................................. 1,927 65,304 Parque Arauco SA.................................................. 167,834 434,027 PAZ Corp. SA...................................................... 1,839,510 1,236,255 Ripley Corp. SA................................................... 11,731,574 12,206,118 Salfacorp SA...................................................... 1,284,664 2,400,476 *Sociedad Matriz SAAM SA........................................... 51,571,533 5,913,288 Sociedad Quimica y Minera de Chile SA Class A..................... 31,595 1,613,965 Socovesa SA....................................................... 5,686,559 2,740,947 Soquimich Comercial SA............................................ 189,354 55,843 Vina Concha y Toro SA............................................. 1,549,089 3,026,176 Vina Concha y Toro SA Sponsored ADR............................... 2,846 111,535
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ CHILE -- (Continued) Vina San Pedro Tarapaca SA........................................ 57,038,434 $ 393,619 ------------ TOTAL CHILE 318,502,810 ------------ CHINA -- (14.1%) #361 Degrees International, Ltd.................................... 6,803,000 1,818,190 Agile Property Holdings, Ltd...................................... 17,582,000 22,793,990 Agricultural Bank of China, Ltd. Class H.......................... 255,464,000 122,746,565 Air China, Ltd. Class H........................................... 1,580,000 1,282,872 #*Aluminum Corp. of China, Ltd. ADR................................. 276,693 2,670,087 #*Aluminum Corp. of China, Ltd. Class H............................. 8,702,000 3,333,112 AMVIG Holdings, Ltd............................................... 5,605,100 2,167,827 #*Angang Steel Co., Ltd. Class H.................................... 15,187,640 8,961,460 Anhui Tianda Oil Pipe Co., Ltd.................................... 2,847,412 510,108 Asia Cement China Holdings Corp................................... 7,788,500 4,325,311 Asian Citrus Holdings, Ltd........................................ 6,995,000 2,971,404 #*Ausnutria Dairy Corp., Ltd........................................ 268,000 50,422 *AVIC International Holding HK, Ltd................................ 19,134,285 814,959 *AVIC International Holdings, Ltd.................................. 2,526,000 1,025,304 Bank of China, Ltd. Class H....................................... 989,630,331 463,675,570 Bank of Communications Co., Ltd. Class H.......................... 110,893,574 88,310,920 Baoye Group Co., Ltd. Class H..................................... 2,061,120 1,625,284 BBMG Corp. Class H................................................ 2,013,500 1,624,044 Beijing Capital International Airport Co., Ltd. Class H........... 24,271,599 16,799,263 Beijing Capital Land, Ltd. Class H................................ 17,229,060 6,306,405 *Beijing Development HK, Ltd....................................... 586,000 127,023 Beijing Enterprises Holdings, Ltd................................. 5,620,000 42,038,240 Beijing Jingkelong Co., Ltd. Class H.............................. 457,000 168,013 Beijing North Star Co., Ltd. Class H.............................. 8,382,000 2,087,209 *Besunyen Holdings Co., Ltd........................................ 2,299,000 106,816 Boer Power Holdings, Ltd.......................................... 1,744,000 1,192,498 BYD Electronic International Co., Ltd............................. 13,059,136 6,890,747 # C C Land Holdings, Ltd............................................ 20,827,286 7,010,297 #*Carnival Group International Holdings, Ltd........................ 1,700,000 104,984 Central China Real Estate, Ltd.................................... 7,932,350 2,717,536 Changshouhua Food Co., Ltd........................................ 856,000 561,191 #*Chaoda Modern Agriculture Holdings, Ltd........................... 37,445,412 1,872,273 *Chigo Holding, Ltd................................................ 48,856,000 1,388,164 China Aerospace International Holdings, Ltd....................... 32,830,000 3,517,163 China Agri-Industries Holdings, Ltd............................... 30,816,500 15,105,202 China All Access Holdings, Ltd.................................... 480,000 148,169 China Aoyuan Property Group, Ltd.................................. 14,941,000 3,432,122 China Automation Group, Ltd....................................... 6,821,000 1,525,005 China BlueChemical, Ltd........................................... 3,450,878 2,112,691 #*China Chengtong Development Group, Ltd............................ 4,982,000 178,674 China CITIC Bank Corp., Ltd. Class H.............................. 113,494,716 64,035,377 China Coal Energy Co., Ltd. Class H............................... 60,445,000 46,659,951 China Communications Construction Co., Ltd. Class H............... 65,910,327 63,345,080 China Communications Services Corp., Ltd. Class H................. 29,797,071 21,790,261 China Construction Bank Corp. Class H............................. 214,422,940 179,967,415 *China COSCO Holdings Co., Ltd. Class H............................ 37,168,500 15,700,428 China Dongxiang Group Co.......................................... 46,914,127 8,118,109 *China Energine International Holdings, Ltd........................ 7,322,390 330,966
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ CHINA -- (Continued) China Everbright, Ltd................................... 12,195,869 $ 19,345,111 *China Fiber Optic Network System Group, Ltd............. 660,000 96,327 China Glass Holdings, Ltd............................... 8,960,000 1,216,108 *China Green Holdings, Ltd............................... 7,842,800 1,090,435 #China Haidian Holdings, Ltd............................. 22,761,108 2,525,211 #China High Precision Automation Group, Ltd.............. 429,000 67,445 #* China High Speed Transmission Equipment Group Co., Ltd.. 17,215,000 8,337,086 #* China Huiyuan Juice Group, Ltd.......................... 8,259,483 3,716,008 *China ITS Holdings Co., Ltd............................. 7,630,000 1,645,582 #China Lumena New Materials Corp......................... 53,224,000 11,625,358 China Merchants Holdings International Co., Ltd......... 9,101,424 28,754,426 #China Metal Recycling Holdings, Ltd..................... 3,259,800 3,961,253 *China Mining Resources Group, Ltd....................... 30,230,000 233,733 #China Minsheng Banking Corp., Ltd. Class H.............. 57,085,500 73,292,194 *China Mobile Games & Entertainment Group, Ltd. ADR...... 24,079 269,444 China Molybdenum Co., Ltd. Class H...................... 1,593,263 617,691 #China National Materials Co., Ltd....................... 13,923,000 3,455,101 #* China New Town Development Co., Ltd..................... 19,348,022 1,525,929 China Nickel Resources Holdings Co., Ltd................ 5,532,000 322,010 *China Oriental Group Co., Ltd........................... 26,000 4,822 #China Petroleum & Chemical Corp. ADR.................... 993,796 109,874,086 China Petroleum & Chemical Corp. Class H................ 163,824,289 180,790,542 #* China Precious Metal Resources Holdings Co., Ltd........ 5,738,000 976,037 #* China Properties Group, Ltd............................. 7,347,000 1,816,620 China Qinfa Group, Ltd.................................. 6,458,000 692,516 #China Railway Construction Corp., Ltd. Class H.......... 29,430,014 29,752,433 #China Rare Earth Holdings, Ltd.......................... 20,507,000 3,205,827 China Resources Land, Ltd............................... 2,904,107 8,783,407 #China Rongsheng Heavy Industries Group Holdings, Ltd.... 25,007,500 3,616,411 *China Sandi Holdings, Ltd............................... 259,110 19,700 China Sanjiang Fine Chemicals Co., Ltd.................. 199,000 96,812 China SCE Property Holdings, Ltd........................ 1,331,000 334,576 #* China Shipping Container Lines Co., Ltd. Class H........ 56,393,700 13,491,888 #China Shipping Development Co., Ltd. Class H............ 19,327,488 8,293,068 #China South City Holdings, Ltd.......................... 13,892,462 2,383,573 China Southern Airlines Co., Ltd. Class H............... 17,624,000 9,318,639 China Starch Holdings, Ltd.............................. 18,995,000 519,711 China Sunshine Paper Holdings Co., Ltd.................. 805,500 89,621 China Taifeng Beddings Holdings, Ltd.................... 462,000 116,328 China Tianyi Holdings, Ltd.............................. 756,000 98,659 China Tontine Wines Group, Ltd.......................... 7,118,000 413,629 China Travel International Inv HK....................... 52,275,631 10,660,520 China Unicom Hong Kong, Ltd............................. 4,822,000 6,940,325 #China Unicom Hong Kong, Ltd. ADR........................ 7,316,862 105,582,319 China Vanadium Titano--Magnetite Mining Co., Ltd........ 14,828,000 3,541,122 China WindPower Group, Ltd.............................. 360,000 13,932 #* China Yurun Food Group, Ltd............................. 13,285,000 7,926,868 *China ZhengTong Auto Services Holdings, Ltd............. 197,000 122,013 #* China Zhongwang Holdings, Ltd........................... 20,874,954 6,948,167 *Chongqing Iron & Steel Co., Ltd. Class H................ 6,356,000 920,303 #Chongqing Machinery & Electric Co., Ltd. Class H........ 18,992,000 2,527,918 #Chongqing Rural Commercial Bank Class H................. 907,000 494,696
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- CHINA -- (Continued) Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd......... 5,728,000 $ 2,805,035 #CITIC Pacific, Ltd................................................ 16,793,000 20,405,719 *CITIC Resources Holdings, Ltd..................................... 42,880,000 5,425,016 Clear Media, Ltd.................................................. 650,000 469,958 * Coastal Greenland, Ltd............................................ 2,202,000 135,605 #Comba Telecom Systems Holdings, Ltd............................... 4,323,500 1,480,718 * Comtec Solar Systems Group, Ltd................................... 6,346,000 1,265,219 Cosco International Holdings, Ltd................................. 10,104,000 4,293,887 COSCO Pacific, Ltd................................................ 21,118,180 28,055,586 *Country Garden Holdings Co., Ltd.................................. 5,548,203 3,150,527 CPMC Holdings, Ltd................................................ 129,000 101,554 #*CSPC Pharmaceutical Group, Ltd.................................... 15,098,000 7,296,497 DaChan Food Asia, Ltd............................................. 3,535,000 446,226 Dalian Port PDA Co., Ltd. Class H................................. 14,226,000 3,103,234 DaMing International Holdings, Ltd................................ 32,000 5,350 #*Daqing Dairy Holdings, Ltd........................................ 3,316,000 -- Dawnrays Pharmaceutical Holdings, Ltd............................. 156,000 47,067 #*Dynasty Fine Wines Group, Ltd..................................... 9,228,600 1,712,491 Embry Holdings, Ltd............................................... 544,000 291,238 #Evergrande Real Estate Group, Ltd................................. 5,087,000 2,087,993 Evergreen International Holdings, Ltd............................. 1,628,000 315,218 Fantasia Holdings Group Co., Ltd.................................. 9,902,515 1,546,615 #Fosun International, Ltd.......................................... 14,274,244 10,174,330 #Franshion Properties China, Ltd................................... 44,364,580 15,157,209 #Fufeng Group, Ltd................................................. 2,658,000 957,417 #GCL-Poly Energy Holdings, Ltd..................................... 35,208,000 7,154,867 Global Bio-Chem Technology Group Co., Ltd......................... 35,702,360 3,086,138 *Global Sweeteners Holdings, Ltd................................... 10,400,350 672,006 *Glorious Property Holdings, Ltd................................... 41,022,000 6,401,254 *Goldbond Group Holdings, Ltd...................................... 1,830,000 63,707 #Golden Meditech Holdings, Ltd..................................... 11,909,359 1,397,702 Goldlion Holdings, Ltd............................................ 1,298,000 686,359 #*GOME Electrical Appliances Holding, Ltd........................... 47,272,000 4,761,258 Great Wall Technology Co., Ltd. Class H........................... 7,550,035 1,372,536 *Greentown China Holdings, Ltd..................................... 7,954,591 15,489,448 Guangshen Railway Co., Ltd. Class H............................... 888,000 448,287 #Guangshen Railway Co., Ltd. Sponsored ADR......................... 426,392 10,655,536 #Guangzhou Automobile Group Co., Ltd. Class H...................... 27,145,572 22,374,480 #Guangzhou R&F Properties Co., Ltd................................. 11,351,914 20,599,538 Hainan Meilan International Airport Co., Ltd. Class H............. 1,989,000 1,714,334 #*Hanergy Solar Group, Ltd.......................................... 40,574,000 2,932,868 Harbin Electric Co., Ltd. Class H................................. 10,673,474 8,218,642 *Heng Tai Consumables Group, Ltd................................... 74,825,195 1,573,140 *Hi Sun Technology China, Ltd...................................... 423,000 49,292 #Hidili Industry International Development, Ltd.................... 20,082,000 4,543,956 #HKC Holdings, Ltd................................................. 39,674,878 1,329,896 *Hopson Development Holdings, Ltd.................................. 11,228,000 18,852,203 Hua Han Bio-Pharmaceutical Holdings, Ltd.......................... 18,566,525 6,013,713 *Huscoke Resources Holdings, Ltd................................... 4,126,000 53,373 Hutchison Harbour Ring, Ltd....................................... 6,830,000 554,776 Industrial & Commercial Bank of China, Ltd. Class H............... 71,682,996 50,529,679 Inspur International, Ltd......................................... 33,726,713 1,305,303
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- CHINA -- (Continued) #Ju Teng International Holdings, Ltd............................... 11,466,249 $ 7,477,781 *Kai Yuan Holdings, Ltd............................................ 64,220,000 1,647,559 #*Kaisa Group Holdings, Ltd......................................... 21,380,632 6,730,584 *Kasen International Holdings, Ltd................................. 1,885,000 415,516 Kingboard Chemical Holdings, Ltd.................................. 7,717,371 21,067,103 Kingboard Laminates Holdings, Ltd................................. 7,016,500 3,150,188 Kingway Brewery Holdings, Ltd..................................... 3,036,000 1,209,560 KWG Property Holding, Ltd......................................... 20,557,000 14,214,011 Lai Fung Holdings, Ltd............................................ 53,769,560 1,329,621 Le Saunda Holdings, Ltd........................................... 82,000 25,490 Lee & Man Paper Manufacturing, Ltd................................ 10,823,000 8,072,980 Leoch International Technology, Ltd............................... 1,278,000 175,617 #*Li Ning Co., Ltd.................................................. 1,151,000 636,151 Lijun International Pharmaceutical Holding, Ltd................... 2,166,055 679,948 Lingbao Gold Co., Ltd. Class H.................................... 4,220,000 1,249,631 LK Technology Holdings, Ltd....................................... 112,500 21,045 #Lonking Holdings, Ltd............................................. 9,166,000 1,742,198 *Loudong General Nice Resources China Holdings, Ltd................ 21,592,800 1,481,866 #*Maanshan Iron & Steel Class H..................................... 27,282,000 6,748,445 Maoye International Holdings, Ltd................................. 7,283,000 1,562,556 #*Metallurgical Corp. of China, Ltd. Class H........................ 23,897,659 4,877,689 MIN XIN Holdings, Ltd............................................. 1,654,000 912,004 *Mingyuan Medicare Development Co., Ltd............................ 5,840,264 120,711 Minmetals Land, Ltd............................................... 19,977,205 2,864,792 Minth Group, Ltd.................................................. 3,854,000 6,927,047 *MMG, Ltd.......................................................... 1,424,000 427,105 *Nan Hai Corp., Ltd................................................ 32,700,000 134,978 New World China Land, Ltd......................................... 25,450,600 11,238,732 New World Department Store China, Ltd............................. 565,000 291,523 #Nine Dragons Paper Holdings, Ltd.................................. 19,317,000 16,829,997 #O-Net Communications Group, Ltd................................... 3,619,000 817,704 Overseas Chinese Town Asia Holdings, Ltd.......................... 160,000 82,359 #*PAX Global Technology, Ltd........................................ 135,000 27,828 PCD Stores Group, Ltd............................................. 4,404,000 664,697 #Peak Sport Products Co., Ltd...................................... 10,288,000 1,846,746 *PetroAsian Energy Holdings, Ltd................................... 13,966,084 300,749 #*Poly Property Group Co., Ltd...................................... 31,419,488 22,004,573 *Pou Sheng International Holdings, Ltd............................. 9,813,529 569,752 Powerlong Real Estate Holdings, Ltd............................... 9,989,000 2,391,658 #*Prosperity International Holdings HK, Ltd......................... 19,500,000 755,007 Qingling Motors Co., Ltd. Class H................................. 12,058,000 3,409,904 Qunxing Paper Holdings Co., Ltd................................... 5,020,071 1,306,662 *Real Gold Mining, Ltd............................................. 3,137,500 566,033 #Real Nutriceutical Group, Ltd..................................... 11,046,000 2,940,124 Regent Manner International Holdings, Ltd......................... 738,000 138,493 *Renhe Commercial Holdings Co., Ltd................................ 45,780,000 2,893,747 #REXLot Holdings, Ltd.............................................. 95,781,150 7,911,259 Royale Furniture Holdings, Ltd.................................... 5,497,007 447,169 Samson Holding, Ltd............................................... 7,831,452 1,445,476 *Semiconductor Manufacturing International Corp.................... 173,313,000 12,848,811 *Semiconductor Manufacturing International Corp. ADR............... 1,331,701 4,847,392 #Shandong Chenming Paper Holdings, Ltd. Class H.................... 4,153,318 1,614,350
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- CHINA -- (Continued) Shanghai Industrial Holdings, Ltd................................. 8,464,918 $26,895,755 #*Shanghai Industrial Urban Development Group, Ltd.................. 15,164,000 3,067,956 Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H... 17,400,000 2,782,341 Shanghai Prime Machinery Co., Ltd. Class H........................ 8,790,000 1,054,044 *Shanghai Zendai Property, Ltd..................................... 19,155,000 370,862 Shengli Oil & Gas Pipe Holdings, Ltd.............................. 9,946,500 1,051,027 Shenzhen International Holdings, Ltd.............................. 110,282,500 14,375,657 Shenzhen Investment, Ltd.......................................... 40,044,234 16,828,754 Shimao Property Holdings, Ltd..................................... 22,765,535 49,190,659 *Shougang Concord Century Holdings, Ltd............................ 2,814,299 103,696 #*Shougang Concord International Enterprises Co., Ltd............... 83,508,208 4,323,963 #Shougang Fushan Resources Group, Ltd.............................. 43,564,594 17,047,220 #Shui On Land, Ltd................................................. 43,500,603 14,422,094 Sijia Group Co.................................................... 1,152,649 203,492 Silver Grant International........................................ 20,310,804 3,280,856 *SIM Technology Group, Ltd......................................... 16,989,000 648,459 *Sino Dragon New Energy Holdings, Ltd.............................. 1,128,000 18,501 *Sino Oil And Gas Holdings, Ltd.................................... 94,765,000 1,892,101 *Sino Prosper State Gold Resources Holdings, Ltd................... 2,820,314 65,231 #Sino-Ocean Land Holdings, Ltd..................................... 43,523,524 28,731,645 Sinofert Holdings, Ltd............................................ 33,002,000 7,167,386 *Sinolink Worldwide Holdings, Ltd.................................. 16,942,508 1,331,976 SinoMedia Holding, Ltd............................................ 121,139 67,400 Sinopec Kantons Holdings, Ltd..................................... 10,797,010 9,785,924 Sinotrans Shipping, Ltd........................................... 17,217,916 4,266,477 Sinotrans, Ltd. Class H........................................... 24,315,000 5,177,203 #Sinotruk Hong Kong, Ltd........................................... 9,113,335 5,092,498 SITC International Holdings Co., Ltd.............................. 52,000 19,056 Skyworth Digital Holdings, Ltd.................................... 32,027,796 26,497,474 *SMI Corp., Ltd.................................................... 11,728,000 227,965 #SOHO China, Ltd................................................... 29,586,388 25,565,374 *Solargiga Energy Holdings, Ltd.................................... 10,560,486 504,700 Sparkle Roll Group, Ltd........................................... 472,000 41,424 #*SPG Land Holdings, Ltd............................................ 3,730,575 1,836,407 #*SRE Group, Ltd.................................................... 41,222,285 1,540,621 Tak Sing Alliance Holdings, Ltd................................... 3,394,391 513,487 TCC International Holdings, Ltd................................... 13,997,056 3,997,222 TCL Communication Technology Holdings, Ltd........................ 1,860,000 749,927 TCL Multimedia Technology Holdings, Ltd........................... 7,974,200 7,235,693 Texhong Textile Group, Ltd........................................ 1,450,000 1,683,638 Tian An China Investment.......................................... 7,019,000 4,953,552 Tian Shan Development Holdings, Ltd............................... 806,000 236,714 Tiangong International Co., Ltd................................... 15,623,944 4,418,155 Tianjin Port Development Holdings, Ltd............................ 12,609,657 1,806,653 #Tianneng Power International, Ltd................................. 2,922,280 1,852,482 #Tomson Group, Ltd................................................. 2,979,206 803,444 #TPV Technology, Ltd............................................... 10,594,496 2,744,735 Travelsky Technology, Ltd. Class H................................ 16,861,500 10,737,137 *Trony Solar Holdings Co., Ltd..................................... 8,775,000 712,390 Truly International Holdings...................................... 18,315,500 9,788,586 #VODone, Ltd....................................................... 48,158,000 3,605,487 Wasion Group Holdings, Ltd........................................ 5,951,291 3,338,712
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- CHINA -- (Continued) #Weiqiao Textile Co. Class H....................................... 7,549,500 $ 4,158,278 Welling Holding, Ltd.............................................. 12,000 2,692 #West China Cement, Ltd............................................ 27,792,000 4,920,937 #Winsway Coking Coal Holdings, Ltd................................. 829,000 78,278 Xiamen International Port Co., Ltd. Class H....................... 15,252,000 2,045,010 Xingda International Holdings, Ltd................................ 10,726,000 4,113,441 Xinhua Winshare Publishing and Media Co., Ltd. Class H............ 4,837,000 2,738,077 #Xinjiang Goldwind Science & Technology Co., Ltd. Class H.......... 1,354,800 820,029 #Xinjiang Xinxin Mining Industry Co., Ltd. Class H................. 10,075,000 1,861,747 Xiwang Sugar Holdings Co., Ltd.................................... 11,548,736 1,014,982 #XTEP International Holdings....................................... 2,745,500 1,152,112 #*Yanchang Petroleum International, Ltd............................. 44,770,000 2,601,364 Yantai North Andre Juice Co. Class H.............................. 236,500 94,519 Yip's Chemical Holdings, Ltd...................................... 438,000 477,342 Youyuan International Holdings, Ltd............................... 85,663 23,716 Yuexiu Property Co., Ltd.......................................... 75,308,170 22,325,258 #Yuzhou Properties Co.............................................. 910,800 232,139 #*Zhejiang Glass Co., Ltd. Class H.................................. 437,000 -- *Zhong An Real Estate, Ltd......................................... 4,695,800 691,236 #Zoomlion Heavy Industry Science and Technology Co., Ltd........... 261,800 263,111 -------------- TOTAL CHINA 2,810,433,642 -------------- COLOMBIA -- (0.1%) Almacenes Exito SA................................................ 13,287 217,824 Banco de Bogota SA................................................ 5,185 178,981 Cementos Argos SA................................................. 364,811 1,629,080 *Fabricato SA...................................................... 18,582,617 122,181 Grupo de Inversiones Suramericana SA.............................. 436,786 9,213,961 Grupo Nutresa SA.................................................. 168,035 2,316,473 -------------- TOTAL COLOMBIA....................................................... 13,678,500 -------------- CZECH REPUBLIC -- (0.2%) #Komercni Banka A.S................................................ 25,182 4,821,981 Pegas Nonwovens SA................................................ 147,266 3,903,797 Telefonica Czech Republic A.S..................................... 723,611 10,468,881 *Unipetrol A.S..................................................... 1,424,029 12,501,131 -------------- TOTAL CZECH REPUBLIC................................................. 31,695,790 -------------- HUNGARY -- (0.5%) *Danubius Hotel and SpA P.L.C...................................... 136,180 1,999,671 EGIS Pharmaceuticals P.L.C........................................ 61,293 4,844,073 *FHB Mortgage Bank P.L.C........................................... 2,790 4,363 *Fotex Holding SE.................................................. 899,183 776,134 MOL Hungarian Oil and Gas P.L.C................................... 83,141 5,909,764 #OTP Bank P.L.C.................................................... 3,828,061 79,923,314 *PannErgy.......................................................... 119,850 196,978 *Tisza Chemical Group P.L.C........................................ 235,486 2,043,002 -------------- TOTAL HUNGARY........................................................ 95,697,299 -------------- INDIA -- (6.8%) Aban Offshore, Ltd................................................ 238,529 1,429,713
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- INDIA -- (Continued) *ABG Shipyard, Ltd................................................. 260,686 $ 1,556,660 Adani Enterprises, Ltd............................................ 2,052,007 8,307,170 *Adani Power, Ltd.................................................. 635,365 574,378 Aditya Birla Nuvo, Ltd............................................ 550,491 10,739,682 Ajmera Realty & Infra India, Ltd.................................. 13,221 23,999 Akzo Nobel India, Ltd............................................. 43,362 796,201 Alembic Pharmaceuticals, Ltd...................................... 485,202 1,035,473 *Alembic, Ltd...................................................... 20,134 6,781 Allahabad Bank.................................................... 1,927,170 4,820,390 Alok Industries, Ltd.............................................. 6,859,055 1,252,069 Amara Raja Batteries, Ltd......................................... 14,826 71,342 Amtek Auto, Ltd................................................... 1,125,521 1,541,168 Amtek India, Ltd.................................................. 259,411 434,637 Anant Raj, Ltd.................................................... 2,120,058 2,617,515 Andhra Bank....................................................... 2,193,717 3,737,025 *Ansal Properties & Infrastructure, Ltd............................ 86,487 38,669 Apollo Hospitals Enterprise, Ltd.................................. 105,755 1,631,967 Apollo Tyres, Ltd................................................. 1,676,970 2,999,149 Arvind, Ltd....................................................... 3,093,852 4,543,656 Ashok Leyland, Ltd................................................ 20,147,759 8,708,564 Asian Hotels East, Ltd............................................ 1,050 3,116 Atul, Ltd......................................................... 11,624 78,965 Aurobindo Pharma, Ltd............................................. 945,396 3,339,399 Bajaj Finance, Ltd................................................ 95,610 2,197,082 Bajaj Finserv, Ltd................................................ 2,335 32,200 Bajaj Hindusthan, Ltd............................................. 4,307,376 1,586,744 Bajaj Holdings and Investment, Ltd................................ 366,035 6,042,451 Ballarpur Industries, Ltd......................................... 4,060,891 1,309,284 Balmer Lawrie & Co., Ltd.......................................... 68,955 860,645 *Balrampur Chini Mills, Ltd........................................ 2,524,982 2,240,692 Bank of Baroda.................................................... 797,959 10,364,045 Bank of India..................................................... 1,696,673 10,409,724 Bank Of Maharashtra............................................... 1,502,238 1,616,147 BEML, Ltd......................................................... 190,772 569,322 BGR Energy Systems, Ltd........................................... 170,193 612,595 Bharat Electronics, Ltd........................................... 8,816 191,620 Bhushan Steel, Ltd. (6288521)..................................... 1,047,906 8,849,492 *Bhushan Steel, Ltd. (B8KHHS3)..................................... 69,755 335,342 Birla Corp., Ltd.................................................. 133,010 636,026 Bombay Burmah Trading Co.......................................... 1,746 4,066 Bombay Dyeing & Manufacturing Co., Ltd............................ 974,914 1,558,807 *Bombay Rayon Fashions, Ltd........................................ 50,997 223,178 Brigade Enterprises, Ltd.......................................... 15,894 21,071 Cairn India, Ltd.................................................. 5,595,140 32,445,567 Canara Bank....................................................... 1,406,261 10,871,050 Capital First, Ltd................................................ 273,553 862,295 Central Bank Of India............................................. 3,204,753 4,238,614 Century Textiles & Industries, Ltd................................ 377,379 2,013,183 Chambal Fertilizers & Chemicals, Ltd.............................. 1,636,489 1,618,996 City Union Bank, Ltd. (6313940)................................... 1,156,622 1,175,107 *City Union Bank, Ltd. (B96FP40)................................... 293,667 228,351 Claris Lifesciences, Ltd.......................................... 89,302 296,704
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- INDIA -- (Continued) Coromandel International, Ltd..................................... 44,273 $ 159,949 Corp. Bank........................................................ 357,471 2,514,252 Cox & Kings, Ltd.................................................. 8,516 20,295 *Cranes Software International, Ltd................................ 114,443 4,856 Crompton Greaves, Ltd............................................. 92,035 157,336 Dalmia Bharat, Ltd................................................ 159,852 379,213 *DB Realty, Ltd.................................................... 1,411,321 1,679,621 DCM Shriram Consolidated.......................................... 234,771 251,593 Deepak Fertilisers & Petrochemicals Corp., Ltd.................... 424,886 845,689 Dena Bank......................................................... 939,377 1,588,412 *Development Credit Bank, Ltd...................................... 2,795,239 2,445,780 Dewan Housing Finance Corp., Ltd.................................. 115,020 374,214 Dishman Pharmaceuticals & Chemicals, Ltd.......................... 77,510 100,012 DLF, Ltd.......................................................... 7,252,543 32,043,826 *Dredging Corp. Of India, Ltd...................................... 66,613 268,120 Edelweiss Financial Services, Ltd................................. 1,091,035 609,454 Educomp Solutions, Ltd............................................ 861,737 1,037,034 Eicher Motors, Ltd................................................ 29,829 1,646,224 EID Parry India, Ltd.............................................. 831,209 2,355,050 EIH, Ltd.......................................................... 877,249 1,001,958 Elder Pharmaceuticals, Ltd........................................ 136,186 936,948 Electrosteel Castings, Ltd........................................ 834,925 259,600 *Electrosteel Steels, Ltd.......................................... 97,429 8,888 Era Infra Engineering, Ltd........................................ 1,037,780 2,640,737 Escorts, Ltd...................................................... 1,272,669 1,356,149 Ess Dee Aluminium, Ltd............................................ 42,453 406,301 *Essar Oil, Ltd.................................................... 1,456,017 2,066,661 Essar Ports, Ltd.................................................. 682,273 1,128,532 *Essar Shipping, Ltd............................................... 256,219 92,954 Essel Propack, Ltd................................................ 750,981 488,841 Federal Bank, Ltd................................................. 1,722,798 14,628,936 *Federal-Mogul Goetze India, Ltd................................... 3,731 13,729 Financial Technologies India, Ltd................................. 3,834 56,960 Finolex Cables, Ltd............................................... 562,944 535,208 Finolex Industries, Ltd........................................... 695,629 1,352,533 *Fortis Healthcare, Ltd............................................ 1,308,422 2,445,782 *Future Ventures India, Ltd........................................ 145,968 25,691 GAIL India, Ltd................................................... 381,180 2,482,860 Gammon India, Ltd................................................. 420,607 174,245 Gateway Distriparks, Ltd.......................................... 231,605 526,717 Geodesic, Ltd..................................................... 123,418 21,284 Gitanjali Gems, Ltd............................................... 874,501 9,988,692 Graphite India, Ltd............................................... 586,551 847,746 Grasim Industries, Ltd............................................ 15,142 824,270 Great Eastern Shipping Co., Ltd. (The)............................ 1,018,431 4,106,097 *GTL Infrastructure, Ltd........................................... 2,771,207 126,624 Gujarat Alkalies & Chemicals, Ltd................................. 449,629 1,394,052 Gujarat Fluorochemicals, Ltd...................................... 254,828 1,418,343 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd............... 729,530 1,069,337 Gujarat NRE Coke, Ltd............................................. 3,594,902 1,145,069 Gujarat State Fertilisers & Chemicals, Ltd........................ 2,186,080 2,233,745 Gujarat State Petronet, Ltd....................................... 1,096,969 1,359,008
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Gulf Oil Corp., Ltd............................................... 239,031 $ 273,273 HBL Power Systems, Ltd............................................ 256,820 45,308 HCL Infosystems, Ltd.............................................. 1,297,616 941,324 HEG, Ltd.......................................................... 140,383 432,793 *HeidelbergCement India, Ltd....................................... 714,316 504,896 *Hexa Tradex, Ltd.................................................. 278,757 132,785 Hexaware Technologies, Ltd........................................ 26,718 40,854 Hindalco Industries, Ltd.......................................... 18,445,975 33,345,355 Hinduja Global Solutions, Ltd..................................... 63,466 308,772 Hinduja Ventures, Ltd............................................. 67,133 457,308 *Hindustan Construction Co., Ltd................................... 6,741,542 1,752,075 *Hotel Leela Venture, Ltd.......................................... 1,587,388 620,191 *Housing Development & Infrastructure, Ltd......................... 4,919,930 4,850,157 HSIL, Ltd......................................................... 187,119 369,579 ICICI Bank, Ltd................................................... 590,476 12,782,409 #ICICI Bank, Ltd. Sponsored ADR.................................... 3,394,535 158,932,128 IDBI Bank, Ltd.................................................... 3,116,338 5,110,341 *Idea Cellular, Ltd................................................ 3,256,861 8,065,515 IDFC, Ltd......................................................... 6,072,777 17,282,288 IFCI, Ltd......................................................... 6,602,323 3,657,264 IL&FS Transportation Networks, Ltd................................ 11,106 36,296 India Cements, Ltd................................................ 3,480,306 5,420,006 India Infoline, Ltd............................................... 2,848,913 3,312,456 *Indiabulls Housing Finance, Ltd................................... 1,795,884 9,060,256 *Indiabulls Infrastructure and Power, Ltd.......................... 10,676,958 851,000 *Indiabulls Real Estate, Ltd....................................... 2,937,281 4,062,508 Indian Bank....................................................... 1,269,647 4,050,620 Indian Hotels Co., Ltd............................................ 4,281,600 4,563,721 Indian Overseas Bank.............................................. 2,980,762 3,540,091 Indo Rama Synthetics India........................................ 64,442 20,275 IndusInd Bank, Ltd................................................ 173,574 1,505,427 Infotech Enterprises, Ltd......................................... 26,080 84,700 ING Vysya Bank, Ltd............................................... 272,963 3,065,257 Ingersoll-Rand India, Ltd......................................... 30,001 221,704 *IVRCL, Ltd........................................................ 4,406,969 1,584,942 Jai Corp., Ltd.................................................... 971,844 1,153,394 Jain Irrigation Systems, Ltd...................................... 827,415 971,260 Jaiprakash Associates, Ltd........................................ 19,966,926 27,885,837 Jammu & Kashmir Bank, Ltd......................................... 286,979 7,386,503 Jaypee Infratech, Ltd............................................. 624,646 430,461 JB Chemicals & Pharmaceuticals, Ltd............................... 373,888 539,633 JBF Industries, Ltd............................................... 182,383 357,863 *Jet Airways India, Ltd............................................ 113,716 1,310,214 Jindal Poly Films, Ltd............................................ 213,703 611,582 Jindal Saw, Ltd................................................... 2,076,447 3,073,900 *Jindal South West Holdings, Ltd................................... 364 3,114 *Jindal Stainless, Ltd............................................. 822,471 899,766 Jindal Steel & Power, Ltd......................................... 220,218 1,248,960 JK Cement, Ltd.................................................... 132,566 648,205 JK Lakshmi Cement, Ltd............................................ 412,986 752,843 JM Financial, Ltd................................................. 4,506,097 1,467,994 JSW Energy, Ltd................................................... 4,983,307 6,043,518
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- INDIA -- (Continued) *JSW ISPAT Steel, Ltd.............................................. 4,724,692 $ 809,482 JSW Steel, Ltd.................................................... 1,497,049 19,698,608 Jubilant Life Sciences, Ltd....................................... 573,610 1,809,899 Jyothy Laboratories, Ltd.......................................... 764 2,490 Kakinada Fertilizers, Ltd......................................... 2,082,494 433,313 Kalpataru Power Transmission, Ltd................................. 220,665 328,934 *Kalyani Investment Co., Ltd....................................... 2,996 17,342 Karnataka Bank, Ltd............................................... 2,195,065 6,102,087 Karur Vysya Bank, Ltd............................................. 281,294 2,459,966 KEC International, Ltd............................................ 433,719 433,438 Kesoram Industries, Ltd........................................... 187,382 365,670 *Kingfisher Airlines, Ltd.......................................... 310,436 41,457 Kirloskar Brothers, Ltd........................................... 2,141 5,950 Kirloskar Oil Engines, Ltd........................................ 318,856 1,096,551 KSB Pumps, Ltd.................................................... 7,582 29,455 *KSK Energy Ventures, Ltd.......................................... 21,840 19,366 Lakshmi Vilas Bank, Ltd........................................... 457,710 718,267 Madras Cements, Ltd............................................... 379,938 1,752,309 *Mahanagar Telephone Nigam......................................... 2,697,641 1,007,438 #*Mahanagar Telephone Nigam ADR..................................... 100,249 71,177 Maharashtra Scooters, Ltd......................................... 519 3,493 Maharashtra Seamless, Ltd......................................... 194,873 786,712 Mahindra Lifespace Developers, Ltd................................ 143,080 1,115,648 Man Infraconstruction, Ltd........................................ 1,968 5,467 *Manaksia, Ltd..................................................... 58,953 44,099 McLeod Russel India, Ltd.......................................... 518,734 3,014,340 *Mercator, Ltd..................................................... 2,088,393 579,353 Merck, Ltd........................................................ 22,680 267,839 MOIL, Ltd......................................................... 4,675 19,337 Monnet Ispat & Energy, Ltd........................................ 183,497 676,760 Motilal Oswal Financial Services, Ltd............................. 4,955 7,836 Mphasis, Ltd...................................................... 37,279 257,671 MRF, Ltd.......................................................... 13,173 3,278,760 *Nagarjuna Oil Refinery, Ltd....................................... 1,596,050 108,230 Nahar Capital and Financial Services, Ltd......................... 8,332 5,748 National Aluminium Co., Ltd....................................... 1,594,012 1,033,484 Nava Bharat Ventures, Ltd......................................... 27,806 84,741 NCC, Ltd.......................................................... 3,293,955 1,916,368 NIIT Technologies, Ltd............................................ 425,794 2,045,219 NIIT, Ltd......................................................... 1,238,257 549,057 Noida Toll Bridge Co., Ltd........................................ 336,090 132,406 OCL India, Ltd.................................................... 61,362 172,098 *OMAXE, Ltd........................................................ 801,285 2,359,470 Opto Circuits India, Ltd.......................................... 164,668 178,485 *Orbit Corp., Ltd.................................................. 246,415 114,305 Orchid Chemicals & Pharmaceuticals, Ltd........................... 609,939 731,562 Orient Cement Ltd................................................. 567,622 606,868 Orient Paper & Industries, Ltd.................................... 489,439 64,167 Oriental Bank of Commerce......................................... 1,002,858 5,016,073 *Oswal Chemicals & Fertilizers..................................... 473,556 168,858 *Panacea Biotec, Ltd............................................... 23,946 53,452 *Parsvnath Developers, Ltd......................................... 1,662,316 1,058,880
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Peninsula Land, Ltd............................................... 327,606 $ 289,458 Petronet LNG, Ltd................................................. 733,079 1,907,528 Piramal Enterprises, Ltd.......................................... 742,829 7,712,615 *Plethico Pharmaceuticals, Ltd..................................... 214,672 950,321 Polaris Financial Technology, Ltd................................. 641,382 1,292,891 Polyplex Corp., Ltd............................................... 22,174 64,280 Power Finance Corp., Ltd.......................................... 16,793 60,911 *Prime Focus, Ltd.................................................. 11,527 8,564 Prism Cement, Ltd................................................. 389,471 332,485 *PTC India Financial Services, Ltd................................. 450,875 118,715 PTC India, Ltd.................................................... 3,344,525 3,734,474 Punj Lloyd, Ltd................................................... 3,569,939 3,588,064 Punjab & Sind Bank................................................ 116,252 132,961 Rain Commodities, Ltd............................................. 1,429,773 1,190,222 Rajesh Exports, Ltd............................................... 287,502 668,562 Raymond, Ltd...................................................... 355,228 1,918,821 REI Agro, Ltd..................................................... 4,885,691 1,067,842 *REI Six Ten Retail, Ltd........................................... 210,102 10,345 Reliance Capital, Ltd............................................. 1,987,403 12,978,617 Reliance Communications, Ltd...................................... 8,770,202 15,713,044 Reliance Industries, Ltd.......................................... 20,144,977 294,328,521 Reliance Industries, Ltd. GDR..................................... 107,000 3,162,242 *Reliance Power, Ltd............................................... 10,004,850 13,240,001 Rolta India, Ltd.................................................. 1,765,826 1,990,082 Ruchi Soya Industries, Ltd........................................ 1,735,191 2,215,406 Rural Electrification Corp., Ltd.................................. 2,768,400 11,546,856 *S Kumars Nationwide, Ltd.......................................... 2,093,670 264,896 Sadbhav Engineering, Ltd.......................................... 5,084 10,866 Sesa Goa, Ltd..................................................... 5,868,386 17,517,961 *Shipping Corp. of India, Ltd...................................... 2,189,697 1,739,994 Shiv-Vani Oil & Gas Exploration Services, Ltd..................... 80,526 64,437 *Shree Renuka Sugars, Ltd.......................................... 7,048,981 3,152,956 Simplex Infrastructures, Ltd...................................... 2,212 4,728 Sintex Industries, Ltd............................................ 3,365,829 2,980,934 Sobha Developers, Ltd............................................. 489,167 3,789,711 South Indian Bank, Ltd............................................ 9,724,062 4,315,521 SREI Infrastructure Finance, Ltd.................................. 1,470,670 826,425 SRF, Ltd.......................................................... 290,002 915,580 State Bank of Bikaner & Jaipur.................................... 32,697 262,595 State Bank of India............................................... 2,228,831 94,279,659 State Bank of India GDR........................................... 5,732 484,894 Steel Authority of India, Ltd..................................... 10,609,500 12,191,142 *Sterling Biotech, Ltd............................................. 811,274 90,400 Sterlite Industries India, Ltd.................................... 5,746,256 10,376,557 Sterlite Industries India, Ltd. ADR............................... 2,573,639 18,607,410 Sterlite Technologies, Ltd........................................ 1,812,956 838,998 Styrolution ABS India, Ltd........................................ 28,114 260,418 Sundaram Finance, Ltd............................................. 6,602 63,693 Sundram Fasteners, Ltd............................................ 55,097 40,672 *Suzlon Energy, Ltd................................................ 17,522,279 4,804,234 Syndicate Bank.................................................... 2,298,219 5,150,633 Tamil Nadu Newsprint & Papers, Ltd................................ 58,711 104,587
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------- -------------- INDIA -- (Continued) Tata Chemicals, Ltd............................................... 1,167,355 $ 7,095,113 Tata Communications, Ltd.......................................... 784,423 3,324,694 Tata Global Beverages, Ltd........................................ 4,929,114 13,457,042 Tata Investment Corp., Ltd........................................ 28,837 230,606 Tata Steel, Ltd................................................... 7,453,010 42,184,935 Techno Electric & Engineering Co., Ltd............................ 4,575 11,112 *Teledata Marine Solutions, Ltd.................................... 267,258 1,488 Time Technoplast, Ltd............................................. 498,379 356,196 Titagarh Wagons, Ltd.............................................. 106,381 332,072 Transport Corp. of India, Ltd..................................... 12,401 12,545 Trent, Ltd........................................................ 18,226 369,875 Triveni Turbine, Ltd.............................................. 230,208 222,577 Tube Investments of India, Ltd.................................... 503,633 1,495,813 *Tulip Telecom, Ltd................................................ 621,866 232,331 *TV18 Broadcast, Ltd............................................... 2,472,076 1,225,903 UCO Bank.......................................................... 2,836,237 3,681,853 Uflex, Ltd........................................................ 451,319 627,130 Unichem Laboratories, Ltd......................................... 186,357 587,280 Union Bank of India............................................... 797,003 3,615,512 *Unitech, Ltd...................................................... 26,779,093 13,478,918 United Bank of India.............................................. 108,308 121,755 United Phosphorus, Ltd............................................ 3,533,216 9,311,973 *Usha Martin, Ltd.................................................. 1,811,897 867,046 *Uttam Galva Steels, Ltd........................................... 14,790 19,279 *Vardhman Special Steels, Ltd...................................... 6,934 2,991 Vardhman Textiles, Ltd............................................ 110,493 555,290 Videocon Industries, Ltd.......................................... 1,093,102 4,376,575 Vijaya Bank....................................................... 2,405,050 2,352,021 Voltamp Transformers, Ltd......................................... 724 5,399 Welspun Corp., Ltd................................................ 1,848,725 1,817,847 *Wockhardt, Ltd.................................................... 7,920 282,439 *Zee Learn, Ltd.................................................... 211,836 69,049 Zensar Technologies, Ltd.......................................... 19,011 86,339 *Zuari Agro Chemicals, Ltd......................................... 128,304 368,420 Zuari Global, Ltd................................................. 85,653 112,754 Zylog Systems, Ltd................................................ 14,912 14,462 -------------- TOTAL INDIA.......................................................... 1,355,342,784 -------------- INDONESIA -- (3.2%) Adaro Energy Tbk PT............................................... 102,719,000 13,018,337 Adhi Karya Persero Tbk PT......................................... 9,689,617 2,967,441 *Agis Tbk PT....................................................... 57,627,500 2,668,665 *Agung Podomoro Land Tbk PT........................................ 27,563,000 1,345,978 Alam Sutera Realty Tbk PT......................................... 4,555,500 492,859 Aneka Tambang Persero Tbk PT...................................... 71,793,000 10,215,209 Asahimas Flat Glass Tbk PT........................................ 5,277,000 4,561,149 Astra Graphia Tbk PT.............................................. 3,635,000 688,992 *Bakrie and Brothers Tbk PT........................................ 1,056,525,750 5,433,406 Bakrie Sumatera Plantations Tbk PT................................ 182,168,500 1,707,632 *Bakrie Telecom Tbk PT............................................. 260,426,500 1,339,934 *Bakrieland Development Tbk PT..................................... 623,458,520 3,342,257 Bank Bukopin Tbk PT............................................... 61,873,833 5,863,126
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- INDONESIA -- (Continued) Bank Danamon Indonesia Tbk PT..................................... 34,396,054 $22,836,631 Bank Mandiri Persero Tbk PT....................................... 59,143,431 63,983,070 Bank Negara Indonesia Persero Tbk PT.............................. 118,251,941 65,764,669 *Bank Pan Indonesia Tbk PT......................................... 150,362,201 12,392,883 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT.............. 13,107,000 1,646,533 *Bank Permata Tbk PT............................................... 381,272 66,695 Bank Tabungan Negara Persero Tbk PT............................... 57,911,527 8,883,577 *Barito Pacific Tbk PT............................................. 15,599,000 651,121 *Benakat Petroleum Energy Tbk PT................................... 52,370,500 890,208 Berau Coal Energy Tbk PT.......................................... 24,611,500 520,021 *Berlian Laju Tanker Tbk PT........................................ 128,161,466 -- Bhakti Investama Tbk PT........................................... 285,673,700 14,424,409 Bisi International PT............................................. 11,015,500 839,236 *Borneo Lumbung Energi & Metal Tbk PT.............................. 11,794,500 547,317 *Budi Acid Jaya Tbk PT............................................. 15,362,000 184,854 *Bumi Resources Minerals Tbk PT.................................... 541,000 18,668 Bumi Resources Tbk PT............................................. 238,608,500 16,494,515 Bumi Serpong Damai PT............................................. 19,383,000 3,445,812 BW Plantation Tbk PT.............................................. 773,500 72,433 *Central Proteinaprima Tbk PT...................................... 178,071,500 732,616 Charoen Pokphand Indonesia Tbk PT................................. 52,783,830 27,428,929 Ciputra Development Tbk PT........................................ 115,725,500 16,409,152 Ciputra Property Tbk PT........................................... 9,303,000 1,110,543 Ciputra Surya Tbk PT.............................................. 16,634,000 5,733,283 Clipan Finance Indonesia Tbk PT................................... 2,995,500 137,233 *Darma Henwa Tbk PT................................................ 246,575,442 1,268,222 *Davomas Abadi Tbk PT.............................................. 138,239,500 710,926 *Delta Dunia Makmur Tbk PT......................................... 25,728,000 495,662 *Elnusa Tbk PT..................................................... 27,207,500 686,343 *Energi Mega Persada Tbk PT........................................ 584,864,378 8,205,359 Ever Shine Textile Tbk PT......................................... 19,342,215 348,150 Gajah Tunggal Tbk PT.............................................. 24,993,500 7,465,965 *Garuda Indonesia Persero Tbk PT................................... 15,506,000 1,005,861 Global Mediacom Tbk PT............................................ 83,944,000 18,803,423 Gozco Plantations Tbk PT.......................................... 30,615,400 447,524 Gudang Garam Tbk PT............................................... 2,837,000 14,432,535 Hexindo Adiperkasa Tbk PT......................................... 815,500 407,259 Holcim Indonesia Tbk PT........................................... 15,667,000 5,887,847 *Indah Kiat Pulp & Paper Corp. Tbk PT.............................. 32,693,500 2,921,674 Indika Energy Tbk PT.............................................. 30,761,000 3,554,732 Indo-Rama Synthetics Tbk PT....................................... 41,500 6,026 Indofood Sukses Makmur Tbk PT..................................... 62,346,500 47,189,968 Indomobil Sukses Internasional Tbk PT............................. 630,000 343,947 Intiland Development Tbk PT....................................... 39,486,500 2,399,725 Japfa Comfeed Indonesia Tbk PT.................................... 27,068,750 5,376,083 Jaya Real Property Tbk PT......................................... 25,521,000 12,671,339 *Kawasan Industri Jababeka Tbk PT.................................. 298,719,500 9,236,438 Krakatau Steel Persero Tbk PT..................................... 1,103,000 62,550 *Lippo Cikarang Tbk PT............................................. 1,305,000 921,792 Lippo Karawaci Tbk PT............................................. 339,515,749 47,188,144 Matahari Putra Prima Tbk PT....................................... 36,305,900 7,439,298 Mayora Indah Tbk PT............................................... 6,899,072 21,346,296
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ INDONESIA -- (Continued) Medco Energi Internasional Tbk PT................................. 26,914,500 $ 5,297,282 *Mitra International Resources Tbk PT.............................. 28,551,660 190,958 *Modernland Realty Tbk PT.......................................... 676,000 67,441 Multipolar Corp. Tbk PT........................................... 47,410,000 2,881,168 *Nusantara Infrastructure Tbk PT................................... 1,708,500 43,988 Pabrik Kertas Tjiwi Kimia Tbk PT.................................. 246,000 49,279 Pan Brothers Tbk PT............................................... 87,500 3,962 *Panasia Indo Resources Tbk PT..................................... 403,200 27,993 *Panin Financial Tbk PT............................................ 251,660,000 6,221,256 Panin Insurance Tbk PT............................................ 30,949,000 2,454,020 Pembangunan Perumahan Persero Tbk PT.............................. 11,728,500 1,716,441 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT............. 35,878,384 5,615,715 Petrosea Tbk PT................................................... 3,762,500 666,064 *Polychem Indonesia Tbk PT......................................... 17,280,000 640,482 PT Great River International Tbk.................................. 1,788,000 -- PT Suryainti Permata Tbk.......................................... 17,378,000 -- Ramayana Lestari Sentosa Tbk PT................................... 23,587,500 3,498,255 *Salim Ivomas Pratama Tbk PT....................................... 2,372,500 195,394 Sampoerna Agro PT................................................. 11,192,441 2,247,621 Samudera Indonesia Tbk PT......................................... 133,000 53,243 Selamat Sempurna Tbk PT........................................... 13,021,500 3,651,530 *Sentul City Tbk PT................................................ 299,833,000 8,807,016 Sinar Mas Agro Resources and Technology Tbk PT.................... 7,808,900 5,383,982 Sinar Mas Multiartha Tbk PT....................................... 2,000 941 Summarecon Agung Tbk PT........................................... 16,196,857 4,337,048 *Sunson Textile Manufacturer Tbk PT................................ 4,545,000 58,299 Surya Dumai Industri Tbk.......................................... 5,145,000 -- Surya Toto Indonesia Tbk PT....................................... 464,000 389,958 Tiga Pilar Sejahtera Food Tbk..................................... 30,840,222 3,938,581 Timah Persero Tbk PT.............................................. 36,782,400 5,382,445 Trias Sentosa Tbk PT.............................................. 336,500 12,813 *Trimegah Securities Tbk PT........................................ 27,898,000 318,728 *Truba Alam Manunggal Engineering PT............................... 129,244,500 664,667 Tunas Baru Lampung Tbk PT......................................... 17,379,500 867,659 Tunas Ridean Tbk PT............................................... 42,848,500 4,455,262 Ultrajaya Milk Industry & Trading Co. Tbk PT...................... 13,682,000 4,796,032 Unggul Indah Cahaya Tbk PT........................................ 371,435 75,070 United Tractors Tbk PT............................................ 7,051,000 12,896,185 Vale Indonesia Tbk PT............................................. 41,280,500 12,150,399 Wijaya Karya Persero Tbk PT....................................... 6,295,002 1,555,553 XL Axiata Tbk PT.................................................. 1,096,000 575,118 ------------ TOTAL INDONESIA...................................................... 641,870,329 ------------ ISRAEL -- (0.0%) Feuchtwanger Investments, Ltd..................................... 10,500 -- Israel Steel Mills, Ltd........................................... 97,000 -- *Knafaim Holdings, Ltd............................................. 69,033 180,010 *Liberty Properties, Ltd........................................... 2,533 20,321 Mivtach Shamir.................................................... 27,799 731,715 ------------ TOTAL ISRAEL......................................................... 932,046 ------------
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (3.2%) Adventa Bhd....................................................... 62,000 $ 8,133 Affin Holdings Bhd................................................ 9,611,900 11,192,529 AirAsia BHD....................................................... 15,791,200 15,219,982 *Alam Maritim Resources Bhd........................................ 5,197,300 1,548,213 Alliance Financial Group Bhd...................................... 16,295,200 23,894,821 AMMB Holdings Bhd................................................. 23,905,162 52,657,269 Ann Joo Resources Bhd............................................. 2,973,600 1,135,604 APM Automotive Holdings Bhd....................................... 1,263,500 2,118,706 Asas Dunia BHD.................................................... 252,800 118,397 Batu Kawan BHD.................................................... 2,078,750 12,448,773 Berjaya Assets BHD................................................ 171,900 49,458 Berjaya Corp. Bhd................................................. 35,527,880 6,075,051 Berjaya Land Bhd.................................................. 13,220,000 3,559,406 BIMB Holdings Bhd................................................. 4,700,400 5,426,290 BLD Plantation Bhd................................................ 6,600 19,102 Boustead Heavy Industries Corp. Bhd............................... 123,300 85,155 Boustead Holdings Bhd............................................. 7,445,298 12,533,178 Cahya Mata Sarawak Bhd............................................ 1,995,200 2,191,827 Can-One Bhd....................................................... 16,900 13,677 CB Industrial Product Holding Bhd................................. 682,300 560,831 Chin Teck Plantations BHD......................................... 309,100 914,399 Coastal Contracts Bhd............................................. 2,678,500 1,761,845 CSC Steel Holdings Bhd............................................ 2,469,800 999,447 Cycle & Carriage Bintang BHD...................................... 241,300 203,185 Datuk Keramik Holdings Berhad..................................... 127,000 -- Dijaya Corp. Bhd.................................................. 2,188,800 1,094,690 DRB-Hicom Bhd..................................................... 18,765,700 15,497,989 Eastern & Oriental Bhd............................................ 14,256,515 7,734,355 ECM Libra Financial Group Bhd..................................... 2,352,950 518,176 *Elk-Desa Resources Bhd............................................ 266,063 109,434 Evergreen Fibreboard Bhd.......................................... 3,612,526 587,862 Faber Group BHD................................................... 3,417,900 1,700,247 FAR East Holdings BHD............................................. 403,800 954,846 Fountain View Development Berhad.................................. 2,573,200 -- Gamuda Bhd........................................................ 1,852,500 2,479,905 Genting Malaysia Bhd.............................................. 18,780,600 23,231,223 Genting Plantations Bhd........................................... 400,300 1,126,860 Globetronics Technology BHD....................................... 898,800 537,728 Glomac Bhd........................................................ 5,314,500 1,642,222 *Goldis BHD........................................................ 3,042,225 1,980,222 *Green Packet Bhd.................................................. 30,400 3,307 GuocoLand Malaysia Bhd............................................ 1,395,900 495,973 HAP Seng Consolidated Bhd......................................... 13,517,200 7,558,232 Hap Seng Plantations Holdings Bhd................................. 3,686,900 3,283,184 Hiap Teck Venture Bhd............................................. 183,300 24,702 Hong Leong Financial Group Bhd.................................... 2,173,251 11,077,472 Hong Leong Industries Bhd......................................... 1,233,000 1,721,225 Hua Yang Bhd...................................................... 329,700 217,667 *Hubline Bhd....................................................... 6,941,850 125,658 Hunza Properties Bhd.............................................. 876,300 484,367 HwangDBS Malaysia BHD............................................. 930,700 1,312,393 IGB Corp. Bhd..................................................... 14,931,490 11,595,483
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (Continued) IGB REIT.......................................................... 1,145,343 $ 511,394 IJM Corp. Bhd..................................................... 22,551,859 40,439,897 IJM Land Bhd...................................................... 5,787,700 4,904,251 IJM Plantations Bhd............................................... 514,200 501,700 Inch Kenneth Kajang Rubber........................................ 1,051,200 316,515 Insas Bhd......................................................... 5,046,748 721,905 Integrax BHD...................................................... 936,300 384,827 Iris Corp. Bhd.................................................... 5,552,600 292,146 *JAKS Resources Bhd................................................ 6,197,900 714,098 Jaya Tiasa Holdings BHD........................................... 3,997,933 2,554,614 JCY International Bhd............................................. 6,243,200 1,016,830 K & N Kenanga Holdings Berhad..................................... 418,881 78 K&N Kenanga Holdings BHD.......................................... 4,240,487 760,017 *Karambunai Corp. Bhd.............................................. 19,239,800 663,740 Keck Seng Malaysia Bhd............................................ 2,515,500 3,909,542 Kian JOO CAN Factory BHD.......................................... 4,494,680 3,516,918 KIG Glass Industrial Berhad....................................... 260,000 -- Kim Loong Resources Bhd........................................... 499,100 369,100 *Kinsteel Bhd...................................................... 8,377,300 814,351 KLCC Property Holdings Bhd........................................ 6,568,600 15,652,375 *KNM Group Bhd..................................................... 18,638,125 2,636,151 Knusford BHD...................................................... 58,800 30,480 *KSL Holdings BHD.................................................. 1,607,366 1,057,255 *KUB Malaysia BHD.................................................. 6,366,600 784,813 Kulim Malaysia BHD................................................ 9,703,300 11,422,489 Kumpulan Fima BHD................................................. 2,248,400 1,426,986 Kumpulan Perangsang Selangor Bhd.................................. 1,959,500 812,756 Kwantas Corp. BHD................................................. 288,400 181,002 *Land & General BHD................................................ 7,733,000 965,874 *Landmarks BHD..................................................... 4,118,808 1,280,372 LBS Bina Group Bhd................................................ 863,700 258,800 *Lion Corp. Bhd.................................................... 1,371,081 101,758 Lion Diversified Holdings Bhd..................................... 4,064,800 334,850 Lion Industries Corp. Bhd......................................... 8,074,581 2,574,726 Mah Sing Group Bhd................................................ 3,859,633 2,879,591 Malayan Flour Mills Bhd........................................... 1,537,750 647,040 Malaysia Airports Holdings Bhd.................................... 3,434,385 6,793,895 *Malaysian Airline System Bhd...................................... 8,352,900 1,868,952 Malaysian Bulk Carriers Bhd....................................... 4,472,925 2,177,752 Malaysian Pacific Industries Bhd.................................. 939,475 772,137 Malaysian Resources Corp. Bhd..................................... 13,513,800 6,273,717 MBM Resources BHD................................................. 2,440,703 2,969,870 Media Chinese International, Ltd.................................. 191,300 71,093 Media Prima Bhd................................................... 659,900 518,884 Mega First Corp. BHD.............................................. 1,154,600 588,293 Metroplex Berhad.................................................. 817,000 -- *MISC Bhd.......................................................... 6,703,204 9,608,682 MK Land Holdings BHD.............................................. 9,637,500 964,973 MKH BHD........................................................... 1,351,359 919,468 MMC Corp. Bhd..................................................... 14,291,580 11,970,280 MNRB Holdings Bhd................................................. 1,403,900 1,330,238 Mudajaya Group Bhd................................................ 3,615,100 2,900,659
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- MALAYSIA -- (Continued) Muhibbah Engineering M Bhd........................................ 5,487,300 $ 2,021,833 *Mulpha International Bhd.......................................... 31,898,200 4,039,607 Multi-Purpose Holdings BHD........................................ 2,518,300 2,915,969 MWE Holdings BHD.................................................. 290,400 173,481 Naim Holdings Bhd................................................. 2,427,500 1,995,833 NCB Holdings Bhd.................................................. 2,451,500 3,691,273 Negri Sembilan Oil Palms BHD...................................... 167,600 308,709 Oriental Holdings BHD............................................. 3,680,879 11,835,132 Oriental Interest BHD............................................. 139,100 59,252 OSK Holdings BHD.................................................. 7,069,371 3,720,889 Pacific & Orient BHD.............................................. 283,730 128,812 Panasonic Manufacturing Malaysia BHD.............................. 383,380 2,816,304 Paracorp Berhad................................................... 252,000 -- Paramount Corp. Bhd............................................... 1,049,300 515,152 PBA Holdings BHD.................................................. 1,089,200 300,996 Pelikan International Corp. Bhd................................... 3,680,638 623,347 *Perdana Petroleum Bhd............................................. 4,237,300 2,049,165 Perusahaan Sadur Timah Malay...................................... 6,800 6,926 Pie Industrial BHD................................................ 323,600 492,610 PJ Development Holdings Bhd....................................... 3,182,100 836,891 POS Malaysia BHD.................................................. 2,668,017 3,816,869 PPB Group Bhd..................................................... 8,198,366 34,495,313 Press Metal Bhd................................................... 2,778,681 1,634,436 Prime Utilities Berhad............................................ 39,000 -- Protasco Bhd...................................................... 282,200 97,498 RCE Capital Bhd................................................... 5,440,500 447,566 RHB Capital Bhd................................................... 11,179,718 31,182,150 Rimbunan Sawit Bhd................................................ 3,743,400 972,575 Salcon Bhd........................................................ 470,000 76,484 Sarawak Oil Palms Bhd............................................. 596,220 1,103,329 Sarawak Plantation Bhd............................................ 66,900 56,506 Scientex BHD...................................................... 176,348 207,590 *Scomi Group Bhd................................................... 23,771,700 2,619,270 Selangor Dredging Bhd............................................. 1,312,700 326,265 Selangor Properties Bhd........................................... 65,700 84,199 Shangri-La Hotels Malaysia Bhd.................................... 739,100 1,236,017 Shell Refining Co. Federation of Malaya Bhd....................... 246,300 683,469 SHL Consolidated BHD.............................................. 804,100 366,744 *Sino Hua-An International Bhd..................................... 454,800 24,733 SP Setia Bhd...................................................... 230,300 259,474 Star Publications Malaysia Bhd.................................... 32,300 25,796 Subur Tiasa Holdings Bhd.......................................... 507,130 307,380 Sunway Bhd........................................................ 8,654,945 8,245,996 Supermax Corp. Bhd................................................ 7,153,500 4,681,930 Suria Capital Holdings Bhd........................................ 694,100 346,892 *Symphony Life Bhd................................................. 1,352,400 393,426 Ta Ann Holdings Bhd............................................... 667,622 765,828 TA Enterprise Bhd................................................. 18,567,600 3,082,655 TA Global Bhd..................................................... 9,919,080 767,008 TAHPS Group Bhd................................................... 27,000 46,156 TAN Chong Motor Holdings BHD...................................... 4,699,300 8,391,530 TDM BHD........................................................... 2,012,300 2,902,600
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ MALAYSIA -- (Continued) *TH Heavy Engineering Bhd.......................................... 5,303,300 $ 758,683 Time dotCom Bhd................................................... 5,476,280 7,151,158 Tiong NAM Logistics Holdings...................................... 3,400 2,682 Tradewinds Corp. Bhd.............................................. 5,394,700 1,914,201 *Trinity Corp. Bhd................................................. 15,950,050 236,187 TSH Resources Bhd................................................. 380,800 269,119 *UEM Land Holdings Bhd............................................. 3,852,945 3,179,906 Unico-Desa Plantations Bhd........................................ 4,258,528 1,498,410 Unisem M Bhd...................................................... 8,256,000 2,334,574 United Malacca Bhd................................................ 957,500 2,297,200 United Plantations BHD............................................ 436,200 3,993,113 UOA Development Bhd............................................... 1,331,500 968,683 VS Industry Bhd................................................... 1,337,193 567,376 Wah Seong Corp. Bhd............................................... 4,284,611 2,297,208 WCT Bhd........................................................... 10,083,715 7,959,152 Wing Tai Malaysia BHD............................................. 1,868,800 1,173,798 WTK Holdings BHD.................................................. 5,573,750 1,787,989 Yinson Holdings BHD............................................... 13,300 12,206 YNH Property Bhd.................................................. 5,291,959 3,223,140 YTL Corp. Bhd..................................................... 82,592,450 44,510,259 *YTL Land & Development BHD........................................ 2,477,100 729,505 *Zelan Bhd......................................................... 1,884,200 154,813 ------------ TOTAL MALAYSIA....................................................... 642,198,061 ------------ MEXICO -- (7.1%) Alfa S.A.B. de C.V. Class A....................................... 51,397,020 119,325,169 Arca Continental S.A.B. de C.V.................................... 4,339,218 35,511,237 #*Axtel S.A.B. de C.V............................................... 8,940,907 2,967,465 Banregio Grupo Financiero S.A.B. de C.V........................... 44,706 246,315 *Bio Pappel S.A.B. de C.V.......................................... 10,668 19,461 Bolsa Mexicana de Valores S.A.B. de C.V........................... 2,220,026 6,066,434 #*Cemex S.A.B. de C.V. Sponsored ADR................................ 16,663,541 187,464,831 # Cia Minera Autlan S.A.B. de C.V. Series B......................... 1,187,152 1,052,982 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR...................... 18,631 3,006,484 #*Consorcio ARA S.A.B. de C.V. Series *............................. 11,911,323 3,923,910 # Controladora Comercial Mexicana S.A.B. de C.V..................... 4,941,405 19,009,004 Corp. Actinver S.A.B. de C.V...................................... 3,700 4,047 #*Corp. GEO S.A.B. de C.V. Series B................................. 9,461,653 3,280,561 #*Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B.... 1,560,786 1,124,736 #*Desarrolladora Homex S.A.B. de C.V................................ 3,619,653 2,939,293 #*Desarrolladora Homex S.A.B. de C.V. ADR........................... 115,455 563,420 *Dine S.A.B. de C.V................................................ 1,027,267 318,105 El Puerto de Liverpool S.A.B. de C.V. Series 1.................... 19,600 263,113 Empaques Ponderosa SA de CV....................................... 90,000 -- *Empresas ICA S.A.B. de C.V........................................ 6,728,823 18,509,071 #*Empresas ICA S.A.B. de C.V. Sponsored ADR......................... 1,118,155 12,310,887 #*Financiera Independencia S.A.B. de C.V............................ 14,576 6,830 Fomento Economico Mexicano S.A.B. de C.V.......................... 2,311,921 26,218,387 #Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR........... 2,494,369 282,836,501 *Gruma S.A.B. de C.V. Class B...................................... 3,607,804 17,913,781 *Gruma S.A.B. de C.V. Sponsored ADR................................ 15,222 300,634 #*Grupo Aeromexico S.A.B. de C.V.................................... 202,929 292,136
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- MEXICO -- (Continued) #Grupo Aeroportuario del Centro Norte S.A.B. de C.V................ 888,488 $ 3,398,152 #Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR........... 46,309 1,416,592 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR............... 636,889 36,863,135 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B........... 1,268,733 7,348,689 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR................ 271,607 33,709,145 #Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B............ 1,203,482 14,936,605 Grupo Carso S.A.B. de C.V. Series A1.............................. 10,405,888 59,312,610 #*Grupo Cementos de Chihuahua S.A.B. de C.V......................... 2,799,892 10,438,806 #Grupo Comercial Chedraui S.A. de C.V.............................. 1,385,270 5,279,914 #*Grupo Famsa S.A.B. de C.V. Class A................................ 2,995,218 5,962,167 Grupo Financiero Banorte S.A.B. de C.V............................ 23,160,991 174,532,887 Grupo Financiero Inbursa S.A.B. de C.V............................ 15,542,038 45,081,293 Grupo Gigante S.A.B. de C.V. Series *............................. 471,076 944,689 Grupo Industrial Maseca S.A.B. de C.V. Class B.................... 2,724,300 4,561,329 Grupo Industrial Saltillo S.A.B. de C.V........................... 1,337,069 3,061,242 Grupo KUO S.A.B. de C.V. Series B................................. 2,056,267 5,126,146 Grupo Mexico S.A.B. de C.V. Series B.............................. 18,526,232 66,507,865 Grupo Posadas S.A.B. de C.V....................................... 355,600 661,865 *Grupo Qumma S.A. de C.V. Series B................................. 5,301 -- #*Grupo Simec S.A.B. de C.V. Series B............................... 1,732,137 7,992,854 *Grupo Simec S.A.B. de C.V. Sponsored ADR.......................... 19,072 261,668 *Grupo Sports World S.A.B. de C.V.................................. 19,536 32,098 Grupo Televisa S.A.B. Series CPO.................................. 128,194 649,717 Grupo Televisa S.A.B. Sponsored ADR............................... 174,039 4,406,668 Industrias Bachoco S.A.B. de C.V. ADR............................. 1,906 64,842 #Industrias Bachoco S.A.B. de C.V. Series B........................ 932,565 2,643,559 #*Industrias CH S.A.B. de C.V. Series B............................. 3,336,823 26,881,894 #*Inmuebles Carso S.A.B. de C.V..................................... 10,258,893 10,223,154 Medica Sur S.A.B. de C.V. Series B................................ 1,000 2,434 Megacable Holdings S.A.B. de C.V.................................. 100,294 327,752 *Minera Frisco S.A.B. de C.V....................................... 8,979,574 38,425,888 #*OHL Mexico S.A.B. de C.V.......................................... 3,508,931 10,860,021 #Organizacion Soriana S.A.B. de C.V. Class B....................... 14,981,589 61,691,726 Qualitas Controladora S.A.B. de C.V............................... 2,051,400 4,644,341 *Sare Holding S.A.B. de C.V. Class B............................... 1,159,700 44,221 *Savia SA Class A.................................................. 3,457,285 -- TV Azteca S.A.B. de C.V........................................... 4,155,179 3,076,440 #*Urbi Desarrollos Urbanos S.A.B. de C.V............................ 9,102,158 1,349,323 *Vitro S.A.B. de C.V. Series A..................................... 1,546,127 3,692,685 -------------- TOTAL MEXICO......................................................... 1,401,889,210 -------------- PHILIPPINES -- (1.3%) A Soriano Corp.................................................... 20,195,000 3,389,968 Alliance Global Group, Inc........................................ 32,249,206 18,593,790 Alsons Consolidated Resources, Inc................................ 17,757,000 609,287 Atlas Consolidated Mining & Development........................... 2,701,900 1,363,538 *BDO Unibank, Inc.................................................. 9,448,565 21,066,919 Cebu Air, Inc..................................................... 187,050 370,361 Cebu Holdings, Inc................................................ 6,655,750 1,025,186 China Banking Corp................................................ 342,460 574,866 DMCI Holdings, Inc................................................ 1,898,790 2,631,789 *Empire East Land Holdings, Inc.................................... 50,520,000 1,376,933
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ PHILIPPINES -- (Continued) *Export & Industry Bank, Inc. Class A.............................. 14,950 $ -- Filinvest Development Corp........................................ 142,800 22,167 Filinvest Land, Inc............................................... 187,358,031 9,297,888 First Philippine Holdings Corp.................................... 4,465,530 11,610,000 Fwbc Holdings, Inc................................................ 5,471,786 -- *Global-Estate Resorts, Inc........................................ 12,662,000 784,529 JG Summit Holdings, Inc........................................... 2,923,800 3,373,963 Lopez Holdings Corp............................................... 29,100,800 4,945,001 Macroasia Corp.................................................... 1,090,000 69,238 Megaworld Corp.................................................... 201,087,600 20,303,980 Metropolitan Bank & Trust......................................... 9,336,217 28,258,653 Mondragon International Philippines, Inc.......................... 2,464,000 -- *Philippine National Bank.......................................... 4,253,308 11,892,916 *Philippine National Construction Corp............................. 398,900 47,488 Philippine Savings Bank........................................... 1,232,313 4,279,172 Philippine Townships, Inc......................................... 226,200 26,104 Philtown Properties, Inc.......................................... 6,701 251 Phinma Corp....................................................... 2,304,398 840,687 Rizal Commercial Banking Corp..................................... 4,707,948 8,467,051 Robinsons Land Corp............................................... 29,013,450 18,138,718 San Miguel Corp................................................... 6,225,766 18,297,183 San Miguel Pure Foods Co., Inc.................................... 2,770 19,732 Security Bank Corp................................................ 1,057,422 5,069,095 Shang Properties, Inc............................................. 614,285 57,294 SM Development Corp............................................... 53,432,694 11,038,951 Solid Group, Inc.................................................. 5,650,000 293,879 Trans-Asia Oil & Energy Development............................... 789,000 53,911 Union Bank Of Philippines......................................... 2,670,714 9,447,320 Universal Robina Corp............................................. 10,352,565 29,881,330 Vista Land & Lifescapes, Inc...................................... 55,755,868 8,900,473 ------------ TOTAL PHILIPPINES.................................................... 256,419,611 ------------ POLAND -- (1.4%) Agora SA.......................................................... 722,661 1,422,926 Asseco Poland SA.................................................. 1,137,783 15,442,707 Atende SA......................................................... 9,205 4,241 *Bank Millennium SA................................................ 6,427,700 9,822,921 Bank Zachodni WBK SA.............................................. 23,388 1,947,057 *Bioton SA......................................................... 43,007,859 544,429 *Ciech SA.......................................................... 581,246 4,034,679 ComArch SA........................................................ 3,061 81,339 Dom Development SA................................................ 42,315 441,799 Enea SA........................................................... 1,540,521 6,340,872 *Farmacol SA....................................................... 5,526 88,960 Firma Oponiarska Debica SA........................................ 111,346 2,328,705 Getin Holding SA.................................................. 3,486,673 2,465,132 *Getin Noble Bank SA............................................... 4,515,878 2,247,621 Grupa Azoty SA.................................................... 114,107 2,200,723 Grupa Kety SA..................................................... 123,619 5,513,127 *Grupa Lotos SA.................................................... 1,221,898 14,718,427 *Impexmetal SA..................................................... 5,864,978 3,856,948 Koelner SA........................................................ 132,257 256,674
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ POLAND -- (Continued) *Kopex SA.......................................................... 532,278 $ 1,874,130 *LC Corp. SA....................................................... 1,822,979 700,055 *MCI Management SA................................................. 32,510 72,035 *Mostostal Warszawa SA............................................. 1,892 1,717 *Netia SA.......................................................... 3,735,760 4,969,781 Orbis SA.......................................................... 541,449 5,970,112 Pelion SA......................................................... 13,258 245,176 *Petrolinvest SA................................................... 1,598,244 400,130 PGE SA............................................................ 11,970,891 62,212,382 *Polimex-Mostostal SA.............................................. 10,512,907 931,731 *Polnord SA........................................................ 140,196 209,698 *Polski Koncern Miesny Duda SA..................................... 951,758 181,196 *Polski Koncern Naftowy Orlen S.A.................................. 5,924,385 91,988,888 *Rafako SA......................................................... 222 211 *Rovese SA......................................................... 739,918 335,561 *Sygnity SA........................................................ 206,622 929,979 Synthos SA........................................................ 6,674,423 9,955,655 Tauron Polska Energia SA.......................................... 12,634,774 16,859,607 Zaklady Chemiczne Police SA....................................... 5,277 35,124 ------------ TOTAL POLAND......................................................... 271,632,455 ------------ RUSSIA -- (3.8%) #*AFI Development P.L.C. GDR........................................ 156,273 107,429 Federal Hydrogenerating Co. JSC ADR............................... 6,948,114 12,000,074 Gazprom OAO Sponsored ADR......................................... 92,768,535 738,805,087 Magnitogorsk Iron & Steel Works GDR............................... 1,762,491 5,325,878 #Mechel Sponsored ADR.............................................. 214,503 875,172 ------------ TOTAL RUSSIA......................................................... 757,113,640 ------------ SOUTH AFRICA -- (6.4%) ABSA Group, Ltd................................................... 5,161,520 85,037,070 Adcorp Holdings, Ltd.............................................. 523,194 1,679,210 Aeci, Ltd......................................................... 1,452,016 16,251,111 Afgri, Ltd........................................................ 4,821,593 2,618,962 #African Bank Investments, Ltd..................................... 6,005,846 19,087,147 African Rainbow Minerals, Ltd..................................... 1,754,565 34,619,123 Allied Electronics Corp., Ltd..................................... 563,821 1,309,636 *Anglo American Platinum, Ltd...................................... 4,494 171,278 AngloGold Ashanti, Ltd............................................ 340,008 6,560,016 AngloGold Ashanti, Ltd. Sponsored ADR............................. 561,593 10,951,063 *ArcelorMittal South Africa, Ltd................................... 2,505,685 6,439,031 Argent Industrial, Ltd............................................ 1,278,773 826,652 Aveng, Ltd........................................................ 7,024,503 23,096,450 AVI, Ltd.......................................................... 1,318,808 7,933,994 Barloworld, Ltd................................................... 3,880,866 40,681,647 *Basil Read Holdings, Ltd.......................................... 436,726 534,282 Bell Equipment, Ltd............................................... 416,814 1,081,849 Blue Label Telecoms, Ltd.......................................... 3,464,404 2,978,065 *Brait SE.......................................................... 1,676,738 6,853,590 Business Connexion Group, Ltd..................................... 1,703,678 1,023,908 Caxton and CTP Publishers and Printers, Ltd....................... 3,018,326 5,836,106 Cipla Medpro South Africa, Ltd.................................... 6,619,695 6,931,679
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ------------ SOUTH AFRICA -- (Continued) Clover Industries, Ltd............................................ 27,922 $ 55,309 *Consolidated Infrastructure Group, Ltd............................ 51,564 104,611 Corpgro, Ltd...................................................... 579,166 -- Datacentrix Holdings, Ltd......................................... 188,927 73,068 DataTec, Ltd...................................................... 2,960,700 16,677,155 Delta EMD, Ltd.................................................... 205,108 133,814 Distell Group, Ltd................................................ 332,893 4,711,636 *Distribution and Warehousing Network, Ltd......................... 250,120 221,656 DRDGOLD, Ltd...................................................... 5,871,225 3,946,716 DRDGOLD, Ltd. Sponsored ADR....................................... 1,600 10,896 ElementOne, Ltd................................................... 391,810 387,618 Eqstra Holdings, Ltd.............................................. 2,073,234 1,435,425 *Evraz Highveld Steel and Vanadium, Ltd............................ 148,283 289,353 #Exxaro Resources, Ltd............................................. 17,877 281,558 *Gijima Group, Ltd................................................. 396,488 3,960 Gold Fields, Ltd.................................................. 1,705,607 12,787,871 #Gold Fields, Ltd. Sponsored ADR................................... 13,638,573 101,743,755 Grindrod, Ltd..................................................... 6,992,291 14,652,739 Group Five, Ltd................................................... 1,182,754 4,481,691 Harmony Gold Mining Co., Ltd...................................... 3,024,604 15,290,740 #Harmony Gold Mining Co., Ltd. Sponsored ADR....................... 3,302,382 16,941,220 Hudaco Industries, Ltd............................................ 2,761 27,131 *Hulamin, Ltd...................................................... 1,425,740 765,568 Iliad Africa, Ltd................................................. 179,921 99,754 Impala Platinum Holdings, Ltd..................................... 2,944,787 40,356,653 Imperial Holdings, Ltd............................................ 363,761 8,064,159 Investec, Ltd..................................................... 3,949,387 28,378,897 JCI, Ltd.......................................................... 10,677,339 -- #JD Group, Ltd..................................................... 2,283,573 8,422,856 KAP Industrial Holdings, Ltd...................................... 42,823 14,166 Lewis Group, Ltd.................................................. 1,733,977 11,402,085 Liberty Holdings, Ltd............................................. 1,406,772 18,751,595 Mediclinic International, Ltd..................................... 1,367,983 9,922,001 *Merafe Resources, Ltd............................................. 21,718,286 1,837,773 Metair Investments, Ltd........................................... 1,090,365 4,068,615 MMI Holdings, Ltd................................................. 15,688,277 40,068,901 Mondi, Ltd........................................................ 1,839,112 24,739,964 Mpact, Ltd........................................................ 2,030,102 5,419,115 *Murray & Roberts Holdings, Ltd.................................... 1,595,682 3,910,412 Mustek, Ltd....................................................... 84,890 55,326 *Mvelaserve, Ltd................................................... 1,059,863 975,953 Nampak, Ltd....................................................... 1,883,351 6,924,785 Nedbank Group, Ltd................................................ 3,184,038 67,703,160 *Northam Platinum, Ltd............................................. 2,853,021 10,606,134 Omnia Holdings, Ltd............................................... 536,219 9,427,660 *Palabora Mining Co., Ltd.......................................... 195,317 2,322,295 Peregrine Holdings, Ltd........................................... 1,491,437 1,862,097 Petmin, Ltd....................................................... 1,374,464 336,791 PSG Group, Ltd.................................................... 661,981 4,872,856 Rainbow Chicken, Ltd.............................................. 2,247 3,858 *Randgold & Exploration Co., Ltd................................... 201,461 51,595 Raubex Group, Ltd................................................. 969,416 2,014,871
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- SOUTH AFRICA -- (Continued) *Royal Bafokeng Platinum, Ltd...................................... 78,408 $ 477,893 Sanlam, Ltd....................................................... 26,831,075 137,665,287 #*Sappi, Ltd........................................................ 7,750,288 23,295,321 *Sappi, Ltd. Sponsored ADR......................................... 803,111 2,425,395 Sasol, Ltd........................................................ 13,868 600,713 Sasol, Ltd. Sponsored ADR......................................... 707,889 30,736,540 *Sentula Mining, Ltd............................................... 2,156,745 326,315 *Sibanye Gold, Ltd................................................. 549,461 520,468 *Sibanye Gold, Ltd. Sponsored ADR.................................. 2,965,465 11,417,040 Standard Bank Group, Ltd.......................................... 15,879,866 198,569,484 Stefanutti Stocks Holdings, Ltd................................... 491,148 476,873 #*Steinhoff International Holdings, Ltd............................. 20,744,070 55,406,374 *Super Group, Ltd.................................................. 3,347,583 8,999,511 *Telkom SA SOC, Ltd................................................ 3,786,501 5,406,534 *Times Media Group, Ltd............................................ 464,117 864,174 Tongaat Hulett, Ltd............................................... 365,780 5,315,191 Trencor, Ltd...................................................... 1,054,354 7,468,697 Value Group, Ltd.................................................. 976,777 555,057 Village Main Reef, Ltd............................................ 2,263,269 169,161 *Wesizwe........................................................... 9,762 467 Zeder Investments, Ltd............................................ 1,833,713 786,418 -------------- TOTAL SOUTH AFRICA................................................... 1,281,622,599 -------------- SOUTH KOREA -- (13.7%) Aekyung Petrochemical Co., Ltd.................................... 21,007 1,068,909 #AK Holdings, Inc.................................................. 37,347 895,022 AMOREPACIFIC Group................................................ 14,317 5,436,080 #Asia Cement Co., Ltd.............................................. 36,191 2,341,789 #Asia Paper Manufacturing Co., Ltd................................. 32,800 708,430 #*AUK Corp.......................................................... 633,480 1,253,794 Bookook Securities Co., Ltd....................................... 28,655 412,451 Boryung Pharmaceutical Co., Ltd................................... 55,106 1,525,908 BS Financial Group, Inc........................................... 1,606,361 21,181,382 Busan City Gas Co., Ltd........................................... 81,980 2,129,737 BYC Co., Ltd...................................................... 810 160,949 Byucksan Corp..................................................... 156,140 273,643 #Capro Corp........................................................ 116,370 1,080,923 *China Great Star International, Ltd............................... 417,054 534,557 #*China Ocean Resources Co., Ltd.................................... 693,020 1,954,482 Chong Kun Dang Pharm Corp......................................... 4,329 241,142 Chosun Refractories Co., Ltd...................................... 9,371 638,323 CJ Corp........................................................... 200,953 26,405,858 *CJ E&M Corp....................................................... 240,860 8,148,793 #*CJ Korea Express Co., Ltd......................................... 99,247 9,565,981 CKD Bio Corp...................................................... 15,160 250,818 #*Cosmochemical Co., Ltd............................................ 157,200 1,001,241 #Dae Dong Industrial Co., Ltd...................................... 145,130 790,557 #Dae Han Flour Mills Co., Ltd...................................... 14,607 2,150,583 Dae Won Kang Up Co., Ltd.......................................... 252,896 1,882,924 #*Dae Young Packaging Co., Ltd...................................... 1,121,470 1,086,200 #Dae-Il Corp....................................................... 66,990 248,271 #Daechang Co., Ltd................................................. 897,980 1,091,759
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ----------- SOUTH KOREA -- (Continued) #Daeduck GDS Co., Ltd.............................................. 281,480 $ 5,724,652 #Daegu Department Store............................................ 122,031 1,518,611 #Daehan Steel Co., Ltd............................................. 174,340 1,111,727 Daekyo Co., Ltd................................................... 521,770 3,706,736 #Daelim Industrial Co., Ltd........................................ 453,905 31,791,223 Daelim Trading Co., Ltd........................................... 15,194 55,204 #Daesang Holdings Co., Ltd......................................... 142,836 1,147,965 #Daesung Holdings Co., Ltd......................................... 41,070 340,546 Daewon San Up Co., Ltd............................................ 7,595 51,119 #*Daewoo Engineering & Construction Co., Ltd........................ 1,138,050 7,822,813 Daewoo Securities Co., Ltd........................................ 2,825,042 28,057,185 #Daewoo Shipbuilding & Marine Engineering Co., Ltd................. 842,932 20,291,887 Daewoong Co., Ltd................................................. 4,488 126,345 Daewoong Pharmaceutical Co., Ltd.................................. 2,531 169,242 *Dahaam E-Tec Co., Ltd............................................. 3,535 57,777 Daishin Securities Co., Ltd....................................... 651,155 5,532,472 #Daou Data Corp.................................................... 120,651 529,614 Daou Technology, Inc.............................................. 321,778 5,864,433 *Dasan Networks, Inc............................................... 126,273 657,412 DGB Financial Group, Inc.......................................... 1,293,172 18,104,303 #Dong Ah Tire & Rubber Co., Ltd.................................... 81,994 1,355,453 #*Dong Yang Gang Chul Co., Ltd...................................... 291,430 687,283 #Dong-Ah Geological Engineering Co., Ltd........................... 37,680 399,136 Dong-Il Corp...................................................... 19,098 934,649 Dongbang Agro Co.................................................. 39,760 225,681 #Dongbang Transport Logistics Co., Ltd............................. 273,670 712,037 Dongbu CNI Co., Ltd............................................... 16,040 86,441 #*Dongbu Corp....................................................... 62,380 231,547 #*Dongbu HiTek Co., Ltd............................................ 388,074 2,107,753 Dongbu Securities Co., Ltd........................................ 351,526 1,251,463 *Dongbu Steel Co., Ltd............................................. 385,134 1,061,868 #Dongil Industries Co., Ltd........................................ 18,961 1,050,289 #*Dongkook Industrial Co., Ltd...................................... 218,630 825,229 #Dongkuk Steel Mill Co., Ltd....................................... 693,279 7,254,824 DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd........................ 114,484 442,411 #Dongsung Holdings Co., Ltd........................................ 195,870 1,344,915 #Dongwha Pharm Co., Ltd............................................ 261,900 1,605,509 #Dongwon F&B Co., Ltd.............................................. 19,603 2,419,335 *Dongwon Systems Corp.............................................. 7,005 59,230 Dongyang Mechatronics Corp........................................ 11,660 123,076 Doosan Corp....................................................... 109,796 12,285,052 #*Doosan Engine Co., Ltd............................................ 98,910 776,477 *Doosan Engineering & Construction Co., Ltd........................ 838,210 1,873,816 #Doosan Heavy Industries & Construction Co., Ltd................... 134,340 5,005,119 *Doosan Infracore Co., Ltd......................................... 148,530 1,764,121 DRB Holding Co., Ltd.............................................. 124,305 913,043 DRB Industrial Co., Ltd........................................... 117,204 797,410 E-Mart Co., Ltd................................................... 6,018 1,175,607 #Easy Bio, Inc..................................................... 156,544 833,956 Eugene Corp....................................................... 214,711 695,219 *Eugene Investment & Securities Co., Ltd........................... 763,229 1,710,583 #Fursys, Inc....................................................... 31,943 774,725
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) #Gaon Cable Co., Ltd............................................... 15,187 $ 311,562 Global & Yuasa Battery Co., Ltd................................... 41,720 2,062,228 Green Cross Holdings Corp......................................... 50,710 788,387 #GS Engineering & Construction Corp................................ 506,971 13,955,951 GS Global Corp.................................................... 2,440 24,616 GS Holdings....................................................... 750,939 37,214,694 Gwangju Shinsegae Co., Ltd........................................ 5,985 1,424,093 #Halla Engineering & Construction Corp............................. 250,271 1,343,228 Han Kuk Carbon Co., Ltd........................................... 103,630 808,702 Hana Financial Group, Inc......................................... 4,078,729 130,626,112 #Handok Pharmaceuticals Co., Ltd................................... 34,880 597,974 #Handsome Co., Ltd................................................. 214,790 6,433,013 Hanil Cement Co., Ltd............................................. 52,145 2,412,892 #Hanil E-Wha Co., Ltd.............................................. 69,430 840,300 #*Hanjin Heavy Industries & Construction Co., Ltd................... 776,601 5,628,627 Hanjin Heavy Industries & Construction Holdings Co., Ltd.......... 181,040 1,086,099 #*Hanjin Shipping Co., Ltd.......................................... 1,344,240 10,089,576 *Hanjin Shipping Holdings Co., Ltd................................. 164,924 735,292 #Hanjin Transportation Co., Ltd.................................... 140,220 2,886,796 *Hankuk Glass Industries, Inc...................................... 29,050 501,465 #Hankuk Paper Manufacturing Co., Ltd............................... 32,780 825,499 *Hanmi Science Co., Ltd............................................ 44,930 523,996 Hanmi Semiconductor Co., Ltd...................................... 107,300 951,055 #*Hansol HomeDeco Co., Ltd.......................................... 291,380 354,603 Hansol Paper Co................................................... 647,244 8,637,077 #Hanwha Chemical Corp.............................................. 1,436,095 21,367,153 Hanwha Corp....................................................... 594,563 16,853,663 *Hanwha General Insurance Co., Ltd................................. 102,603 480,207 #Hanwha Investment & Securities Co., Ltd........................... 935,001 3,392,900 Hanwha Life Insurance Co., Ltd.................................... 1,473,155 8,969,530 Hanwha Timeworld Co., Ltd......................................... 12,290 361,156 Hanyang Securities Co., Ltd....................................... 90,530 509,835 #Heung-A Shipping Co., Ltd......................................... 544,930 894,975 #Hitejinro Holdings Co., Ltd....................................... 99,611 1,329,838 HMC Investment Securities Co., Ltd................................ 259,785 2,908,490 #HS R&A Co., Ltd................................................... 37,336 434,381 Humax Co., Ltd.................................................... 11,576 127,898 #Husteel Co., Ltd.................................................. 58,990 1,376,891 Hwacheon Machine Tool Co., Ltd.................................... 14,227 607,801 Hyosung Corp...................................................... 370,458 18,669,784 #*Hyundai BNG Steel Co., Ltd........................................ 145,750 1,577,673 #Hyundai Development Co............................................ 904,704 18,606,068 Hyundai Heavy Industries Co., Ltd................................. 139,548 25,531,499 Hyundai Hy Communications & Networks Co., Ltd..................... 207,730 1,120,166 #Hyundai Mipo Dockyard............................................. 81,875 8,048,538 Hyundai Motor Co.................................................. 259,450 47,111,720 Hyundai Securities Co., Ltd....................................... 1,978,978 13,776,848 #Hyundai Steel Co.................................................. 1,197,245 83,179,821 Hyunjin Materials Co., Ltd........................................ 38,393 215,097 #Il Dong Pharmaceutical Co., Ltd................................... 133,130 1,552,642 #Iljin Electric Co., Ltd........................................... 315,890 1,094,594 Iljin Holdings Co., Ltd........................................... 3,799 5,879
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) #Ilshin Spinning Co., Ltd.......................................... 16,046 $ 1,452,422 #Ilsung Pharmaceuticals Co., Ltd................................... 9,407 672,585 Industrial Bank of Korea.......................................... 2,572,180 29,480,109 Intergis Co., Ltd................................................. 11,140 81,351 INTOPS Co., Ltd................................................... 44,091 1,291,773 Inzi Controls Co., Ltd............................................ 63,440 385,460 #INZI Display Co., Ltd............................................. 337,768 871,140 #*IS Dongseo Co., Ltd............................................... 121,855 1,396,463 #ISU Chemical Co., Ltd............................................. 164,530 2,918,443 #Jeil Pharmaceutical Co............................................ 73,180 1,109,591 Jeonbuk Bank...................................................... 707,883 3,889,898 #JW Pharmaceutical Corp............................................ 129,319 2,161,300 KB Financial Group, Inc........................................... 2,902,753 94,926,902 #KB Financial Group, Inc. ADR...................................... 3,182,416 104,383,245 #KC Tech Co., Ltd.................................................. 332,012 1,609,434 KCC Corp.......................................................... 64,340 19,128,135 #*Keangnam Enterprises, Ltd......................................... 144,590 695,167 #*KEC Corp.......................................................... 545,330 124,041 #Keyang Electric Machinery Co., Ltd................................ 393,920 898,814 #KG Chemical Corp.................................................. 47,243 732,351 #KISCO Corp........................................................ 56,021 1,449,815 #KISCO Holdings Co., Ltd........................................... 11,673 480,896 #Kishin Corp....................................................... 113,945 780,747 #KISWIRE, Ltd...................................................... 69,836 2,328,450 Kolon Corp........................................................ 95,605 2,302,749 *Kolon Global Corp................................................. 340,650 1,180,076 Kolon Industries, Inc............................................. 178,594 8,279,475 Korea Airport Service Co., Ltd.................................... 16,100 389,346 Korea Cast Iron Pipe Industries Co., Ltd.......................... 7,358 24,589 #Korea Electric Terminal Co., Ltd.................................. 89,230 2,769,382 #*Korea Flange Co., Ltd............................................. 58,560 688,891 Korea Investment Holdings Co., Ltd................................ 542,836 22,878,452 #*Korea Petrochemical Ind Co., Ltd.................................. 42,821 1,663,110 *Korean Air Lines Co., Ltd......................................... 31,830 1,021,448 Korean Reinsurance Co............................................. 51,130 501,824 #KPF............................................................... 16,815 149,315 KPX Chemical Co., Ltd............................................. 12,667 712,048 *KTB Investment & Securities Co., Ltd.............................. 1,066,210 3,632,081 #Kukdo Chemical Co., Ltd........................................... 51,898 2,528,500 Kumho Electric Co., Ltd........................................... 52,624 1,466,884 #Kunsul Chemical Industrial Co., Ltd............................... 26,860 662,674 Kwang Dong Pharmaceutical Co., Ltd................................ 294,260 1,865,900 #*Kyeryong Construction Industrial Co., Ltd......................... 58,970 475,556 Kyobo Securities Co............................................... 272,242 1,245,574 #Kyung Dong Navien Co., Ltd........................................ 34,010 482,419 #Kyung-In Synthetic Corp........................................... 184,400 751,155 *Kyungbang, Ltd.................................................... 9,187 976,152 LG Corp........................................................... 1,069,777 63,814,508 *LG Display Co., Ltd............................................... 1,309,420 35,830,276 #*LG Display Co., Ltd. ADR.......................................... 3,996,524 54,832,309 #LG Electronics, Inc............................................... 1,776,548 142,395,511 #LG Hausys, Ltd.................................................... 86,225 7,722,562
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) *LG Uplus Corp..................................................... 3,789,011 $ 35,807,282 LIG Insurance Co., Ltd............................................ 65,780 1,353,351 #Livart Furniture Co., Ltd......................................... 23,870 172,854 Lotte Chemical Corp............................................... 35,857 5,307,068 Lotte Chilsung Beverage Co., Ltd.................................. 9,880 15,421,992 Lotte Confectionery Co., Ltd...................................... 9,339 16,288,802 Lotte Food Co., Ltd............................................... 2,861 2,286,018 *Lotte Non-Life Insurance Co., Ltd................................. 23,240 70,208 #Lotte Shopping Co., Ltd........................................... 162,373 60,637,658 Mando Corp........................................................ 9,744 744,628 *Meritz Finance Group, Inc......................................... 16,600 60,237 Meritz Securities Co., Ltd........................................ 2,576,974 3,338,530 Mi Chang Oil Industrial Co., Ltd.................................. 4,388 358,394 Mirae Asset Securities Co., Ltd................................... 414,359 17,345,102 MK Electron Co., Ltd.............................................. 56,825 212,788 #Moorim P&P Co., Ltd............................................... 422,608 2,254,596 #*Moorim Paper Co., Ltd............................................. 264,210 600,330 Motonic Corp...................................................... 121,010 1,534,296 Namhae Chemical Corp.............................................. 10,560 68,324 Namyang Dairy Products Co., Ltd................................... 4,383 4,634,205 National Plastic Co............................................... 174,380 648,812 #*NEOWIZ HOLDINGS Corp.............................................. 69,796 817,608 Nexen Corp........................................................ 13,326 1,005,841 NH Investment & Securities Co., Ltd............................... 426,754 1,886,368 NICE Holdings Co., Ltd............................................ 710 53,445 NK Co., Ltd....................................................... 196,310 626,118 #Nong Shim Holdings Co., Ltd....................................... 24,347 1,877,798 NongShim Co., Ltd................................................. 43,180 13,159,707 *Osung LST Co., Ltd................................................ 203,689 612,842 Ottogi Corp....................................................... 10,487 4,523,032 Paik Kwang Industrial Co., Ltd.................................... 85,394 440,850 #*PaperCorea, Inc................................................... 404,380 424,698 Poongsan Corp..................................................... 338,270 8,211,609 Poongsan Holdings Corp............................................ 49,788 1,061,308 #POSCO............................................................. 681,110 195,769,432 #POSCO ADR......................................................... 1,626,923 117,122,187 #*POSCO Coated & Color Steel Co., Ltd............................... 23,830 318,387 #*PSK, Inc.......................................................... 70,793 387,731 Pulmuone Holdings Co., Ltd........................................ 7,118 439,591 #Pyeong Hwa Automotive Co., Ltd.................................... 13,670 203,968 #S&T Dynamics Co., Ltd............................................. 380,544 4,548,650 S&T Holdings Co., Ltd............................................. 87,883 1,118,392 #S&T Motiv Co., Ltd................................................ 124,630 3,280,154 Saeron Automotive Corp............................................ 1,995 13,923 *Sajo Industries Co., Ltd.......................................... 10,536 433,189 *Sajodaerim Corp................................................... 2,710 30,317 #Sam Young Electronics Co., Ltd.................................... 157,970 1,364,734 Sam Yung Trading Co., Ltd......................................... 45,134 758,528 SAMHWA Paints Industrial Co., Ltd................................. 2,030 9,628 #*Samick Musical Instruments Co., Ltd............................... 1,125,740 1,526,047 Samjin Pharmaceutical Co., Ltd.................................... 33,244 387,498 Samlip General Foods Co., Ltd..................................... 16,070 503,244
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) Samsung C&T Corp.................................................. 1,299,457 $ 69,752,392 Samsung Life Insurance Co., Ltd................................... 895 88,219 Samsung SDI Co., Ltd.............................................. 520,138 60,642,027 Samyang Genex Co., Ltd............................................ 11,337 977,475 #Samyang Holdings Corp............................................. 89,042 7,571,520 Samyang Tongsang Co., Ltd......................................... 8,060 191,941 #Samyoung Chemical Co., Ltd........................................ 190,320 498,897 SAVEZONE I&C Corp................................................. 27,710 90,629 #Seah Besteel Corp................................................. 168,664 4,624,221 SeAH Holdings Corp................................................ 13,089 1,267,151 #SeAH Steel Corp................................................... 36,098 3,696,521 Sebang Co., Ltd................................................... 137,830 2,228,988 #Sejong Industrial Co., Ltd........................................ 97,700 1,111,560 Sempio Foods Co................................................... 2,800 73,580 #*Seohee Construction Co., Ltd...................................... 1,753,286 1,241,654 #*Seong An Co., Ltd................................................. 86,190 67,936 #Seowon Co., Ltd................................................... 156,260 391,506 *Sewon Cellontech Co., Ltd......................................... 47,900 173,531 #*SG Corp........................................................... 1,945,560 1,527,000 Shin Poong Pharmaceutical Co., Ltd................................ 180,635 855,686 Shinhan Financial Group Co., Ltd.................................. 5,415,719 187,584,781 #Shinhan Financial Group Co., Ltd. ADR............................. 1,630,308 55,903,261 Shinsegae Co., Ltd................................................ 41,475 8,917,554 Shinsegae Information & Communication Co., Ltd.................... 4,669 330,344 #*Shinsung Solar Energy Co., Ltd.................................... 765,627 640,977 #Shinsung Tongsang Co., Ltd........................................ 1,106,860 988,296 Shinyoung Securities Co., Ltd..................................... 35,820 1,163,316 #Silla Co., Ltd.................................................... 66,973 2,081,648 Sindoh Co., Ltd................................................... 43,098 3,015,574 SJM Co., Ltd...................................................... 42,954 388,581 *SK Broadband Co., Ltd............................................. 42,906 203,893 #SK Chemicals Co., Ltd............................................. 94,372 4,010,747 #SK Gas Co., Ltd................................................... 47,214 3,345,043 SK Holdings Co., Ltd.............................................. 530,249 76,530,829 SK Innovation Co., Ltd............................................ 763,318 104,371,936 #SK Networks Co., Ltd.............................................. 2,130,956 14,134,993 #SK Securities Co., Ltd............................................ 4,048,550 3,604,412 SKC Co., Ltd...................................................... 35,200 1,063,268 #SL Corp........................................................... 108,620 1,448,440 #Songwon Industrial Co., Ltd....................................... 121,460 1,663,605 *Ssangyong Cement Industrial Co., Ltd.............................. 289,296 1,762,852 #STX Corp. Co., Ltd................................................ 518,863 1,545,147 #*STX Engine Co., Ltd............................................... 365,660 1,557,248 #*STX Offshore & Shipbuilding Co., Ltd.............................. 853,740 3,312,400 #*STX Pan Ocean Co., Ltd............................................ 1,611,400 4,952,180 Suheung Capsule Co., Ltd.......................................... 49,700 1,220,623 Sun Kwang Co., Ltd................................................ 13,670 273,270 #*Sungchang Enterprise Holdings, Ltd................................ 17,840 375,426 *Sungshin Cement Co., Ltd.......................................... 67,450 348,280 #Sungwoo Hitech Co., Ltd........................................... 42,884 597,334 Sunjin Co., Ltd................................................... 9,959 160,484 #Tae Kyung Industrial Co., Ltd..................................... 116,020 514,750
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- -------------- SOUTH KOREA -- (Continued) Taekwang Industrial Co., Ltd...................................... 4,300 $ 3,948,189 #*Taewoong Co., Ltd................................................. 70,311 1,656,692 Taeyoung Engineering & Construction Co., Ltd...................... 564,040 3,116,433 #Tailim Packaging Industrial Co., Ltd............................. 374,220 1,138,842 TCC Steel......................................................... 48,310 176,588 Telcoware Co., Ltd................................................ 2,187 18,814 #*TK Chemical Corp.................................................. 240,173 341,863 Tong Kook Corp.................................................... 607 -- #Tong Yang Moolsan Co., Ltd........................................ 72,180 659,807 Tongyang Life Insurance........................................... 69,890 626,695 TONGYANG Securities, Inc.......................................... 918,859 3,298,243 *Top Engineering Co., Ltd.......................................... 37,931 203,324 #TS Corp........................................................... 65,206 2,176,870 #Unid Co., Ltd..................................................... 46,751 1,983,494 Union Steel....................................................... 38,477 436,318 Whanin Pharmaceutical Co., Ltd.................................... 18,180 224,706 #*WillBes & Co. (The)............................................... 727,030 989,159 Wiscom Co., Ltd................................................... 32,980 152,459 *Woongjin Chemical Co., Ltd........................................ 489,820 395,396 #*Woongjin Energy Co., Ltd.......................................... 751,750 1,368,812 *Woongjin Holdings Co., Ltd........................................ 32,688 90,825 #*Woongjin Thinkbig Co., Ltd........................................ 161,840 1,346,193 Wooree ETI Co., Ltd............................................... 74,183 301,876 Woori Finance Holdings Co., Ltd................................... 5,158,647 55,858,195 #Woori Finance Holdings Co., Ltd. ADR.............................. 8,505 276,072 Woori Financial Co., Ltd.......................................... 111,141 2,254,599 Woori Investment & Securities Co., Ltd............................ 2,467,643 25,404,296 #WooSung Feed Co., Ltd............................................. 284,940 839,751 YESCO Co., Ltd.................................................... 30,550 1,103,774 #Yoosung Enterprise Co., Ltd....................................... 60,445 218,667 #YooSung T&S Co., Ltd.............................................. 52,492 101,138 Youlchon Chemical Co., Ltd........................................ 159,540 1,826,533 Young Poong Corp.................................................. 4,715 6,858,951 Young Poong Mining & Construction Corp............................ 18,030 -- #Young Poong Precision Corp........................................ 34,086 343,824 Youngone Holdings Co., Ltd........................................ 31,252 2,231,405 YuHwa Securities Co., Ltd......................................... 28,680 317,898 Zinus, Inc........................................................ 1,866 -- -------------- TOTAL SOUTH KOREA.................................................... 2,724,998,137 -------------- TAIWAN -- (13.0%) A-DATA Technology Co., Ltd........................................ 1,422,000 2,822,308 Ability Enterprise Co., Ltd....................................... 1,409,000 1,290,394 AcBel Polytech, Inc............................................... 5,679,219 4,979,039 Accton Technology Corp............................................ 8,758,156 5,322,968 #*Acer, Inc......................................................... 47,368,364 38,284,143 ACES Electronic Co., Ltd.......................................... 135,000 149,837 #ACHEM TECHNOLOGY Corp............................................. 2,670,984 1,330,739 *Action Electronics Co., Ltd....................................... 3,562,084 824,390 #*AGV Products Corp................................................. 7,871,701 2,803,229 Alcor Micro Corp.................................................. 100,000 119,839 Allis Electric Co., Ltd........................................... 1,471,000 455,536
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) #Alpha Networks, Inc............................................... 5,319,237 $ 3,461,788 Altek Corp........................................................ 6,185,808 3,987,956 Ambassador Hotel (The)............................................ 543,000 528,589 AMPOC Far-East Co., Ltd........................................... 1,772,000 1,682,164 AmTRAN Technology Co., Ltd........................................ 10,587,956 8,678,859 Anpec Electronics Corp............................................ 147,000 95,984 APCB, Inc......................................................... 2,521,000 1,862,150 Apex Science & Engineering........................................ 690,713 248,032 Ardentec Corp..................................................... 484,000 327,608 Arima Communications Corp......................................... 251,566 118,690 #Asia Cement Corp.................................................. 25,134,362 31,913,703 *Asia Optical Co., Inc............................................. 4,243,290 4,026,857 Asia Polymer Corp................................................. 3,786,478 2,856,914 Asia Vital Components Co., Ltd.................................... 4,544,984 2,187,121 #*AU Optronics Corp................................................. 46,988,812 22,147,447 #*AU Optronics Corp. Sponsored ADR.................................. 9,342,184 45,216,170 Audix Corp........................................................ 1,726,164 1,582,205 Avermedia Technologies............................................ 2,426,000 1,090,589 #Avision, Inc...................................................... 2,782,555 784,495 AVY Precision Technology, Inc..................................... 16,000 26,300 *Bank of Kaohsiung................................................. 6,472,397 2,075,287 Basso Industry Corp............................................... 925,000 680,885 #BES Engineering Corp.............................................. 23,952,443 6,806,060 Biostar Microtech International Corp.............................. 2,764,055 1,030,589 #Bright Led Electronics Corp....................................... 1,618,000 761,262 C Sun Manufacturing, Ltd.......................................... 2,535,837 1,798,561 #*Cameo Communications, Inc......................................... 3,030,197 1,021,970 #Capital Securities Corp........................................... 20,658,447 7,322,894 #*Carnival Industrial Corp.......................................... 5,821,000 1,872,481 Cathay Chemical Works............................................. 959,000 478,209 Cathay Real Estate Development Co., Ltd........................... 14,314,421 8,589,092 Celxpert Energy Corp.............................................. 262,000 165,045 #*Central Reinsurance Co., Ltd...................................... 2,511,781 1,149,730 ChainQui Construction Development Co., Ltd........................ 1,547,173 1,164,021 Champion Building Materials Co., Ltd.............................. 5,563,828 1,925,270 *Chang Ho Fibre Corp............................................... 147,000 50,186 Chang Hwa Commercial Bank......................................... 76,818,525 43,935,032 Charoen Pokphand Enterprise....................................... 3,296,000 1,715,643 Cheng Loong Corp.................................................. 13,494,659 6,037,239 Cheng Uei Precision Industry Co., Ltd............................. 3,387,635 6,758,777 #Chia Chang Co., Ltd............................................... 642,000 839,946 Chia Hsin Cement Corp............................................. 7,482,191 3,298,131 #Chien Kuo Construction Co., Ltd................................... 4,910,247 2,406,322 *Chien Shing Stainless Steel....................................... 1,525,000 199,568 #Chilisin Electronics Corp......................................... 754,300 437,124 Chin-Poon Industrial Co........................................... 6,566,815 8,569,158 *China Airlines, Ltd............................................... 42,269,353 16,126,745 China Chemical & Pharmaceutical Co., Ltd.......................... 4,203,264 3,113,186 *China Development Financial Holding Corp.......................... 182,628,960 50,595,611 #China Electric Manufacturing Corp................................. 3,663,200 2,105,432 *China General Plastics Corp....................................... 6,721,000 3,409,802 China Glaze Co., Ltd.............................................. 2,248,363 1,045,068
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) *China Manmade Fibers Corp......................................... 18,686,813 $ 7,446,477 China Metal Products.............................................. 3,833,689 5,088,699 China Motor Corp.................................................. 11,432,749 11,146,955 #China Petrochemical Development Corp.............................. 27,262,397 14,766,864 China Rebar Co., Ltd.............................................. 439,188 -- China Steel Structure Co., Ltd.................................... 1,580,219 1,937,205 China Synthetic Rubber Corp....................................... 7,333,711 7,909,350 China United Trust & Investment Corp.............................. 493,999 -- *China Wire & Cable Co., Ltd....................................... 2,900,000 1,090,661 Chinatrust Financial Holding Co., Ltd............................. 86,887,248 52,767,484 Chinese Maritime Transport, Ltd................................... 1,362,000 1,639,315 *Chun YU Works & Co., Ltd.......................................... 2,927,000 1,061,366 Chun Yuan Steel................................................... 6,454,287 2,451,199 Chung Hsin Electric & Machinery Manufacturing Corp................ 6,609,000 3,786,283 *Chung Hung Steel Corp............................................. 12,373,046 3,448,442 *Chung Hwa Pulp Corp............................................... 6,323,011 2,015,258 Chung Shing Textile Co., Ltd...................................... 600 -- *Chunghwa Picture Tubes, Ltd....................................... 55,899,412 3,651,244 *Chyang Sheng Dyeing & Finishing Co., Ltd.......................... 328,000 148,523 #*CMC Magnetics Corp................................................ 47,154,830 8,483,006 #CoAsia Microelectronics Corp...................................... 1,211,000 923,334 #Collins Co., Ltd.................................................. 2,467,224 949,075 #Compal Electronics, Inc........................................... 67,997,332 44,046,392 Compeq Manufacturing Co........................................... 19,820,000 7,397,595 Compex International Co., Ltd..................................... 46,400 -- *Concord Securities Corp........................................... 1,358,000 320,831 #Continental Holdings Corp......................................... 7,293,848 2,782,348 Coretronic Corp................................................... 5,602,000 4,457,621 *Cosmos Bank Taiwan................................................ 974,872 509,178 #Coxon Precise Industrial Co., Ltd................................. 2,038,000 3,979,378 Creative Sensor, Inc.............................................. 40,000 19,719 CSBC Corp. Taiwan................................................. 5,590,654 3,676,019 D-Link Corp....................................................... 10,510,939 6,152,765 #DA CIN Construction Co., Ltd...................................... 2,614,579 2,257,103 #Darfon Electronics Corp........................................... 5,597,950 5,113,592 Delpha Construction Co., Ltd...................................... 3,910,016 1,304,791 Depo Auto Parts Ind Co., Ltd...................................... 375,000 1,004,856 Der Pao Construction Co., Ltd..................................... 1,139,000 -- DFI, Inc.......................................................... 302,280 286,158 Dynamic Electronics Co., Ltd...................................... 3,936,324 1,496,304 #E Ink Holdings, Inc............................................... 10,084,000 7,504,094 #*E-Ton Solar Tech Co., Ltd......................................... 2,471,444 987,529 E.Sun Financial Holding Co., Ltd.................................. 62,577,285 37,816,932 *Eastern Media International Corp.................................. 13,978,399 1,794,000 *Edimax Technology Co., Ltd........................................ 2,313,000 1,019,688 #Edison Opto Corp.................................................. 539,000 657,180 Edom Technology Co., Ltd.......................................... 943,800 358,165 Elite Material Co., Ltd........................................... 2,495,905 2,556,413 Elite Semiconductor Memory Technology, Inc........................ 2,989,000 4,054,351 Elitegroup Computer Systems Co., Ltd.............................. 11,584,066 4,739,630 #Entie Commercial Bank............................................. 2,271,232 1,291,817 #Episil Technologies, Inc.......................................... 1,748,000 532,690
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ TAIWAN -- (Continued) Epistar Corp...................................................... 14,105,000 $ 24,905,704 Eternal Chemical Co., Ltd......................................... 1,029,000 888,202 *Etron Technology, Inc............................................. 1,794,000 809,325 *Eva Airways Corp.................................................. 13,312,738 7,428,858 Ever Fortune Industrial Co., Ltd.................................. 409,000 -- *Everest Textile Co., Ltd.......................................... 4,173,002 993,150 Evergreen International Storage & Transport Corp.................. 9,117,000 5,957,508 *Evergreen Marine Corp. Taiwan, Ltd................................ 29,459,998 17,239,855 Everlight Chemical Industrial Corp................................ 2,238,100 1,584,755 #Everlight Electronics Co., Ltd.................................... 2,417,000 3,902,821 *Everspring Industry Co............................................ 1,078,180 697,341 #Excelsior Medical Co., Ltd........................................ 1,410,200 2,609,548 Far Eastern Department Stores Co., Ltd............................ 4,776,362 4,228,262 #Far Eastern International Bank.................................... 25,287,873 10,336,176 *Farglory F T Z Investment Holding Co., Ltd........................ 292,000 214,729 Farglory Land Development Co., Ltd................................ 385,000 735,721 Federal Corp...................................................... 6,646,367 4,466,142 #*First Copper Technology Co., Ltd................................ 3,667,750 1,120,886 First Financial Holding Co., Ltd.................................. 114,221,437 70,358,478 First Hotel....................................................... 1,124,612 732,239 #First Insurance Co., Ltd.......................................... 3,635,064 2,464,973 First Steamship Co., Ltd.......................................... 4,076,173 3,035,545 Forhouse Corp..................................................... 7,479,635 3,654,442 #Formosa Advanced Technologies Co., Ltd............................ 1,020,000 764,750 #*Formosa Epitaxy, Inc.............................................. 8,372,000 5,967,719 Formosa Oilseed Processing........................................ 1,111,977 495,564 Formosa Taffeta Co., Ltd.......................................... 10,729,511 10,210,432 Formosan Rubber Group, Inc........................................ 7,703,000 6,202,158 #Formosan Union Chemical........................................... 2,749,034 1,416,010 #Fortune Electric Co., Ltd......................................... 436,000 192,843 #Founding Construction & Development Co., Ltd...................... 2,770,780 2,008,577 #*Froch Enterprise Co., Ltd......................................... 1,898,000 583,117 FSP Technology, Inc............................................... 1,797,283 1,708,739 FU I Industrial................................................... 2,799 4,923 #Fubon Financial Holding Co., Ltd.................................. 83,424,471 119,358,177 Fullerton Technology Co., Ltd..................................... 1,753,200 1,617,909 #Fulltech Fiber Glass Corp......................................... 3,742,690 1,536,934 #Fwusow Industry Co., Ltd.......................................... 2,728,427 1,387,186 #G Shank Enterprise Co., Ltd....................................... 2,582,880 1,469,888 Gemtek Technology Corp............................................ 5,752,962 7,558,069 #*Genesis Photonics, Inc............................................ 1,479,000 1,024,608 #Getac Technology Corp............................................. 10,500,065 5,045,741 #*Giantplus Technology Co., Ltd..................................... 829,100 265,102 Giga Solution Tech Co., Ltd....................................... 461,000 260,808 Gigabyte Technology Co., Ltd...................................... 9,308,287 8,872,008 #Gigastorage Corp.................................................. 5,891,600 4,486,005 #*Gintech Energy Corp............................................... 6,544,942 6,408,558 Global Brands Manufacture, Ltd.................................... 4,730,951 1,622,128 Global Lighting Technologies, Inc................................. 331,000 413,887 Globe Union Industrial Corp....................................... 3,298,000 1,604,155 Gloria Material Technology Corp................................... 2,470,000 1,914,699 #*Gold Circuit Electronics, Ltd..................................... 9,237,965 1,882,567
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) Goldsun Development & Construction Co., Ltd....................... 22,243,261 $ 8,869,126 Good Will Instrument Co., Ltd..................................... 444,172 266,358 Grand Pacific Petrochemical....................................... 16,312,000 8,328,516 Great China Metal Industry........................................ 922,000 1,090,014 Great Wall Enterprise Co., Ltd.................................... 3,276,767 2,751,128 #*Green Energy Technology, Inc...................................... 5,831,880 4,906,919 #*GTM Corp.......................................................... 2,449,000 1,312,430 #Hannstar Board Corp............................................... 5,163,635 2,347,049 *HannStar Display Corp............................................. 44,505,000 12,143,774 #Harvatek Corp..................................................... 3,516,459 1,421,802 Helix Technology, Inc............................................. 29,585 -- Hey Song Corp..................................................... 3,858,000 5,109,397 HiTi Digital, Inc................................................. 266,000 166,827 #Hitron Technology, Inc............................................ 3,092,525 1,683,274 *Ho Tung Chemical Corp............................................. 11,404,669 5,591,555 #Hocheng Corp...................................................... 4,236,300 1,255,306 Hold-Key Electric Wire & Cable Co., Ltd........................... 515,124 209,649 Holy Stone Enterprise Co., Ltd.................................... 3,608,643 3,395,318 #Hong TAI Electric Industrial...................................... 3,826,000 1,236,398 Hong YI Fiber Industry Co......................................... 84,040 28,295 *Horizon Securities Co., Ltd....................................... 3,547,000 1,136,275 Hsin Kuang Steel Co., Ltd......................................... 4,310,124 2,694,886 Hsing TA Cement Co................................................ 2,071,980 730,248 *HUA ENG Wire & Cable.............................................. 7,399,035 2,847,032 Hua Nan Financial Holdings Co., Ltd............................... 41,381,267 24,081,056 Hualon Corp....................................................... 257,040 -- Hung Ching Development & Construction Co., Ltd.................... 1,906,468 915,935 Hung Poo Real Estate Development Corp............................. 3,207,655 3,587,562 Hung Sheng Construction Co., Ltd.................................. 8,769,892 7,258,361 Huxen Corp........................................................ 572,281 688,661 *Hwa Fong Rubber Co., Ltd.......................................... 3,194,960 992,651 #*I-Chiun Precision Industry Co., Ltd............................... 3,677,000 2,516,441 #*Ichia Technologies, Inc........................................... 6,402,260 3,455,560 Infortrend Technology, Inc........................................ 663,000 346,056 #*Innolux Corp...................................................... 113,184,745 70,870,943 *Inotera Memories, Inc............................................. 33,144,728 13,022,345 Inventec Corp..................................................... 37,639,277 15,053,741 #*ITE Technology, Inc............................................... 2,962,000 2,613,604 #*J Touch Corp...................................................... 1,416,000 1,445,201 *Janfusun Fancyworld Corp.......................................... 974,000 129,838 #*Jess-Link Products Co., Ltd....................................... 778,000 654,710 Jih Sun Financial Holdings Co., Ltd............................... 1,692,000 507,473 *K Laser Technology, Inc........................................... 1,056,601 688,465 #Kang Na Hsiung Enterprise Co., Ltd................................ 1,655,078 863,943 *Kao Hsing Chang Iron & Steel...................................... 1,589,000 410,710 #Kaulin Manufacturing Co., Ltd..................................... 2,961,656 2,221,698 Kenmec Mechanical Engineering Co., Ltd............................ 611,000 232,381 Kerry TJ Logistics Co., Ltd....................................... 465,000 622,450 #Kindom Construction Co............................................ 6,307,000 6,800,929 King Yuan Electronics Co., Ltd.................................... 20,624,805 14,699,180 *King's Town Bank.................................................. 11,813,012 10,822,309 Kinpo Electronics................................................. 16,936,375 4,026,586
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) #KS Terminals, Inc................................................. 1,113,880 $ 781,827 Kung Sing Engineering Corp........................................ 813,000 342,042 #Kuo Toong International Co., Ltd.................................. 1,095,000 825,641 #Kuoyang Construction Co., Ltd..................................... 7,893,029 5,446,252 #*Kwong Fong Industries............................................. 5,261,900 3,176,539 #*KYE Systems Corp.................................................. 4,462,000 1,406,937 L&K Engineering Co., Ltd.......................................... 2,019,000 1,935,855 #LAN FA Textile.................................................... 3,158,713 861,968 #Leader Electronics, Inc........................................... 1,314,056 876,021 Lealea Enterprise Co., Ltd........................................ 12,140,118 4,263,320 #Ledtech Electronics Corp.......................................... 390,000 196,120 #LEE CHI Enterprises Co., Ltd...................................... 3,466,900 1,776,071 Lelon Electronics Corp............................................ 1,390,200 696,366 #*Leofoo Development Co............................................. 4,844,774 2,285,585 LES Enphants Co., Ltd............................................. 154,000 110,169 *Lextar Electronics Corp........................................... 69,000 76,356 *Li Peng Enterprise Co., Ltd....................................... 7,709,823 2,915,500 Lien Hwa Industrial Corp.......................................... 8,501,990 5,862,512 Lingsen Precision Industries, Ltd................................. 6,224,480 3,506,945 Lite-On Semiconductor Corp........................................ 5,258,190 3,044,953 Lite-On Technology Corp........................................... 31,552,495 56,819,539 *Long Chen Paper Co., Ltd.......................................... 6,893,369 2,156,555 Longwell Co....................................................... 710,000 606,246 Lotes Co., Ltd.................................................... 818,000 2,201,853 *Lucky Cement Corp................................................. 3,099,000 729,836 #Macronix International............................................ 68,587,913 18,737,343 #Marketech International Corp...................................... 2,133,000 1,633,772 Masterlink Securities Corp........................................ 16,025,000 5,007,931 Maxtek Technology Co., Ltd........................................ 262,000 184,772 #*Mayer Steel Pipe Corp............................................. 2,472,456 1,000,829 Maywufa Co., Ltd.................................................. 252,070 132,631 Mega Financial Holding Co., Ltd................................... 124,743,381 96,296,586 Megamedia Corp.................................................... 782 6 Meiloon Industrial Co............................................. 1,613,084 661,905 Mercuries & Associates, Ltd....................................... 1,466,127 1,153,612 Mercuries Data Systems, Ltd....................................... 1,537,800 462,786 Micro-Star International Co., Ltd................................. 13,221,985 6,191,983 *Microelectronics Technology, Inc.................................. 963,826 541,768 Mirle Automation Corp............................................. 565,550 392,210 Mitac International Corp.......................................... 20,047,450 7,105,772 Mobiletron Electronics Co., Ltd................................... 153,000 86,156 *Mosel Vitelic, Inc................................................ 7,721,506 1,826,620 #*Motech Industries, Inc............................................ 2,610,000 2,734,682 #*Nan Ren Lake Leisure Amusement Co., Ltd........................... 492,000 172,738 #Nan Ya Printed Circuit Board Corp................................. 3,596,000 4,123,804 #Nantex Industry Co., Ltd.......................................... 2,234,063 1,515,670 *Nanya Technology Corp............................................. 3,923,000 866,668 #*Neo Solar Power Corp.............................................. 11,320,000 7,835,268 #New Asia Construction & Development Corp.......................... 1,773,993 541,553 New Era Electronics Co., Ltd...................................... 139,000 129,652 Nichidenbo Corp................................................... 90,474 79,533 #Nien Hsing Textile Co., Ltd....................................... 4,012,602 3,155,283
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) #Nishoku Technology, Inc........................................... 229,000 $ 461,146 #*Ocean Plastics Co., Ltd........................................... 827,000 876,511 *Optimax Technology Corp........................................... 1,305,597 141,671 OptoTech Corp..................................................... 9,277,000 3,779,162 *Orient Semiconductor Electronics, Ltd............................. 5,410,276 953,737 Pacific Construction Co........................................... 2,295,452 712,989 *Pan Jit International, Inc........................................ 6,261,837 2,304,991 #*Pan-International Industrial...................................... 2,210,967 1,746,646 #Paragon Technologies Co., Ltd..................................... 1,209,100 1,693,965 #*Pegatron Corp..................................................... 28,348,998 46,476,685 Phihong Technology Co., Ltd....................................... 2,010,320 1,555,626 Picvue Electronics, Ltd........................................... 241,600 -- Plotech Co., Ltd.................................................. 894,282 338,713 Portwell, Inc..................................................... 501,000 520,560 Potrans Electrical Corp........................................... 1,139,000 168,272 Pou Chen Corp..................................................... 29,022,550 34,257,996 *Powercom Co., Ltd................................................. 1,347,500 334,726 #*Powertech Industrial Co., Ltd..................................... 271,000 168,039 #Powertech Technology, Inc......................................... 10,254,000 18,371,895 *President Securities Corp......................................... 12,336,992 7,427,440 Prince Housing & Development Corp................................. 2,347,075 1,680,073 Procomp Informatics, Ltd.......................................... 391,440 -- Prodisc Technology, Inc........................................... 6,185,157 -- Promate Electronic Co., Ltd....................................... 949,000 871,863 *Promise Technology, Inc........................................... 573,000 351,871 #*Qisda Corp........................................................ 25,179,171 6,163,280 Quanta Storage, Inc............................................... 1,007,000 678,394 #Quintain Steel Co., Ltd........................................... 5,824,629 1,402,974 Radium Life Tech Co., Ltd......................................... 9,605,368 8,006,899 Ralec Electronic Corp............................................. 477,087 525,459 Rechi Precision Co., Ltd.......................................... 774,836 773,954 Rich Development Co., Ltd......................................... 1,501,000 802,400 #*Ritek Corp........................................................ 49,652,622 6,651,034 Sainfoin Technology Corp.......................................... 835,498 -- Sampo Corp........................................................ 9,606,925 3,290,963 *Sanyang Industry Co., Ltd......................................... 11,430,624 11,270,687 Sanyo Electric Taiwan Co., Ltd.................................... 29,000 34,994 SDI Corp.......................................................... 1,119,000 1,033,064 Sesoda Corp....................................................... 927,500 995,536 Shan-Loong Transportation Co., Ltd................................ 66,000 53,819 Sheng Yu Steel Co., Ltd........................................... 1,918,000 1,130,241 #ShenMao Technology, Inc........................................... 1,207,000 1,278,064 Shih Wei Navigation Co., Ltd...................................... 2,193,718 1,610,172 Shihlin Electric & Engineering Corp............................... 4,381,000 5,281,710 #*Shin Kong Financial Holding Co., Ltd.............................. 101,152,151 32,012,236 #Shinkong Insurance Co., Ltd....................................... 3,324,412 2,564,155 Shinkong Synthetic Fibers Corp.................................... 26,053,754 8,185,743 #*Shuttle, Inc...................................................... 2,714,015 1,156,347 Sigurd Microelectronics Corp...................................... 6,663,047 6,961,688 *Silicon Integrated Systems Corp................................... 10,341,165 3,429,244 Sinbon Electronics Co., Ltd....................................... 2,428,000 2,313,753 Sincere Navigation Corp........................................... 4,532,740 4,233,259
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) Sinkang Industries, Ltd........................................... 699,557 $ 244,428 #Sino-American Silicon Products, Inc............................... 3,440,000 4,758,805 #Sinon Corp........................................................ 5,973,877 2,957,550 SinoPac Financial Holdings Co., Ltd............................... 109,178,958 54,712,701 Sirtec International Co., Ltd..................................... 454,000 691,399 Sitronix Technology Corp.......................................... 1,341,000 1,906,844 *Siward Crystal Technology Co., Ltd................................ 1,411,875 549,965 Soft-World International Corp..................................... 17,000 27,953 *Solomon Technology Corp........................................... 1,375,950 569,364 #*Solytech Enterprise Corp.......................................... 2,596,000 848,961 Southeast Cement Co., Ltd......................................... 3,539,700 1,728,284 Spirox Corp....................................................... 1,115,661 497,441 #Star Comgistic Capital Co., Ltd................................... 1,575,676 679,544 #Stark Technology, Inc............................................. 2,118,200 1,824,512 #Sunonwealth Electric Machine Industry Co., Ltd.................... 478,421 304,281 *Sunplus Technology Co., Ltd....................................... 8,214,620 2,642,672 Sunrex Technology Corp............................................ 1,158,000 465,946 Sunspring Metal Corp.............................................. 132,000 208,943 #*Super Dragon Technology Co., Ltd.................................. 184,175 142,887 #Supreme Electronics Co., Ltd...................................... 3,222,681 1,711,371 Sweeten Construction Co., Ltd..................................... 1,233,825 898,224 Sysage Technology Co., Ltd........................................ 170,000 196,559 Systex Corp....................................................... 801,801 972,325 TA Chen Stainless Pipe............................................ 7,322,074 3,618,833 *Ta Chong Bank, Ltd................................................ 25,875,840 9,045,201 Ta Ya Electric Wire & Cable....................................... 8,900,329 2,132,414 #TA-I Technology Co., Ltd.......................................... 1,715,915 934,877 #Tah Hsin Industrial Co., Ltd...................................... 1,700,000 1,715,425 *TAI Roun Products Co., Ltd........................................ 63,000 22,744 Taichung Commercial Bank.......................................... 25,379,654 9,212,441 Taiflex Scientific Co., Ltd....................................... 58,000 71,951 #Tainan Enterprises Co., Ltd....................................... 1,689,183 2,111,611 #Tainan Spinning Co., Ltd.......................................... 16,766,442 8,247,378 Taishin Financial Holding Co., Ltd................................ 92,810,230 40,326,161 #Taisun Enterprise Co., Ltd........................................ 3,464,410 1,715,642 Taita Chemical Co., Ltd........................................... 3,554,864 1,121,090 *Taiwan Business Bank.............................................. 52,053,106 16,025,019 Taiwan Calsonic Co., Ltd.......................................... 48,000 45,885 Taiwan Cement Corp................................................ 44,762,440 59,501,878 Taiwan Cogeneration Corp.......................................... 3,677,333 2,459,864 Taiwan Cooperative Financial Holding.............................. 79,569,819 45,750,791 Taiwan Fertilizer Co., Ltd........................................ 601,000 1,439,380 Taiwan Fire & Marine Insurance Co................................. 1,144,000 861,574 Taiwan Flourescent Lamp Co., Ltd.................................. 756,000 -- #Taiwan FU Hsing Industrial Co., Ltd............................... 2,128,000 2,084,052 Taiwan Glass Industry Corp........................................ 9,558,710 9,737,272 Taiwan Hopax Chemicals Manufacturing Co., Ltd..................... 580,000 336,736 Taiwan Kolin Co., Ltd............................................. 5,797,000 -- #*Taiwan Land Development Corp...................................... 11,514,739 4,577,197 Taiwan Mask Corp.................................................. 3,154,250 1,101,518 Taiwan Navigation Co., Ltd........................................ 837,000 645,445 Taiwan Paiho, Ltd................................................. 3,217,549 2,267,131
39 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ----------- TAIWAN -- (Continued) Taiwan Prosperity Chemical Corp................................... 220,000 $ 244,907 #Taiwan Pulp & Paper Corp.......................................... 7,065,660 2,178,390 Taiwan Sakura Corp................................................ 2,643,472 1,483,885 Taiwan Semiconductor Co., Ltd..................................... 528,000 277,530 Taiwan Sogo Shin Kong SEC......................................... 83,205 105,420 *Taiwan Styrene Monomer............................................ 9,159,045 3,108,923 #Taiwan Surface Mounting Technology Co., Ltd....................... 292,000 487,922 Taiwan TEA Corp................................................... 10,090,092 6,165,130 Taiwan Union Technology Corp...................................... 1,262,000 778,501 Taiyen Biotech Co., Ltd........................................... 3,286,000 3,205,359 #*Tatung Co., Ltd................................................... 34,224,342 8,645,120 #Teco Electric and Machinery Co., Ltd.............................. 32,704,725 30,779,290 *Tecom Co., Ltd.................................................... 703,753 47,602 *Tekcore Co., Ltd.................................................. 372,000 146,569 Test-Rite International Co., Ltd.................................. 1,333,266 1,008,382 #Thinking Electronic Industrial Co., Ltd........................... 1,396,000 1,471,957 Ton Yi Industrial Corp............................................ 12,140,600 8,989,194 Tong Yang Industry Co., Ltd....................................... 5,576,808 5,835,797 Tong-Tai Machine & Tool Co., Ltd.................................. 3,130,753 2,545,830 Topco Scientific Co., Ltd......................................... 848,719 1,612,774 #Topoint Technology Co., Ltd....................................... 2,333,924 1,424,562 Transasia Airways Corp............................................ 618,000 281,958 #Tung Ho Steel Enterprise Corp..................................... 10,511,274 10,260,984 Tung Ho Textile Co., Ltd.......................................... 2,775,000 835,025 TYC Brother Industrial Co., Ltd................................... 2,992,212 1,166,859 #*Tycoons Group Enterprise.......................................... 8,178,938 1,553,602 #*Tyntek Corp....................................................... 5,444,683 1,332,802 TZE Shin International Co., Ltd................................... 1,043,472 526,881 *U-Tech Media Corp................................................. 1,946,799 408,641 Unic Technology Corp.............................................. 36,000 16,177 #Unimicron Technology Corp......................................... 24,359,363 25,711,358 #*Union Bank Of Taiwan.............................................. 9,877,493 3,769,858 Unitech Computer Co., Ltd......................................... 1,308,739 654,362 #Unitech Printed Circuit Board Corp................................ 10,421,281 3,400,263 United Integrated Services Co., Ltd............................... 1,576,000 1,584,823 #United Microelectronics Corp...................................... 218,090,681 83,574,149 Universal Cement Corp............................................. 5,717,551 3,518,483 Unizyx Holding Corp............................................... 6,645,000 3,177,400 UPC Technology Corp............................................... 11,858,140 6,212,965 USI Corp.......................................................... 5,907,691 4,147,809 #Ve Wong Corp...................................................... 1,594,806 1,097,737 #Wafer Works Corp.................................................. 2,197,000 1,254,444 Wah Hong Industrial Corp.......................................... 277,516 389,095 Wah Lee Industrial Corp........................................... 1,616,000 2,439,635 *Walsin Lihwa Corp................................................. 55,619,412 17,271,313 *Walsin Technology Corp............................................ 9,690,230 2,484,136 #*Walton Advanced Engineering, Inc.................................. 5,565,853 2,018,676 *Wan Hai Lines, Ltd................................................ 8,102,000 4,535,537 WAN HWA Enterprise Co............................................. 649,568 311,434 Waterland Financial Holdings Co., Ltd............................. 29,605,572 10,439,557 *WEI Chih Steel Industrial Co., Ltd................................ 1,914,898 325,176 #Wei Mon Industry Co., Ltd......................................... 4,130,000 1,428,668
40 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- -------------- TAIWAN -- (Continued) Weikeng Industrial Co., Ltd....................................... 1,544,550 $ 1,091,038 Well Shin Technology Co., Ltd..................................... 949,080 1,461,133 *Weltrend Semiconductor............................................ 1,696,000 823,402 #*Winbond Electronics Corp.......................................... 47,362,885 13,174,412 #*Wintek Corp....................................................... 37,354,507 19,194,727 #Wistron Corp...................................................... 25,314,650 25,727,683 WPG Holdings, Ltd................................................. 515,092 620,676 #WT Microelectronics Co., Ltd...................................... 3,043,096 3,632,493 #*WUS Printed Circuit Co., Ltd...................................... 6,072,928 2,451,102 *Yageo Corp........................................................ 33,224,840 10,512,310 *Yang Ming Marine Transport Corp................................... 24,157,676 10,862,219 YC INOX Co., Ltd.................................................. 4,467,667 2,431,013 #Yem Chio Co., Ltd................................................. 4,278,228 2,916,363 #YFY, Inc.......................................................... 17,172,847 8,420,287 #*Yi Jinn Industrial Co., Ltd....................................... 4,146,796 1,013,194 Yieh Phui Enterprise Co., Ltd..................................... 15,236,235 4,238,576 Young Fast Optoelectronics Co., Ltd............................... 2,740,000 4,936,315 Yuanta Financial Holding Co., Ltd................................. 143,984,654 73,306,738 #Yulon Motor Co., Ltd.............................................. 13,240,572 22,731,838 Yung Chi Paint & Varnish Manufacturing Co., Ltd................... 368,687 993,411 Yungtay Engineering Co., Ltd...................................... 257,000 614,494 Zenitron Corp..................................................... 3,103,000 1,997,957 #Zig Sheng Industrial Co., Ltd..................................... 8,451,834 2,582,787 Zinwell Corp...................................................... 1,346,000 1,126,628 Zippy Technology Corp............................................. 233,000 209,417 -------------- TOTAL TAIWAN......................................................... 2,584,117,254 -------------- THAILAND -- (3.4%) AAPICO Hitech PCL................................................. 647,760 606,930 AJ Plast PCL...................................................... 1,901,100 848,532 Asia Plus Securities PCL.......................................... 13,223,200 2,018,396 Bangchak Petroleum PCL............................................ 9,727,700 12,014,621 Bangkok Bank PCL (6368360)........................................ 9,300,200 71,613,124 Bangkok Bank PCL (6077019)........................................ 6,294,000 48,679,319 Bangkok Expressway PCL............................................ 5,220,100 7,114,276 Bangkok Insurance PCL............................................. 152,020 2,014,848 Bangkokland PCL................................................... 154,019,903 10,810,256 Bank of Ayudhya PCL (6359933)..................................... 6,065,200 6,767,813 Bank of Ayudhya PCL (6075949)..................................... 22,788,300 25,428,171 Banpu PCL......................................................... 1,676,500 19,478,245 CalComp Electronics Thailand PCL.................................. 22,770,700 2,792,999 Charoong Thai Wire & Cable PCL.................................... 1,201,700 618,251 Delta Electronics Thailand PCL.................................... 6,746,600 8,734,951 Eastern Water Resources Development and Management PCL............ 6,817,600 3,298,464 Esso Thailand PCL................................................. 23,143,400 7,609,329 *G J Steel PCL..................................................... 537,140,250 2,379,156 G Steel PCL (Foreign)............................................. 79,804,200 951,668 GFPT PCL.......................................................... 37,900 10,847 *Golden Land Property Development PCL.............................. 507,500 221,329 Hana Microelectronics PCL......................................... 5,031,100 4,251,151 Hemaraj Land and Development PCL.................................. 7,485,000 1,096,610 ICC International PCL............................................. 2,682,700 3,747,554
41 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ----------- ------------ THAILAND -- (Continued) IRPC PCL.......................................................... 130,549,600 $ 18,236,912 Kang Yong Electric PCL............................................ 3,400 32,668 KGI Securities Thailand PCL....................................... 13,459,500 1,641,738 Kiatnakin Bank PCL................................................ 4,662,400 11,199,291 Krung Thai Bank PCL............................................... 63,049,200 53,274,963 *Laguna Resorts & Hotels PCL....................................... 1,342,400 1,989,588 LH Financial Group PCL............................................ 6,526,500 324,657 MBK PCL........................................................... 958,900 5,423,421 *Padaeng Industry PCL.............................................. 1,412,500 654,514 Polyplex Thailand PCL............................................. 4,987,500 2,090,162 Precious Shipping PCL............................................. 6,275,400 3,805,864 Property Perfect PCL.............................................. 45,376,400 2,751,959 PTT Global Chemical PCL........................................... 31,932,741 79,423,853 PTT PCL........................................................... 8,157,700 90,610,228 Quality Houses PCL................................................ 38,933,241 5,597,897 *Regional Container Lines PCL...................................... 5,665,000 1,341,457 Saha Pathana Inter-Holding PCL.................................... 2,906,200 2,698,261 Saha Pathanapibul PCL............................................. 1,594,833 2,553,906 Saha-Union PCL.................................................... 2,976,400 4,208,538 *Sahaviriya Steel Industries PCL................................... 139,232,840 2,751,450 SC Asset Corp PCL................................................. 22,145,000 5,885,213 Siam Future Development PCL....................................... 817,987 253,618 Sri Ayudhya Capital PCL........................................... 233,300 176,465 Sri Trang Agro-Industry PCL....................................... 8,115,200 4,313,360 *Tata Steel Thailand PCL........................................... 40,432,800 1,529,145 Thai Airways International PCL.................................... 14,595,611 14,670,205 Thai Carbon Black PCL............................................. 441,000 420,716 Thai Oil PCL...................................................... 11,786,900 26,505,465 Thai Rayon PCL.................................................... 165,000 245,954 Thai Stanley Electric PCL (B01GKK6)............................... 193,800 1,657,370 Thai Stanley Electric PCL (B01GKM8)............................... 43,100 368,589 Thai Wacoal PCL................................................... 93,300 182,785 Thaicom PCL....................................................... 2,520,200 2,940,949 Thanachart Capital PCL............................................ 9,080,500 14,773,215 *Thoresen Thai Agencies PCL........................................ 8,166,900 4,980,835 Tisco Financial Group PCL......................................... 1,680,100 3,148,399 TMB Bank PCL...................................................... 205,343,400 19,170,048 Total Access Communication PCL.................................... 5,393,680 21,501,212 TPI Polene PCL.................................................... 11,792,824 6,026,997 *Tycoons Worldwide Group Thailand PCL.............................. 1,243,300 258,403 Vanachai Group PCL................................................ 8,582,300 1,169,649 Vinythai PCL...................................................... 6,553,917 4,131,089 ------------ TOTAL THAILAND....................................................... 668,027,848 ------------ TURKEY -- (2.8%) Adana Cimento Sanayii TAS Class A................................. 940,822 2,363,791 Akcansa Cimento A.S............................................... 119,048 717,347 *Akenerji Elektrik Uretim A.S...................................... 3,431,162 3,201,189 *Akfen Holding A.S................................................. 742,088 2,253,705 Aksa Akrilik Kimya Sanayii........................................ 1,735,088 5,116,418 Aksigorta A.S..................................................... 1,235,261 1,559,210 Alarko Holding A.S................................................ 1,328,166 4,019,597
42 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- ----------- TURKEY -- (Continued) *Albaraka Turk Katilim Bankasi A.S................................. 3,392,871 $ 3,678,194 *Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S............... 52,442 1,456,277 *Anadolu Anonim Tuerk Sigorta Sirketi.............................. 4,326,842 3,214,609 *Anadolu Cam Sanayii A.S........................................... 2,137,853 3,307,193 *Asya Katilim Bankasi A.S.......................................... 10,427,239 12,643,700 Aygaz A.S......................................................... 1,020,159 5,552,938 Baticim Bati Anadolu Cimento Sanayii A.S.......................... 271,944 1,162,713 Bolu Cimento Sanayii A.S.......................................... 1,056,634 1,292,243 Borusan Mannesmann Boru Sanayi ve Ticaret A.S..................... 151,966 2,895,670 Cimsa Cimento Sanayi VE Tica...................................... 598,554 3,558,735 *Deva Holding A.S.................................................. 844,260 1,051,509 *Dogan Gazetecilik A.S............................................. 538,363 475,100 *Dogan Sirketler Grubu Holding A.S................................. 16,350,353 11,056,277 Dogus Otomotiv Servis ve Ticaret A.S.............................. 271,728 1,732,226 Eczacibasi Yatirim Holding Ortakligi A.S.......................... 808,381 3,160,476 EGE Seramik Sanayi ve Ticaret A.S................................. 1,225,832 1,766,536 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S..................................................... 3,954,537 5,654,790 Eregli Demir ve Celik Fabrikalari TAS............................. 19,511,252 22,379,457 Gentas Genel Metal Sanayi ve Ticaret A.S.......................... 821,239 609,682 *Global Yatirim Holding A.S........................................ 4,381,715 4,435,073 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S............... 2,576 94,906 *GSD Holding....................................................... 4,585,286 3,585,639 *Gunes Sigorta..................................................... 424,619 574,165 *Hurriyet Gazetecilik A.S.......................................... 3,447,484 1,811,068 *Ihlas EV Aletleri................................................. 2,765,346 912,184 *Ihlas Holding A.S................................................. 14,513,937 6,649,614 *Is Finansal Kiralama A.S.......................................... 2,665,969 1,518,010 Is Yatirim Menkul Degerler A.S. Class A........................... 415,031 391,672 *Isiklar Yatirim Holding A.S....................................... 1,581,704 512,557 *Ittifak Holding A.S............................................... 92,228 255,499 *Izmir Demir Celik Sanayi A.S...................................... 541,422 897,122 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A....... 3,504,754 5,196,583 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B....... 1,815,352 4,274,003 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D....... 11,265,029 12,747,288 KOC Holding A.S................................................... 12,307,828 74,630,627 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S............................................................. 621,446 1,259,130 *Koza Anadolu Metal Madencilik Isletmeleri A.S..................... 583,894 1,454,749 *Menderes Tekstil Sanayi ve Ticaret A.S............................ 4,899,721 1,505,692 *Metro Ticari ve Mali Yatirimlar Holding A.S....................... 3,286,794 1,176,431 Mutlu Aku ve Malzemeleri Sanayi A.S............................... 100,988 445,171 *Net Turizm Ticaret ve Sanayi SA................................... 3,429,929 1,836,601 *Petkim Petrokimya Holding A.S..................................... 5,705,035 9,946,399 Pinar Entegre Et ve Un Sanayi A.S................................. 343,247 1,482,605 Pinar SUT Mamulleri Sanayii A.S................................... 184,329 1,759,543 *Polyester Sanayi A.S.............................................. 2,315,248 1,474,830 Raks Elektronik Sanayi ve Ticaret A.S............................. 5,859 -- *Reysas Tasimacilik ve Lojistik Ticaret A.S........................ 43,575 17,770 *Sabah Yayincilik.................................................. 31,938 -- Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S................ 1,335,250 2,140,298 *Sekerbank TAS..................................................... 6,919,207 7,962,944 Selcuk Ecza Deposu Ticaret ve Sanayi A.S.......................... 2,308,839 2,709,144 *Soda Sanayii A.S.................................................. 1,274,491 1,814,460
43 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ---------- --------------- TURKEY -- (Continued) *TAT Konserve Sanayii A.S.......................................... 243,847 $ 335,042 Tekfen Holding A.S................................................ 1,844,254 7,168,058 *Tekstil Bankasi A.S............................................... 1,683,023 1,589,279 *Trakya Cam Sanayi A.S............................................. 4,216,433 7,132,678 Turcas Petrol A.S................................................. 1,352,130 2,621,854 *Turk Hava Yollari................................................. 11,412,196 47,548,985 Turkiye Is Bankasi................................................ 27,763,003 107,387,000 Turkiye Sinai Kalkinma Bankasi A.S................................ 6,139,213 8,848,207 Turkiye Sise ve Cam Fabrikalari A.S............................... 6,965,162 11,831,093 Turkiye Vakiflar Bankasi Tao...................................... 13,789,100 49,342,203 Ulker Biskuvi Sanayi A.S.......................................... 483,611 4,139,789 Uzel Makina Sanayii A.S........................................... 275,043 -- *Vestel Beyaz Esya Sanayi ve Ticaret A.S........................... 1,067,440 1,614,430 *Vestel Elektronik Sanayi ve Ticaret A.S........................... 2,059,212 2,623,175 Yapi ve Kredi Bankasi A.S......................................... 13,027,710 40,486,992 --------------- TOTAL TURKEY......................................................... 554,020,144 --------------- TOTAL COMMON STOCKS.................................................. 18,131,814,633 --------------- PREFERRED STOCKS -- (2.0%) BRAZIL -- (1.9%) Alpargatas SA..................................................... 68,220 454,513 Banco ABC Brasil SA............................................... 873,583 6,863,788 Banco Alfa de Investimento SA..................................... 60,126 189,025 Banco Daycoval SA................................................. 567,648 2,990,384 Banco do Estado do Rio Grande do Sul SA Class B................... 696,821 5,868,516 Banco Industrial e Comercial SA................................... 1,653,100 4,668,257 Banco Indusval SA................................................. 200 722 *Banco Panamericano SA............................................. 1,046,248 3,608,202 Banco Pine SA..................................................... 345,177 2,387,729 Banco Sofisa SA................................................... 694,800 1,250,171 Braskem SA Class A................................................ 2,215,496 19,267,590 Cia Ferro Ligas da Bahia--Ferbasa................................. 920,334 5,634,933 Eucatex SA Industria e Comercio................................... 199,988 766,666 Financeira Alfa SA Credito Financiamento e Investimentos.......... 33,900 97,934 Forjas Taurus SA.................................................. 1,045,690 1,364,114 Gerdau SA......................................................... 4,720,765 36,902,544 *Inepar SA Industria e Construcoes................................. 1,430,808 1,172,823 Klabin SA......................................................... 4,702,649 31,495,937 *Mangels Industrial SA............................................. 3,600 3,509 Parana Banco SA................................................... 117,400 852,004 Petroleo Brasileiro SA............................................ 18,204,529 181,795,072 *Suzano Papel e Celulose SA Class A................................ 6,669,845 24,335,808 Unipar Participacoes SA Class B................................... 9,258,736 2,360,093 *Usinas Siderurgicas de Minas Gerais SA Class A.................... 11,752,415 58,152,647 Whirlpool SA...................................................... 58,400 121,135 --------------- TOTAL BRAZIL......................................................... 392,604,116 --------------- COLOMBIA -- (0.1%) Banco Davivienda SA............................................... 7,851 105,048
44 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------------ --------------- COLOMBIA -- (Continued) Grupo de Inversiones Suramericana SA.............................. 511,224 $ 10,761,815 --------------- TOTAL COLOMBIA....................................................... 10,866,863 --------------- HONG KONG -- (0.0%) Li Ning Co., Ltd.................................................. 575,500 317,409 --------------- MALAYSIA -- (0.0%) TA Global Bhd..................................................... 116,025 8,781 --------------- TOTAL PREFERRED STOCKS............................................... 403,797,169 --------------- RIGHTS/WARRANTS -- (0.0%) CHINA -- (0.0%) #*Shui On Land, Ltd. Rights 05/13/13................................ 14,500,201 1,513,523 --------------- MALAYSIA -- (0.0%) *Mah Sing Group Bhd Rights 03/18/18................................ 573,919 76,397 --------------- POLAND -- (0.0%) *Polimex-Mostostal SA Rights....................................... 10,512,907 -- --------------- THAILAND -- (0.0%) *G J Steel PCL Rights 02/07/20..................................... 24,548,122 334,557 *LH Financial Group PCL Rights 05/23/13............................ 217,550 3,410 *Thoresen Thai Agencies PCL Rights 09/12/15........................ 743,587 169,745 *Tisco Financial Group PCL Rights 06/26/13......................... 168,010 177,455 --------------- TOTAL THAILAND....................................................... 685,167 --------------- TOTAL RIGHTS/WARRANTS................................................ 2,275,087 --------------- SHARES/ FACE AMOUNT (000) VALUE+ ------------ --------------- SECURITIES LENDING COLLATERAL -- (6.7%) (S)@DFA Short Term Investment Fund................................... 115,211,755 1,333,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by $169,927 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42, valued at $173,672) to be repurchased at $170,268............... $ 170 170,267 --------------- TOTAL SECURITIES LENDING COLLATERAL.................................. 1,333,170,267 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $19,190,568,956)................. $19,871,057,156 ===============
45 (b)Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 11.CONTROLS AND PROCEDURES. (a)Based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR (the "Report"), the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b)There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12.EXHIBITS. (a)(1)This item is not applicable. (a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3)This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Emerging Markets Value Fund By: /s/ David G. Booth -------------------------------- David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: July 1, 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: July 1, 2013 By: /s/ David R. Martin --------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: July 1, 2013 EX-99.CERT 2 d533616dex99cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: July 1, 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: July 1, 2013 By: /s/ David R. Martin --------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906CERT 3 d533616dex99906cert.txt CERTIFICATIONS PURSUANT TO SECTION 906 CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and David R. Martin, Principal Financial Officer, of Dimensional Emerging Markets Value Fund, a Delaware statutory trust (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended April 30, 2013 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/ David G. Booth --------------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund Date: July 1, 2013 By: /s/ David R. Martin --------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: July 1, 2013